N-CSRS

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-02396

T. Rowe Price New Income Fund, Inc.

(Exact name of registrant as specified in charter)

100 East Pratt Street, Baltimore, MD 21202

(Address of principal executive offices)

David Oestreicher

100 East Pratt Street, Baltimore, MD 21202

(Name and address of agent for service)

Registrant’s telephone number, including area code:  (410) 345-2000

Date of fiscal year end:  May 31

Date of reporting period:  November 30, 2022

Item 1. Reports to Shareholders

(a) Report pursuant to Rule 30e-1

Highlights

and

Market

Commentary

Management’s

Discussion

of

Fund

Performance

Performance

and

Expenses

Financial

Highlights

Portfolio

of

Investments

Financial

Statements

and

Notes

Additional

Fund

Information

November

30,

2022

SemiAnnual

Report

For

more

insights

from

T.

Rowe

Price

investment

professionals,

go

to

troweprice.com

.

T.

ROWE

PRICE

PRCIX

New

Income

Fund

–

.

PANIX

New

Income

Fund–

.

Advisor  Class

RRNIX

New

Income

Fund–

.

R  Class

PRXEX

New

Income

Fund–

.

I  Class

TRVZX

New

Income

Fund–

.

Z Class

T.

ROWE

PRICE

New

Income

Fund

HIGHLIGHTS

The

fund

generated

negative

returns

and

underperformed

its

benchmark

over

the

six-month

period

ended

November

30,

2022.

Interest

rate

management

and

security

selection

detracted

from

the

portfolio’s

overall

relative

performance,

while

sector

allocation

delivered

mixed

results.

We

kept

risk

levels

in

the

portfolio

relatively

low

amid

the

potential

for

elevated

volatility.

We

expect

to

maintain

a

defensive

investment

posture

with

ample

liquidity

until

the

market

more

fully

prices

in

recession

risks

or

inflation

calms

enough

to

allow

the

Fed

to

pivot

to

a

less

hawkish

policy

stance.

Log

in

to

your

account

at

troweprice.com

for

more

information.

*

Certain

mutual

fund

accounts

that

are

assessed

an

annual

account

service

fee

can

also

save

money

by

switching

to

e-delivery.

T.

ROWE

PRICE

New

Income

Fund

Market

Commentary

1

Dear

Shareholder

Global

stock

markets

generally

produced

negative

returns

during

the

first

half

of

your

fund’s

fiscal

year,

the

six-month

period

ended

November

30,

2022,

while

rising

bond

yields

weighed

on

returns

for

fixed

income

investors.

Investors

contended

with

tightening

financial

conditions

and

slowing

economic

and

corporate

earnings

growth,

but

hopes

that

persistently

high

inflation

might

be

easing

helped

spark

a

rally

late

in

the

period

that

partially

offset

earlier

losses.

In

the

U.S.,

equity

results

were

mixed.

The

Dow

Jones

Industrial

Average

recorded

positive

results

and

mid-cap

growth

stocks

also

performed

well,

while

most

other

benchmarks

finished

in

negative

territory.

The

S&P

500

Index

was

modestly

negative

for

the

period,

but

results

varied

widely

at

the

sector

level,

with

industrials

and

energy

shares

delivering

strong

gains

while

communication

services

stocks

struggled.

Outside

the

U.S.,

most

major

country

and

regional

benchmarks

lost

ground.

Emerging

markets

stocks

generally

underperformed

shares

in

developed

markets.

Meanwhile,

the

U.S.

dollar

strengthened

versus

most

currencies

during

the

period,

which

weighed

on

returns

for

U.S.

investors

in

international

securities.

Elevated

inflation

remained

a

leading

concern

for

investors

throughout

the

period,

although

hopes

that

inflation

may

have

peaked

led

to

rallies

during

the

summer

and

again

in

November.

The

October

consumer

price

index

report,

which

was

released

in

mid-November,

was

better

than

expected

and

showed

price

increases

easing

from

recent

40-year

highs.

However,

the

7.7%

year-over-

year

increase

in

the

headline

inflation

number

remained

well

above

the

Fed’s

2%

target.

In

response

to

the

high

inflation

readings,

global

central

banks

continued

to

tighten

monetary

policy,

and

investors

focused

on

communications

from

central

bank

officials

on

how

high

rates

would

have

to

go.

The

Federal

Reserve

delivered

four

historically

large

75-basis-point

(0.75

percentage

point)

rate

hikes

during

the

period,

which

lifted

its

short-term

lending

benchmark

to

a

target

range

of

3.75%

to

4.00%

by

early

November,

the

highest

level

since

2008.

As

our

reporting

period

came

to

an

end,

Fed

officials

signaled

that

they

were

likely

to

dial

back

the

pace

of

rate

increases.

Bond

yields

increased

considerably

across

the

Treasury

yield

curve

as

the

Fed

tightened

monetary

policy,

with

the

yield

on

the

benchmark

10-year

U.S.

Treasury

note

climbing

from

2.85%

at

the

start

of

the

period

to

3.68%

at

the

end

of

November.

Significant

inversions

in

the

Treasury

curve,

which

are

often

considered

a

warning

sign

of

a

coming

recession,

occurred

during

the

period

T.

ROWE

PRICE

New

Income

Fund

2

as

shorter-maturity

Treasuries

experienced

the

largest

yield

increases.

The

sharp

increase

in

yields

led

to

generally

negative

results

across

the

fixed

income

market

as

bond

prices

and

yields

move

in

opposite

directions.

On

a

positive

note,

the

U.S.

jobs

market

remained

resilient

during

the

period,

and

overall

economic

growth

turned

positive

in

the

third

quarter

after

two

slightly

negative

quarters.

However,

recession

fears

also

grew

as

corporate

earnings

slowed

and

manufacturing

gauges

drifted

toward

contraction

levels.

In

addition,

the

housing

market

began

to

weaken

as

mortgage

rates

climbed

to

the

highest

level

in

more

than

20

years.

The

past

year

has

been

a

trying

time

for

investors

as

few

sectors

remained

untouched

by

the

broad

headwinds

that

markets

faced,

and

volatility

may

continue

in

the

near

term

as

central

banks

tighten

policy

amid

slowing

economic

growth.

However,

in

our

view,

valuations

have

become

more

attractive

across

many

market

sectors

during

the

downturn,

which

provides

potential

opportunities

for

selective

investors

focused

on

fundamentals.

We

believe

this

environment

makes

skilled

active

management

a

critical

tool

for

identifying

risks

and

opportunities,

and

our

investment

teams

will

continue

to

use

fundamental

research

to

identify

securities

that

can

add

value

to

your

portfolio

over

the

long

term.

Thank

you

for

your

continued

confidence

in

T.

Rowe

Price.

Sincerely, 

Robert

Sharps

CEO

and

President

T.

ROWE

PRICE

New

Income

Fund

Management’s

Discussion

of

Fund

Performance

3

INVESTMENT

OBJECTIVE 

The

fund

seeks

to

maximize

total

return

through

income

and

capital

appreciation.

FUND

COMMENTARY

How

did

the

fund

perform

in

the

past six

months?

The

New

Income

Fund

returned

-4.83%

in

the

six-month

period

ended

November

30,

2022,

underperforming

its

benchmark,

the

Bloomberg

U.S.

Aggregate

Bond

Index,

and

its

Lipper

peer

group

average.

(Performance

for

Advisor,

R,

I,

and

Z

Class

shares

can

vary,

reflecting

their

different

fee

structures

and

other

factors.

Past

performance

cannot

guarantee

future

results.)

What

factors

influenced

the

fund’s

performance?

The

U.S.

investment-grade

(IG)

fixed

income

market,

as

measured

by

the

Bloomberg

U.S.

Aggregate

Bond

Index,

produced

negative

returns

for

the

six-

month

reporting

period

amid

a

significant

rise

in

Treasury

yields.

Against

this

backdrop,

the

fund

posted

a

negative

return

and

trailed

its

benchmark

over

the

reporting

period.

Interest

rate

management

was

the

largest

detractor

from

relative

performance.

Positioning

for

a

steepening

at

the

long

end

of

the

yield

curve

particularly

dragged

on

returns.

We

believed

that

the

curve

flattening

trend

that

had

prevailed

since

mid-2021

had

run

its

course;

however,

an

upside

surprise

in

August

inflation

data

led

the

market

to

price

in

more

rate

hikes,

which

the

Fed

subsequently

confirmed

at

its

September

meeting.

This

led

to

further

inversions

of

key

sections

of

the

yield

curve

and

worked

against

our

positioning.

Overall

duration

positioning

also

detracted

as

the

timing

of

some

of

our

positioning

shifts

was

unfavorable

amid

elevated

interest

rate

volatility.

(Duration

measures

the

sensitivity

of

a

bond

or

a

bond

portfolio

to

interest

rate

changes.)

PERFORMANCE

COMPARISON

Six-Month

Period

Ended

11/30/22

Total

Return

New

Income

Fund

–

.

-4.83‌%

New

Income

Fund–

.

Advisor  Class

-4.98‌

New

Income

Fund–

.

R  Class

-5.14‌

New

Income

Fund–

.

I  Class

-4.80‌

New

Income

Fund–

.

Z

Class

-4.62‌

Bloomberg

U.S.

Aggregate

Bond

Index

-4.06‌

Lipper

Core

Bond

Funds

Average

-4.38‌

T.

ROWE

PRICE

New

Income

Fund

4

Security

selection

weighed

on

results,

largely

due

to

our

positioning

in

the

IG

corporate

sector.

We

had

focused

on

shorter-maturity

securities

to

help

lessen

the

impact

of

market

volatility,

and

this

defensive

positioning

was

beneficial

for

most

of

the

period.

However,

credit

spreads

for

longer-dated

corporates

tightened

more

than

their

shorter-dated

counterparts

as

risk

sentiment

improved

in

late

October

and

November,

which

weighed

on

the

portfolio’s

performance.

In

the

agency

mortgage-backed

securities

(MBS)

sector,

our

mortgage

team’s

preference

for

higher-coupon

securities

was

a

positive

offsetting

factor

as

that

portion

of

the

MBS

market

was

less

exposed

to

decreasing

demand

from

the

Fed

and

rising

interest

rates.

Sector

allocation

was

a

slight

overall

detractor

from

the

portfolio’s

relative

performance,

although

results

were

mixed

at

the

sector

level.

Positions

in

non-agency

residential

mortgage-backed

securities

(RMBS)

hampered

performance.

The

out-of-benchmark

sector

was

hurt

by

lengthening

durations

with

mortgage

rates

climbing

and

by

signs

that

the

housing

market

was

weakening

amid

higher

financing

costs.

An

out-of-benchmark

position

in

high

yield

corporate

bonds

also

detracted

as

concerns

grew

about

the

impact

of

an

economic

slowdown.

On

the

positive

side,

the

portfolio’s

average

underweights

to

Treasuries

and

agency

MBS

were

beneficial.

Treasuries

underperformed

the

broader

benchmark

amid

the

sharp

increase

in

yields,

while

the

MBS

sector

was

hurt

by

high

interest

rate

volatility

and

hawkish

Fed

policy

for

much

of

the

period.

Our

small

out-of-benchmark

position

in

leveraged

loans

also

helped

results

as

the

low-duration

sector

performed

well

in

the

rising

rate

environment.

While

we

primarily

invest

in

cash

bonds,

the

fund

also

employed

derivatives,

which

had

an

overall

negative

effect

on

absolute

returns.

Specifically,

the

fund

maintained

meaningful

holdings

in

interest

rate

derivatives,

primarily

for

managing

exposure

to

certain

parts

of

the

yield

curve,

which

weighed

on

absolute

performance.

How

is

the

fund

positioned?

While

we

maintained

overweights

to

credit

sectors

that

offer

higher

yield

potential

than

the

benchmark,

we

kept

risk

levels

in

the

portfolio

at

relatively

low

levels

in

response

to

the

increased

potential

for

market

volatility.

Since

our

previous

report

six

months

ago,

we

made

tactical

adjustments

at

the

sector

level

in

response

to

changing

valuations

in

the

market

and

our

risk

outlook.

The

most

notable

shift

in

the

portfolio’s

positioning

during

the

period

was

in

the

agency

MBS

sector.

Valuations

for

agency

MBS,

which

bear

little

credit

risk,

had

cheapened

significantly

due

to

high

rate

volatility

and

the

Fed’s

hawkish

messaging.

As

a

result,

we

eliminated

our

longtime

underweight

to

the

sector

and

shifted

to

an

overweight

allocation

by

October,

a

move

that

was

well

T.

ROWE

PRICE

New

Income

Fund

5

timed

as

the

MBS

segment

recorded

its

best

month

on

record

in

November

after

the

Fed

signaled

its

intent

to

slow

the

pace

of

rate

hikes.

We

reduced

our

position

following

the

strong

rally

and

finished

the

period

with

a

nearly

neutral

allocation

versus

the

benchmark.

We

further

reduced

our

exposure

to

credit

spread

risk

within

the

IG

corporate

allocation

and

added

to

our

cash

position

as

we

looked

to

reduce

credit

risk

in

the

portfolio

later

in

the

period.

We

also

reduced

our

position

in

securitized

credit

but

maintained

an

overweight

allocation.

The

reductions

were

mainly

in

segments

of

the

commercial

mortgage-

backed

securities

and

RMBS

market

where

our

analysts

had

less

conviction.

We

continued

to

see

potentially

attractive

opportunities

in

high-quality

asset-backed

securities

and

collateralized

loan

obligations.

We

believe

our

ample

positions

in

Treasuries

and

agency

MBS

along

with

cash

reserves

should

help

provide

the

portfolio

with

liquidity,

balance

higher-risk

credit

exposures,

and

enable

us

to

quickly

take

advantage

of

any

price

dislocations

that

may

develop.

We

actively

managed

our

duration

position

during

the

period

but

kept

duration

relatively

close

to

the

benchmark

amid

continued

high

interest

rate

volatility.

Sources:

Credit

ratings

for

the

securities

held

in

the

fund

are

provided

by

Moody’s,

Standard

&

Poor’s,

and

Fitch

and

are

converted

to

the

Standard

&

Poor’s

nomenclature.

A

rating

of

AAA

represents

the

highest-

rated

securities,

and

a

rating

of

D

represents

the

lowest-

rated

securities.

If

the

rating

agencies

differ,

the

highest

rating

is

applied

to

the

security.

If

a

rating

is

not

available,

the

security

is

classified

as

Not

Rated.

T.

Rowe

Price

uses

the

rating

of

the

underlying

investment

vehicle

to

determine

the

creditworthiness

of

credit

default

swaps.

The

fund

is

not

rated

by

any

agency.

Securities

that

have

not

been

rated

by

any

rating

agency

totaled

-0.01%

of

the

portfolio

at

the

end

of

the

reporting

period.

The

negative

percentage

of

not

rated

securities

is

attributable

to

derivative

holdings.

*

U.S.

government

agency

securities

are

issued

or

guaranteed

by

a

U.S.

government

agency

and

may

include

conventional

pass-through

securities

and

collateralized

mortgage

obligations;

unlike

Treasuries,

government

agency

securities

are

not

issued

directly

by

the

U.S.

government

and

are

generally

unrated

but

may

have

credit

support

from

the

U.S.

Treasury

(e.g.,

FHLMC

and

FNMA

issues)

or

a

direct

government

guarantee

(e.g.,

GNMA

issues).

Therefore,

this

category

may

include

rated

and

unrated

securities.

**

U.S.

Treasury

securities

are

issued

by

the

U.S.

Treasury

and

are

backed

by

the

full

faith

and

credit

of

the

U.S.

government.

The

ratings

of

U.S.

Treasury

securities

are

derived

from

the

ratings

on

the

U.S.

government.

CREDIT

QUALITY

DIVERSIFICATION

New

Income

Fund

T.

ROWE

PRICE

New

Income

Fund

6

We

finished

the

period

with

a

slightly

short

position,

which

we

believe

is

appropriate

as

long

as

the

market

underestimates

the

fed

funds

terminal

rate;

however,

we

believe

that

rising

recession

risks

along

with

a

potential

pause

in

rate

hikes

could

make

longer-duration

positions

more

attractive

in

2023.

The

health

of

the

labor

market

will

be

a

key

factor

for

the

Fed

going

forward,

and

we

are

closely

watching

incoming

data

as

we

position

the

portfolio.

What

is

portfolio

management’s

outlook?

We

believe

that

the

Fed

will

need

to

see

sustained

progress

in

containing

inflation

before

pausing

its

rate

hikes.

As

such,

we

have

maintained

our

view

that

the

federal

funds

rate

is

likely

to

reach

5%

by

the

first

quarter

of

2023.

The

Fed

may

then

stop

to

evaluate

the

impact

of

tighter

monetary

policy

on

the

economy,

but

the

terminal

rate

could

ultimately

be

higher

if

inflation

and

payroll

data

surprise

to

the

upside.

Trading

liquidity

remains

poor

across

markets,

and

volatility

in

both

Treasury

rates

and

risk

assets

is

likely

to

continue

as

the

Fed

navigates

a

narrow

path

of

trying

to

cool

the

labor

market

without

causing

a

recession.

U.S.

markets

also

face

external

challenges,

including

a

looming

recession

in

Europe

and

below-

trend

growth

in

China.

We

believe

this

volatility

could

generate

opportunities

to

buy

bonds

at

relatively

attractive

valuations.

The

speed

at

which

the

Fed

has

tightened

monetary

policy

leaves

us

wary

of

the

potential

for

policy

mistakes

or

collateral

damage

to

credit

markets.

Accordingly,

we

expect

to

maintain

a

defensive

investment

posture

with

ample

liquidity

until

the

market

more

fully

prices

in

recession

risks

or

inflation

calms

enough

to

allow

the

Fed

to

unequivocally

pivot

to

a

less

hawkish

policy

stance.

Going

into

2023,

we

believe

that

credit

spread

volatility

could

become

a

more

important

factor

than

interest

rate

volatility,

which

has

been

the

main

driver

of

markets

this

year.

As

a

result,

we

have

reduced

our

exposure

to

positions

where

our

credit

analysts

see

further

downside

risks

in

a

recession

scenario,

in

which

areas

like

lower-quality

commercial

real

estate

debt

could

be

vulnerable.

We

continue

to

look

to

earn

yield

in

the

portfolio

above

the

benchmark

and

to

take

advantage

of

the

pricing

inefficiencies

that

are

prevalent

in

fixed

income

markets.

As

always,

research

drives

our

portfolio

construction,

and

security

selection

remains

paramount

in

our

investment

approach.

The

views

expressed

reflect

the

opinions

of

T.

Rowe

Price

as

of

the

date

of

this

report

and

are

subject

to

change

based

on

changes

in

market,

economic,

or

other

conditions.

These

views

are

not

intended

to

be

a

forecast

of

future

events

and

are

no

guarantee

of

future

results.

T.

ROWE

PRICE

New

Income

Fund

7

RISKS

OF

BOND

INVESTING

Bonds

are

subject

to

interest

rate

risk,

the

decline

in

bond

prices

that

usually

accompanies

a

rise

in

interest

rates,

and

credit

risk,

the

chance

that

any

fund

holding

could

have

its

credit

rating

downgraded

or

that

a

bond

issuer

will

default

(fail

to

make

timely

payments

of

interest

or

principal),

potentially

reducing

the

fund’s

income

level

and

share

price.

Mortgage-backed

securities

are

subject

to

prepayment

risk,

particularly

if

falling

rates

lead

to

heavy

refinancing

activity,

and

extension

risk,

which

is

an

increase

in

interest

rates

that

causes

a

fund’s

average

maturity

to

lengthen

unexpectedly

due

to

a

drop

in

mortgage

prepayments.

This

could

increase

the

fund’s

sensitivity

to

rising

interest

rates

and

its

potential

for

price

declines.

To

the

extent

the

fund

holds

foreign

holdings,

it

will

be

subject

to

special

risks,

whether

the

securities

are

denominated

in

U.S.

dollars

or

foreign

currencies.

These

risks

include

potentially

adverse

local,

political,

social,

and

economic

conditions

overseas,

greater

volatility,

lower

liquidity,

and

the

possibility

that

foreign

currencies

will

decline

against

the

U.S.

dollar,

lowering

the

value

of

securities

denominated

in

those

currencies

and

possibly

the

fund’s

share

price.

These

risks

are

heightened

for

the

fund’s

investments

in

emerging

markets,

which

are

more

susceptible

to

governmental

interference,

less

efficient

trading

markets,

and

the

imposition

of

local

taxes

or

restrictions

on

gaining

access

to

sales

proceeds

for

foreign

investors.

BENCHMARK

INFORMATION

Note:

Bloomberg

®

and

the

Bloomberg

U.S.

Aggregate

Bond

Index

are

service

marks

of

Bloomberg

Finance

L.P.

and

its

affiliates,

including

Bloomberg

Index

Services

Limited

(“BISL”),

the

administrator

of

the

index

(collectively,

“Bloomberg”)

and

have

been

licensed

for

use

for

certain

purposes

by

T.

Rowe

Price.

Bloomberg

is

not

affiliated

with

T.

Rowe

Price,

and

Bloomberg

does

not

approve,

endorse,

review,

or

recommend

its

products.

Bloomberg

does

not

guarantee

the

timeliness,

accurateness,

or

completeness

of

any

data

or

information

relating

to

its

products. 

Note:

Copyright

©

2022

Fitch

Ratings,

Inc.,

Fitch

Ratings

Ltd.

and

its

subsidiaries.

Note:

Portions

of

the

mutual

fund

information

contained

in

this

report

were

supplied

by

Lipper,

a

Refinitiv

Company,

subject

to

the

following:

Copyright

2022

©

Refinitiv.

All

rights

reserved.

Any

copying,

republication

or

redistribution

of

Lipper

content

is

expressly

prohibited

without

the

prior

written

consent

of

Lipper.

Lipper

shall

not

be

liable

for

any

errors

or

delays

in

the

content,

or

for

any

actions

taken

in

reliance

thereon.

T.

ROWE

PRICE

New

Income

Fund

8

Note:

©

2022,

Moody’s

Corporation,

Moody’s

Investors

Service,

Inc.,

Moody’s

Analytics,

Inc.

and/or

their

licensors

and

affiliates

(collectively,

“Moody’s”).

All

rights

reserved.

Moody’s

ratings

and

other

information

(“Moody’s

Information”)

are

proprietary

to

Moody’s

and/or

its

licensors

and

are

protected

by

copyright

and

other

intellectual

property

laws.

Moody’s

Information

is

licensed

to

Client

by

Moody’s.

MOODY’S

INFORMATION

MAY

NOT

BE

COPIED

OR

OTHERWISE

REPRODUCED,

REPACKAGED,

FURTHER

TRANSMITTED,

TRANSFERRED,

DISSEMINATED,

REDISTRIBUTED

OR

RESOLD,

OR

STORED

FOR

SUBSEQUENT

USE

FOR

ANY

SUCH

PURPOSE,

IN

WHOLE

OR

IN

PART,

IN

ANY

FORM

OR

MANNER

OR

BY

ANY

MEANS

WHATSOEVER,

BY

ANY

PERSON

WITHOUT

MOODY’S

PRIOR

WRITTEN

CONSENT.

Moody's

®

is

a

registered

trademark.

Note:

Copyright

©

2022,

S&P

Global

Market

Intelligence

(and

its

affiliates,

as

applicable).

Reproduction

of

any

information,

data

or

material,

including

ratings

("Content")

in

any

form

is

prohibited

except

with

the

prior

written

permission

of

the

relevant

party. Such

party,

its

affiliates

and

suppliers

("Content

Providers")

do

not

guarantee

the

accuracy,

adequacy,

completeness,

timeliness

or

availability

of

any

Content

and

are

not

responsible

for

any

errors

or

omissions

(negligent

or

otherwise),

regardless

of

the

cause,

or

for

the

results

obtained

from

the

use

of

such

Content.

In

no

event

shall

Content

Providers

be

liable

for

any

damages,

costs,

expenses,

legal

fees,

or

losses

(including

lost

income

or

lost

profit

and

opportunity

costs)

in

connection

with

any

use

of

the

Content.

A

reference

to

a

particular

investment

or

security,

a

rating

or

any

observation

concerning

an

investment

that

is

part

of

the

Content

is

not

a

recommendation

to

buy,

sell

or

hold

such

investment

or

security,

does

not

address

the

appropriateness

of

an

investment

or

security

and

should

not

be

relied

on

as

investment

advice.

Credit

ratings

are

statements

of

opinions

and

are

not

statements

of

fact.

BENCHMARK

INFORMATION

(continued)

T.

ROWE

PRICE

New

Income

Fund

9

GROWTH

OF

$10,000 

This

chart

shows

the

value

of

a

hypothetical

$10,000

investment

in

the

fund

over

the

past

10

fiscal

year

periods

or

since

inception

(for funds

lacking

10-year

records).

The

result

is

compared

with

benchmarks,

which

include

a

broad-based

market

index

and

may

also

include

a

peer

group

average

or

index.

Market

indexes

do

not

include

expenses,

which

are

deducted

from

fund

returns

as

well

as

mutual fund

averages

and

indexes.

NEW

INCOME

FUND 

Note:

Performance

for

the

Advisor,

R,

I,

and

Z Class

shares

will

vary

due

to

their

differing

fee

structures.

See

the

Average

Annual

Compound

Total

Return

table. 

T.

ROWE

PRICE

New

Income

Fund

10

AVERAGE

ANNUAL

COMPOUND

TOTAL

RETURN

Periods

Ended

11/30/22

1

Year

5

Years

10

Years

Since

Inception

Inception

Date

New

Income

Fund

–

.

-14.00‌%

-0.22‌%

0.85‌%

–‌

–

New

Income

Fund–

.

Advisor  Class

-14.70‌

-0.65‌

0.52‌

–‌

–

New

Income

Fund–

.

R  Class

-14.64‌

-0.87‌

0.23‌

–‌

–

New

Income

Fund–

.

I  Class

-14.01‌

-0.12‌

–‌

0.78‌%

8/28/15

New

Income

Fund–

.

Z  Class

-13.71‌

–‌

–‌

-2.94‌

3/16/20

This

table

shows

how

the

fund

would

have

performed

each

year

if

its

actual

(or

cumulative)

returns

for

the

periods

shown

had

been

earned

at

a

constant

rate.

Returns

do

not

reflect

taxes

that

the

shareholder

may

pay

on

fund

distributions

or

the

redemption

of

fund

shares.

Past

performance

cannot

guarantee

future

results.

T.

ROWE

PRICE

New

Income

Fund

11

EXPENSE

RATIO

FUND

EXPENSE

EXAMPLE

As

a

mutual

fund

shareholder,

you

may

incur

two

types

of

costs:

(1)

transaction

costs,

such

as

redemption

fees

or

sales

loads,

and

(2)

ongoing

costs,

including

management

fees,

distribution

and

service

(12b-1)

fees,

and

other

fund

expenses.

The

following

example

is

intended

to

help

you

understand

your

ongoing

costs

(in

dollars)

of

investing

in

the

fund

and

to

compare

these

costs

with

the

ongoing

costs

of

investing

in

other

mutual

funds.

The

example

is

based

on

an

investment

of

$1,000

invested

at

the

beginning

of

the

most

recent

six-month

period

and

held

for

the

entire

period.

Please

note

that

the

fund

has

five

share

classes:

The

original

share

class

(Investor

Class)

charges

no

distribution

and

service

(12b-1)

fee,

Advisor

Class

shares

are

offered

only

through

unaffiliated

brokers

and

other

financial

intermediaries

and

charge

a

0.25%

12b-1

fee,

R

Class

shares

are

available

to

retirement

plans

serviced

by

intermediaries

and

charge

a

0.50%

12b-1

fee,

I

Class

shares

are

available

to

institutionally

oriented

clients

and

impose

no

12b-1

or

administrative

fee

payment,

and

Z

Class

shares

are

offered

only

to

funds

advised

by

T.

Rowe

Price

and

other

advisory

clients

of

T.

Rowe

Price

or

its

affiliates

that

are

subject

to

a

contractual

fee

for

investment

management

services

and

impose

no

12b-1

fee

or

administrative

fee

payment.

Each

share

class

is

presented

separately

in

the

table.

Actual

Expenses

The

first

line

of

the

following

table

(Actual)

provides

information

about

actual

account

values

and

expenses

based

on

the

fund’s

actual

returns.

You

may

use

the

information

on

this

line,

together

with

your

account

balance,

to

estimate

the

expenses

that

you

paid

over

the

period.

Simply

divide

your

account

value

by

$1,000

(for

example,

an

$8,600

account

value

divided

by

$1,000

=

8.6),

then

multiply

the

result

by

the

number

on

the

first

line

under

the

heading

"Expenses

Paid

During

Period"

to

estimate

the

expenses

you

paid

on

your

account

during

this

period. 

New

Income

Fund

0.44‌%

New

Income

Fund–Advisor

Class

1.30‌ 

New

Income

Fund–R

Class

1.16‌ 

New

Income

Fund–I

Class

0.35‌ 

New

Income

Fund–Z

Class

0.32‌ 

The

expense

ratio

shown

is

as

of

the

fund’s

most

recent

prospectus.

This

number

may

vary

from

the

expense

ratio

shown

elsewhere

in

this

report

because

it

is

based

on

a

different

time

period

and,

if

applicable,

includes

acquired

fund

fees

and

expenses

but

does

not

include

fee

or

expense

waivers.

T.

ROWE

PRICE

New

Income

Fund

12

Hypothetical

Example

for

Comparison

Purposes

The

information

on

the

second

line

of

the

table

(Hypothetical)

is

based

on

hypothetical

account

values

and

expenses

derived

from

the

fund’s

actual

expense

ratio

and

an

assumed

5%

per

year

rate

of

return

before

expenses

(not

the

fund’s

actual

return).

You

may

compare

the

ongoing

costs

of

investing

in

the

fund

with

other

funds

by

contrasting

this

5%

hypothetical

example

and

the

5%

hypothetical

examples

that

appear

in

the

shareholder

reports

of

the

other

funds.

The

hypothetical

account

values

and

expenses

may

not

be

used

to

estimate

the

actual

ending

account

balance

or

expenses

you

paid

for

the

period.

Note:

T.

Rowe

Price

charges

an

annual

account

service

fee

of

$20,

generally

for

accounts

with

less

than

$10,000.

The

fee

is

waived

for

any

investor

whose

T.

Rowe

Price

mutual

fund

accounts

total

$50,000

or

more;

accounts

electing

to

receive

electronic

delivery

of

account

statements,

transaction

confirmations,

prospectuses,

and

shareholder

reports;

or

accounts

of

an

investor

who

is

a

T.

Rowe

Price

Personal

Services

or

Enhanced

Personal

Services

client

(enrollment

in

these

programs

generally

requires

T.

Rowe

Price

assets

of

at

least

$250,000).

This

fee

is

not

included

in

the

accompanying

table.

If

you

are

subject

to

the

fee,

keep

it

in

mind

when

you

are

estimating

the

ongoing

expenses

of

investing

in

the

fund

and

when

comparing

the

expenses

of

this

fund

with

other

funds.

You

should

also

be

aware

that

the

expenses

shown

in

the

table

highlight

only

your

ongoing

costs

and

do

not

reflect

any

transaction

costs,

such

as

redemption

fees

or

sales

loads.

Therefore,

the

second

line

of

the

table

is

useful

in

comparing

ongoing

costs

only

and

will

not

help

you

determine

the

relative

total

costs

of

owning

different

funds.

To

the

extent

a

fund

charges

transaction

costs,

however,

the

total

cost

of

owning

that

fund

is

higher.

FUND

EXPENSE

EXAMPLE

(CONTINUED)

T.

ROWE

PRICE

New

Income

Fund

13

NEW

INCOME

FUND

Beginning

Account

Value

6/1/22

Ending

Account

Value

11/30/22

Expenses

Paid

During

Period*

6/1/22

to

11/30/22

Investor

Class

Actual

$1,000.00

$951.70

$2.15

Hypothetical

(assumes

5%

return

before

expenses)

 1,000.00

  1,022.86

  2.23

Advisor

Class

Actual

  1,000.00

  950.20

  3.52

Hypothetical

(assumes

5%

return

before

expenses)

 1,000.00

  1,021.46

  3.65

R

Class

Actual

  1,000.00

  948.60

  5.28

Hypothetical

(assumes

5%

return

before

expenses)

 1,000.00

  1,019.65

  5.47

I

Class

Actual

  1,000.00

  952.00

  1.76

Hypothetical

(assumes

5%

return

before

expenses)

 1,000.00

  1,023.26

  1.83

Z

Class

Actual

  1,000.00

  953.80

  0.00

Hypothetical

(assumes

5%

return

before

expenses)

 1,000.00

  1,025.07

  0.00

*

Expenses

are

equal

to

the

fund’s

annualized

expense

ratio

for

the

6-month

period,

multiplied

by

the

average

account

value

over

the

period,

multiplied

by

the

number

of

days

in

the

most

recent

fiscal

half

year

(183),

and

divided

by

the

days

in

the

year

(365)

to

reflect

the

half-year

period.

The

annualized

expense

ratio

of

the

1

Investor

Class

was

0.44%,

the

2

Advisor Class

was

0.72%,

the

3

R

Class

was

1.08%,

the

4

I Class

was

0.36%,

and

the

5

Z Class

was

0.00%.

FUND

EXPENSE

EXAMPLE

(CONTINUED)

T.

ROWE

PRICE

New

Income

Fund

14

QUARTER-END

RETURNS

Periods

Ended

9/30/22

1

Year

5

Years

10

Years

Since

Inception

Inception

Date

New

Income

Fund

–

.

-15.61‌%

-0.64‌%

0.68‌%

–‌

–

New

Income

Fund–

.

Advisor  Class

-16.35‌ 

-1.07‌ 

0.35‌ 

–‌

–

New

Income

Fund–

.

R  Class

-16.15‌ 

-1.28‌ 

0.09‌ 

–‌

–

New

Income

Fund–

.

I  Class

-15.53‌ 

-0.53‌ 

–‌

0.51‌%

8/28/15

New

Income

Fund–

.

Z  Class

-15.23‌ 

–‌

–‌

-3.92‌ 

3/16/20

The

fund’s

performance

information

represents

only

past

performance

and

is

not

necessarily

an

indication

of

future

results.

Current

performance

may

be

lower

or

higher

than

the

performance

data

cited.

Share

price,

principal

value,

and

return

will

vary,

and

you

may

have

a

gain

or

loss

when

you

sell

your

shares.

For

the

most

recent

month-end

performance,

please

visit

our

website

(troweprice.com)

or

contact

a

T.

Rowe

Price

representative

at

1

-

800

-

225

-

5132

or,

for

2

Advisor

,

3

R

,

4

,,

I

,

and

5

Z

Class

shares,

1-800-638-8790

.

This

table

provides

returns

through

the

most

recent

calendar

quarter-end

rather

than

through

the

end

of

the

fund’s

fiscal

period.

It

shows

how

the

fund

would

have

performed

each

year

if

its

actual

(or

cumulative)

returns

for

the

periods

shown

had

been

earned

at

a

constant

rate.

Average

annual

total

return

figures

include

changes

in

principal

value,

reinvested

dividends,

and

capital

gain

distributions.

Returns

do

not

reflect

taxes

that

the

shareholder

may

pay

on

portfolio

distributions

or

the

redemption

of

portfolio

shares.

When

assessing

performance,

investors

should

consider

both

short-

and

long-term

returns.

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Financial

Highlights

15

For

a

share

outstanding

throughout

each

period

Investor

Class

6

Months

.

Ended

11/30/22

..

Year

..

..

Ended

.

5/31/22

5/31/21

5/31/20

5/31/19

5/31/18

NET

ASSET

VALUE

Beginning

of

period

$

8.66‌

$

9.71‌

$

9.70‌

$

9.51‌

$

9.22‌

$

9.50‌

Investment

activities

Net

investment

income

(1)(2)

0.11‌

0.15‌

0.19‌

0.26‌

0.27‌

0.24‌

Net

realized

and

unrealized

gain/loss

(0.53‌)

(0.96‌)

0.11‌

0.20‌

0.31‌

(0.26‌)

Total

from

investment

activities

(0.42‌)

(0.81‌)

0.30‌

0.46‌

0.58‌

(0.02‌)

Distributions

Net

investment

income

(0.11‌)

(0.14‌)

(0.20‌)

(0.27‌)

(0.29‌)

(0.26‌)

Net

realized

gain

—‌

(0.10‌)

(0.09‌)

—‌

—‌

—‌

Total

distributions

(0.11‌)

(0.24‌)

(0.29‌)

(0.27‌)

(0.29‌)

(0.26‌)

NET

ASSET

VALUE

End

of

period

$

8.13‌

$

8.66‌

$

9.71‌

$

9.70‌

$

9.51‌

$

9.22‌

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Financial

Highlights

16

For

a

share

outstanding

throughout

each

period

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Investor

Class

6

Months

.

Ended

11/30/22

..

Year

..

..

Ended

.

5/31/22

5/31/21

5/31/20

5/31/19

5/31/18

Ratios/Supplemental

Data

Total

return

(2)(3)

(4.83‌)%

(8.50‌)%

3.08‌%

4.85‌%

6.38‌%

(0.21‌)%

Ratios

to

average

net

assets:

(2)

Gross

expenses

before

waivers/

payments

by

Price

Associates

(4)

0.54‌%

(5)

0.45‌%

0.47‌%

0.51‌%

0.51‌%

0.53‌%

Net

expenses

after

waivers/payments

by

Price

Associates

0.44‌%

(5)

0.45‌%

0.47‌%

0.49‌%

0.50‌%

0.51‌%

Net

investment

income

2.72‌%

(5)

1.51‌%

1.96‌%

2.68‌%

2.97‌%

2.54‌%

Portfolio

turnover

rate

(6)

84.9‌%

229.1‌%

126.4‌%

153.7‌%

139.4‌%

96.1‌%

Portfolio

turnover

rate,

excluding

mortgage

dollar

roll

transactions

59.5‌%

93.1‌%

74.6‌%

69.5‌%

86.4‌%

75.5‌%

Net

assets,

end

of

period

(in

millions)

$858

$1,000

$2,911

$4,430

$17,423

$21,083

0‌%

0‌%

0‌%

0‌%

0‌%

0‌%

(1)

Per

share

amounts

calculated

using

average

shares

outstanding

method.

(2)

See

Note

6

for

details

of

expense-related

arrangements

with

Price

Associates.

(3)

Total

return

reflects

the

rate

that

an

investor

would

have

earned

on

an

investment

in

the

fund

during

each

period,

assuming

reinvestment

of

all

distributions,

and

payment

of

no

redemption

or

account

fees,

if

applicable.

Total

return

is

not

annualized

for

periods

less

than

one

year.

(4)

See

Note

6

.

Prior

to

5/31/20,

the

gross

expense

ratios

presented

are

net

of

a

management

fee

waiver

in

effect

during

the

period,

as

applicable.

(5)

Annualized

(6)

See

Note

4

.

The

portfolio

turnover

rate

calculation

includes

purchases

and

sales

from

the

mortgage

dollar

roll

transactions.

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Financial

Highlights

17

For

a

share

outstanding

throughout

each

period

Advisor

Class

6

Months

.

Ended

11/30/22

..

Year

..

..

Ended

.

5/31/22

5/31/21

5/31/20

5/31/19

5/31/18

NET

ASSET

VALUE

Beginning

of

period

$

8.64‌

$

9.69‌

$

9.68‌

$

9.49‌

$

9.20‌

$

9.49‌

Investment

activities

Net

investment

income

(1)(2)

0.10‌

0.06‌

0.16‌

0.22‌

0.24‌

0.22‌

Net

realized

and

unrealized

gain/loss

(0.53‌)

(0.95‌)

0.11‌

0.21‌

0.30‌

(0.27‌)

Total

from

investment

activities

(0.43‌)

(0.89‌)

0.27‌

0.43‌

0.54‌

(0.05‌)

Distributions

Net

investment

income

(0.10‌)

(0.06‌)

(0.17‌)

(0.24‌)

(0.25‌)

(0.24‌)

Net

realized

gain

—‌

(0.10‌)

(0.09‌)

—‌

—‌

—‌

Total

distributions

(0.10‌)

(0.16‌)

(0.26‌)

(0.24‌)

(0.25‌)

(0.24‌)

NET

ASSET

VALUE

End

of

period

$

8.11‌

$

8.64‌

$

9.69‌

$

9.68‌

$

9.49‌

$

9.20‌

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Financial

Highlights

18

For

a

share

outstanding

throughout

each

period

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Advisor

Class

6

Months

.

Ended

11/30/22

..

Year

..

..

Ended

.

5/31/22

5/31/21

5/31/20

5/31/19

5/31/18

Ratios/Supplemental

Data

Total

return

(2)(3)

(4.98‌)%

(9.31‌)%

2.75‌%

4.52‌%

6.04‌%

(0.59‌)%

Ratios

to

average

net

assets:

(2)

Gross

expenses

before

waivers/

payments

by

Price

Associates

(4)

0.72‌%

(5)

1.31‌%

0.80‌%

0.83‌%

0.84‌%

0.79‌%

Net

expenses

after

waivers/payments

by

Price

Associates

0.72‌%

(5)

1.31‌%

0.80‌%

0.82‌%

0.82‌%

0.77‌%

Net

investment

income

2.41‌%

(5)

0.65‌%

1.62‌%

2.32‌%

2.65‌%

2.29‌%

Portfolio

turnover

rate

(6)

84.9‌%

229.1‌%

126.4‌%

153.7‌%

139.4‌%

96.1‌%

Portfolio

turnover

rate,

excluding

mortgage

dollar

roll

transactions

59.5‌%

93.1‌%

74.6‌%

69.5‌%

86.4‌%

75.5‌%

Net

assets,

end

of

period

(in

thousands)

$10,002

$14,228

$20,183

$45,409

$51,936

$58,584

0‌%

0‌%

0‌%

0‌%

0‌%

0‌%

(1)

Per

share

amounts

calculated

using

average

shares

outstanding

method.

(2)

See

Note

6

for

details

of

expense-related

arrangements

with

Price

Associates.

(3)

Total

return

reflects

the

rate

that

an

investor

would

have

earned

on

an

investment

in

the

fund

during

each

period,

assuming

reinvestment

of

all

distributions,

and

payment

of

no

redemption

or

account

fees,

if

applicable.

Total

return

is

not

annualized

for

periods

less

than

one

year.

(4)

See

Note

6

.

Prior

to

5/31/20,

the

gross

expense

ratios

presented

are

net

of

a

management

fee

waiver

in

effect

during

the

period,

as

applicable.

(5)

Annualized

(6)

See

Note

4

.

The

portfolio

turnover

rate

calculation

includes

purchases

and

sales

from

the

mortgage

dollar

roll

transactions.

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Financial

Highlights

19

For

a

share

outstanding

throughout

each

period

R

Class

6

Months

.

Ended

11/30/22

..

Year

..

..

Ended

.

5/31/22

5/31/21

5/31/20

5/31/19

5/31/18

NET

ASSET

VALUE

Beginning

of

period

$

8.65‌

$

9.70‌

$

9.69‌

$

9.50‌

$

9.21‌

$

9.50‌

Investment

activities

Net

investment

income

(1)(2)

0.09‌

0.08‌

0.12‌

0.20‌

0.21‌

0.18‌

Net

realized

and

unrealized

gain/loss

(0.53‌)

(0.95‌)

0.11‌

0.20‌

0.31‌

(0.27‌)

Total

from

investment

activities

(0.44‌)

(0.87‌)

0.23‌

0.40‌

0.52‌

(0.09‌)

Distributions

Net

investment

income

(0.09‌)

(0.08‌)

(0.13‌)

(0.21‌)

(0.23‌)

(0.20‌)

Net

realized

gain

—‌

(0.10‌)

(0.09‌)

—‌

—‌

—‌

Total

distributions

(0.09‌)

(0.18‌)

(0.22‌)

(0.21‌)

(0.23‌)

(0.20‌)

NET

ASSET

VALUE

End

of

period

$

8.12‌

$

8.65‌

$

9.70‌

$

9.69‌

$

9.50‌

$

9.21‌

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Financial

Highlights

20

For

a

share

outstanding

throughout

each

period

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

R

Class

6

Months

.

Ended

11/30/22

..

Year

..

..

Ended

.

5/31/22

5/31/21

5/31/20

5/31/19

5/31/18

Ratios/Supplemental

Data

Total

return

(2)(3)

(5.14‌)%

(9.10‌)%

2.38‌%

4.19‌%

5.71‌%

(0.94‌)%

Ratios

to

average

net

assets:

(2)

Gross

expenses

before

waivers/

payments

by

Price

Associates

(4)

1.14‌%

(5)

1.16‌%

1.30‌%

1.31‌%

1.25‌%

1.15‌%

Net

expenses

after

waivers/payments

by

Price

Associates

1.08‌%

(5)

1.11‌%

1.15‌%

1.14‌%

1.14‌%

1.13‌%

Net

investment

income

2.08‌%

(5)

0.84‌%

1.26‌%

2.03‌%

2.34‌%

1.92‌%

Portfolio

turnover

rate

(6)

84.9‌%

229.1‌%

126.4‌%

153.7‌%

139.4‌%

96.1‌%

Portfolio

turnover

rate,

excluding

mortgage

dollar

roll

transactions

59.5‌%

93.1‌%

74.6‌%

69.5‌%

86.4‌%

75.5‌%

Net

assets,

end

of

period

(in

thousands)

$1,241

$1,407

$2,024

$2,927

$3,808

$4,322

0‌%

0‌%

0‌%

0‌%

0‌%

0‌%

(1)

Per

share

amounts

calculated

using

average

shares

outstanding

method.

(2)

See

Note

6

for

details

of

expense-related

arrangements

with

Price

Associates.

(3)

Total

return

reflects

the

rate

that

an

investor

would

have

earned

on

an

investment

in

the

fund

during

each

period,

assuming

reinvestment

of

all

distributions,

and

payment

of

no

redemption

or

account

fees,

if

applicable.

Total

return

is

not

annualized

for

periods

less

than

one

year.

(4)

See

Note

6

.

Prior

to

5/31/20,

the

gross

expense

ratios

presented

are

net

of

a

management

fee

waiver

in

effect

during

the

period,

as

applicable.

(5)

Annualized

(6)

See

Note

4

.

The

portfolio

turnover

rate

calculation

includes

purchases

and

sales

from

the

mortgage

dollar

roll

transactions.

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Financial

Highlights

21

For

a

share

outstanding

throughout

each

period

I

Class

6

Months

.

Ended

11/30/22

..

Year

..

..

Ended

.

5/31/22

5/31/21

5/31/20

5/31/19

5/31/18

NET

ASSET

VALUE

Beginning

of

period

$

8.65‌

$

9.70‌

$

9.69‌

$

9.50‌

$

9.21‌

$

9.50‌

Investment

activities

Net

investment

income

(1)(2)

0.12‌

0.16‌

0.20‌

0.27‌

0.28‌

0.26‌

Net

realized

and

unrealized

gain/loss

(0.53‌)

(0.96‌)

0.11‌

0.20‌

0.31‌

(0.28‌)

Total

from

investment

activities

(0.41‌)

(0.80‌)

0.31‌

0.47‌

0.59‌

(0.02‌)

Distributions

Net

investment

income

(0.12‌)

(0.15‌)

(0.21‌)

(0.28‌)

(0.30‌)

(0.27‌)

Net

realized

gain

—‌

(0.10‌)

(0.09‌)

—‌

—‌

—‌

Total

distributions

(0.12‌)

(0.25‌)

(0.30‌)

(0.28‌)

(0.30‌)

(0.27‌)

NET

ASSET

VALUE

End

of

period

$

8.12‌

$

8.65‌

$

9.70‌

$

9.69‌

$

9.50‌

$

9.21‌

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Financial

Highlights

22

For

a

share

outstanding

throughout

each

period

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

I

Class

6

Months

.

Ended

11/30/22

..

Year

..

..

Ended

.

5/31/22

5/31/21

5/31/20

5/31/19

5/31/18

Ratios/Supplemental

Data

Total

return

(2)(3)

(4.80‌)%

(8.42‌)%

3.16‌%

4.98‌%

6.52‌%

(0.18‌)%

Ratios

to

average

net

assets:

(2)

Gross

expenses

before

waivers/

payments

by

Price

Associates

(4)

0.36‌%

(5)

0.36‌%

0.39‌%

0.39‌%

0.39‌%

0.39‌%

Net

expenses

after

waivers/payments

by

Price

Associates

0.36‌%

(5)

0.36‌%

0.39‌%

0.37‌%

0.37‌%

0.37‌%

Net

investment

income

2.81‌%

(5)

1.67‌%

2.04‌%

2.79‌%

3.10‌%

2.72‌%

Portfolio

turnover

rate

(6)

84.9‌%

229.1‌%

126.4‌%

153.7‌%

139.4‌%

96.1‌%

Portfolio

turnover

rate,

excluding

mortgage

dollar

roll

transactions

59.5‌%

93.1‌%

74.6‌%

69.5‌%

86.4‌%

75.5‌%

Net

assets,

end

of

period

(in

millions)

$2,687

$3,015

$2,543

$3,695

$8,136

$7,412

0‌%

0‌%

0‌%

0‌%

0‌%

0‌%

(1)

Per

share

amounts

calculated

using

average

shares

outstanding

method.

(2)

See

Note

6

for

details

of

expense-related

arrangements

with

Price

Associates.

(3)

Total

return

reflects

the

rate

that

an

investor

would

have

earned

on

an

investment

in

the

fund

during

each

period,

assuming

reinvestment

of

all

distributions,

and

payment

of

no

redemption

or

account

fees,

if

applicable.

Total

return

is

not

annualized

for

periods

less

than

one

year.

(4)

See

Note

6

.

Prior

to

5/31/20,

the

gross

expense

ratios

presented

are

net

of

a

management

fee

waiver

in

effect

during

the

period,

as

applicable.

(5)

Annualized

(6)

See

Note

4

.

The

portfolio

turnover

rate

calculation

includes

purchases

and

sales

from

the

mortgage

dollar

roll

transactions.

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Financial

Highlights

23

For

a

share

outstanding

throughout

each

period

Z

Class

(1)

6

Months

.

Ended

11/30/22

..

Year

..

..

Ended

.

3/16/20

(1)

Through

5/31/20

5/31/22

5/31/21

NET

ASSET

VALUE

Beginning

of

period

$

8.65‌

$

9.70‌

$

9.69‌

$

9.60‌

Investment

activities

Net

investment

income

(2)(3)

0.13‌

0.18‌

0.23‌

0.06‌

Net

realized

and

unrealized

gain/loss

(0.53‌)

(0.94‌)

0.12‌

0.09‌

Total

from

investment

activities

(0.40‌)

(0.76‌)

0.35‌

0.15‌

Distributions

Net

investment

income

(0.13‌)

(0.19‌)

(0.25‌)

(0.06‌)

Net

realized

gain

—‌

(0.10‌)

(0.09‌)

—‌

Total

distributions

(0.13‌)

(0.29‌)

(0.34‌)

(0.06‌)

NET

ASSET

VALUE

End

of

period

$

8.12‌

$

8.65‌

$

9.70‌

$

9.69‌

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Financial

Highlights

24

For

a

share

outstanding

throughout

each

period

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Z

Class

(1)

6

Months

.

Ended

11/30/22

..

Year

..

..

Ended

.

3/16/20

(1)

Through

5/31/20

5/31/22

5/31/21

Ratios/Supplemental

Data

Total

return

(3)(4)

(4.62‌)%

(8.09‌)%

3.56‌%

1.60‌%

Ratios

to

average

net

assets:

(3)

Gross

expenses

before

waivers/payments

by

Price

Associates

0.32‌%

(5)

0.34‌%

0.38‌%

0.38‌%

(5)

Net

expenses

after

waivers/payments

by

Price

Associates

0.00‌%

(5)

0.00‌%

0.00‌%

0.00‌%

(5)

Net

investment

income

3.17‌%

(5)

1.93‌%

2.37‌%

3.01‌%

(5)

Portfolio

turnover

rate

(6)

84.9‌%

229.1‌%

126.4‌%

153.7‌%

Portfolio

turnover

rate,

excluding

mortgage

dollar

roll

transactions

59.5‌%

93.1‌%

74.6‌%

69.5‌%

Net

assets,

end

of

period

(in

millions)

$12,023

$13,847

$15,804

$13,684

0‌%

0‌%

0‌%

0‌%

(1)

Inception

date

(2)

Per

share

amounts

calculated

using

average

shares

outstanding

method.

(3)

See

Note

6

for

details

of

expense-related

arrangements

with

Price

Associates.

(4)

Total

return

reflects

the

rate

that

an

investor

would

have

earned

on

an

investment

in

the

fund

during

each

period,

assuming

reinvestment

of

all

distributions,

and

payment

of

no

redemption

or

account

fees,

if

applicable.

Total

return

is

not

annualized

for

periods

less

than

one

year.

(5)

Annualized

(6)

See

Note

4

.

The

portfolio

turnover

rate

calculation

includes

purchases

and

sales

from

the

mortgage

dollar

roll

transactions.

T.

ROWE

PRICE

New

Income

Fund

November

30,

2022

(Unaudited)

25

Portfolio

of

Investments

‡

Par/Shares

$

Value

(Amounts

in

000s)

‡

ASSET-BACKED

SECURITIES

6.5%

Car

Loan

1.5%

AmeriCredit

Automobile

Receivables

Trust

Series

2021-1,

Class

C

0.89%,

10/19/26 

10,299‌

9,448‌

AmeriCredit

Automobile

Receivables

Trust

Series

2021-1,

Class

D

1.21%,

12/18/26 

10,301‌

9,165‌

AmeriCredit

Automobile

Receivables

Trust

Series

2022-1,

Class

D

3.23%,

2/18/28 

36,840‌

33,611‌

CarMax

Auto

Owner

Trust

Series

2022-1,

Class

C

2.20%,

11/15/27 

11,750‌

10,663‌

Carvana

Auto

Receivables

Trust

Series

2022-N1,

Class

C

3.32%,

12/11/28  (1)

5,665‌

5,443‌

Carvana

Auto

Receivables

Trust

Series

2022-P1,

Class

C

3.30%,

4/10/28 

13,955‌

12,540‌

Exeter

Automobile

Receivables

Trust

Series

2021-2A,

Class

D

1.40%,

4/15/27 

8,374‌

7,533‌

Exeter

Automobile

Receivables

Trust

Series

2022-1A,

Class

D

3.02%,

6/15/28 

35,405‌

31,914‌

Exeter

Automobile

Receivables

Trust

Series

2022-2A,

Class

C

3.85%,

7/17/28 

17,900‌

16,972‌

Exeter

Automobile

Receivables

Trust

Series

2022-3A,

Class

C

5.30%,

9/15/27 

19,445‌

19,047‌

GM

Financial

Automobile

Leasing

Trust

Series

2021-1,

Class

D

1.01%,

7/21/25 

6,650‌

6,371‌

Santander

Bank

Series

2021-1A,

Class

B

1.833%,

12/15/31  (1)

4,530‌

4,347‌

Santander

Drive

Auto

Receivables

Trust

Series

2021-3,

Class

D

1.33%,

9/15/27 

29,300‌

27,133‌

Santander

Drive

Auto

Receivables

Trust

Series

2022-2,

Class

C

3.76%,

7/16/29 

17,240‌

16,227‌

T.

ROWE

PRICE

New

Income

Fund

26

Par/Shares

$

Value

(Amounts

in

000s)

Santander

Retail

Auto

Lease

Trust

Series

2021-A,

Class

D

1.38%,

3/22/27  (1)

23,480‌

21,796‌

232,210‌

Other

Asset-Backed

Securities

4.2%

522

Funding

Series

2019-5A,

Class

AR,

CLO,

FRN

3M

TSFR

+

1.33%,

5.194%,

4/15/35  (1)

28,800‌

27,716‌

522

Funding

Series

2019-5A,

Class

BR,

CLO,

FRN

3M

TSFR

+

1.85%,

5.714%,

4/15/35  (1)

16,085‌

15,198‌

AGL

Series

2021-14A,

Class

A,

CLO,

FRN

3M

USD

LIBOR

+

1.15%,

5.428%,

12/2/34  (1)

35,905‌

34,657‌

AGL

Series

2022-17A,

Class

A,

CLO,

FRN

3M

TSFR

+

1.33%,

5.318%,

1/21/35  (1)

22,400‌

21,575‌

Applebee's

Funding

Series

2019-1A,

Class

A2I

4.194%,

6/5/49  (1)

37,863‌

35,834‌

Benefit

Street

Partners

XI

Series

2017-11A,

Class

A2R,

CLO,

FRN

3M

USD

LIBOR

+

1.50%,

5.579%,

4/15/29  (1)

16,090‌

15,535‌

Benefit

Street

Partners

XX

Series

2020-20A,

Class

AR,

CLO,

FRN

3M

USD

LIBOR

+

1.17%,

5.249%,

7/15/34  (1)

15,245‌

14,748‌

Carlyle

U.S.

Series

2019-4A,

Class

A11R,

CLO,

FRN

3M

TSFR

+

1.32%,

5.184%,

4/15/35  (1)

29,195‌

28,105‌

CBAM

Series

2019-9A,

Class

A,

CLO,

FRN

3M

USD

LIBOR

+

1.28%,

5.359%,

2/12/30  (1)

4,456‌

4,391‌

Cedar

Funding

XIV

Series

2021-14A,

Class

A,

CLO,

FRN

3M

USD

LIBOR

+

1.10%,

5.179%,

7/15/33  (1)

9,385‌

9,174‌

CIFC

Funding

Series

2019-5A,

Class

A2RS,

CLO,

FRN

3M

USD

LIBOR

+

1.75%,

5.829%,

1/15/35  (1)

11,000‌

10,462‌

CIFC

Funding

Series

2020-3A,

Class

A1R,

CLO,

FRN

3M

USD

LIBOR

+

1.13%,

5.373%,

10/20/34  (1)

20,305‌

19,617‌

CIFC

Funding

Series

2021-3A,

Class

A,

CLO,

FRN

3M

USD

LIBOR

+

1.14%,

5.219%,

7/15/36  (1)

30,055‌

29,088‌

Driven

Brands

Funding

Series

2019-1A,

Class

A2

4.641%,

4/20/49  (1)

15,453‌

13,907‌

T.

ROWE

PRICE

New

Income

Fund

27

Par/Shares

$

Value

(Amounts

in

000s)

Driven

Brands

Funding

Series

2021-1A,

Class

A2

2.791%,

10/20/51  (1)

14,236‌

11,282‌

Dryden

Series

2020-86A,

Class

A1R,

CLO,

FRN

3M

USD

LIBOR

+

1.10%,

5.179%,

7/17/34  (1)

21,235‌

20,515‌

Hardee's

Funding

Series

2018-1A,

Class

A2II

4.959%,

6/20/48  (1)

27,730‌

26,032‌

Hpefs

Equipment

Trust

Series

2022-2A,

Class

C

4.43%,

9/20/29  (1)

4,445‌

4,291‌

HPEFS

Equipment

Trust

Series

2022-1A,

Class

C

1.96%,

5/21/29  (1)

5,736‌

5,280‌

HPEFS

Equipment

Trust

Series

2022-1A,

Class

D

2.40%,

11/20/29  (1)

12,510‌

11,301‌

HPS

Loan

Management

Series

11A-17,

Class

BR,

CLO,

FRN

3M

USD

LIBOR

+

1.55%,

6.082%,

5/6/30  (1)

12,070‌

11,607‌

HPS

Loan

Management

Series

2021-16A,

Class

A1,

CLO,

FRN

3M

USD

LIBOR

+

1.14%,

5.465%,

1/23/35  (1)

11,822‌

11,423‌

Invesco

Series

2021-2A,

Class

A,

CLO,

FRN

3M

USD

LIBOR

+

1.12%,

5.199%,

7/15/34 

33,910‌

32,811‌

Jack

in

the

Box

Funding

Series

2022-1A,

Class

A2I

3.445%,

2/26/52  (1)

35,009‌

30,461‌

KKR

Series

36A,

Class

A,

CLO,

FRN

3M

USD

LIBOR

+

1.18%,

5.259%,

10/15/34  (1)

3,315‌

3,195‌

Neuberger

Berman

Loan

Advisers

Series

2019-32A,

Class

AR,

CLO,

FRN

3M

USD

LIBOR

+

0.99%,

5.217%,

1/20/32  (1)

49,995‌

48,796‌

Neuberger

Berman

Loan

Advisers

Series

2021-43A,

Class

A,

CLO,

FRN

3M

USD

LIBOR

+

1.13%,

5.209%,

7/17/35  (1)

15,105‌

14,662‌

New

Economy

Assets

Phase

1

Sponsor

Series

2021-1,

Class

A1

1.91%,

10/20/61  (1)

6,040‌

5,107‌

OZLM

VII

Series

2014-7RA,

Class

A1R,

CLO,

FRN

3M

USD

LIBOR

+

1.01%,

5.089%,

7/17/29  (1)

30,265‌

29,787‌

Palmer

Square

Series

2022-1A,

Class

A,

CLO,

FRN

3M

TSFR

+

1.32%,

5.283%,

4/20/35  (1)

40,630‌

39,199‌

T.

ROWE

PRICE

New

Income

Fund

28

Par/Shares

$

Value

(Amounts

in

000s)

Planet

Fitness

Master

Issuer

Series

2018-1A,

Class

A2II

4.666%,

9/5/48  (1)

24,763‌

23,134‌

Planet

Fitness

Master

Issuer

Series

2022-1A,

Class

A2I

3.251%,

12/5/51  (1)

21,865‌

18,978‌

Symphony

XXVI

Series

2021-26A,

Class

AR,

CLO,

FRN

3M

USD

LIBOR

+

1.08%,

5.323%,

4/20/33  (1)

14,640‌

14,261‌

Symphony

XXXI

Series

2022-31A,

Class

B,

CLO,

FRN

3M

TSFR

+

1.85%,

5.887%,

4/22/35  (1)

14,150‌

13,458‌

655,587‌

Student

Loan

0.8%

Navient

Private

Education

Loan

Trust

Series

2017-A,

Class

B

3.91%,

12/16/58  (1)

8,525‌

7,930‌

Navient

Private

Education

Refi

Loan

Trust

Series

2019-FA,

Class

A2

2.60%,

8/15/68  (1)

9,875‌

9,129‌

Navient

Private

Education

Refi

Loan

Trust

Series

2019-GA,

Class

A

2.40%,

10/15/68  (1)

9,156‌

8,370‌

Navient

Private

Education

Refi

Loan

Trust

Series

2020-BA,

Class

A2

2.12%,

1/15/69  (1)

13,003‌

11,788‌

Navient

Private

Education

Refi

Loan

Trust

Series

2020-CA,

Class

B

2.83%,

11/15/68  (1)

20,755‌

16,214‌

Navient

Private

Education

Refi

Loan

Trust

Series

2020-HA,

Class

A

1.31%,

1/15/69  (1)

6,482‌

5,815‌

Navient

Private

Education

Refi

Loan

Trust

Series

2022-A,

Class

A

2.23%,

7/15/70  (1)

33,902‌

29,488‌

SMB

Private

Education

Loan

Trust

Series

2016-A,

Class

A2A

2.70%,

5/15/31  (1)

2,318‌

2,216‌

SMB

Private

Education

Loan

Trust

Series

2016-B,

Class

A2A

2.43%,

2/17/32  (1)

2,120‌

2,002‌

SMB

Private

Education

Loan

Trust

Series

2018-B,

Class

A2A

3.60%,

1/15/37  (1)

6,956‌

6,655‌

SMB

Private

Education

Loan

Trust

Series

2018-C,

Class

A2A

3.63%,

11/15/35  (1)

7,808‌

7,327‌

T.

ROWE

PRICE

New

Income

Fund

29

Par/Shares

$

Value

(Amounts

in

000s)

SMB

Private

Education

Loan

Trust

Series

2021-A,

Class

APT1

1.07%,

1/15/53  (1)

18,419‌

15,464‌

122,398‌

Total

Asset-Backed

Securities

(Cost

$1,081,015)

1,010,195‌

BANK

LOANS

1.0%

(2)

FINANCIAL

INSTITUTIONS

0.2%

Insurance

0.2%

Asurion,

FRN

1M

USD

LIBOR

+

3.00%,

7.071%,

11/3/24 

8,544‌

8,179‌

Asurion,

FRN

1M

USD

LIBOR

+

3.25%,

7.321%,

12/23/26 

5,854‌

5,113‌

Asurion,

FRN

1M

USD

LIBOR

+

5.25%,

9.321%,

1/31/28 

5,985‌

4,602‌

HUB

International,

FRN

1M

TSFR

+

4.00%,

8.22%,

10/31/29 

705‌

694‌

HUB

International,

FRN

1M

USD

LIBOR

+

3.25%,

5.982%,

4/25/25 

17,843‌

17,536‌

Total

Financial

Institutions

36,124‌

INDUSTRIAL

0.8%

Airlines

0.0%

Mileage

Plus

Holdings,

FRN

1M

USD

LIBOR

+

5.25%,

8.777%,

6/21/27 

2,673‌

2,746‌

2,746‌

Capital

Goods

0.1%

Charter

Next

Generation,

FRN

1M

USD

LIBOR

+

3.75%,

7.821%,

12/1/27 

6,975‌

6,787‌

6,787‌

Communications

0.1%

Clear

Channel

Outdoor

Holdings,

FRN

1M

USD

LIBOR

+

3.500%,

7.915%,

8/21/26 

2,590‌

2,365‌

Lamar

Media,

FRN

1M

USD

LIBOR

+

1.50%,

5.102%,

2/5/27 

14,435‌

13,907‌

16,272‌

Consumer

Cyclical

0.1%

Delta

2,

FRN

1M

TSFR

+

0.00%,

1/15/30  (3)

8,755‌

8,709‌

UFC

Holdings,

FRN

1M

USD

LIBOR

+

2.75%,

7.11%,

4/29/26  (3)

12,242‌

12,019‌

20,728‌

T.

ROWE

PRICE

New

Income

Fund

30

Par/Shares

$

Value

(Amounts

in

000s)

Diversified

Manufacturing

0.0%

TK

Elevator

U.S.

Newco,

FRN

6M

USD

LIBOR

+

3.50%,

6.871%,

7/30/27 

1,226‌

1,173‌

1,173‌

Health

Care

0.1%

Medline

Borrower,

FRN

1M

USD

LIBOR

+

3.25%,

7.321%,

10/23/28 

6,443‌

6,112‌

6,112‌

Healthcare

0.0%

PetVet

Care

Centers,

FRN

1M

TSFR

+

5.00%,

9.00%,

2/14/25 

4,988‌

4,730‌

4,730‌

Technology

0.4%

Applied

Systems,

FRN

1M

TSFR

+

0.00%,

9/19/26  (3)

1,525‌

1,515‌

Applied

Systems,

FRN

1M

USD

LIBOR

+

3.00%,

6.674%,

9/19/24  (3)

18,175‌

18,103‌

Ascend

Learning,

FRN

1M

USD

LIBOR

+

3.50%,

7.571%,

12/11/28 

7,791‌

7,360‌

AthenaHealth

Group,

FRN

1M

TSFR

+

3.911%,

7.821%,

2/15/29  (4)

5,686‌

5,180‌

Central

Parent,

FRN

1M

TSFR

+

4.500%,

8.112%,

6/9/29 

5,570‌

5,499‌

UKG,

FRN

1M

USD

LIBOR

+

3.25%,

6.998%,

5/4/26 

15,987‌

15,420‌

UKG,

FRN

1M

USD

LIBOR

+

5.25%,

8.998%,

5/3/27 

3,930‌

3,596‌

56,673‌

Total

Industrial

115,221‌

Total

Bank

Loans

(Cost

$156,248)

151,345‌

BOND

MUTUAL

FUNDS

0.3%

Trusts

&

Mutual

Funds

0.3%

T.

Rowe

Price

Institutional

Floating

Rate

Fund

-

Z

Class,

7.99%  (5)

5,248‌

48,279‌

Total

Bond

Mutual

Funds

(Cost

$44,301)

48,279‌

CORPORATE

BONDS

28.5%

FINANCIAL

INSTITUTIONS

13.5%

Banking

10.2%

AIB

Group,

VR,

4.263%,

4/10/25  (1)(6)

11,685‌

11,267‌

Ally

Financial,

4.75%,

6/9/27 

23,765‌

22,521‌

Banco

Bilbao

Vizcaya

Argentaria,

VR,

5.862%,

9/14/26  (6)

16,200‌

16,117‌

T.

ROWE

PRICE

New

Income

Fund

31

Par/Shares

$

Value

(Amounts

in

000s)

Banco

Santander,

3.49%,

5/28/30 

11,400‌

9,545‌

Banco

Santander,

VR,

1.722%,

9/14/27  (6)

21,200‌

18,111‌

Banco

Santander,

VR,

4.175%,

3/24/28  (6)

5,200‌

4,810‌

Bank

Leumi

Le-Israel,

VR,

3.275%,

1/29/31  (1)(6)

23,000‌

20,505‌

Bank

of

America,

4.45%,

3/3/26 

11,908‌

11,706‌

Bank

of

America,

VR,

1.734%,

7/22/27  (6)

20,116‌

17,635‌

Bank

of

America,

VR,

1.898%,

7/23/31  (6)

73,896‌

57,747‌

Bank

of

America,

VR,

2.299%,

7/21/32  (6)

32,003‌

25,013‌

Bank

of

America,

VR,

2.496%,

2/13/31  (6)

22,900‌

18,818‌

Bank

of

America,

VR,

2.592%,

4/29/31  (6)

38,880‌

31,960‌

Bank

of

America,

VR,

3.419%,

12/20/28  (6)

22,458‌

20,261‌

Bank

of

America,

VR,

3.559%,

4/23/27  (6)

11,450‌

10,792‌

Bank

of

America,

VR,

4.271%,

7/23/29  (6)

42,340‌

39,459‌

Bank

of

Ireland

Group,

VR,

6.253%,

9/16/26  (1)(6)

13,825‌

13,682‌

Barclays,

VR,

2.279%,

11/24/27  (6)

30,800‌

26,441‌

Barclays,

VR,

2.852%,

5/7/26  (6)

24,674‌

22,710‌

Barclays,

VR,

3.932%,

5/7/25  (6)

19,911‌

19,180‌

BNP

Paribas,

VR,

1.323%,

1/13/27  (1)(6)

10,950‌

9,509‌

BNP

Paribas,

VR,

2.591%,

1/20/28  (1)(6)

37,030‌

32,440‌

Capital

One

Financial,

3.65%,

5/11/27 

11,559‌

10,798‌

Capital

One

Financial,

3.75%,

3/9/27 

19,858‌

18,797‌

Capital

One

Financial,

VR,

3.273%,

3/1/30  (6)

9,245‌

7,945‌

Capital

One

Financial,

VR,

5.247%,

7/26/30  (6)

3,235‌

3,090‌

Citigroup,

VR,

2.561%,

5/1/32  (6)

10,298‌

8,206‌

Citigroup,

VR,

3.106%,

4/8/26  (6)

23,226‌

21,999‌

Citigroup,

VR,

5.61%,

9/29/26  (6)

24,250‌

24,326‌

Citigroup,

Series

VAR,

VR,

3.07%,

2/24/28  (6)

20,140‌

18,262‌

Danske

Bank,

5.375%,

1/12/24  (1)

20,461‌

20,280‌

Danske

Bank,

VR,

3.244%,

12/20/25  (1)(6)

21,957‌

20,461‌

Danske

Bank,

VR,

3.773%,

3/28/25  (1)(6)

12,760‌

12,252‌

Discover

Financial

Services,

4.10%,

2/9/27 

58,694‌

54,922‌

Fifth

Third

Bancorp,

VR,

4.772%,

7/28/30  (6)

3,235‌

3,037‌

Goldman

Sachs

Group,

3.50%,

11/16/26 

6,050‌

5,758‌

Goldman

Sachs

Group,

VR,

1.542%,

9/10/27  (6)

31,264‌

27,037‌

Goldman

Sachs

Group,

VR,

2.383%,

7/21/32  (6)

17,287‌

13,658‌

Goldman

Sachs

Group,

VR,

2.615%,

4/22/32  (6)

45,548‌

36,598‌

Goldman

Sachs

Group,

VR,

2.65%,

10/21/32  (6)

17,735‌

14,209‌

Goldman

Sachs

Group,

VR,

3.615%,

3/15/28  (6)

19,610‌

18,236‌

Goldman

Sachs

Group,

VR,

4.482%,

8/23/28  (6)

12,805‌

12,266‌

HSBC

Holdings,

VR,

1.645%,

4/18/26  (6)

10,575‌

9,486‌

HSBC

Holdings,

VR,

2.099%,

6/4/26  (6)

20,767‌

18,764‌

HSBC

Holdings,

VR,

2.999%,

3/10/26  (6)

20,080‌

18,695‌

HSBC

Holdings,

VR,

4.292%,

9/12/26  (6)

2,175‌

2,064‌

HSBC

Holdings,

VR,

4.755%,

6/9/28  (6)

36,120‌

34,046‌

HSBC

Holdings,

VR,

5.21%,

8/11/28  (6)

16,945‌

16,268‌

ING

Groep,

VR,

1.726%,

4/1/27  (6)

9,137‌

8,013‌

T.

ROWE

PRICE

New

Income

Fund

32

Par/Shares

$

Value

(Amounts

in

000s)

JPMorgan

Chase,

VR,

1.578%,

4/22/27  (6)

35,303‌

30,962‌

JPMorgan

Chase,

VR,

1.764%,

11/19/31  (6)

41,300‌

31,672‌

JPMorgan

Chase,

VR,

2.182%,

6/1/28  (6)

32,197‌

28,214‌

JPMorgan

Chase,

VR,

2.545%,

11/8/32  (6)

31,065‌

24,883‌

JPMorgan

Chase,

VR,

2.739%,

10/15/30  (6)

19,897‌

16,897‌

JPMorgan

Chase,

VR,

2.947%,

2/24/28  (6)

20,020‌

18,259‌

JPMorgan

Chase,

VR,

2.956%,

5/13/31  (6)

49,658‌

41,178‌

JPMorgan

Chase,

VR,

4.586%,

4/26/33  (6)

5,250‌

4,880‌

JPMorgan

Chase,

VR,

4.912%,

7/25/33  (6)

19,550‌

18,638‌

JPMorgan

Chase,

VR,

5.717%,

9/14/33  (6)

12,970‌

12,775‌

Kookmin

Bank,

2.50%,

11/4/30  (1)

2,465‌

1,960‌

Kookmin

Bank,

2.50%,

11/4/30 

1,410‌

1,121‌

Mitsubishi

UFJ

Financial

Group,

VR,

5.354%,

9/13/28  (6)(7)

16,495‌

16,433‌

Morgan

Stanley,

VR,

1.512%,

7/20/27  (6)

25,000‌

21,799‌

Morgan

Stanley,

VR,

1.593%,

5/4/27  (6)

13,695‌

12,052‌

Morgan

Stanley,

VR,

2.239%,

7/21/32  (6)

15,751‌

12,131‌

Morgan

Stanley,

VR,

3.217%,

4/22/42  (6)

5,725‌

4,302‌

Morgan

Stanley,

VR,

4.679%,

7/17/26  (6)(7)

8,415‌

8,318‌

Morgan

Stanley,

VR,

4.889%,

7/20/33  (6)

5,100‌

4,845‌

Nationwide

Building

Society,

VR,

2.972%,

2/16/28  (1)(6)

8,705‌

7,619‌

NatWest

Group,

VR,

7.472%,

11/10/26  (6)

8,785‌

9,137‌

Nordea

Bank,

5.375%,

9/22/27  (1)

12,665‌

12,687‌

PNC

Financial

Services

Group,

2.55%,

1/22/30  (7)

3,650‌

3,103‌

Santander

Holdings

USA,

VR,

2.49%,

1/6/28  (6)

12,500‌

10,868‌

Santander

UK

Group

Holdings,

VR,

1.532%,

8/21/26  (6)

48,133‌

42,234‌

Shinhan

Bank,

3.875%,

3/24/26 

5,830‌

5,468‌

Standard

Chartered,

VR,

1.456%,

1/14/27  (1)(6)

10,354‌

8,893‌

Standard

Chartered,

VR,

2.608%,

1/12/28  (1)(6)

17,245‌

14,788‌

Standard

Chartered,

VR,

2.819%,

1/30/26  (1)(6)

16,707‌

15,440‌

Standard

Chartered,

VR,

3.971%,

3/30/26  (1)(6)

10,485‌

9,925‌

Standard

Chartered,

VR,

4.644%,

4/1/31  (1)(6)

36,236‌

32,451‌

Toronto-Dominion

Bank,

4.456%,

6/8/32 

3,105‌

2,962‌

Truist

Financial,

VR,

4.123%,

6/6/28  (6)

19,620‌

18,713‌

UBS

Group,

VR,

1.364%,

1/30/27  (1)(6)

14,633‌

12,736‌

UBS

Group,

VR,

2.746%,

2/11/33  (1)(6)

7,079‌

5,549‌

UBS

Group,

VR,

4.751%,

5/12/28  (1)(6)

4,085‌

3,928‌

Wells

Fargo,

4.30%,

7/22/27 

11,645‌

11,220‌

Wells

Fargo,

VR,

2.393%,

6/2/28  (6)

31,245‌

27,504‌

Wells

Fargo,

VR,

2.572%,

2/11/31  (6)

52,585‌

43,830‌

Wells

Fargo,

VR,

2.879%,

10/30/30  (6)

53,562‌

46,228‌

Wells

Fargo,

VR,

4.478%,

4/4/31  (6)

15,936‌

15,128‌

1,591,432‌

Brokerage

Asset

Managers

Exchanges

0.5%

Intercontinental

Exchange,

4.35%,

6/15/29 

17,650‌

17,337‌

LSEGA

Financing,

2.00%,

4/6/28  (1)

41,724‌

35,700‌

LSEGA

Financing,

2.50%,

4/6/31  (1)(7)

14,998‌

12,623‌

T.

ROWE

PRICE

New

Income

Fund

33

Par/Shares

$

Value

(Amounts

in

000s)

LSEGA

Financing,

3.20%,

4/6/41  (1)(7)

6,705‌

5,029‌

70,689‌

Finance

Companies

0.5%

AerCap

Ireland

Capital,

2.45%,

10/29/26 

18,080‌

15,840‌

AerCap

Ireland

Capital,

3.00%,

10/29/28 

9,075‌

7,632‌

AerCap

Ireland

Capital,

3.30%,

1/30/32 

4,390‌

3,488‌

AerCap

Ireland

Capital,

3.50%,

1/15/25 

3,935‌

3,754‌

AerCap

Ireland

Capital,

4.875%,

1/16/24 

29,186‌

28,736‌

AerCap

Ireland

Capital,

6.50%,

7/15/25 

4,365‌

4,413‌

OneMain

Finance,

7.125%,

3/15/26 

3,450‌

3,334‌

SMBC

Aviation

Capital

Finance,

3.55%,

4/15/24  (1)

14,765‌

14,235‌

81,432‌

Financial

Other

0.0%

Howard

Hughes,

5.375%,

8/1/28  (1)

8,295‌

7,403‌

7,403‌

Insurance

1.0%

AIA

Group,

3.90%,

4/6/28  (1)

40,868‌

38,466‌

Aon,

2.80%,

5/15/30  (7)

3,635‌

3,113‌

Berkshire

Hathaway

Finance,

2.50%,

1/15/51 

13,080‌

8,304‌

Centene,

2.50%,

3/1/31 

8,930‌

7,065‌

Centene,

3.00%,

10/15/30 

8,035‌

6,559‌

Centene,

3.375%,

2/15/30 

9,155‌

7,770‌

CNO

Financial

Group,

5.25%,

5/30/25 

9,438‌

9,332‌

Corebridge

Financial,

3.90%,

4/5/32  (1)

3,540‌

3,123‌

Equitable

Holdings,

4.35%,

4/20/28 

36,732‌

34,994‌

Humana,

3.70%,

3/23/29 

6,040‌

5,577‌

Humana,

3.95%,

3/15/27 

6,075‌

5,849‌

Humana,

4.875%,

4/1/30 

17,913‌

17,521‌

Marsh

&

McLennan,

2.25%,

11/15/30 

8,918‌

7,326‌

Molina

Healthcare,

4.375%,

6/15/28  (1)

2,820‌

2,559‌

157,558‌

Real

Estate

Investment

Trusts

1.3%

Alexandria

Real

Estate

Equities,

3.95%,

1/15/27 

25,607‌

24,432‌

Alexandria

Real

Estate

Equities,

3.95%,

1/15/28 

15,766‌

14,749‌

Brixmor

Operating

Partnership,

3.90%,

3/15/27 

30,217‌

27,696‌

Brixmor

Operating

Partnership,

4.05%,

7/1/30 

3,745‌

3,233‌

Brixmor

Operating

Partnership,

4.125%,

6/15/26 

55,609‌

51,999‌

Essex

Portfolio,

1.65%,

1/15/31 

10,099‌

7,556‌

Essex

Portfolio,

3.625%,

5/1/27 

5,006‌

4,703‌

Extra

Space

Storage,

2.35%,

3/15/32 

26,250‌

19,782‌

Highwoods

Realty,

4.125%,

3/15/28  (7)

17,404‌

15,786‌

Highwoods

Realty,

4.20%,

4/15/29 

11,839‌

10,339‌

Realty

Income,

3.95%,

8/15/27 

10,020‌

9,526‌

Regency

Centers,

4.125%,

3/15/28 

9,817‌

9,148‌

198,949‌

Total

Financial

Institutions

2,107,463‌

T.

ROWE

PRICE

New

Income

Fund

34

Par/Shares

$

Value

(Amounts

in

000s)

INDUSTRIAL

13.0%

Basic

Industry

0.4%

Avient,

7.125%,

8/1/30  (1)(7)

2,840‌

2,766‌

Celanese

U.S.

Holdings,

6.05%,

3/15/25 

10,305‌

10,238‌

Celanese

U.S.

Holdings,

6.165%,

7/15/27 

11,105‌

10,890‌

Celulosa

Arauco

y

Constitucion,

3.875%,

11/2/27 

20,227‌

18,366‌

Ecolab,

4.80%,

3/24/30  (7)

1,388‌

1,387‌

Methanex,

5.125%,

10/15/27  (7)

8,480‌

7,844‌

Nucor,

3.125%,

4/1/32 

3,535‌

3,020‌

Sherwin-Williams,

2.95%,

8/15/29 

3,540‌

3,125‌

Westlake,

1.625%,

7/17/29

(EUR) 

11,421‌

9,921‌

67,557‌

Capital

Goods

0.2%

Ardagh

Metal

Packaging

Finance

USA,

6.00%,

6/15/27  (1)

3,875‌

3,754‌

Ball,

6.875%,

3/15/28  (7)

5,835‌

5,908‌

Martin

Marietta

Materials,

2.40%,

7/15/31 

3,940‌

3,197‌

Parker-Hannifin,

4.25%,

9/15/27  (7)

6,060‌

5,884‌

Parker-Hannifin,

4.50%,

9/15/29 

6,555‌

6,347‌

Sealed

Air,

5.00%,

4/15/29  (1)(7)

3,050‌

2,836‌

TK

Elevator

U.S.

Newco,

5.25%,

7/15/27  (1)

9,040‌

8,204‌

36,130‌

Communications

2.9%

Altice

France,

5.50%,

1/15/28  (1)

6,485‌

5,383‌

CCO

Holdings,

6.375%,

9/1/29  (1)

8,250‌

7,837‌

Charter

Communications

Operating,

2.25%,

1/15/29  (7)

12,175‌

9,936‌

Charter

Communications

Operating,

2.80%,

4/1/31 

4,070‌

3,224‌

Charter

Communications

Operating,

5.125%,

7/1/49 

7,698‌

6,096‌

Charter

Communications

Operating,

6.484%,

10/23/45 

5,555‌

5,265‌

Comcast,

1.95%,

1/15/31 

6,345‌

5,147‌

Comcast,

3.25%,

11/1/39 

22,623‌

17,939‌

Crown

Castle,

2.10%,

4/1/31  (7)

3,955‌

3,137‌

Crown

Castle,

2.90%,

3/15/27 

4,860‌

4,444‌

Crown

Castle

Towers,

3.663%,

5/15/25  (1)

50,986‌

48,514‌

Lamar

Media,

4.875%,

1/15/29  (7)

3,080‌

2,834‌

Netflix,

4.625%,

5/15/29

(EUR) 

7,605‌

7,904‌

NTT

Finance,

1.591%,

4/3/28  (1)

26,137‌

22,120‌

NTT

Finance,

2.065%,

4/3/31  (1)

3,650‌

2,950‌

Rogers

Communications,

3.20%,

3/15/27  (1)

6,654‌

6,221‌

Rogers

Communications,

3.80%,

3/15/32  (1)

10,375‌

9,180‌

Rogers

Communications,

4.55%,

3/15/52  (1)

5,020‌

4,087‌

SBA

Tower

Trust,

1.84%,

4/15/27  (1)

21,685‌

18,171‌

SBA

Tower

Trust,

2.593%,

10/15/31  (1)

17,515‌

13,797‌

Sirius

XM

Radio,

4.00%,

7/15/28  (1)

4,295‌

3,758‌

Sprint

Capital,

6.875%,

11/15/28 

2,675‌

2,835‌

T-Mobile

USA,

2.05%,

2/15/28 

12,155‌

10,468‌

T.

ROWE

PRICE

New

Income

Fund

35

Par/Shares

$

Value

(Amounts

in

000s)

T-Mobile

USA,

3.75%,

4/15/27 

79,092‌

74,822‌

Verizon

Communications,

2.10%,

3/22/28 

12,383‌

10,810‌

Verizon

Communications,

2.355%,

3/15/32 

28,526‌

22,805‌

Verizon

Communications,

2.55%,

3/21/31 

10,940‌

9,088‌

Verizon

Communications,

2.65%,

11/20/40 

37,223‌

25,521‌

Vodafone

Group,

4.375%,

5/30/28 

27,950‌

27,664‌

Vodafone

Group,

4.875%,

6/19/49 

3,886‌

3,298‌

Vodafone

Group,

5.00%,

5/30/38 

17,214‌

15,873‌

Vodafone

Group,

5.25%,

5/30/48 

11,713‌

10,527‌

Warnermedia

Holdings,

3.755%,

3/15/27  (1)

20,840‌

18,967‌

Warnermedia

Holdings,

4.054%,

3/15/29  (1)

9,190‌

8,013‌

Warnermedia

Holdings,

4.279%,

3/15/32  (1)

3,555‌

3,003‌

451,638‌

Consumer

Cyclical

2.1%

Aptiv,

3.10%,

12/1/51 

396‌

246‌

AutoZone,

4.75%,

8/1/32 

3,360‌

3,287‌

Bath

&

Body

Works,

6.625%,

10/1/30  (1)

10,110‌

9,415‌

Cedar

Fair,

5.375%,

4/15/27  (7)

3,010‌

2,867‌

Clarios

Global,

6.25%,

5/15/26  (1)

2,905‌

2,869‌

Cushman

&

Wakefield

U.S.

Borrower,

6.75%,

5/15/28  (1)(7)

6,665‌

6,365‌

Ford

Motor,

6.10%,

8/19/32  (7)

9,230‌

8,883‌

Ford

Motor,

9.625%,

4/22/30 

5,500‌

6,320‌

Ford

Motor

Credit,

4.95%,

5/28/27 

5,185‌

4,917‌

Ford

Motor

Credit,

7.35%,

11/4/27 

1,255‌

1,305‌

General

Motors,

4.20%,

10/1/27  (7)

3,675‌

3,496‌

General

Motors,

5.60%,

10/15/32 

3,275‌

3,146‌

General

Motors

Financial,

4.00%,

10/6/26 

20,869‌

19,623‌

General

Motors

Financial,

4.30%,

7/13/25 

8,846‌

8,590‌

General

Motors

Financial,

4.30%,

4/6/29 

15,025‌

13,757‌

General

Motors

Financial,

4.35%,

4/9/25 

20,528‌

20,003‌

General

Motors

Financial,

5.10%,

1/17/24 

17,304‌

17,193‌

GLP

Capital,

3.35%,

9/1/24 

6,162‌

5,858‌

Goodyear

Tire

&

Rubber,

5.00%,

7/15/29  (7)

5,690‌

4,893‌

Hyundai

Capital

America,

1.80%,

10/15/25  (1)

11,183‌

10,080‌

Hyundai

Capital

America,

2.10%,

9/15/28  (1)

16,150‌

13,074‌

Las

Vegas

Sands,

3.50%,

8/18/26 

10,677‌

9,684‌

Lowe's,

3.75%,

4/1/32  (7)

10,490‌

9,536‌

Marriott

International,

3.75%,

3/15/25 

6,953‌

6,748‌

Marriott

International,

3.75%,

10/1/25 

3,043‌

2,940‌

Marriott

International,

5.00%,

10/15/27 

12,905‌

12,818‌

Marriott

International,

Series

HH,

2.85%,

4/15/31 

3,905‌

3,189‌

Match

Group

Holdings

II,

5.00%,

12/15/27  (1)(7)

4,992‌

4,643‌

O'Reilly

Automotive,

4.70%,

6/15/32 

3,345‌

3,265‌

Ross

Stores,

1.875%,

4/15/31  (7)

20,720‌

16,364‌

Royal

Caribbean

Cruises,

8.25%,

1/15/29  (1)

4,440‌

4,468‌

TJX,

1.60%,

5/15/31 

9,297‌

7,281‌

T.

ROWE

PRICE

New

Income

Fund

36

Par/Shares

$

Value

(Amounts

in

000s)

Volkswagen

Bank,

2.50%,

7/31/26

(EUR) 

20,000‌

19,768‌

Volkswagen

Group

of

America

Finance,

1.625%,

11/24/27  (1)(7)

6,720‌

5,648‌

Volkswagen

Group

of

America

Finance,

3.20%,

9/26/26  (1)

15,868‌

14,821‌

Volkswagen

Group

of

America

Finance,

4.60%,

6/8/29  (1)

8,145‌

7,732‌

Volkswagen

Group

of

America

Finance,

4.75%,

11/13/28  (1)

21,055‌

20,434‌

Yum!

Brands,

5.375%,

4/1/32 

4,970‌

4,597‌

320,123‌

Consumer

Non-Cyclical

3.3%

AbbVie,

2.95%,

11/21/26 

21,912‌

20,458‌

AbbVie,

3.20%,

11/21/29 

18,145‌

16,629‌

AbbVie,

4.05%,

11/21/39 

12,709‌

11,123‌

AbbVie,

4.25%,

11/21/49 

13,924‌

11,918‌

AbbVie,

4.70%,

5/14/45 

27,592‌

25,253‌

AbbVie,

4.875%,

11/14/48 

27,641‌

25,904‌

Anheuser-Busch

InBev

Worldwide,

4.50%,

6/1/50  (7)

18,140‌

16,432‌

Astrazeneca

Finance,

1.75%,

5/28/28 

15,129‌

13,159‌

Avantor

Funding,

4.625%,

7/15/28  (1)

3,120‌

2,870‌

BAT

Capital,

3.557%,

8/15/27 

39,483‌

35,934‌

BAT

Capital,

4.742%,

3/16/32 

3,295‌

2,959‌

BAT

International

Finance,

1.668%,

3/25/26 

21,719‌

19,208‌

Becton

Dickinson

&

Company,

1.957%,

2/11/31  (7)

25,674‌

20,584‌

Becton

Dickinson

&

Company,

2.823%,

5/20/30 

10,263‌

8,920‌

Becton

Dickinson

&

Company,

3.70%,

6/6/27 

37,191‌

35,429‌

Cardinal

Health,

4.50%,

11/15/44 

4,360‌

3,563‌

Catalent

Pharma

Solutions,

5.00%,

7/15/27  (1)(7)

4,020‌

3,799‌

Charles

River

Laboratories

International,

4.25%,

5/1/28  (1)

3,465‌

3,153‌

CSL

Finance,

4.05%,

4/27/29  (1)

9,480‌

9,000‌

CSL

Finance,

4.25%,

4/27/32  (1)

8,335‌

7,904‌

CVS

Health,

3.25%,

8/15/29 

3,360‌

3,042‌

CVS

Health,

5.05%,

3/25/48 

36,607‌

33,821‌

Darling

Ingredients,

6.00%,

6/15/30  (1)

5,145‌

5,010‌

Hasbro,

3.55%,

11/19/26 

11,507‌

10,821‌

HCA,

3.125%,

3/15/27  (1)

8,360‌

7,595‌

HCA,

3.375%,

3/15/29  (1)

9,695‌

8,557‌

HCA,

3.50%,

9/1/30 

13,940‌

11,919‌

HCA,

5.375%,

9/1/26 

6,529‌

6,459‌

HCA,

5.875%,

2/15/26 

25,164‌

25,255‌

Medline

Borrower,

3.875%,

4/1/29  (1)

8,490‌

7,132‌

Mondelez

International,

2.75%,

4/13/30  (7)

4,464‌

3,875‌

PerkinElmer,

1.90%,

9/15/28 

13,950‌

11,495‌

PerkinElmer,

2.25%,

9/15/31  (7)

7,580‌

5,970‌

PerkinElmer,

3.30%,

9/15/29 

9,984‌

8,709‌

Philip

Morris

International,

5.625%,

11/17/29 

4,640‌

4,719‌

Reynolds

American,

4.45%,

6/12/25 

32,759‌

32,188‌

Tenet

Healthcare,

6.125%,

6/15/30  (1)

3,370‌

3,201‌

Teva

Pharmaceutical

Finance

Netherlands

III,

7.125%,

1/31/25 

1,875‌

1,866‌

T.

ROWE

PRICE

New

Income

Fund

37

Par/Shares

$

Value

(Amounts

in

000s)

Utah

Acquisition

Sub,

3.95%,

6/15/26 

26,418‌

24,729‌

510,562‌

Energy

3.2%

Aker

BP,

2.875%,

1/15/26  (1)

7,042‌

6,524‌

Boardwalk

Pipelines,

3.40%,

2/15/31 

17,281‌

14,509‌

Boardwalk

Pipelines,

4.45%,

7/15/27 

30,749‌

29,371‌

Boardwalk

Pipelines,

4.95%,

12/15/24 

6,435‌

6,365‌

Boardwalk

Pipelines,

5.95%,

6/1/26 

11,000‌

11,214‌

Cheniere

Corpus

Christi

Holdings,

3.70%,

11/15/29 

21,773‌

19,813‌

Cheniere

Corpus

Christi

Holdings,

5.125%,

6/30/27 

6,741‌

6,707‌

Cheniere

Corpus

Christi

Holdings,

7.00%,

6/30/24 

7,306‌

7,390‌

Cheniere

Energy,

4.625%,

10/15/28 

14,840‌

13,708‌

Chesapeake

Energy,

6.75%,

4/15/29  (1)

2,050‌

2,019‌

Diamondback

Energy,

3.25%,

12/1/26 

17,957‌

16,655‌

Energy

Transfer,

2.90%,

5/15/25 

8,447‌

7,978‌

Energy

Transfer,

4.20%,

4/15/27 

2,658‌

2,516‌

Energy

Transfer,

4.50%,

4/15/24 

3,969‌

3,916‌

Energy

Transfer,

5.875%,

1/15/24 

8,602‌

8,610‌

Energy

Transfer,

6.00%,

6/15/48 

29,736‌

27,266‌

Energy

Transfer,

6.25%,

4/15/49 

3,985‌

3,770‌

Eni,

Series

X-R,

4.75%,

9/12/28  (1)

30,079‌

29,132‌

Enterprise

Products

Operating,

2.80%,

1/31/30 

3,635‌

3,138‌

Gray

Oak

Pipeline,

2.00%,

9/15/23  (1)

2,100‌

2,038‌

Gray

Oak

Pipeline,

2.60%,

10/15/25  (1)

6,556‌

5,933‌

Gray

Oak

Pipeline,

3.45%,

10/15/27  (1)

2,741‌

2,430‌

Kinetik

Holdings,

5.875%,

6/15/30  (1)

2,861‌

2,686‌

MPLX,

4.95%,

9/1/32 

3,275‌

3,096‌

NuStar

Logistics,

6.00%,

6/1/26 

3,044‌

2,953‌

Occidental

Petroleum,

6.20%,

3/15/40 

3,595‌

3,469‌

Occidental

Petroleum,

8.50%,

7/15/27 

8,585‌

9,358‌

Occidental

Petroleum,

8.875%,

7/15/30 

6,240‌

7,129‌

Sabine

Pass

Liquefaction,

4.50%,

5/15/30 

4,495‌

4,220‌

Sabine

Pass

Liquefaction,

5.00%,

3/15/27 

71,542‌

70,111‌

Sabine

Pass

Liquefaction,

5.875%,

6/30/26 

14,711‌

14,895‌

Tallgrass

Energy

Partners,

7.50%,

10/1/25  (1)

1,290‌

1,306‌

Targa

Resources

Partners,

5.50%,

3/1/30 

5,557‌

5,307‌

Targa

Resources

Partners,

6.875%,

1/15/29 

6,175‌

6,299‌

Transcontinental

Gas

Pipe

Line,

3.25%,

5/15/30 

7,309‌

6,411‌

Transcontinental

Gas

Pipe

Line,

4.00%,

3/15/28 

10,600‌

9,998‌

Transcontinental

Gas

Pipe

Line,

4.60%,

3/15/48 

2,806‌

2,396‌

Venture

Global

Calcasieu

Pass,

3.875%,

11/1/33  (1)

8,505‌

6,889‌

Williams,

2.60%,

3/15/31 

29,160‌

23,946‌

Williams,

3.75%,

6/15/27 

7,096‌

6,712‌

Woodside

Finance,

3.65%,

3/5/25  (1)

12,830‌

12,315‌

Woodside

Finance,

3.70%,

9/15/26  (1)(7)

41,929‌

39,204‌

T.

ROWE

PRICE

New

Income

Fund

38

Par/Shares

$

Value

(Amounts

in

000s)

Woodside

Finance,

3.70%,

3/15/28  (1)(7)

34,813‌

31,332‌

501,034‌

Technology

0.5%

Broadcom,

4.11%,

9/15/28 

3,360‌

3,139‌

Central

Parent,

7.25%,

6/15/29  (1)(7)

2,855‌

2,755‌

Entegris

Escrow,

5.95%,

6/15/30  (1)(7)

6,830‌

6,352‌

Equifax,

5.10%,

12/15/27 

11,795‌

11,626‌

Fiserv,

3.50%,

7/1/29 

3,530‌

3,192‌

Gen

Digital,

6.75%,

9/30/27  (1)

1,420‌

1,425‌

Gen

Digital,

7.125%,

9/30/30  (1)(7)

1,130‌

1,139‌

Micron

Technology,

4.185%,

2/15/27 

6,615‌

6,326‌

NXP,

2.70%,

5/1/25 

2,279‌

2,137‌

NXP,

3.15%,

5/1/27 

4,632‌

4,217‌

NXP,

5.35%,

3/1/26 

10,055‌

10,039‌

Oracle,

2.30%,

3/25/28 

12,072‌

10,448‌

Oracle,

6.25%,

11/9/32 

4,840‌

5,090‌

Sensata

Technologies,

5.875%,

9/1/30  (1)(7)

2,820‌

2,679‌

Workday,

3.70%,

4/1/29 

3,910‌

3,604‌

74,168‌

Transportation

0.4%

American

Airlines,

5.50%,

4/20/26  (1)

1,945‌

1,882‌

American

Airlines,

5.75%,

4/20/29  (1)

3,535‌

3,279‌

American

Airlines,

11.75%,

7/15/25  (1)

2,980‌

3,293‌

Mileage

Plus

Holdings,

6.50%,

6/20/27  (1)

17,567‌

17,479‌

Transurban

Finance,

2.45%,

3/16/31  (1)(7)

12,184‌

9,636‌

Transurban

Finance,

3.375%,

3/22/27  (1)

10,230‌

9,373‌

United

Airlines

PTT,

Series

2019-2,

Class

A,

2.90%,

5/1/28 

7,082‌

5,741‌

United

Airlines

PTT,

Series

2019-2,

Class

AA,

2.70%,

5/1/32 

4,410‌

3,604‌

54,287‌

Total

Industrial

2,015,499‌

UTILITY

2.0%

Electric

1.9%

Ausgrid

Finance,

3.85%,

5/1/23  (1)

14,852‌

14,753‌

Ausgrid

Finance,

4.35%,

8/1/28  (1)(7)

23,381‌

21,728‌

Duke

Energy,

4.50%,

8/15/32  (7)

34,640‌

32,749‌

Edison

International,

4.95%,

4/15/25 

1,409‌

1,391‌

EDP

Finance,

6.30%,

10/11/27  (1)(7)

5,865‌

6,002‌

Enel

Finance

International,

1.875%,

7/12/28  (1)

18,162‌

14,612‌

Enel

Finance

International,

2.25%,

7/12/31  (1)

23,114‌

17,285‌

Enel

Finance

International,

3.50%,

4/6/28  (1)

11,261‌

9,894‌

NextEra

Energy

Capital

Holdings,

2.44%,

1/15/32 

20,625‌

16,749‌

NextEra

Energy

Capital

Holdings,

3.00%,

1/15/52  (7)

14,640‌

10,018‌

NextEra

Energy

Capital

Holdings,

5.00%,

7/15/32 

3,010‌

2,995‌

NRG

Energy,

4.45%,

6/15/29  (1)

12,942‌

11,745‌

Pacific

Gas

&

Electric,

2.10%,

8/1/27 

10,318‌

8,769‌

T.

ROWE

PRICE

New

Income

Fund

39

Par/Shares

$

Value

(Amounts

in

000s)

Pacific

Gas

&

Electric,

2.50%,

2/1/31 

20,828‌

16,346‌

Pacific

Gas

&

Electric,

3.95%,

12/1/47  (7)

10,551‌

7,376‌

Pacific

Gas

&

Electric,

4.55%,

7/1/30 

13,652‌

12,492‌

Southern

California

Edison,

Series

D,

4.70%,

6/1/27 

12,650‌

12,448‌

Vistra,

VR,

8.00%  (1)(6)(8)

11,320‌

10,811‌

Vistra

Operations,

3.55%,

7/15/24  (1)

44,076‌

42,093‌

Vistra

Operations,

4.375%,

5/1/29  (1)(7)

5,145‌

4,528‌

Vistra

Operations,

5.125%,

5/13/25  (1)

17,905‌

17,512‌

Xcel

Energy,

4.60%,

6/1/32 

6,250‌

5,965‌

298,261‌

Natural

Gas

0.1%

APA

Infrastructure,

4.25%,

7/15/27  (1)

4,605‌

4,343‌

Sempra

Energy,

3.70%,

4/1/29 

5,155‌

4,718‌

Sempra

Energy,

3.80%,

2/1/38 

8,243‌

6,676‌

15,737‌

Total

Utility

313,998‌

Total

Corporate

Bonds

(Cost

$4,957,984)

4,436,960‌

FOREIGN

GOVERNMENT

OBLIGATIONS

&

MUNICIPALITIES

0.1%

Owned

No

Guarantee

0.1%

NBN,

2.625%,

5/5/31  (1)

16,981‌

13,701‌

Total

Foreign

Government

Obligations

&

Municipalities

(Cost

$16,973)

13,701‌

NON-U.S.

GOVERNMENT

MORTGAGE-BACKED

SECURITIES

7.1%

Collateralized

Mortgage

Obligations

3.6%

Angel

Oak

Mortgage

Trust

Series

2021-3,

Class

A1,

CMO,

ARM

1.068%,

5/25/66  (1)

9,372‌

7,295‌

Angel

Oak

Mortgage

Trust

Series

2021-4,

Class

A3,

CMO,

ARM

1.446%,

1/20/65  (1)

5,486‌

4,057‌

Angel

Oak

Mortgage

Trust

I

Series

2019-1,

Class

A1,

CMO,

ARM

3.92%,

11/25/48  (1)

465‌

462‌

Angel

Oak

Mortgage

Trust

I

Series

2019-1,

Class

A2,

CMO,

ARM

4.022%,

11/25/48  (1)

183‌

181‌

Barclays

Mortgage

Loan

Trust

Series

2021-NQM1,

Class

A1,

CMO,

ARM

1.747%,

9/25/51  (1)

5,867‌

4,868‌

T.

ROWE

PRICE

New

Income

Fund

40

Par/Shares

$

Value

(Amounts

in

000s)

BINOM

Securitization

Trust

Series

2021-INV1,

Class

A1,

CMO,

ARM

2.034%,

6/25/56  (1)

10,727‌

9,263‌

Citigroup

Mortgage

Loan

Trust

Series

2022-INV1,

Class

A4B,

CMO,

ARM

3.00%,

11/27/51  (1)

7,971‌

6,454‌

COLT

Mortgage

Loan

Trust

Series

2020-3,

Class

A1,

CMO,

ARM

1.506%,

4/27/65  (1)

2,277‌

2,136‌

COLT

Mortgage

Loan

Trust

Series

2021-1,

Class

A1,

CMO,

ARM

0.91%,

6/25/66  (1)

14,889‌

12,129‌

COLT

Mortgage

Loan

Trust

Series

2021-6,

Class

A1,

CMO,

ARM

1.907%,

12/25/66  (1)

12,994‌

10,667‌

Connecticut

Avenue

Securities

Series

2016-C05,

Class

2M2,

CMO,

ARM

1M

USD

LIBOR

+

4.45%,

8.466%,

1/25/29 

6,333‌

6,483‌

Connecticut

Avenue

Securities

Series

2017-C02,

Class

2ED3,

CMO,

ARM

1M

USD

LIBOR

+

1.35%,

5.366%,

9/25/29 

1,338‌

1,318‌

Connecticut

Avenue

Securities

Series

2017-C04,

Class

2ED2,

CMO,

ARM

1M

USD

LIBOR

+

1.10%,

5.116%,

11/25/29 

22,166‌

21,640‌

Connecticut

Avenue

Securities

Series

2017-C06,

Class

2ED1,

CMO,

ARM

1M

USD

LIBOR

+

1.00%,

5.016%,

2/25/30 

504‌

499‌

Connecticut

Avenue

Securities

Series

2021-R03,

Class

1M2,

CMO,

ARM

SOFR30A

+

1.65%,

5.171%,

12/25/41  (1)

11,825‌

10,913‌

Connecticut

Avenue

Securities

Series

2022-R01,

Class

1M2,

CMO,

ARM

SOFR30A

+

1.90%,

5.421%,

12/25/41  (1)

19,620‌

18,259‌

Connecticut

Avenue

Securities

Trust

Series

2022-R01,

Class

1M1,

CMO,

ARM

SOFR30A

+

1.00%,

4.521%,

12/25/41  (1)

6,480‌

6,363‌

Connecticut

Avenue

Securities

Trust

Series

2022-R02,

Class

2M1,

CMO,

ARM

SOFR30A

+

1.20%,

4.721%,

1/25/42  (1)

34,463‌

33,754‌

Connecticut

Avenue

Securities

Trust

Series

2022-R03,

Class

1M1,

CMO,

ARM

SOFR30A

+

2.10%,

5.621%,

3/25/42  (1)

22,126‌

21,863‌

Connecticut

Avenue

Securities

Trust

Series

2022-R04,

Class

1M1,

CMO,

ARM

SOFR30A

+

2.00%,

5.521%,

3/25/42  (1)

14,675‌

14,492‌

Deephaven

Residential

Mortgage

Trust

Series

2021-2,

Class

A1,

CMO,

ARM

0.899%,

4/25/66  (1)

7,278‌

6,052‌

T.

ROWE

PRICE

New

Income

Fund

41

Par/Shares

$

Value

(Amounts

in

000s)

Ellington

Financial

Mortgage

Trust

Series

2021-3,

Class

A1,

CMO,

ARM

1.241%,

9/25/66  (1)

11,273‌

9,043‌

Flagstar

Mortgage

Trust

Series

2018-6RR,

Class

2A4,

CMO,

ARM

4.00%,

9/25/48  (1)

982‌

950‌

Flagstar

Mortgage

Trust

Series

2020-1INV,

Class

A11,

CMO,

ARM

1M

USD

LIBOR

+

0.85%,

4.436%,

3/25/50  (1)

4,066‌

3,725‌

Flagstar

Mortgage

Trust

Series

2021-5INV,

Class

A16,

CMO,

ARM

2.50%,

7/25/51  (1)

10,254‌

8,102‌

Flagstar

Mortgage

Trust

Series

2021-8INV,

Class

A18,

CMO,

ARM

2.50%,

9/25/51  (1)

9,402‌

7,411‌

FWD

Securitization

Trust

Series

2020-INV1,

Class

A3,

CMO,

ARM

2.44%,

1/25/50  (1)

1,316‌

1,162‌

Galton

Funding

Mortgage

Trust

Series

2018-1,

Class

A23,

CMO,

ARM

3.50%,

11/25/57  (1)

960‌

871‌

Galton

Funding

Mortgage

Trust

Series

2018-2,

Class

A22,

CMO,

ARM

4.00%,

10/25/58  (1)

1,983‌

1,871‌

Galton

Funding

Mortgage

Trust

Series

2018-2,

Class

A31,

CMO,

ARM

4.50%,

10/25/58  (1)

975‌

922‌

Galton

Funding

Mortgage

Trust

Series

2019-1,

Class

A22,

CMO,

ARM

4.00%,

2/25/59  (1)

641‌

621‌

GCAT

Trust

Series

2022-INV1,

Class

A26,

CMO,

ARM

3.00%,

12/25/51  (1)

9,256‌

7,530‌

GS

Mortgage-Backed

Securities

Trust

Series

2014-EB1A,

Class

2A1,

CMO,

ARM

2.175%,

7/25/44  (1)

477‌

466‌

GS

Mortgage-Backed

Securities

Trust

Series

2020-INV1,

Class

A14,

CMO,

ARM

2.932%,

10/25/50  (1)

17,619‌

14,883‌

GS

Mortgage-Backed

Securities

Trust

Series

2021-PJ6,

Class

A4,

CMO,

ARM

2.50%,

11/25/51  (1)

10,920‌

8,540‌

GS

Mortgage-Backed

Securities

Trust

Series

2021-PJ6,

Class

A8,

CMO,

ARM

2.50%,

11/25/51  (1)

18,020‌

15,418‌

Imperial

Fund

Mortgage

Trust

Series

2021-NQM2,

Class

A1,

CMO,

ARM

1.073%,

9/25/56  (1)

13,206‌

10,133‌

T.

ROWE

PRICE

New

Income

Fund

42

Par/Shares

$

Value

(Amounts

in

000s)

JPMorgan

Mortgage

Trust

Series

2019-INV3,

Class

A3,

CMO,

ARM

3.50%,

5/25/50  (1)

5,339‌

4,820‌

JPMorgan

Mortgage

Trust

Series

2020-INV1,

Class

A11,

CMO,

ARM

1M

USD

LIBOR

+

0.83%,

4.416%,

8/25/50  (1)

2,643‌

2,433‌

JPMorgan

Mortgage

Trust

Series

2020-INV1,

Class

A3,

CMO,

ARM

3.50%,

8/25/50  (1)

4,469‌

3,970‌

JPMorgan

Mortgage

Trust

Series

2020-LTV1,

Class

A15,

CMO,

ARM

3.50%,

6/25/50  (1)

565‌

544‌

JPMorgan

Mortgage

Trust

Series

2020-LTV1,

Class

A3,

CMO,

ARM

3.50%,

6/25/50  (1)

1,399‌

1,345‌

Mello

Mortgage

Capital

Acceptance

Series

2021-INV3,

Class

A15,

CMO,

ARM

2.50%,

10/25/51  (1)

9,224‌

7,288‌

New

Residential

Mortgage

Loan

Trust

Series

2021-INV1,

Class

A4,

CMO,

ARM

2.50%,

6/25/51  (1)

6,333‌

5,028‌

New

Residential

Mortgage

Loan

Trust

Series

2021-INV1,

Class

A6,

CMO,

ARM

2.50%,

6/25/51  (1)

15,397‌

13,186‌

New

Residential

Mortgage

Loan

Trust

Series

2021-INV2,

Class

A2,

CMO,

ARM

2.50%,

9/25/51  (1)

15,239‌

12,308‌

New

Residential

Mortgage

Loan

Trust

Series

2021-INV2,

Class

A4,

CMO,

ARM

2.50%,

9/25/51  (1)

11,820‌

9,360‌

OBX

Trust

Series

2019-EXP2,

Class

1A3,

CMO,

ARM

4.00%,

6/25/59  (1)

4,462‌

4,055‌

OBX

Trust

Series

2019-EXP3,

Class

1A8,

CMO,

ARM

3.50%,

10/25/59  (1)

2,712‌

2,510‌

OBX

Trust

Series

2019-INV2,

Class

A25,

CMO,

ARM

4.00%,

5/27/49  (1)

1,088‌

1,020‌

OBX

Trust

Series

2019-INV2,

Class

A5,

CMO,

ARM

4.00%,

5/27/49  (1)

2,944‌

2,761‌

OBX

Trust

Series

2020-EXP1,

Class

1A8,

CMO,

ARM

3.50%,

2/25/60  (1)

7,420‌

6,560‌

OBX

Trust

Series

2021-NQM1,

Class

A1,

CMO,

ARM

1.072%,

2/25/66  (1)

9,041‌

7,801‌

T.

ROWE

PRICE

New

Income

Fund

43

Par/Shares

$

Value

(Amounts

in

000s)

OBX

Trust

Series

2021-NQM3,

Class

A1,

CMO,

ARM

1.054%,

7/25/61  (1)

10,796‌

8,101‌

Sequoia

Mortgage

Trust

Series

2018-CH1,

Class

A2,

CMO,

ARM

3.50%,

3/25/48  (1)

940‌

854‌

Sequoia

Mortgage

Trust

Series

2018-CH2,

Class

A3,

CMO,

ARM

4.00%,

6/25/48  (1)

3,443‌

3,224‌

Sequoia

Mortgage

Trust

Series

2018-CH3,

Class

A2,

CMO,

ARM

4.00%,

8/25/48  (1)

897‌

877‌

Sequoia

Mortgage

Trust

Series

2018-CH4,

Class

A2,

CMO,

ARM

4.00%,

10/25/48  (1)

404‌

400‌

SG

Residential

Mortgage

Trust

Series

2019-3,

Class

A1,

CMO,

ARM

2.703%,

9/25/59  (1)

813‌

778‌

SG

Residential

Mortgage

Trust

Series

2022-1,

Class

A1,

CMO,

ARM

3.166%,

3/27/62  (1)

17,032‌

15,162‌

Starwood

Mortgage

Residential

Trust

Series

2021-3,

Class

A1,

CMO,

ARM

1.127%,

6/25/56  (1)

6,234‌

4,987‌

Starwood

Mortgage

Residential

Trust

Series

2021-4,

Class

A2,

CMO,

ARM

1.369%,

8/25/56  (1)

13,424‌

10,666‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2021-DNA2,

Class

M2,

CMO,

ARM

SOFR30A

+

2.30%,

5.821%,

8/25/33  (1)

9,106‌

8,799‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2022-DNA1,

Class

M1B,

CMO,

ARM

SOFR30A

+

1.85%,

5.371%,

1/25/42  (1)

18,780‌

17,161‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2022-DNA3,

Class

M1A,

CMO,

ARM

SOFR30A

+

2.00%,

5.521%,

4/25/42  (1)

17,060‌

16,839‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2022-DNA5,

Class

M1A,

CMO,

ARM

SOFR30A

+

2.95%,

6.471%,

6/25/42  (1)

28,024‌

28,268‌

Towd

Point

Mortgage

Trust

Series

2017-1,

Class

A1,

CMO,

ARM

2.75%,

10/25/56  (1)

1,447‌

1,420‌

Towd

Point

Mortgage

Trust

Series

2017-2,

Class

A1,

CMO,

ARM

2.75%,

4/25/57  (1)

601‌

592‌

Towd

Point

Mortgage

Trust

Series

2017-5,

Class

A1,

CMO,

ARM

1M

USD

LIBOR

+

0.60%,

3.512%,

2/25/57  (1)

2,724‌

2,680‌

T.

ROWE

PRICE

New

Income

Fund

44

Par/Shares

$

Value

(Amounts

in

000s)

Verus

Securitization

Trust

Series

2019-4,

Class

A1,

CMO,

STEP

2.642%,

11/25/59  (1)

2,423‌

2,297‌

Verus

Securitization

Trust

Series

2019-4,

Class

M1,

CMO,

ARM

3.207%,

11/25/59  (1)

5,200‌

4,414‌

Verus

Securitization

Trust

Series

2019-INV2,

Class

A3,

CMO,

ARM

3.219%,

7/25/59  (1)

4,216‌

4,055‌

Verus

Securitization

Trust

Series

2019-INV3,

Class

A3,

CMO,

ARM

3.10%,

11/25/59  (1)

5,229‌

4,915‌

Verus

Securitization

Trust

Series

2020-1,

Class

A1,

CMO,

STEP

2.417%,

1/25/60  (1)

2,630‌

2,469‌

Verus

Securitization

Trust

Series

2020-2,

Class

A3,

CMO,

ARM

3.995%,

5/25/60  (1)

7,815‌

7,299‌

Verus

Securitization

Trust

Series

2020-INV1,

Class

A1,

CMO,

ARM

1.977%,

3/25/60  (1)

1,141‌

1,089‌

Verus

Securitization

Trust

Series

2022-1,

Class

A1,

CMO,

STEP

2.724%,

1/25/67  (1)

6,026‌

5,221‌

Vista

Point

Securitization

Trust

Series

2020-1,

Class

A3,

CMO,

ARM

3.201%,

3/25/65  (1)

17,346‌

16,638‌

Vista

Point

Securitization

Trust

Series

2020-2,

Class

A1,

CMO,

ARM

1.475%,

4/25/65  (1)

2,540‌

2,219‌

Wells

Fargo

Mortgage

Backed

Securities

Trust

Series

2021-RR1,

Class

A1,

CMO,

ARM

2.50%,

12/25/50  (1)

14,644‌

12,011‌

559,220‌

Commercial

Mortgage-Backed

Securities

3.5%

Austin

Fairmont

Hotel

Trust

Series

2019-FAIR,

Class

B,

ARM

1M

USD

LIBOR

+

1.25%,

5.125%,

9/15/32  (1)

11,890‌

11,471‌

Aventura

Mall

Trust

Series

2018-AVM,

Class

A,

ARM

4.249%,

7/5/40  (1)

39,170‌

35,244‌

BAMLL

Commercial

Mortgage-Backed

Securities

Trust

Series

2018-DSNY,

Class

A,

ARM

1M

USD

LIBOR

+

0.85%,

4.724%,

9/15/34  (1)

35,456‌

34,686‌

BANK

Series

2017-BNK8,

Class

AS

3.731%,

11/15/50 

2,705‌

2,433‌

T.

ROWE

PRICE

New

Income

Fund

45

Par/Shares

$

Value

(Amounts

in

000s)

BBCMS

Mortgage

Trust

Series

2019-BWAY,

Class

D,

ARM

1M

USD

LIBOR

+

2.16%,

6.035%,

11/15/34  (1)

10,230‌

8,934‌

BX

Commercial

Mortgage

Trust

Series

2021-21M,

Class

C,

ARM

1M

USD

LIBOR

+

1.177%,

5.052%,

10/15/36  (1)

8,441‌

7,871‌

BX

Commercial

Mortgage

Trust

Series

2022-CSMO,

Class

B,

ARM

1M

TSFR

+

3.141%,

6.935%,

6/15/27  (1)

17,850‌

17,638‌

BX

Trust

Series

2021-ARIA,

Class

B,

ARM

1M

USD

LIBOR

+

1.297%,

5.172%,

10/15/36  (1)

15,280‌

14,238‌

BX

Trust

Series

2021-ARIA,

Class

C,

ARM

1M

USD

LIBOR

+

1.646%,

5.521%,

10/15/36  (1)

16,295‌

15,070‌

BX

Trust

Series

2021-LGCY,

Class

C,

ARM

1M

USD

LIBOR

+

1.004%,

4.879%,

10/15/36  (1)

13,125‌

12,186‌

BXSC

Commercial

Mortgage

Trust

Series

2022-WSS,

Class

B,

ARM

1M

TSFR

+

2.092%,

5.887%,

3/15/35  (1)

33,195‌

31,697‌

BXSC

Commercial

Mortgage

Trust

Series

2022-WSS,

Class

C,

ARM

1M

TSFR

+

2.391%,

6.186%,

3/15/35  (1)

5,815‌

5,538‌

Cantor

Commercial

Real

Estate

Lending

Series

2019-CF2,

Class

B

3.267%,

11/15/52 

9,752‌

7,788‌

Citigroup

Commercial

Mortgage

Trust

Series

2013-375P,

Class

D,

ARM

3.635%,

5/10/35  (1)

14,725‌

13,436‌

Citigroup

Commercial

Mortgage

Trust

Series

2016-P4,

Class

AS

3.075%,

7/10/49 

7,203‌

6,378‌

Citigroup

Commercial

Mortgage

Trust

Series

2019-C7,

Class

805A,

ARM

3.917%,

12/15/72  (1)

12,000‌

8,709‌

Citigroup

Commercial

Mortgage

Trust

Series

2020-555,

Class

C

3.031%,

12/10/41  (1)

8,370‌

6,540‌

Citigroup

Commercial

Mortgage

Trust

Series

2020-555,

Class

D

3.233%,

12/10/41  (1)

5,500‌

4,151‌

Cold

Storage

Trust

Series

2020-ICE5,

Class

B,

ARM

1M

USD

LIBOR

+

1.30%,

5.175%,

11/15/37  (1)

11,083‌

10,666‌

Cold

Storage

Trust

Series

2020-ICE5,

Class

C,

ARM

1M

USD

LIBOR

+

1.65%,

5.525%,

11/15/37  (1)

23,705‌

22,753‌

T.

ROWE

PRICE

New

Income

Fund

46

Par/Shares

$

Value

(Amounts

in

000s)

Commercial

Mortgage

Trust

Series

2013-CR6,

Class

AM

3.147%,

3/10/46  (1)

6,715‌

6,674‌

Commercial

Mortgage

Trust

Series

2015-CR24,

Class

A5

3.696%,

8/10/48 

7,340‌

6,974‌

Commercial

Mortgage

Trust

Series

2015-CR24,

Class

AM,

ARM

4.028%,

8/10/48 

5,745‌

5,407‌

Commercial

Mortgage

Trust

Series

2015-LC21,

Class

AM,

ARM

4.043%,

7/10/48 

21,415‌

20,137‌

CSAIL

Commercial

Mortgage

Trust

Series

2016-C5,

Class

AS

4.01%,

11/15/48 

5,000‌

4,671‌

Eleven

Madison

Mortgage

Trust

Series

2015-11MD,

Class

A,

ARM

3.673%,

9/10/35  (1)

23,679‌

21,900‌

Great

Wolf

Trust

Series

2019-WOLF,

Class

D,

ARM

1M

USD

LIBOR

+

1.933%,

5.808%,

12/15/36  (1)

18,025‌

17,118‌

GS

Mortgage

Securities

Trust

Series

2019-GC40,

Class

B

3.543%,

7/10/52 

12,730‌

10,597‌

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

Series

2016-NINE,

Class

B,

ARM

2.949%,

9/6/38  (1)

11,320‌

9,624‌

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

Series

2018-WPT,

Class

AFX

4.248%,

7/5/33  (1)

9,825‌

9,176‌

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

Series

2018-WPT,

Class

BFX

4.549%,

7/5/33  (1)

7,620‌

6,711‌

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

Series

2018-WPT,

Class

CFX

4.95%,

7/5/33  (1)

11,395‌

9,929‌

LUXE

Trust

Series

2021-TRIP,

Class

B,

ARM

1M

USD

LIBOR

+

1.40%,

5.275%,

10/15/38  (1)

10,460‌

9,674‌

Morgan

Stanley

Bank

of

America

Merrill

Lynch

Trust

Series

2014-C17,

Class

B,

ARM

4.464%,

8/15/47 

20,470‌

19,510‌

SLIDE

Series

2018-FUN,

Class

B,

ARM

1M

USD

LIBOR

+

1.50%,

5.375%,

6/15/31  (1)

8,827‌

8,657‌

SMRT

Series

2022-MINI,

Class

C,

ARM

1M

TSFR

+

1.55%,

5.345%,

1/15/39  (1)

20,450‌

19,271‌

T.

ROWE

PRICE

New

Income

Fund

47

Par/Shares

$

Value

(Amounts

in

000s)

UBS

Commercial

Mortgage

Trust

Series

2018-C9,

Class

AS,

ARM

4.318%,

3/15/51 

7,230‌

6,593‌

VNDO

Trust

Series

2016-350P,

Class

D,

ARM

4.033%,

1/10/35  (1)

12,524‌

10,296‌

Wells

Fargo

Commercial

Mortgage

Trust

Series

2014-LC18,

Class

AS

3.808%,

12/15/47 

5,860‌

5,530‌

Wells

Fargo

Commercial

Mortgage

Trust

Series

2015-NXS2,

Class

AS,

ARM

4.121%,

7/15/58 

6,215‌

5,816‌

Wells

Fargo

Commercial

Mortgage

Trust

Series

2017-C39,

Class

B

4.025%,

9/15/50 

5,750‌

5,117‌

Wells

Fargo

Commercial

Mortgage

Trust

Series

2017-C41,

Class

AS,

ARM

3.785%,

11/15/50 

15,000‌

13,446‌

Wells

Fargo

Commercial

Mortgage

Trust

Series

2019-JWDR,

Class

A,

ARM

2.584%,

9/15/31  (1)

26,355‌

22,840‌

Worldwide

Plaza

Trust

Series

2017-WWP,

Class

A

3.526%,

11/10/36  (1)

24,455‌

21,123‌

554,218‌

Total

Non-U.S.

Government

Mortgage-Backed

Securities

(Cost

$1,241,365)

1,113,438‌

U.S.

GOVERNMENT

&

AGENCY

MORTGAGE-BACKED

SECURITIES

27.5%

U.S.

Government

Agency

Obligations

21.0%

Federal

Home

Loan

Mortgage 

2.50%,

5/1/30 

5,964‌

5,653‌

3.00%,

12/1/42

-

4/1/47 

17,427‌

15,985‌

3.50%,

9/1/42

-

3/1/46 

81,591‌

76,883‌

4.00%,

10/1/40

-

8/1/45 

8,720‌

8,510‌

4.50%,

6/1/39

-

5/1/42 

13,394‌

13,431‌

5.00%,

7/1/25

-

8/1/40 

3,799‌

3,896‌

5.50%,

4/1/26

-

12/1/39 

3,680‌

3,865‌

6.00%,

10/1/32

-

8/1/38 

2,403‌

2,514‌

6.50%,

4/1/24

-

9/1/39 

899‌

934‌

7.00%,

2/1/24

-

6/1/32 

22‌

22‌

7.50%,

5/1/24

-

6/1/24 

1‌

1‌

Federal

Home

Loan

Mortgage,

ARM 

12M

USD

LIBOR

+

1.725%,

3.975%,

7/1/35 

20‌

20‌

12M

USD

LIBOR

+

1.828%,

2.203%,

2/1/37 

110‌

109‌

T.

ROWE

PRICE

New

Income

Fund

48

Par/Shares

$

Value

(Amounts

in

000s)

12M

USD

LIBOR

+

1.832%,

3.447%,

3/1/36 

103‌

102‌

12M

USD

LIBOR

+

1.842%,

2.091%,

1/1/37 

129‌

126‌

12M

USD

LIBOR

+

1.929%,

2.246%,

12/1/36 

85‌

84‌

12M

USD

LIBOR

+

2.03%,

3.051%,

11/1/36 

118‌

116‌

1Y

CMT

+

2.25%,

3.928%,

10/1/36 

52‌

53‌

Federal

Home

Loan

Mortgage,

CMO,

IO,

4.50%,

5/25/50 

12,768‌

1,995‌

Federal

Home

Loan

Mortgage,

CMO,

PO,

Zero

Coupon,

8/15/28 

7‌

6‌

Federal

Home

Loan

Mortgage,

UMBS 

1.50%,

4/1/37 

5,435‌

4,766‌

2.00%,

3/1/42

-

5/1/52 

287,379‌

237,911‌

2.50%,

4/1/37

-

10/1/52 

343,125‌

296,931‌

3.00%,

1/1/33

-

8/1/52 

117,799‌

107,030‌

3.50%,

6/1/47

-

11/1/50 

39,253‌

36,722‌

4.00%,

6/1/37

-

9/1/52 

35,773‌

34,416‌

4.50%,

9/1/37

-

11/1/52 

8,745‌

8,587‌

5.00%,

8/1/52

-

11/1/52 

17,012‌

16,939‌

Federal

National

Mortgage

Assn. 

3.00%,

6/1/33

-

8/1/46 

6,456‌

5,817‌

3.50%,

6/1/42

-

5/1/46 

49,041‌

46,123‌

4.00%,

11/1/40 

8,726‌

8,365‌

Federal

National

Mortgage

Assn.,

ARM 

12M

USD

LIBOR

+

1.34%,

1.59%,

12/1/35 

68‌

66‌

12M

USD

LIBOR

+

1.599%,

2.922%,

7/1/36 

264‌

266‌

12M

USD

LIBOR

+

1.655%,

3.905%,

8/1/37 

56‌

55‌

12M

USD

LIBOR

+

1.881%,

4.131%,

8/1/36 

139‌

138‌

Federal

National

Mortgage

Assn.,

CMO,

IO,

6.50%,

2/25/32 

26‌

5‌

Federal

National

Mortgage

Assn.,

UMBS 

1.50%,

2/1/37

-

1/1/42 

74,267‌

63,786‌

2.00%,

4/1/42

-

4/1/52 

750,301‌

620,302‌

2.50%,

5/1/30

-

9/1/52 

481,778‌

419,365‌

3.00%,

6/1/27

-

7/1/52 

388,740‌

355,045‌

3.50%,

11/1/32

-

1/1/52 

146,589‌

138,125‌

4.00%,

7/1/35

-

10/1/52 

179,286‌

174,100‌

4.50%,

7/1/39

-

7/1/52 

117,466‌

116,593‌

5.00%,

3/1/23

-

10/1/52 

57,104‌

58,203‌

5.50%,

2/1/23

-

9/1/41 

19,587‌

20,520‌

6.00%,

11/1/32

-

1/1/41 

22,048‌

23,090‌

6.50%,

8/1/27

-

3/1/41 

9,116‌

9,579‌

7.00%,

10/1/29

-

4/1/37 

102‌

103‌

Government

National

Mortgage

Assn.,

TBA  (9)

2.00%,

1/20/53 

4,155‌

3,539‌

5.50%,

12/20/52 

137,665‌

139,297‌

6.00%,

12/20/52 

40,880‌

41,720‌

UMBS,

TBA  (9)

2.00%,

12/1/52 

21,975‌

18,099‌

3.00%,

12/1/52 

16,785‌

14,854‌

T.

ROWE

PRICE

New

Income

Fund

49

Par/Shares

$

Value

(Amounts

in

000s)

3.50%,

12/1/52 

5,360‌

4,906‌

4.50%,

12/1/52 

11,445‌

11,139‌

6.00%,

12/1/52 

98,565‌

100,775‌

3,271,582‌

U.S.

Government

Obligations

6.5%

Government

National

Mortgage

Assn. 

2.00%,

3/20/51

-

5/20/52 

234,122‌

199,949‌

2.50%,

8/20/50

-

3/20/52 

238,442‌

210,059‌

3.00%,

9/15/42

-

6/20/52 

201,311‌

183,272‌

3.50%,

9/15/41

-

10/20/49 

166,212‌

157,284‌

4.00%,

2/20/41

-

10/20/52 

108,488‌

104,356‌

4.50%,

7/15/26

-

10/20/52 

89,195‌

88,170‌

5.00%,

9/15/33

-

6/20/48 

41,756‌

42,713‌

5.50%,

10/20/32

-

3/20/49 

18,273‌

18,913‌

6.00%,

1/20/34

-

12/20/38 

2,263‌

2,400‌

6.50%,

1/15/26

-

12/15/31 

49‌

51‌

7.00%,

12/20/23

-

11/20/28 

15‌

15‌

7.50%,

7/15/28

-

8/15/28 

45‌

46‌

8.00%,

9/15/27

-

5/15/32 

119‌

121‌

8.50%,

1/15/23

-

9/20/26 

—‌

—‌

Government

National

Mortgage

Assn.,

CMO 

3.00%,

11/20/47

-

12/20/47 

3,239‌

2,979‌

3.50%,

10/20/50 

9,510‌

8,154‌

Government

National

Mortgage

Assn.,

CMO,

IO 

3.50%,

5/20/43 

3,167‌

508‌

4.00%,

5/20/37

-

2/20/43 

3,306‌

351‌

1,019,341‌

Total

U.S.

Government

&

Agency

Mortgage-Backed

Securities

(Cost

$4,587,803)

4,290,923‌

U.S.

GOVERNMENT

AGENCY

OBLIGATIONS

(EXCLUDING

MORTGAGE-BACKED)

23.0%

U.S.

Treasury

Obligations

23.0%

U.S.

Treasury

Bonds,

2.875%,

5/15/52 

350,400‌

291,215‌

U.S.

Treasury

Bonds,

3.00%,

8/15/52 

344,530‌

294,896‌

U.S.

Treasury

Bonds,

3.25%,

5/15/42 

255,200‌

229,082‌

U.S.

Treasury

Bonds,

3.375%,

8/15/42 

437,190‌

400,029‌

U.S.

Treasury

Bonds,

4.00%,

11/15/42 

232,235‌

233,287‌

U.S.

Treasury

Bonds,

4.00%,

11/15/52 

159,650‌

165,936‌

U.S.

Treasury

Notes,

0.25%,

5/15/24 

61,075‌

57,334‌

U.S.

Treasury

Notes,

0.625%,

10/15/24 

180,530‌

168,373‌

U.S.

Treasury

Notes,

1.00%,

12/15/24 

223,520‌

209,026‌

U.S.

Treasury

Notes,

1.125%,

1/15/25 

186,135‌

174,094‌

U.S.

Treasury

Notes,

1.75%,

3/15/25 

177,965‌

168,288‌

U.S.

Treasury

Notes,

3.00%,

7/15/25  (10)

711,855‌

691,278‌

T.

ROWE

PRICE

New

Income

Fund

50

Par/Shares

$

Value

(Amounts

in

000s)

U.S.

Treasury

Notes,

3.125%,

8/31/27 

215,625‌

209,055‌

U.S.

Treasury

Notes,

4.125%,

9/30/27 

285,515‌

288,995‌

U.S.

Treasury

Notes,

4.125%,

10/31/27 

7,870‌

7,970‌

Total

U.S.

Government

Agency

Obligations

(Excluding

Mortgage-

Backed)

(Cost

$3,756,399)

3,588,858‌

SHORT-TERM

INVESTMENTS

5.6%

Money

Market

Funds

5.6%

T.

Rowe

Price

Government

Reserve

Fund,

3.86%  (5)(11)

874,594‌

874,594‌

Total

Short-Term

Investments

(Cost

$874,594)

874,594‌

SECURITIES

LENDING

COLLATERAL

0.6%

INVESTMENTS

IN

A

POOLED

ACCOUNT

THROUGH

SECURITIES

LENDING

PROGRAM

WITH

JPMORGAN

CHASE

BANK

0.1%

Money

Market

Funds

0.1%

T.

Rowe

Price

Government

Reserve

Fund,

3.86%  (5)(11)

10,341‌

10,341‌

Total

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

JPMorgan

Chase

Bank

10,341‌

INVESTMENTS

IN

A

POOLED

ACCOUNT

THROUGH

SECURITIES

LENDING

PROGRAM

WITH

STATE

STREET

BANK

AND

TRUST

COMPANY

0.5%

Money

Market

Funds

0.5%

T.

Rowe

Price

Government

Reserve

Fund,

3.86%  (5)(11)

76,929‌

76,929‌

Total

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

State

Street

Bank

and

Trust

Company

76,929‌

Total

Securities

Lending

Collateral

(Cost

$87,270)

87,270‌

Total

Investments

in

Securities

100.2%

of

Net

Assets

(Cost

$16,803,952)

$

15,615,563‌

T.

ROWE

PRICE

New

Income

Fund

51

‡

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

$2,862,809

and

represents

18.4%

of

net

assets.

(2)

Bank

loan

positions

may

involve

multiple

underlying

tranches.

In

those

instances,

the

position

presented

reflects

the

aggregate

of

those

respe

ctive

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

November

30,

2022.

The

interest

rate

for

unsettled

loans

will

be

determined

upon

settlement

after

period

end.

(4)

All

or

a

portion

of

the

position

represents

an

unfunded

commitment;

a

liability

to

fund

the

commitment

has

been

recognized.

The

fund's

total

unfunded

commitment

at

November

30,

2022,

was

$1,603

and

was

valued

at

$1,598

(0.0%

of

net

assets).

(5)

Affiliated

Companies

(6)

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.

(7)

See

Note

4

.

All

or

a

portion

of

this

security

is

on

loan

at

November

30,

2022.

(8)

Perpetual

security

with

no

stated

maturity

date.

(9)

See

Note

4

.

To-Be-Announced

purchase

commitment.

Total

value

of

such

securities

at

period-end

amounts

to

$334,329

and

represents

2.1%

of

net

assets.

(10)

At

November

30,

2022,

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. 

CLO

Collateralized

Loan

Obligation

CMO

Collateralized

Mortgage

Obligation

EUR

Euro

FRN

Floating

Rate

Note

GBP

British

Pound

IO

Interest-only

security

for

which

the

fund

receives

interest

on

notional

principal

T.

ROWE

PRICE

New

Income

Fund

52

.

.

.

.

.

.

.

.

.

.

PO

Principal-only

security

for

which

the

fund

receives

regular

cash

flows

based

on

principal

repayments

PTT

Pass-Through

Trust

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

53

(Amounts

in

000s)

SWAPS

(0.0)%

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)

Unrealized

$

Gain/(Loss)

BILATERAL

SWAPS

0.0%

Credit

Default

Swaps,

Protection

Sold

0.0%

JPMorgan

Chase,

Protection

Sold

(Relevant

Credit:

Barclays

Bank,

A*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

6/20/24

(EUR)

5,777

30

67

(37‌)

Total

Bilateral

Credit

Default

Swaps,

Protection

Sold

67

(37‌)

Total

Bilateral

Swaps

67

(37‌)

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:

Republic

of

Indonesia,

Baa2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/27

80,000

431

(1,088)

1,519‌

Protection

Sold

(Relevant

Credit:

United

Mexican

States,

Baa2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/27

*

199,239

(2,123)

(6,980)

4,857‌

Total

Centrally

Cleared

Credit

Default

Swaps,

Protection

Sold

6,376‌

Total

Centrally

Cleared

Swaps

6,376‌

Net

payments

(receipts)

of

variation

margin

to

date

(6,066‌)

Variation

margin

receivable

(payable)

on

centrally

cleared

swaps

$

310‌

*

Credit

ratings

as

of

November

30,

2022.

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.

**

Includes

interest

purchased

or

sold

but

not

yet

collected

of

$22.

T.

ROWE

PRICE

New

Income

Fund

54

(Amounts

in

000s)

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

Counterparty

Settlement

Receive

Deliver

Unrealized

Gain/(Loss)

Morgan

Stanley

2/24/23

USD

16,384‌

EUR

15,722‌

$

(86‌)

State

Street

2/24/23

USD

33,235‌

EUR

31,921‌

(202‌)

UBS

Investment

Bank

2/24/23

EUR

6,011‌

USD

6,236‌

61‌

Net

unrealized

gain

(loss)

on

open

forward

currency

exchange

contracts

$

(227‌)

T.

ROWE

PRICE

New

Income

Fund

55

FUTURES

CONTRACTS

($000s)

Expiration

Date

Notional

Amount

Value

and

Unrealized

Gain

(Loss)

Short,

1,311

Long

Gilt

ten

year

contracts

3/23

(165,893)

$

256‌

Long,

443

U.S.

Treasury

Notes

ten

year

contracts

3/23

50,281

(104‌)

Long,

3,612

U.S.

Treasury

Notes

two

year

contracts

3/23

741,758

2,099‌

Long,

3,244

Ultra

U.S.

Treasury

Bonds

contracts

3/23

442,096

6,030‌

Long,

3,465

Ultra

U.S.

Treasury

Notes

ten

year

contracts

3/23

414,609

2,994‌

Net

payments

(receipts)

of

variation

margin

to

date

(9,404‌)

Variation

margin

receivable

(payable)

on

open

futures

contracts

$

1,871‌

T.

ROWE

PRICE

New

Income

Fund

56

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

AFFILIATED

COMPANIES

($000s)

The

fund

may

invest

in

certain

securities

that

are

considered

affiliated

companies.

As

defined

by

the

1940

Act,

an

affiliated

company

is

one

in

which

the

fund

owns

5%

or

more

of

the

outstanding

voting

securities,

or

a

company

that

is

under

common

ownership

or

control.

The

following

securities

were

considered

affiliated

companies

for

all

or

some

portion

of

the

six

months

ended

November

30,

2022.

Net

realized

gain

(loss),

investment

income,

change

in

net

unrealized

gain/loss,

and

purchase

and

sales

cost

reflect

all

activity

for

the

period

then

ended.

Affiliate

Net

Realized

Gain

(Loss)

Change

in

Net

Unrealized

Gain/Loss

Investment

Income

T.

Rowe

Price

Institutional

Floating

Rate

Fund

-

Z

Class,

7.99% 

$

(13,203‌)

$

9,411‌

$

5,152‌

T.

Rowe

Price

Government

Reserve

Fund,

3.86%

—‌

—‌

10,036‌++

Affiliates

not

held

at

period

end

(3,052‌)

42‌

1,488‌

Totals

$

(16,255‌)#

$

9,453‌

$

16,676‌+

Supplementary

Investment

Schedule

Affiliate

Value

05/31/22

Purchase

Cost

Sales

Cost

Value

11/30/22

T.

Rowe

Price

Institutional

Floating

Rate

Fund

-

Z

Class,

7.99% 

$

294,292‌

$

5,204‌

$

260,628‌

$

48,279‌

T.

Rowe

Price

Institutional

High

Yield

Fund

-

Z

Class 

47,190‌

1,278‌

48,510‌

—‌

T.

Rowe

Price

Government

Reserve

Fund,

3.86%

1,529,312‌

  ¤

  ¤

961,864‌

Total

$

1,010,143‌^

#

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

as

described

in

Note

4

.

+

Investment

income

comprised

$16,676

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

$1,006,165.

T.

ROWE

PRICE

New

Income

Fund

November

30,

2022

(Unaudited)

Statement

of

Assets

and

Liabilities

57

($000s,

except

shares

and

per

share

amounts)

Assets

Investments

in

securities,

at

value

(cost

$16,803,952)

$

15,615,563‌

Receivable

for

investment

securities

sold

792,719‌

Interest

receivable

87,806‌

Due

from

affiliates

2,959‌

Receivable

for

shares

sold

2,673‌

Variation

margin

receivable

on

futures

contracts

1,871‌

Variation

margin

receivable

on

centrally

cleared

swaps

310‌

Bilateral

swap

premiums

paid

67‌

Unrealized

gain

on

forward

currency

exchange

contracts

61‌

Foreign

currency

(cost

$1)

1‌

Other

assets

656‌

Total

assets

16,504,686‌

Liabilities

Payable

for

investment

securities

purchased

818,907‌

Obligation

to

return

securities

lending

collateral

87,270‌

Payable

for

shares

redeemed

11,700‌

Investment

management

fees

payable

3,984‌

Unrealized

loss

on

forward

currency

exchange

contracts

288‌

Unrealized

loss

on

bilateral

swaps

37‌

Payable

to

directors

7‌

Other

liabilities

2,883‌

Total

liabilities

925,076‌

NET

ASSETS

$

15,579,610‌

T.

ROWE

PRICE

New

Income

Fund

November

30,

2022

(Unaudited)

Statement

of

Assets

and

Liabilities

58

($000s,

except

shares

and

per

share

amounts)

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

Net

Assets

Consist

of:

Total

distributable

earnings

(loss)

$

(

2,848,250‌

)

Paid-in

capital

applicable

to

1,918,498,773

shares

of

$1.00

par

value

capital

stock

outstanding;

12,000,000,000

shares

authorized

18,427,860‌

NET

ASSETS

$

15,579,610‌

NET

ASSET

VALUE

PER

SHARE

Investor

Class

($857,966,965

/

105,548,285

shares

outstanding)

$

8.13‌

Advisor

Class

($10,002,344

/

1,233,363

shares

outstanding)

$

8.11‌

R

Class

($1,240,777

/

152,766

shares

outstanding)

$

8.12‌

I

Class

($2,687,434,803

/

330,981,258

shares

outstanding)

$

8.12‌

Z

Class

($12,022,964,853

/

1,480,583,101

shares

outstanding)

$

8.12‌

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Statement

of

Operations

59

($000s)

6

Months

Ended

11/30/22

Investment

Income

(Loss)

Income

    Interest

$

239,369‌

Dividend

16,676‌

Securities

lending

498‌

Other

1‌

Total

income

256,544‌

Expenses

Investment

management

25,645‌

Shareholder

servicing

Investor

Class

$

963‌

Advisor

Class

10‌

R

Class

2‌

I

Class

528‌

1,503‌

Rule

12b-1

fees

Advisor

Class

16‌

R

Class

3‌

19‌

Prospectus

and

shareholder

reports

Investor

Class

19‌

I

Class

1‌

Z

Class

2‌

22‌

Custody

and

accounting

286‌

Registration

65‌

Directors

21‌

Legal

and

audit

18‌

Miscellaneous

36‌

Waived

/

paid

by

Price

Associates

(20,545‌)

Total

expenses

7,070‌

Net

investment

income

249,474‌

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Statement

of

Operations

60

($000s)

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

6

Months

Ended

11/30/22

Realized

and

Unrealized

Gain

/

Loss

–

Net

realized

gain

(loss)

Securities

(610,379‌)

Futures

(234,538‌)

Swaps

(23,496‌)

Forward

currency

exchange

contracts

1,072‌

Foreign

currency

transactions

(50‌)

Net

realized

loss

(867,391‌)

Change

in

net

unrealized

gain

/

loss

Securities

(232,004‌)

Futures

40,607‌

Swaps

6,354‌

Forward

currency

exchange

contracts

1,173‌

Other

assets

and

liabilities

denominated

in

foreign

currencies

36‌

Change

in

net

unrealized

gain

/

loss

(183,834‌)

Net

realized

and

unrealized

gain

/

loss

(1,051,225‌)

DECREASE

IN

NET

ASSETS

FROM

OPERATIONS

$

(801,751‌)

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Statement

of

Changes

in

Net

Assets

61

($000s)

6

Months

Ended

11/30/22

Year

Ended

5/31/22

Increase

(Decrease)

in

Net

Assets

Operations

Net

investment

income

$

249,474‌

$

377,683‌

Net

realized

loss

(867,391‌)

(570,223‌)

Change

in

net

unrealized

gain

/

loss

(183,834‌)

(1,435,851‌)

Decrease

in

net

assets

from

operations

(801,751‌)

(1,628,391‌)

Distributions

to

shareholders

Net

earnings

Investor

Class

(12,208‌)

(64,996‌)

Advisor

Class

(151‌)

(288‌)

R

Class

(13‌)

(33‌)

I

Class

(38,809‌)

(54,707‌)

Z

Class

(196,488‌)

(478,357‌)

Decrease

in

net

assets

from

distributions

(247,669‌)

(598,381‌)

Capital

share

transactions

*

Shares

sold

Investor

Class

41,749‌

229,652‌

Advisor

Class

515‌

2,105‌

R

Class

61‌

263‌

I

Class

243,071‌

2,279,921‌

Z

Class

308,273‌

2,376,092‌

Distributions

reinvested

Investor

Class

11,600‌

61,630‌

Advisor

Class

149‌

283‌

R

Class

13‌

32‌

I

Class

37,478‌

53,154‌

Z

Class

196,488‌

478,357‌

Shares

redeemed

Investor

Class

(135,918‌)

(1,996,307‌)

Advisor

Class

(3,979‌)

(6,558‌)

R

Class

(157‌)

(743‌)

I

Class

(430,044‌)

(1,586,925‌)

Z

Class

(1,518,240‌)

(3,066,111‌)

Decrease

in

net

assets

from

capital

share

transactions

(1,248,941‌)

(1,175,155‌)

T.

ROWE

PRICE

New

Income

Fund

(Unaudited)

Statement

of

Changes

in

Net

Assets

62

($000s)

The

accompanying

notes

are

an

integral

part

of

these

financial

statements.

6

Months

Ended

11/30/22

Year

Ended

5/31/22

Net

Assets

Decrease

during

period

(2,298,361‌)

(3,401,927‌)

Beginning

of

period

17,877,971‌

21,279,898‌

End

of

period

$

15,579,610‌

$

17,877,971‌

*Share

information

(000s)

Shares

sold

Investor

Class

4,969‌

23,900‌

Advisor

Class

62‌

218‌

R

Class

7‌

28‌

I

Class

29,403‌

244,266‌

Z

Class

37,346‌

246,132‌

Distributions

reinvested

Investor

Class

1,411‌

6,425‌

Advisor

Class

18‌

30‌

R

Class

2‌

3‌

I

Class

4,563‌

5,651‌

Z

Class

23,912‌

50,389‌

Shares

redeemed

Investor

Class

(16,389‌)

(214,678‌)

Advisor

Class

(494‌)

(684‌)

R

Class

(19‌)

(77‌)

I

Class

(51,480‌)

(163,540‌)

Z

Class

(180,892‌)

(325,143‌)

Decrease

in

shares

outstanding

(147,581‌)

(127,080‌)

T.

ROWE

PRICE

New

Income

Fund

Unaudited

NOTES

TO

FINANCIAL

STATEMENTS

63

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

to

maximize

total

return

through

income

and

capital

appreciation.

The

fund

has

five classes

of

shares:

the

New

Income

Fund

(Investor

Class),

the

New

Income

Fund–Advisor

Class

(Advisor

Class),

the

New

Income

Fund–R

Class

(R

Class),

the

New

Income

Fund–I

Class

(I

Class)

and

the

New

Income

Fund–Z

Class

(Z

Class).

Advisor

Class

shares

are

sold

only

through

various

brokers

and

other

financial

intermediaries,

and

R

Class

shares

are

available

through

financial

intermediaries

for

employer-sponsored

defined

contribution

retirement

plans

and

certain

other

retirement

accounts.

I

Class

shares

require

a

$500,000

initial

investment

minimum,

although

the

minimum

generally

is

waived

or

reduced

for

financial

intermediaries,

eligible

retirement

plans,

and

certain

other

accounts.

Prior

to

November

15,

2021,

the

initial

investment

minimum

was

$1

million

and

was

generally

waived

for

financial

intermediaries,

eligible

retirement

plans,

and

other

certain

accounts.

As

a

result

of

the

reduction

in

the

I

Class

minimum,

certain

assets

transferred

from

the

Investor

Class

to

the

I

Class.

This

transfer

of

shares

from

Investor

Class

to

I

Class

is

reflected

in

the

Statement

of

Changes

in

Net

Assets

within

the

Capital

shares

transactions

as

Shares

redeemed

and

Shares

sold,

respectively.

The

Z

Class

is

only

available

to

funds

advised

by

T.

Rowe

Price

Associates,

Inc.

and

its

affiliates

and

other

clients

that

are

subject

to

a

contractual

fee

for

investment

management

services.

The

Advisor

Class

and

R

Class

each

operate

under

separate

Board-approved

Rule

12b-1

plans,

pursuant

to

which

each

class

compensates

financial

intermediaries

for

distribution,

shareholder

servicing,

and/or

certain

administrative

services;

the

Investor,

I

and

Z

Classes

do

not

pay

Rule

12b-1

fees. Each

class

has

exclusive

voting

rights

on

matters

related

solely

to

that

class;

separate

voting

rights

on

matters

that

relate

to

all

classes;

and,

in

all

other

respects,

the

same

rights

and

obligations

as

the

other

classes.

NOTE

1

-

SIGNIFICANT

ACCOUNTING

POLICIES 

Basis

of

Preparation

 The fund

is

an

investment

company

and

follows

accounting

and

reporting

guidance

in

the

Financial

Accounting

Standards

Board

(FASB)

Accounting

Standards

Codification

Topic

946

(ASC

946).

The

accompanying

financial

statements

were

prepared

in

accordance

with

accounting

principles

generally

accepted

in

the

United

States

of

America

(GAAP),

including,

but

not

limited

to,

ASC

946.

GAAP

requires

the

use

of

estimates

made

by

management.

Management

believes

that

estimates

T.

ROWE

PRICE

New

Income

Fund

64

and

valuations

are

appropriate;

however,

actual

results

may

differ

from

those

estimates,

and

the

valuations

reflected

in

the

accompanying

financial

statements

may

differ

from

the

value

ultimately

realized

upon

sale

or

maturity.

Investment

Transactions,

Investment

Income,

and

Distributions

Investment

transactions

are

accounted

for

on

the

trade

date

basis.

Income

and

expenses

are

recorded

on

the

accrual

basis.

Realized

gains

and

losses

are

reported

on

the

identified

cost

basis.

Premiums

and

discounts

on

debt

securities

are

amortized

for

financial

reporting

purposes.

Paydown

gains

and

losses

are

recorded

as

an

adjustment

to

interest

income.

Inflation

adjustments

to

the

principal

amount

of

inflation-indexed

bonds

are

reflected

as

interest

income.

Income

tax-related

interest

and

penalties,

if

incurred,

are

recorded

as

income

tax

expense.

Dividends

received

from

mutual

fund

investments

are

reflected

as

dividend

income;

capital

gain

distributions

are

reflected

as

realized

gain/

loss.

Dividend

income

and

capital

gain

distributions

are

recorded

on

the

ex-dividend

date.

Non-cash

dividends,

if

any,

are

recorded

at

the

fair

market

value

of

the

asset

received.

Distributions

to

shareholders

are

recorded

on

the

ex-dividend

date.

Income

distributions,

if

any, are

declared

by

each

class daily

and

paid

monthly.

A

capital

gain

distribution,

if

any, may

also

be

declared

and

paid

by

the

fund

annually.

Currency

Translation

 Assets,

including

investments,

and

liabilities

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.

Purchases

and

sales

of

securities,

income,

and

expenses

are

translated

into

U.S.

dollars

at

the

prevailing

exchange

rate

on

the

respective

date

of

such

transaction.

The

effect

of

changes

in

foreign

currency

exchange

rates

on

realized

and

unrealized

security

gains

and

losses

is

not

bifurcated

from

the

portion

attributable

to

changes

in

market

prices.

Class

Accounting

 Shareholder

servicing,

prospectus,

and

shareholder

report

expenses

incurred

by

each

class

are

charged

directly

to

the

class

to

which

they

relate.

Expenses

common

to

all

classes

and

investment

income

are

allocated

to

the

classes

based

upon

the

relative

daily

net

assets

of

each

class’s

settled

shares;

realized

and

unrealized

gains

and

losses

are

allocated

based

upon

the

relative

daily

net

assets

of

each

class’s

outstanding

shares.

The

Advisor

Class

and

R

Class

each

pay

Rule

12b-1

fees,

in

an

amount

not

exceeding

0.25%

and

0.50%,

respectively,

of

the

class’s

average

daily

net

assets.

Capital

Transactions

 Each

investor’s

interest

in

the

net

assets

of the

fund

is

represented

by

fund

shares. The

fund’s

net

asset

value

(NAV)

per

share

is

computed

at

the

close

of

the

New

York

Stock

Exchange

(NYSE),

normally

4

p.m.

ET,

each

day

the

NYSE

is

open

for

business.

However,

the

NAV

per

share

may

be

calculated

at

a

time

other

than

the

normal

close

of

the

NYSE

if

trading

on

the

NYSE

is

restricted,

if

the

NYSE

closes

earlier,

T.

ROWE

PRICE

New

Income

Fund

65

or

as

may

be

permitted

by

the

SEC.

Purchases

and

redemptions

of

fund

shares

are

transacted

at

the

next-computed

NAV

per

share,

after

receipt

of

the

transaction

order

by

T.

Rowe

Price

Associates,

Inc.,

or

its

agents.

New

Accounting

Guidance

The

FASB

issued

Accounting

Standards

Update

(ASU),

ASU

2020–04,

Reference

Rate

Reform

(Topic

848) –

Facilitation

of

the

Effects

of

Reference

Rate

Reform

on

Financial

Reporting

in

March

2020

and

ASU

2021-01

in

January

2021

which

provided

further

amendments

and

clarifications

to

Topic

848.

These

ASUs provide

optional,

temporary

relief

with

respect

to

the

financial

reporting

of

contracts

subject

to

certain

types

of

modifications

due

to

the

planned

discontinuation

of

the

London

Interbank

Offered

Rate

(LIBOR),

and

other

interbank-offered

based

reference

rates,

through December

31,

2022.

Management

intends

to

rely

upon

the

relief

provided

under

Topic

848,

which

is

not

expected to

have

a

material

impact

on

the fund's

financial  statements.

Indemnification

 In

the

normal

course

of

business, the

fund

may

provide

indemnification

in

connection

with

its

officers

and

directors,

service

providers,

and/or

private

company

investments. The

fund’s

maximum

exposure

under

these

arrangements

is

unknown;

however,

the

risk

of

material

loss

is

currently

considered

to

be

remote.

NOTE

2

-

VALUATION 

Fair

Value

  The

fund’s

financial

instruments

are

valued

at

the

close

of

the

NYSE

and

are

reported

at

fair

value,

which

GAAP

defines

as

the

price

that

would

be

received

to

sell

an

asset

or

paid

to

transfer

a

liability

in

an

orderly

transaction

between

market

participants

at

the

measurement

date. The fund’s

Board

of

Directors

(the

Board)

has

designated

T.

Rowe

Price

Associates,

Inc.

as

the

fund’s

valuation

designee

(Valuation

Designee).

Subject

to

oversight

by

the

Board,

the

Valuation

Designee

performs

the

following

functions

in

performing

fair

value

determinations:

assesses

and

manages

valuation

risks;

establishes

and

applies

fair

value

methodologies;

tests

fair

value

methodologies;

and

evaluates

pricing

vendors

and

pricing

agents.

The

duties

and

responsibilities

of

the

Valuation

Designee

are

performed

by

its

Valuation

Committee. The

Valuation

Designee provides

periodic

reporting

to

the

Board

on

valuation

matters.

Various

valuation

techniques

and

inputs

are

used

to

determine

the

fair

value

of

financial

instruments.

GAAP

establishes

the

following

fair

value

hierarchy

that

categorizes

the

inputs

used

to

measure

fair

value:

Level

1

–

quoted

prices

(unadjusted)

in

active

markets

for

identical

financial

instruments

that

the

fund

can

access

at

the

reporting

date

T.

ROWE

PRICE

New

Income

Fund

66

Level

2

–

inputs

other

than

Level

1

quoted

prices

that

are

observable,

either

directly

or

indirectly

(including,

but

not

limited

to,

quoted

prices

for

similar

financial

instruments

in

active

markets,

quoted

prices

for

identical

or

similar

financial

instruments

in

inactive

markets,

interest

rates

and

yield

curves,

implied

volatilities,

and

credit

spreads)

Level

3

–

unobservable

inputs

(including

the Valuation

Designee’s assumptions

in

determining

fair

value)

Observable

inputs

are

developed

using

market

data,

such

as

publicly

available

information

about

actual

events

or

transactions,

and

reflect

the

assumptions

that

market

participants

would

use

to

price

the

financial

instrument.

Unobservable

inputs

are

those

for

which

market

data

are

not

available

and

are

developed

using

the

best

information

available

about

the

assumptions

that

market

participants

would

use

to

price

the

financial

instrument.

GAAP

requires

valuation

techniques

to

maximize

the

use

of

relevant

observable

inputs

and

minimize

the

use

of

unobservable

inputs.

When

multiple

inputs

are

used

to

derive

fair

value,

the

financial

instrument

is

assigned

to

the

level

within

the

fair

value

hierarchy

based

on

the

lowest-level

input

that

is

significant

to

the

fair

value

of

the

financial

instrument.

Input

levels

are

not

necessarily

an

indication

of

the

risk

or

liquidity

associated

with

financial

instruments

at

that

level

but

rather

the

degree

of

judgment

used

in

determining

those

values.

Valuation

Techniques

Debt

securities

generally

are

traded

in

the over-the-counter

(OTC)

market

and

are

valued

at

prices

furnished

by

independent

pricing

services

or

by

broker

dealers

who

make

markets

in

such

securities.

When

valuing

securities,

the

independent

pricing

services

consider

the

yield

or

price

of

bonds

of

comparable

quality,

coupon,

maturity,

and

type,

as

well

as

prices

quoted

by

dealers

who

make

markets

in

such

securities.   

Investments

in

mutual

funds

are

valued

at

the

mutual

fund’s

closing

NAV

per

share

on

the

day

of

valuation.

Futures

contracts

are

valued

at

closing

settlement

prices.

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.

Assets

and

liabilities

other

than

financial

instruments,

including

short-

term

receivables

and

payables,

are

carried

at

cost,

or

estimated

realizable

value,

if

less,

which

approximates

fair

value. 

Investments

for

which

market

quotations are

not

readily

available

or

deemed

unreliable

are

valued

at

fair

value

as

determined

in

good

faith

by

the

Valuation

Designee.

The

Valuation

Designee

has

adopted

methodologies

for

determining

the

fair

value

of

investments

for

which

market

quotations

are

not

readily

available

or

deemed

unreliable,

including

the

use

of

other

pricing

sources.

Factors

used

in

determining

fair

value

vary

T.

ROWE

PRICE

New

Income

Fund

67

by

type

of

investment

and

may

include

market

or

investment

specific

considerations.

The

Valuation

Designee typically

will

afford

greatest

weight

to

actual

prices

in

arm’s

length

transactions,

to

the

extent

they

represent

orderly

transactions

between

market

participants,

transaction

information

can

be

reliably

obtained,

and

prices

are

deemed

representative

of

fair

value.

However,

the

Valuation

Designee may

also

consider

other

valuation

methods

such

as

market-based

valuation

multiples;

a

discount

or

premium

from

market

value

of

a

similar,

freely

traded

security

of

the

same

issuer;

discounted

cash

flows;

yield

to

maturity;

or

some

combination.

Fair

value

determinations

are

reviewed

on

a

regular

basis.

Because

any

fair

value

determination

involves

a

significant

amount

of

judgment,

there

is

a

degree

of

subjectivity

inherent

in

such

pricing

decisions. Fair

value

prices

determined

by

the

Valuation

Designee could

differ

from

those

of

other

market

participants,

and

it

is

possible

that

the

fair

value

determined

for

a

security

may

be

materially

different

from

the

value

that

could

be

realized

upon

the

sale

of

that

security.

T.

ROWE

PRICE

New

Income

Fund

68

Valuation

Inputs

  The

following

table

summarizes

the

fund’s

financial

instruments,

based

on

the

inputs

used

to

determine

their

fair

values

on

November

30,

2022

(for

further

detail

by

category,

please

refer

to

the

accompanying

Portfolio

of

Investments):

($000s)

Level

1

Level

2

Level

3

Total

Value

Assets

Fixed

Income

Securities

1

$

—‌

$

14,605,420‌

$

—‌

$

14,605,420‌

Bond

Mutual

Funds

48,279‌

—‌

—‌

48,279‌

Short-Term

Investments

874,594‌

—‌

—‌

874,594‌

Securities

Lending

Collateral

87,270‌

—‌

—‌

87,270‌

Total

Securities

1,010,143‌

14,605,420‌

—‌

15,615,563‌

Swaps*

—‌

6,406‌

—‌

6,406‌

Forward

Currency

Exchange

Contracts

—‌

61‌

—‌

61‌

Futures

Contracts*

11,379‌

—‌

—‌

11,379‌

Total

$

1,021,522‌

$

14,611,887‌

$

—‌

$

15,633,409‌

Liabilities

Forward

Currency

Exchange

Contracts

$

—‌

$

288‌

$

—‌

$

288‌

Futures

Contracts*

104‌

—‌

—‌

104‌

Total

$

104‌

$

288‌

$

—‌

$

392‌

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).

*

The

fair

value

presented

includes

cumulative

gain

(loss)

on

open

futures

contracts

and

centrally

cleared

swaps;

however,

the

net

value

reflected

on

the

accompanying

Portfolio

of

Investments

is

only

the

unsettled

variation

margin

receivable

(payable)

at

that

date.

T.

ROWE

PRICE

New

Income

Fund

69

NOTE

3

-

DERIVATIVE

INSTRUMENTS 

During

the

six

months ended

November

30,

2022,

the

fund

invested

in

derivative

instruments.

As

defined

by

GAAP,

a

derivative

is

a

financial

instrument

whose

value

is

derived

from

an

underlying

security

price,

foreign

exchange

rate,

interest

rate,

index

of

prices

or

rates,

or

other

variable;

it

requires

little

or

no

initial

investment

and

permits

or

requires

net

settlement.

The

fund

invests

in

derivatives

only

if

the

expected

risks

and

rewards

are

consistent

with

its

investment

objectives,

policies,

and

overall

risk

profile,

as

described

in

its

prospectus

and

Statement

of

Additional

Information.

The

fund

may

use

derivatives

for

a

variety

of

purposes

and

may

use

them

to

establish

both

long

and

short

positions

within

the

fund’s

portfolio.

Potential

uses

include

to

hedge

against

declines

in

principal

value,

increase

yield,

invest

in

an

asset

with

greater

efficiency

and

at

a

lower

cost

than

is

possible

through

direct

investment,

to

enhance

return,

or

to

adjust

portfolio

duration

and

credit

exposure.

The

risks

associated

with

the

use

of

derivatives

are

different

from,

and

potentially

much

greater

than,

the

risks

associated

with

investing

directly

in

the

instruments

on

which

the

derivatives

are

based.

The

fund

values

its

derivatives

at

fair

value

and

recognizes

changes

in

fair

value

currently

in

its

results

of

operations.

Accordingly,

the

fund

does

not

follow

hedge

accounting,

even

for

derivatives

employed

as

economic

hedges.

Generally,

the

fund

accounts

for

its

derivatives

on

a

gross

basis.

It

does

not

offset

the

fair

value

of

derivative

liabilities

against

the

fair

value

of

derivative

assets

on

its

financial

statements,

nor

does

it

offset

the

fair

value

of

derivative

instruments

against

the

right

to

reclaim

or

obligation

to

return

collateral.

The

following

table

summarizes

the

fair

value

of

the

fund’s

derivative

instruments

held

as

of

November

30,

2022,

and

the

related

location

on

the

accompanying

Statement

of

Assets

and

Liabilities,

presented

by

primary

underlying

risk

exposure:

T.

ROWE

PRICE

New

Income

Fund

70

Additionally,

the

amount

of

gains

and

losses

on

derivative

instruments

recognized

in

fund

earnings

during

the

six

months ended

November

30,

2022,

and

the

related

location

on

the

accompanying

Statement

of

Operations

is

summarized

in

the

following

table

by

primary

underlying

risk

exposure: 

($000s)

Location

on

Statement

of

Assets

and

Liabilities

Fair

Value*

Assets

Interest

rate

derivatives

Futures

$

11,379‌

Foreign

exchange

derivatives

Forwards

61‌

Credit

derivatives

Bilateral

Swaps

and

Premiums

,

Centrally

Cleared

Swaps

6,406‌

*

Total

$

17,846‌

*

Liabilities

Interest

rate

derivatives

Futures

$

104‌

Foreign

exchange

derivatives

Forwards

288‌

Total

$

392‌

*

The

fair

value

presented

includes

cumulative

gain

(loss)

on

open

futures

contracts

and

centrally

cleared

swaps;

however,

the

value

reflected

on

the

accompanying

Statement

of

Assets

and

Liabilities

is

only

the

unsettled

variation

margin

receivable

(payable)

at

that

date.

($000s)                                              

Location

of

Gain

(Loss)

on

Statement

of

Operations

Futures

Forward

Currency

Exchange

Contracts

Swaps

Total

Realized

Gain

(Loss)

Interest

rate

derivatives

$

(234,538‌)

$

—‌

$

—‌

$

(234,538‌)

Foreign

exchange

derivatives

—‌

1,072‌

—‌

1,072‌

Credit

derivatives

—‌

—‌

(23,496‌)

(23,496‌)

Total

$

(234,538‌)

$

1,072‌

$

(23,496‌)

$

(256,962‌)

T.

ROWE

PRICE

New

Income

Fund

71

Counterparty

Risk

and

Collateral

 The

fund

invests

in

derivatives

in

various

markets,

which

expose

it

to

differing

levels

of

counterparty

risk.

Counterparty

risk

on

exchange-

traded

and

centrally

cleared

derivative

contracts,

such

as

futures,

exchange-traded

options,

and

centrally

cleared

swaps,

is

minimal

because

the

clearinghouse

provides

protection

against

counterparty

defaults.

For

futures

and

centrally

cleared

swaps,

the

fund

is

required

to

deposit

collateral

in

an

amount

specified

by

the

clearinghouse

and

the

clearing

firm

(margin

requirement),

and

the

margin

requirement

must

be

maintained

over

the

life

of

the

contract.

Each

clearinghouse

and

clearing

firm,

in

its

sole

discretion,

may

adjust

the

margin

requirements

applicable

to

the

fund.

Derivatives,

such

as

bilateral

swaps,

forward

currency

exchange

contracts,

and

OTC

options,

that

are

transacted

and

settle

directly

with

a

counterparty

(bilateral

derivatives)

may

expose

the

fund

to

greater

counterparty

risk.

To

mitigate

this

risk,

the

fund

has

entered

into

master

netting

arrangements

(MNAs)

with

certain

counterparties

that

permit

net

settlement

under

specified

conditions

and,

for

certain

counterparties,

also

require

the

exchange

of

collateral

to

cover

mark-to-market

exposure.

MNAs

may

be

in

the

form

of

International

Swaps

and

Derivatives

Association

master

agreements

(ISDAs)

or

foreign

exchange

letter

agreements

(FX

letters).

MNAs

provide

the

ability

to

offset

amounts

the

fund

owes

a

counterparty

against

amounts

the

counterparty

owes

the

fund

(net

settlement).

Both

ISDAs

and

FX

letters

generally

allow

termination

of

transactions

and

net

settlement

upon

the

occurrence

of

contractually

specified

events,

such

as

failure

to

pay

or

bankruptcy.

In

addition,

ISDAs

specify

other

events,

the

occurrence

of

which

would

allow

one

of

the

parties

to

terminate.

For

example,

a

downgrade

in

credit

rating

of

a

counterparty

below

a

specified

rating

would

allow

the

fund

to

terminate,

while

a

decline

in

the

fund’s

net

assets

of

more

than

a

specified

percentage

would

allow

the

counterparty

to

terminate.

($000s)                                                

Location

of

Gain

(Loss)

on

Statement

of

Operations

Futures

Forward

Currency

Exchange

Contracts

Swaps

Total

Change

in

Unrealized

Gain

(Loss)

Interest

rate

derivatives

$

40,607‌

$

—‌

$

—‌

$

40,607‌

Foreign

exchange

derivatives

—‌

1,173‌

—‌

1,173‌

Credit

derivatives

—‌

—‌

6,354‌

6,354‌

Total

$

40,607‌

$

1,173‌

$

6,354‌

$

48,134‌

T.

ROWE

PRICE

New

Income

Fund

72

Upon

termination,

all

transactions

with

that

counterparty

would

be

liquidated

and

a

net

termination

amount

settled.

ISDAs

typically

include

collateral

agreements

whereas

FX

letters

do

not.

Collateral

requirements

are

determined

daily

based

on

the

net

aggregate

unrealized

gain

or

loss

on

all

bilateral

derivatives

with

a

counterparty,

subject

to

minimum

transfer

amounts

that

typically

range

from

$100,000

to

$250,000.

Any

additional

collateral

required

due

to

changes

in

security

values

is

typically

transferred

the

next

business

day.

Collateral

may

be

in

the

form

of

cash

or

debt

securities

issued

by

the

U.S.

government

or

related

agencies,

although

other

securities

may

be

used

depending

on

the

terms

outlined

in

the

applicable

MNA.

Cash

posted

by

the

fund

is

reflected

as

cash

deposits

in

the

accompanying

financial

statements

and

generally

is

restricted

from

withdrawal

by

the

fund;

securities

posted

by

the

fund

are

so

noted

in

the

accompanying

Portfolio

of

Investments;

both

remain

in

the

fund’s

assets.

Collateral

pledged

by

counterparties

is

not

included

in

the

fund’s

assets

because

the

fund

does

not

obtain

effective

control

over

those

assets.

For

bilateral

derivatives,

collateral

posted

or

received

by

the

fund

is

held

in

a

segregated

account

at

the

fund’s

custodian.

While

typically

not

sold

in

the

same

manner

as

equity

or

fixed

income

securities,

exchange-traded

or

centrally

cleared

derivatives

may

be

closed

out

only

on

the

exchange

or

clearinghouse

where

the

contracts

were

cleared,

and

OTC

and

bilateral

derivatives

may

be

unwound

with

counterparties

or

transactions

assigned

to

other

counterparties

to

allow

the

fund

to

exit

the

transaction.

This

ability

is

subject

to

the

liquidity

of

underlying

positions. As

of

November

30,

2022,

no

collateral

was

pledged

by

either

the

fund

or

counterparties for

bilateral

derivatives. As

of

November

30,

2022,

securities

valued

at $151,754,000

had

been

posted

by

the

fund

for

exchange-traded

and/or

centrally

cleared

derivatives.

Forward

Currency

Exchange

Contracts

 The

fund

is

subject

to

foreign

currency

exchange

rate

risk

in

the

normal

course

of

pursuing

its

investment

objectives.

It may use

forward

currency

exchange

contracts

(forwards)

primarily

to

protect

its

non-U.S.

dollar-

denominated

securities

from

adverse

currency

movements

or

to

increase

exposure

to

a

particular

foreign

currency,

to

shift

the

fund’s

foreign

currency

exposure

from

one

country

to

another,

or

to

enhance

the

fund’s

return.

A

forward

involves

an

obligation

to

purchase

or

sell

a

fixed

amount

of

a

specific

currency

on

a

future

date

at

a

price

set

at

the

time

of

the

contract.

Although

certain

forwards

may

be

settled

by

exchanging

only

the

net

gain

or

loss

on

the

contract,

most

forwards

are

settled

with

the

exchange

of

the

underlying

currencies

in

accordance

with

the

specified

terms.

Forwards

are

valued

at

the

unrealized

gain

or

loss

on

the

contract,

which

reflects

the

net

amount

the

fund

either

is

entitled

to

receive

or

obligated

to

deliver,

as

measured

by

the

difference

between

the

forward

exchange

rates

at

the

date

of

entry

into

the

contract

and

the

forward

rates

at

the

reporting

date.

Appreciated

forwards

are

reflected

as

assets

and

depreciated

forwards

T.

ROWE

PRICE

New

Income

Fund

73

are

reflected

as

liabilities

on

the

accompanying

Statement

of

Assets

and

Liabilities.

Risks

related

to

the

use

of

forwards

include

the

possible

failure

of

counterparties

to

meet

the

terms

of

the

agreements;

that

anticipated

currency

movements

will

not

occur,

thereby

reducing

the

fund’s

total

return;

and

the

potential

for

losses

in

excess

of

the

fund’s

initial

investment.

During

the

six

months ended

November

30,

2022,

the

volume

of

the

fund’s

activity

in

forwards,

based

on

underlying

notional

amounts,

was

generally

between

0%

and

1%

of

net

assets.

Futures

Contracts

 The

fund

is

subject

to interest

rate

risk in

the

normal

course

of

pursuing

its

investment

objectives

and

uses

futures

contracts

to

help

manage

such

risk.

The

fund

may

enter

into

futures

contracts

to

manage

exposure

to

interest

rate

and

yield

curve

movements,

security

prices,

foreign

currencies,

credit

quality,

and

mortgage

prepayments;

as

an

efficient

means

of

adjusting

exposure

to

all

or

part

of

a

target

market;

to

enhance

income;

as

a

cash

management

tool;

or

to

adjust

portfolio

duration

and

credit

exposure. A

futures

contract

provides

for

the

future

sale

by

one

party

and

purchase

by

another

of

a

specified

amount

of

a

specific

underlying

financial

instrument

at

an

agreed-upon

price,

date,

time,

and

place.

The

fund

currently

invests

only

in

exchange-traded

futures,

which

generally

are

standardized

as

to

maturity

date,

underlying

financial

instrument,

and

other

contract

terms.

Payments

are

made

or

received

by

the

fund

each

day

to

settle

daily

fluctuations

in

the

value

of

the

contract

(variation

margin),

which

reflect

changes

in

the

value

of

the

underlying

financial

instrument.

Variation

margin

is

recorded

as

unrealized

gain

or

loss

until

the

contract

is

closed.

The

value

of

a

futures

contract

included

in

net

assets

is

the

amount

of

unsettled

variation

margin;

net

variation

margin

receivable

is

reflected

as

an

asset

and

net

variation

margin

payable

is

reflected

as

a

liability

on

the

accompanying

Statement

of

Assets

and

Liabilities.

Risks

related

to

the

use

of

futures

contracts

include

possible

illiquidity

of

the

futures

markets,

contract

prices

that

can

be

highly

volatile

and

imperfectly

correlated

to

movements

in

hedged

security

values

and/or

interest

rates,

and

potential

losses

in

excess

of

the

fund’s

initial

investment.

During

the

six

months ended

November

30,

2022,

the

volume

of

the

fund’s

activity

in

futures,

based

on

underlying

notional

amounts,

was

generally

between

10%

and

18%

of

net

assets.

Swaps

 The

fund

is

subject

to

credit

risk in

the

normal

course

of

pursuing

its

investment

objectives

and

uses

swap

contracts

to

help

manage

such

risk.

The

fund

may

use

swaps

in

an

effort

to

manage

both

long

and

short

exposure

to

changes

in

interest

rates,

inflation

rates,

and

credit

quality;

to

adjust

overall

exposure

to

certain

markets;

to

enhance

total

return

or

protect

the

value

of

portfolio

securities;

to

serve

as

a

cash

management

tool;

or

to

adjust

portfolio

duration

and

credit

exposure.

Swap

agreements

can

be

settled

either

directly

with

the

counterparty

(bilateral

swap)

or

through

a

central

clearinghouse

(centrally

cleared

swap).

Fluctuations

in

the

fair

value

of

a

contract

are

reflected

in

T.

ROWE

PRICE

New

Income

Fund

74

unrealized

gain

or

loss

and

are

reclassified

to

realized

gain

or

loss

upon

contract

termination

or

cash

settlement.

Net

periodic

receipts

or

payments

required

by

a

contract

increase

or

decrease,

respectively,

the

value

of

the

contract

until

the

contractual

payment

date,

at

which

time

such

amounts

are

reclassified

from

unrealized

to

realized

gain

or

loss.

For

bilateral

swaps,

cash

payments

are

made

or

received

by

the

fund

on

a

periodic

basis

in

accordance

with

contract

terms;

unrealized

gain

on

contracts

and

premiums

paid

are

reflected

as

assets

and

unrealized

loss

on

contracts

and

premiums

received

are

reflected

as

liabilities

on

the

accompanying

Statement

of

Assets

and

Liabilities.

For

bilateral

swaps,

premiums

paid

or

received

are

amortized

over

the

life

of

the

swap

and

are

recognized

as

realized

gain

or

loss

in

the

Statement

of

Operations.

For

centrally

cleared

swaps,

payments

are

made

or

received

by

the

fund

each

day

to

settle

the

daily

fluctuation

in

the

value

of

the

contract

(variation

margin).

Accordingly,

the

value

of

a

centrally

cleared

swap

included

in

net

assets

is

the

unsettled

variation

margin;

net

variation

margin

receivable

is

reflected

as

an

asset

and

net

variation

margin

payable

is

reflected

as

a

liability

on

the

accompanying

Statement

of

Assets

and

Liabilities.

Credit

default

swaps

are

agreements

where

one

party

(the

protection

buyer)

agrees

to

make

periodic

payments

to

another

party

(the

protection

seller)

in

exchange

for

protection

against

specified

credit

events,

such

as

certain

defaults

and

bankruptcies

related

to

an

underlying

credit

instrument,

or

issuer

or

index

of

such

instruments.

Upon

occurrence

of

a

specified

credit

event,

the

protection

seller

is

required

to

pay

the

buyer

the

difference

between

the

notional

amount

of

the

swap

and

the

value

of

the

underlying

credit,

either

in

the

form

of

a

net

cash

settlement

or

by

paying

the

gross

notional

amount

and

accepting

delivery

of

the

relevant

underlying

credit.

For

credit

default

swaps

where

the

underlying

credit

is

an

index,

a

specified

credit

event

may

affect

all

or

individual

underlying

securities

included

in

the

index

and

will

be

settled

based

upon

the

relative

weighting

of

the

affected

underlying

security(ies)

within

the

index. Generally,

the

payment

risk

for

the

seller

of

protection

is

inversely

related

to

the

current

market

price

or

credit

rating

of

the

underlying

credit

or

the

market

value

of

the

contract

relative

to

the

notional

amount,

which

are

indicators

of

the

markets’

valuation

of

credit

quality.

As

of

November

30,

2022,

the

notional

amount

of

protection

sold

by

the

fund

totaled $285,251,000

(1.8%

of

net

assets),

which

reflects

the

maximum

potential

amount

the

fund

could

be

required

to

pay

under

such

contracts.

Risks

related

to

the

use

of

credit

default

swaps

include

the

possible

inability

of

the

fund

to

accurately

assess

the

current

and

future

creditworthiness

of

underlying

issuers,

the

possible

failure

of

a

counterparty

to

perform

in

accordance

with

the

terms

of

the

swap

agreements,

potential

government

regulation

that

could

adversely

affect

the

fund’s

swap

investments,

and

potential

losses

in

excess

of

the

fund’s

initial

investment.

T.

ROWE

PRICE

New

Income

Fund

75

During

the

six

months ended

November

30,

2022,

the

volume

of

the

fund’s

activity

in

swaps,

based

on

underlying

notional

amounts,

was

generally

between

1%

and

7%

of

net

assets.

NOTE

4

-

OTHER

INVESTMENT

TRANSACTIONS 

Consistent

with

its

investment

objective,

the

fund

engages

in

the

following

practices

to

manage

exposure

to

certain

risks

and/or

to

enhance

performance.

The

investment

objective,

policies,

program,

and

risk

factors

of

the

fund

are

described

more

fully

in

the

fund’s

prospectus

and

Statement

of

Additional

Information.

Restricted

Securities

 The

fund

invests

in

securities

that

are

subject

to

legal

or

contractual

restrictions

on

resale.

Prompt

sale

of

such

securities

at

an

acceptable

price

may

be

difficult

and

may

involve

substantial

delays

and

additional

costs.

Collateralized

Loan

Obligations

 The

fund

invests

in

collateralized

loan

obligations

(CLOs)

which

are

entities

backed

by

a

diversified

pool

of

syndicated

bank

loans.

The

cash

flows

of

the

CLO

can

be

split

into

multiple

segments,

called

“tranches”

or

“classes”,

which

will

vary

in

risk

profile

and

yield.

The

riskiest

segments,

which

are

the

subordinate

or

“equity”

tranches,

bear

the

greatest

risk

of

loss

from

defaults

in

the

underlying

assets

of

the

CLO

and

serve

to

protect

the

other,

more

senior,

tranches.

Senior

tranches

will

typically

have

higher

credit

ratings

and

lower

yields

than

the

securities

underlying

the

CLO.

Despite

the

protection

from

the

more

junior

tranches,

senior

tranches

can

experience

substantial

losses. 

Mortgage-Backed

Securities

 The

fund

invests

in

mortgage-backed

securities

(MBS

or

pass-through

certificates)

that

represent

an

interest

in

a

pool

of

specific

underlying

mortgage

loans

and

entitle

the

fund

to

the

periodic

payments

of

principal

and

interest

from

those

mortgages.

MBS

may

be

issued

by

government

agencies

or

corporations,

or

private

issuers.

Most

MBS

issued

by

government

agencies

are

guaranteed;

however,

the

degree

of

protection

differs

based

on

the

issuer.

The

fund

also

invests

in

stripped

MBS,

created

when

a

traditional

MBS

is

split

into

an

interest-only

(IO)

and

a

principal-

only

(PO)

strip.

MBS,

including

IOs

and

POs, are

sensitive

to

changes

in

economic

conditions

that

affect

the

rate

of

prepayments

and

defaults

on

the

underlying

mortgages;

accordingly,

the

value,

income,

and

related

cash

flows

from

MBS

may

be

more

volatile

than

other

debt

instruments.

IOs

also

risk

loss

of

invested

principal

from

faster-

than-anticipated

prepayments.

TBA

Purchase,

Sale

Commitments

and

Forward

Settling

Mortgage

Obligations

 The

fund

enters

into

to-be-announced

(TBA)

purchase

or

sale

commitments

(collectively,

TBA

transactions),

pursuant

to

which

it

agrees

to

purchase

or

sell,

respectively,

T.

ROWE

PRICE

New

Income

Fund

76

mortgage-backed

securities

for

a

fixed

unit

price,

with

payment

and

delivery

at

a

scheduled

future

date

beyond

the

customary

settlement

period

for

such

securities.

With

TBA

transactions,

the

particular

securities

to

be

received

or

delivered

by

the

fund

are

not

identified

at

the

trade

date;

however,

the

securities

must

meet

specified

terms,

including

rate

and

mortgage

term,

and

be

within

industry-accepted

“good

delivery”

standards.

The

fund

may

enter

into

TBA

transactions

with

the

intention

of

taking

possession

of

or

relinquishing

the

underlying

securities,

may

elect

to

extend

the

settlement

by

“rolling”

the

transaction,

and/or

may

use

TBA

transactions

to

gain

or

reduce

interim

exposure

to

underlying

securities.

Until

settlement,

the

fund

maintains

liquid

assets

sufficient

to

settle

its

commitment

to

purchase

a

TBA

or,

in

the

case

of

a

sale

commitment,

the

fund

maintains

an

entitlement

to

the

security

to

be

sold. 

To

mitigate

counterparty

risk,

the

fund

has

entered

into

Master

Securities

Forward

Transaction

Agreements

(MSFTA)

with

counterparties

that

provide

for

collateral

and

the

right

to

offset

amounts

due

to

or

from

those

counterparties

under

specified

conditions.

Subject

to

minimum

transfer

amounts,

collateral

requirements

are

determined

and

transfers

made

based

on

the

net

aggregate

unrealized

gain

or

loss

on

all

TBA

commitments

and

other

forward

settling

mortgage

obligations

with

a

particular

counterparty

(collectively,

MSFTA

Transactions).

At

any

time,

the

fund’s

risk

of

loss

from

a

particular

counterparty

related

to

its

MSFTA

Transactions

is

the

aggregate

unrealized

gain

on

appreciated

MSFTA

Transactions

in

excess

of

unrealized

loss

on

depreciated

MSFTA

Transactions

and

collateral

received,

if

any,

from

such

counterparty. As

of

November

30,

2022,

securities

valued

at

$118,000 had

been

posted

by

the

fund

to

counterparties

for

MSFTA

Transactions. Collateral

pledged

by

counterparties

to

the

fund

for

MSFTA

Transactions

consisted

of $4,335,000

cash

and

securities

valued

at

$8,585,000

as

of

November

30,

2022. 

Dollar

Rolls 

 The

fund

enters

into

dollar

roll

transactions,

pursuant

to

which

it

sells

a

mortgage-backed

TBA

or

security

and

simultaneously

agrees

to

purchase

a

similar,

but

not

identical,

TBA

with

the

same

issuer,

rate,

and

terms

on

a

later

date

at

a

set

price

from

the

same

counterparty.

The

fund

may

execute

a

“roll”

to

obtain

better

underlying

mortgage

securities

or

to

enhance

returns.

While

the

fund

may

enter

into

dollar

roll

transactions

with

the

intention

of

taking

possession

of

the

underlying

mortgage

securities,

it

may

also

close

a

contract

prior

to

settlement

or

“roll”

settlement

to

a

later

date

if

deemed

to

be

in

the

best

interest

of

shareholders.

Actual

mortgages

received

by

the

fund

may

be

less

favorable

than

those

anticipated.

The

fund

accounts

for

dollar

roll

transactions

as

purchases

and

sales,

which

has

the

effect

of

increasing

its

portfolio

turnover

rate. 

T.

ROWE

PRICE

New

Income

Fund

77

Bank

Loans

 The

fund

invests

in

bank

loans,

which

represent

an

interest

in

amounts

owed

by

a

borrower

to

a

syndicate

of

lenders.

Bank

loans

are

generally

noninvestment

grade

and

often

involve

borrowers

whose

financial

condition

is

highly

leveraged.

The

fund

may

invest

in

fixed

and

floating

rate

loans,

which

may

include

senior

floating

rate

loans;

secured

and

unsecured

loans,

second

lien

or

more

junior

loans;

and

bridge

loans

or

bridge

facilities.

Certain

bank

loans

may

be

revolvers

which

are

a

form

of

senior

bank

debt,

where

the

borrower

can

draw

down

the

credit

of

the

revolver

when

it

needs

cash

and

repays

the

credit

when

the

borrower

has

excess

cash.

Certain

loans

may

be

“covenant-lite”

loans,

which

means

the

loans

contain

fewer

maintenance

covenants

than

other

loans

(in

some

cases,

none)

and

do

not

include

terms

which

allow

the

lender

to

monitor

the

performance

of

the

borrower

and

declare

a

default

if

certain

criteria

are

breached.

As

a

result

of

these

risks,

the

fund’s

exposure

to

losses

may

be

increased.

Bank

loans

may

be

in

the

form

of

either

assignments

or

participations.

A

loan

assignment

transfers

all

legal,

beneficial,

and

economic

rights

to

the

buyer,

and

transfer

typically

requires

consent

of

both

the

borrower

and

agent.

In

contrast,

a

loan

participation

generally

entitles

the

buyer

to

receive

the

cash

flows

from

principal,

interest,

and

any

fee

payments

on

a

portion

of

a

loan;

however,

the

seller

continues

to

hold

legal

title

to

that

portion

of

the

loan.

As

a

result,

the

buyer

of

a

loan

participation

generally

has

no

direct

recourse

against

the

borrower

and

is

exposed

to

credit

risk

of

both

the

borrower

and

seller

of

the

participation.

Bank

loans

often

have

extended

settlement

periods,

generally

may

be

repaid

at

any

time

at

the

option

of

the

borrower,

and

may

require

additional

principal

to

be

funded

at

the

borrowers’

discretion

at

a

later

date

(e.g.

unfunded

commitments

and

revolving

debt

instruments).

Until

settlement,

the

fund

maintains

liquid

assets

sufficient

to

settle

its

unfunded

loan

commitments.

The

fund

reflects

both

the

funded

portion

of

a

bank

loan

as

well

as

its

unfunded

commitment

in

the

Portfolio

of

Investments.

However,

if

a

credit

agreement

provides

no

initial

funding

of

a

tranche,

and

funding

of

the

full

commitment

at

a

future

date(s)

is

at

the

borrower’s

discretion

and

considered

uncertain,

a

loan

is

reflected

in

the

Portfolio

of

Investments

only

if,

and

only

to

the

extent

that,

the

fund

has

actually

settled

a

funding

commitment.

LIBOR

Transition

 The fund

may

invest

in

instruments

that

are

tied

to

reference

rates,

including

London

Interbank

Offered

Rate

(LIBOR).

Over

the

course

of

the

last

several

years,

global

regulators

have

indicated

an

intent

to

phase

out

the

use

of

LIBOR

and

similar

interbank

offered

rates

(IBOR).

While

publication

for

most

LIBOR

currencies

and

lesser-used

USD

LIBOR

settings

ceased

immediately

after

December

31,

2021,

remaining

USD

LIBOR

settings

will

continue

to

be

published

until

June

30,

2023.

There

remains

uncertainty

regarding

the

future

utilization

of

LIBOR

and

the

nature

of

any

replacement

rate.

Any

potential

effects

of

the

transition

away

from

LIBOR

on

T.

ROWE

PRICE

New

Income

Fund

78

the fund,

or

on

certain

instruments

in

which

the fund

invests,

cannot

yet

be

determined.

The

transition

process

may

result

in,

among

other

things,

an

increase

in

volatility

or

illiquidity

of

markets

for

instruments

that

currently

rely

on

LIBOR,

a

reduction

in

the

value

of

certain

instruments

held

by

the fund,

or

a

reduction

in

the

effectiveness

of

related

fund

transactions

such

as

hedges.

Any

such

effects

could

have

an

adverse

impact

on

the fund's

performance.

Securities

Lending

 The fund

may

lend

its

securities

to

approved

borrowers

to

earn

additional

income.

Its

securities

lending

activities

are

administered

by

a

lending

agent

in

accordance

with

a

securities

lending

agreement.

Security

loans

generally

do

not

have

stated

maturity

dates,

and

the

fund

may

recall

a

security

at

any

time.

The

fund

receives

collateral

in

the

form

of

cash

or

U.S.

government

securities.

Collateral

is

maintained

over

the

life

of

the

loan

in

an

amount

not

less

than

the

value

of

loaned

securities;

any

additional

collateral

required

due

to

changes

in

security

values

is

delivered

to

the

fund

the

next

business

day.

Cash

collateral

is

invested

in

accordance

with

investment

guidelines

approved

by

fund

management.

Additionally,

the

lending

agent

indemnifies

the

fund

against

losses

resulting

from

borrower

default.

Although

risk

is

mitigated

by

the

collateral

and

indemnification,

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,

collateral

investments

decline

in

value,

and

the

lending

agent

fails

to

perform.

Securities

lending

revenue

consists

of

earnings

on

invested

collateral

and

borrowing

fees,

net

of

any

rebates

to

the

borrower,

compensation

to

the

lending

agent,

and

other

administrative

costs.

In

accordance

with

GAAP,

investments

made

with

cash

collateral

are

reflected

in

the

accompanying

financial

statements,

but

collateral

received

in

the

form

of

securities

is

not.

At

November

30,

2022,

the

value

of

loaned

securities

was

$84,393,000;

the

value

of

cash

collateral

and

related

investments

was

$87,270,000.

Other 

Purchases

and

sales

of

portfolio

securities

other

than

short-term and

U.S.

government

securities

aggregated $963,085,000 and

$2,107,439,000,

respectively,

for

the

six

months ended

November

30,

2022.

Purchases

and

sales

of

U.S.

government

securities

aggregated

$12,459,134,000 and

$13,067,224,000,

respectively,

for

the

six

months ended

November

30,

2022.

NOTE

5

-

FEDERAL

INCOME

TAXES

No

provision

for

federal

income

taxes

is

required

since

the

fund

intends

to

continue

to

qualify

as

a

regulated

investment

company

under

Subchapter

M

of

the

Internal

Revenue

Code

and

distribute

to

shareholders

all

of

its

taxable

income

and

gains.

Distributions

determined

in

accordance

with

federal

income

tax

regulations

may

differ

in

amount

or

character

from

net

investment

income

and

realized

gains

for

financial

reporting

T.

ROWE

PRICE

New

Income

Fund

79

purposes.

Financial

reporting

records

are

adjusted

for

permanent

book/tax

differences

to

reflect

tax

character

but

are

not

adjusted

for

temporary

differences.

The

amount

and

character

of

tax-basis

distributions

and

composition

of

net

assets

are

finalized

at

fiscal

year-end;

accordingly,

tax-basis

balances

have

not

been

determined

as

of

the

date

of

this

report.

At

November

30,

2022,

the

cost

of

investments

(including

derivatives,

if

any) for

federal

income

tax

purposes

was

$16,797,413,000.

Net

unrealized

loss

aggregated

$1,172,455,000

at

period-end,

of

which

$47,910,000

related

to

appreciated

investments

and

$1,220,365,000

related

to

depreciated

investments.

NOTE

6

-

RELATED

PARTY

TRANSACTIONS

The

fund

is

managed

by

T.

Rowe

Price

Associates,

Inc.

(Price

Associates),

a

wholly

owned

subsidiary

of

T.

Rowe

Price

Group,

Inc.

(Price

Group). Price

Associates

has

entered

into

a

sub-advisory

agreement(s)

with

one

or

more

of

its

wholly

owned

subsidiaries,

to

provide

investment

advisory

services

to

the

fund. The

investment

management

agreement

between

the

fund

and

Price

Associates

provides

for

an

annual

investment

management

fee

that

consists

of

an

individual

fund

fee

and

a

group

fee;

management

fees

are

computed

daily

and

paid

monthly.

The

investment

management

agreement

provides

for

an

individual

fund

fee

equal

to

0.03%

of

the fund’s

average

daily

net

assets.

The

group

fee

rate

is

calculated

based

on

the

combined

net

assets

of

certain

mutual

funds

sponsored

by

Price

Associates

(the

group)

applied

to

a

graduated

fee

schedule,

with

rates

ranging

from

0.48%

for

the

first

$1

billion

of

assets

to

0.260%

for

assets

in

excess

of

$845

billion.

The

fund’s

group

fee

is

determined

by

applying

the

group

fee

rate

to

the

fund’s

average

daily

net

assets.

At November

30,

2022,

the

effective

annual

group

fee

rate

was

0.29%. Effective

October

1,

2022,

Price

Associates

has

contractually

agreed,

at

least

through

September

30,

2023,

to

waive

a

portion

of

its

management

fee

so

that

an

individual

fund

fee

of 0.0255%

is

applied

to

the

fund’s

average

daily

net

assets

that

are

equal

to

or

greater

than $20 billion.

Thereafter,

this

agreement

will

automatically

renew

for

one-year

terms

unless

terminated

by

the

fund’s

Board.

Any

fees

waived

under

this

agreement

are

not

subject

to

reimbursement

to

Price

Associates

by

the

fund. No

management

fees

were

waived

under

this

arrangement

for

the

six

months ended

November

30,

2022. 

The Investor Class

and R Class

are

each

subject

to

a

contractual

expense

limitation

through

the

expense

limitation

dates

indicated

in

the

table

below.

During

the

limitation

period,

Price

Associates

is

required

to

waive

its

management

fee

or

pay

any

expenses

(excluding

interest;

expenses

related

to

borrowings,

taxes,

and

brokerage;

non-recurring,

extraordinary

expenses;

and

acquired

fund

fees

and

expenses)

that

would

otherwise

T.

ROWE

PRICE

New

Income

Fund

80

cause

the

class’s

ratio

of

annualized

total

expenses

to

average

net

assets

(net

expense

ratio)

to

exceed

its

expense

limitation.

Each

class

is

required

to

repay

Price

Associates

for

expenses

previously

waived/paid

to

the

extent

the

class’s

net

assets

grow

or

expenses

decline

sufficiently

to

allow

repayment

without

causing

the

class’s

net

expense

ratio

(after

the

repayment

is

taken

into

account)

to

exceed

the

lesser

of:

(1)

the

expense

limitation

in

place

at

the

time

such

amounts

were

waived;

or

(2)

the

class’s

current

expense

limitation.

However,

no

repayment

will

be

made

more

than

three

years

after

the

date

of

a

payment

or

waiver. 

The

I

Class

is

also

subject

to

an

operating

expense

limitation

(I

Class

Limit)

pursuant

to

which

Price

Associates

is

contractually

required

to

pay

all

operating

expenses

of

the

I

Class,

excluding

management

fees;

interest;

expenses

related

to

borrowings,

taxes,

and

brokerage; non-recurring,

extraordinary expenses; and

acquired

fund

fees

and

expenses, to

the

extent

such

operating

expenses,

on

an

annualized

basis,

exceed

the

I

Class

Limit. This

agreement

will

continue

through

the

expense

limitation

date

indicated

in

the

table

below,

and

may

be

renewed,

revised,

or

revoked

only

with

approval

of

the

fund’s

Board.

The

I

Class

is

required

to

repay

Price

Associates

for

expenses

previously

paid

to

the

extent

the

class’s

net

assets

grow

or

expenses

decline

sufficiently

to

allow

repayment

without

causing

the

class’s

operating

expenses

(after

the

repayment

is

taken

into

account)

to

exceed

the

lesser

of:

(1)

the

I

Class

Limit

in

place

at

the

time

such

amounts

were

paid;

or

(2)

the

current

I

Class

Limit.

However,

no

repayment

will

be

made

more

than

three

years

after

the

date

of

a

payment

or

waiver.

The

Z

Class

is

also

subject

to

a

contractual

expense

limitation

agreement

whereby

Price

Associates

has

agreed

to

waive

and/or

bear

all

of

the

Z

Class’

expenses

(excluding

interest;

expenses

related

to

borrowings,

taxes,

and

brokerage;

non-recurring,

extraordinary

expenses;

and

acquired

fund

fees

and

expenses)

in

their

entirety.

This

fee

waiver

and/or

expense

reimbursement

arrangement

is

expected

to

remain

in

place

indefinitely,

and

the

agreement

may

only

be

amended

or

terminated

with

approval

by

the

fund’s

Board.

Expenses

of

the

fund

waived/paid

by

the

manager

are

not

subject

to

later

repayment

by

the

fund.

Pursuant

to

these

agreements,

expenses

were

waived/paid

by

and/or

repaid

to

Price

Associates

during

the

six

months ended November

30,

2022

as

indicated

in

the

table

below.

Including these

amounts,

expenses

previously

waived/paid

by

Price

Associates

in

the

amount

of $626,000 remain

subject

to

repayment

by

the

fund

at

November

30,

2022.

Any

repayment

of

expenses

previously

waived/paid

by

Price

Associates

during

the

period

would

be

included

in

the

net

investment

income

and

expense

ratios

presented

on

the

accompanying

Financial

Highlights.

T.

ROWE

PRICE

New

Income

Fund

81

In

addition,

the

fund

has

entered

into

service

agreements

with

Price

Associates

and

two

wholly

owned

subsidiaries

of

Price

Associates,

each

an

affiliate

of

the

fund

(collectively,

Price).

Price

Associates

provides

certain

accounting

and

administrative

services

to

the

fund.

T.

Rowe

Price

Services,

Inc.

provides

shareholder

and

administrative

services

in

its

capacity

as

the

fund’s

transfer

and

dividend-disbursing

agent.

T.

Rowe

Price

Retirement

Plan

Services,

Inc.

provides

subaccounting

and

recordkeeping

services

for

certain

retirement

accounts

invested

in

the

Investor

Class,

R

Class

and

Advisor Class.

For

the

six

months ended

November

30,

2022,

expenses

incurred

pursuant

to

these

service

agreements

were

$50,000 for

Price

Associates;

$928,000 for

T.

Rowe

Price

Services,

Inc.;

and

$86,000 for

T.

Rowe

Price

Retirement

Plan

Services,

Inc.

All

amounts

due

to

and

due

from

Price,

exclusive

of

investment

management

fees

payable,

are

presented

net

on

the

accompanying

Statement

of

Assets

and

Liabilities.

Additionally,

the

fund

is

one

of

several

mutual

funds

in

which

certain

college

savings

plans

managed

by

Price

Associates may

invest.

As

approved

by

the

fund’s

Board

of

Directors,

shareholder

servicing

costs

associated

with

each

college

savings

plan

are

borne

by

the

fund

in

proportion

to

the

average

daily

value

of

its

shares

owned

by

the

college

savings

plan.

Price

has

agreed

to waive/reimburse

shareholder

servicing

costs in

excess

of

0.05%

of

the

fund’s

average

daily

value

of

its

shares

owned

by

the

college

savings

plan.

Any

amounts

waived/paid

by

Price

under

this

voluntary

agreement

are

not

subject

to

repayment

by

the

fund.

Price

may

amend

or

terminate

this

voluntary

arrangement

at

any

time

without

prior

notice.

For

the

six

months ended

November

30,

2022,

the

fund

was

charged $160,000 for

shareholder

servicing

costs

related

to

the

college

savings

plans, of

which

$82,000

was

for

services

provided

by

Price.

All

amounts

due

to

and

due

from

Price,

exclusive

of

investment

management

fees

payable,

are

presented

net

on

the

accompanying

Statement

of

Assets

and

Liabilities. At

November

30,

2022,

approximately 24%

of

the

outstanding

shares

of

the

I

Class

were

held

by

college

savings

plans.

Investor

Class

R

Class

I

Class

Z

Class

Expense

limitation/I

Class

Limit

0.44%

1.08%

0.05%

0.00%

Expense

limitation

date

09/30/23

09/30/23

09/30/23

N/A

(Waived)/repaid

during

the

period

($000s)

$(447)

$(1)

$—

$(20,097)

T.

ROWE

PRICE

New

Income

Fund

82

Mutual

funds,

trusts,

and

other

accounts

managed

by

Price

Associates

or

its

affiliates

(collectively,

Price

Funds

and

accounts)

may

invest

in

the

fund.

No

Price

fund

or

account

may

invest

for

the

purpose

of

exercising

management

or

control

over

the

fund.

At

November

30,

2022,

approximately

100%

of

the

Z

Class’s

outstanding

shares

were

held

by

Price

Funds

and

accounts.

The fund

may

invest

its

cash

reserves

in

certain

open-end

management

investment

companies

managed

by

Price

Associates

and

considered

affiliates

of

the

fund:

the

T.

Rowe

Price

Government

Reserve

Fund

or

the

T.

Rowe

Price

Treasury

Reserve

Fund,

organized

as

money

market

funds

(together,

the

Price

Reserve

Funds).

The

Price

Reserve

Funds

are

offered

as

short-term

investment

options

to

mutual

funds,

trusts,

and

other

accounts

managed

by

Price

Associates

or

its

affiliates

and

are

not

available

for

direct

purchase

by

members

of

the

public.

Cash

collateral

from

securities

lending,

if

any,

is

invested

in

the

T.

Rowe

Price

Government

Reserve Fund. The

Price

Reserve

Funds

pay

no

investment

management

fees.

The

fund

may

also

invest

in

certain

other

T.

Rowe

Price

funds

(Price

Funds)

as

a

means

of

gaining

efficient

and

cost-effective

exposure

to

certain

markets.

The

fund

does

not

invest

for

the

purpose

of

exercising

management

or

control;

however,

investments

by

the

fund

may

represent

a

significant

portion

of

an

underlying

Price

Fund’s

net

assets.

Each

underlying

Price

Fund

is

an

open-end

management

investment

company

managed

by

Price

Associates

and

is

considered

an

affiliate

of

the

fund.

To

ensure

that

the

fund

does

not

incur

duplicate

management

fees

(paid

by

the

underlying

Price

Fund(s)

and

the

fund),

the

fund

invests

in

the

Z

Class

of

each

underlying

Price

Fund,

for

which

Price

Associates

is

contractually

obligated

to

waive

and/or

bear

all

of

the

Z

Class’s

expenses,

other

than

interest;

expenses

related

to

borrowings,

taxes

and

brokerage;

nonrecurring,

extraordinary

expenses;

and

acquired

fund

fees

and

expenses.

The

fund may

participate

in

securities

purchase

and

sale

transactions

with

other

funds

or

accounts

advised

by

Price

Associates

(cross

trades),

in

accordance

with

procedures

adopted

by the

fund’s

Board

and

Securities

and

Exchange

Commission

rules,

which

require,

among

other

things,

that

such

purchase

and

sale

cross

trades

be

effected

at

the

independent

current

market

price

of

the

security.

During

the

six

months ended

November

30,

2022,

the

fund

had

no

purchases

or

sales

cross

trades

with

other

funds

or

accounts

advised

by

Price

Associates.

T.

ROWE

PRICE

New

Income

Fund

83

NOTE

7

-

OTHER

MATTERS

Unpredictable

events

such

as

environmental

or

natural

disasters,

war,

terrorism,

pandemics,

outbreaks

of

infectious

diseases,

and

similar

public

health

threats

may

significantly

affect

the

economy

and

the

markets

and

issuers

in

which

a

fund

invests.

Certain

events

may

cause

instability

across

global

markets,

including

reduced

liquidity

and

disruptions

in

trading

markets,

while

some

events

may

affect

certain

geographic

regions,

countries,

sectors,

and

industries

more

significantly

than

others,

and

exacerbate

other

pre-existing

political,

social,

and

economic

risks.

Since

2020,

a

novel

strain

of

coronavirus

(COVID-19)

has

resulted

in

disruptions

to

global

business

activity

and

caused

significant

volatility

and

declines

in

global

financial

markets.

In

February

2022,

Russian

forces

entered

Ukraine

and

commenced

an

armed

conflict

leading

to

economic

sanctions

being

imposed

on

Russia

and

certain

of

its

citizens,

creating

impacts

on

Russian-related

stocks

and

debt

and

greater

volatility

in

global

markets.

These

are

recent

examples

of

global

events

which

may

have

a

negative

impact

on

the

values

of

certain

portfolio

holdings

or

the

fund’s

overall

performance.

Management

is

actively

monitoring

the

risks

and

financial

impacts

arising

from

these

events.

T.

ROWE

PRICE

New

Income

Fund

84

INFORMATION

ON

PROXY

VOTING

POLICIES,

PROCEDURES,

AND

RECORDS

A

description

of

the

policies

and

procedures

used

by

T.

Rowe

Price

funds

to

determine

how

to

vote

proxies

relating

to

portfolio

securities

is

available

in

each

fund’s

Statement

of

Additional

Information.

You

may

request

this

document

by

calling

1-800-225-5132

or

by

accessing

the

SEC’s

website,

sec.gov.

The

description

of

our

proxy

voting

policies

and

procedures

is

also

available

on

our

corporate

website.

To

access

it,

please

visit

the

following

Web

page:

https://www.troweprice.com/corporate/us/en/utility/policies.html

Scroll

down

to

the

section

near

the

bottom

of

the

page

that

says,

“Proxy

Voting

Guidelines.”

Click

on

the

links

in

the

shaded

box.

Each

fund’s

most

recent

annual

proxy

voting

record

is

available

on

our

website

and

through

the

SEC’s

website.

To

access

it

through

T.

Rowe

Price,

visit

the

website

location

shown

above,

and

scroll

down

to

the

section

near

the

bottom

of

the

page

that

says,

“Proxy

Voting

Records.”

Click

on

the

Proxy

Voting

Records

link

in

the

shaded

box.

HOW

TO

OBTAIN

QUARTERLY

PORTFOLIO

HOLDINGS

The

fund

files

a

complete

schedule

of

portfolio

holdings

with

the

Securities

and

Exchange

Commission

(SEC)

for

the

first

and

third

quarters

of

each

fiscal

year

as

an

exhibit

to

its

reports

on

Form

N-PORT.

The

fund’s

reports

on

Form

N-PORT

are

available

electronically

on

the

SEC’s

website

(sec.gov).

In

addition,

most

T.

Rowe

Price

funds

disclose

their

first

and

third

fiscal

quarter-end

holdings

on

troweprice.com

.

T.

ROWE

PRICE

New

Income

Fund

85

APPROVAL

OF

SUBADVISORY

AGREEMENT

At

a

meeting

held

on

July

25,

2022

(Meeting),

the

fund’s

Board

of

Directors

(Board)

considered

the

initial

approval

of

an

investment

subadvisory

agreement

(Subadvisory

Contract)

that

T.

Rowe

Price

Associates,

Inc.

(Adviser),

entered

into

with

T.

Rowe

Price

International

Ltd

(Subadviser)

on

behalf

of

the

fund.

The

Subadvisory

Contract

authorizes

the

Subadviser

to

have

investment

discretion

with

respect

to

all

or

a

portion

of

the

fund’s

portfolio.

The

Board

noted

that

the

Subadvisory

Contract

will

be

substantially

similar

to

other

subadvisory

agreements

that

are

in

place

for

other

T.

Rowe

Price

funds

that

delegate

investment

management

responsibilities

to

affiliated

investment

advisers

and

that

the

Adviser

will

retain

oversight

responsibilities

with

respect

to

the

fund.

The

Board

also

noted

that

the

new

subadvisory

arrangement

will

not

change

the

total

advisory

fees

paid

by

the

fund.

However,

under

the

Subadvisory

Contract,

the

Adviser

may

pay

the

Subadviser

up

to

60%

of

the

advisory

fees

that

the

Adviser

receives

from

the

fund.

At

the

Meeting,

the

Board

reviewed

materials

relevant

to

its

consideration

of

the

proposed

Subadvisory

Contract.

Each

year,

the

Board

considers

the

continuation

of

the

investment

management

agreement

(Advisory

Contract)

between

the

fund

and

the

Adviser.

The

fund’s

Advisory

Contract

was

most

recently

approved

by

the

Board

at

a

meeting

held

on

March

7–8,

2022

(March

Meeting).

A

discussion

of

the

basis

for

the

Board’s

approval

of

the

Advisory

Contract

is

included

in

the

fund’s

annual

shareholder

report

for

the

period

ended

May

31,

2022.

The

factors

considered

by

the

Board

at

the

Meeting

in

connection

with

approval

of

the

proposed

Subadvisory

Contract

were

substantially

similar

to

the

factors

considered

at

the

March

Meeting

in

connection

with

the

approval

to

continue

the

Advisory

Contract.

The

independent

directors

were

assisted

in

their

evaluation

of

the

Subadvisory

Contract

by

independent

legal

counsel

from

whom

they

received

separate

legal

advice

and

with

whom

they

met

separately.

Following

discussion

at

the

Meeting,

the

Board,

including

all

of

the

fund’s

independent

directors,

approved

the

Subadvisory

Contract

between

the

Adviser

and

Subadviser

on

behalf

of

the

fund.

No

single

factor

was

considered

in

isolation

or

to

be

determinative

to

the

decision.

Rather,

the

Board

concluded,

in

light

of

a

weighting

and

balancing

of

all

factors

considered,

that

it

was

in

the

best

interests

of

the

fund

and

its

shareholders

for

the

Board

to

approve

the

Subadvisory

Contract

effective

September

1,

2022.

T.

ROWE

PRICE

New

Income

Fund

86

LIQUIDITY

RISK

MANAGEMENT

PROGRAM

In

accordance

with

Rule

22e-4

(Liquidity

Rule)

under

the

Investment

Company

Act

of

1940,

as

amended,

the

fund

has

established

a

liquidity

risk

management

program

(Liquidity

Program)

reasonably

designed

to

assess

and

manage

the

fund’s

liquidity

risk,

which

generally

represents

the

risk

that

the

fund

would

not

be

able

to

meet

redemption

requests

without

significant

dilution

of

remaining

investors’

interests

in

the

fund.

The

fund’s

Board

of

Directors

(Board)

has

appointed

the

fund’s

investment

adviser,

T.

Rowe

Price

Associates,

Inc.

(Adviser),

as

the

administrator

of

the

Liquidity

Program.

As

administrator,

the

Adviser

is

responsible

for

overseeing

the

day-to-day

operations

of

the

Liquidity

Program

and,

among

other

things,

is

responsible

for

assessing,

managing,

and

reviewing

with

the

Board

at

least

annually

the

liquidity

risk

of

each

T.

Rowe

Price

fund.

The

Adviser

has

delegated

oversight

of

the

Liquidity

Program

to

a

Liquidity

Risk

Committee

(LRC),

which

is

a

cross-functional

committee

composed

of

personnel

from

multiple

departments

within

the

Adviser.

The

Liquidity

Program’s

principal

objectives

include

supporting

the

T.

Rowe

Price

funds’

compliance

with

limits

on

investments

in

illiquid

assets

and

mitigating

the

risk

that

the

fund

will

be

unable

to

timely

meet

its

redemption

obligations.

The

Liquidity

Program

also

includes

a

number

of

elements

that

support

the

management

and

assessment

of

liquidity

risk,

including

an

annual

assessment

of

factors

that

influence

the

fund’s

liquidity

and

the

periodic

classification

and

reclassification

of

a

fund’s

investments

into

categories

that

reflect

the

LRC’s

assessment

of

their

relative

liquidity

under

current

market

conditions.

Under

the

Liquidity

Program,

every

investment

held

by

the

fund

is

classified

at

least

monthly

into

one

of

four

liquidity

categories

based

on

estimations

of

the

investment’s

ability

to

be

sold

during

designated

time

frames

in

current

market

conditions

without

significantly

changing

the

investment’s

market

value.

As

required

by

the

Liquidity

Rule,

at

a

meeting

held

on

July

25,

2022,

the

Board

was

presented

with

an

annual

assessment

prepared

by

the

LRC,

on

behalf

of

the

Adviser,

that

addressed

the

operation

of

the

Liquidity

Program

and

assessed

its

adequacy

and

effectiveness

of

implementation,

including

any

material

changes

to

the

Liquidity

Program

and

the

determination

of

each

fund’s

Highly

Liquid

Investment

Minimum

(HLIM).

The

annual

assessment

included

consideration

of

the

following

factors,

as

applicable:

the

fund’s

investment

strategy

and

liquidity

of

portfolio

investments

during

normal

and

reasonably

foreseeable

stressed

conditions,

including

whether

the

investment

strategy

is

appropriate

for

an

open-end

fund,

the

extent

to

which

the

strategy

involves

a

relatively

concentrated

portfolio

or

large

positions

in

particular

issuers,

and

the

use

of

borrowings

for

investment

purposes

and

derivatives;

short-term

and

long-term

cash

flow

projections

covering

both

normal

and

reasonably

foreseeable

stressed

conditions;

and

holdings

of

cash

and

cash

equivalents,

as

well

as

available

borrowing

arrangements.

T.

ROWE

PRICE

New

Income

Fund

87

For

the

fund

and

other

T.

Rowe

Price

funds,

the

annual

assessment

incorporated

a

report

related

to

a

fund’s

holdings,

shareholder

and

portfolio

concentration,

any

borrowings

during

the

period,

cash

flow

projections,

and

other

relevant

data

for

the

period

of

April

1,

2021,

through

March

31,

2022.

The

report

described

the

methodology

for

classifying

a

fund’s

investments

(including

any

derivative

transactions)

into

one

of

four

liquidity

categories,

as

well

as

the

percentage

of

a

fund’s

investments

assigned

to

each

category.

It

also

explained

the

methodology

for

establishing

a

fund’s

HLIM

and

noted

that

the

LRC

reviews

the

HLIM

assigned

to

each

fund

no

less

frequently

than

annually.

During

the

period

covered

by

the

annual

assessment,

the

LRC

has

concluded,

and

reported

to

the

Board,

that

the

Liquidity

Program

continues

to

operate

adequately

and

effectively

and

is

reasonably

designed

to

assess

and

manage

the

fund’s

liquidity

risk.

LIQUIDITY

RISK

MANAGEMENT

PROGRAM

(continued)

T.

Rowe

Price

Investment

Services,

Inc.

|

100

East

Pratt

Street

|

Baltimore,

MD

21202-1009

You

have

many

investment

goals.

Explore

products

and

services

that

can

help

you

achieve

them.

Whether

you

want

to

put

away

more

money

for

retirement,

for

a

child’s

education,

or

for

other

priorities,

we

have

solutions

for

you.

See

how

we

can

help

you

accomplish

the

investment

goals

that

are

important

to

you.

RETIREMENT

IRAs:

Traditional,

Roth,

Rollover/Transfer,

or

Brokerage

Small

Business

Plans

help

minimize

taxes,

maximize

savings

T.

Rowe

Price

®

ActivePlus

Portfolios

1

for

online

investing

powered

by

experts

GENERAL

INVESTING

Individual

or

Joint

Tenant

Brokerage

2

offers

access

to

stocks,

ETFs,

bonds,

and

more

Gifts

and

transfers

to

a

child

(UGMA/UTMAs)

Trust

Transfer

on

Death

COLLEGE

SAVINGS

T.

Rowe

Price-managed

529

plans

offer

tax-

advantaged

solutions

for

families

saving

money

for

college

tuition

and

education-

related

expenses

Visit

troweprice.com/broadrange

Call

1-800-225-5132

to

request

a

prospectus

or

summary

prospectus;

each

includes

investment

objectives,

risks,

fees,

expenses,

and

other

information

that

you

should

read

and

consider

carefully

before

investing.

All

mutual

funds

are

subject

to

market

risk,

including

possible

loss

of

principal.

Investing

internationally

involves

special

risks

including

economic

and

political

uncertainty

and

currency

fluctuation.

1

The

T.

Rowe

Price

®

ActivePlus

Portfolios

is

a

discretionary

investment

management

program

provided

by

T.

Rowe

Price

Advisory

Services,

Inc.,

a

registered

investment

adviser

under

the

Investment

Advisers

Act

of

1940.

Brokerage

services

are

provided

by

T.

Rowe

Price

Investment

Services,

Inc.,

member

FINRA/SIPC.

Brokerage

accounts

are

carried

by

Pershing

LLC,

a

BNY

Mellon

Company,

member

NYSE/FINRA/SIPC.

T.

Rowe

Price

Advisory

Services,

Inc.,

and

T.

Rowe

Price

Investment

Services,

Inc.,

are

affiliated

companies.

2

Brokerage

services

are

provided

by

T.

Rowe

Price

Investment

Services,

Inc.,

member

FINRA/SIPC.

Brokerage

accounts

are

carried

by

Pershing

LLC,

a

BNY

Mellon

Company,

member

NYSE/FINRA/SIPC.

202301-2568415

F43-051

1/23

Item 1. (b) Notice pursuant to Rule 30e-3.

Not applicable.

Item 2. Code of Ethics.

A code of ethics, as defined in Item 2 of Form N-CSR, applicable to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions is filed as an exhibit to the registrant’s annual Form N-CSR. No substantive amendments were approved or waivers were granted to this code of ethics during the registrant’s most recent fiscal half-year.

Item 3. Audit Committee Financial Expert.

Disclosure required in registrant’s annual Form N-CSR.

Item 4. Principal Accountant Fees and Services.

Disclosure required in registrant’s annual Form N-CSR.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

(a) Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.

(b) Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There has been no change to the procedures by which shareholders may recommend nominees to the registrant’s board of directors.

Item 11. Controls and Procedures.

(a)  The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported timely.

(b)  The registrant’s principal executive officer and principal financial officer are aware of no change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

(a)(1)	The registrant’s code of ethics pursuant to Item 2 of Form N-CSR is filed with the registrant’s annual Form N-CSR.
(2)	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.
(3)	Written solicitation to repurchase securities issued by closed-end companies: not applicable.
(b)	A certification by the registrant’s principal executive officer and principal financial officer, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940, is 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/ David Oestreicher
	David Oestreicher
	Principal Executive Officer
Date	January 19, 2023

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By	/s/ David Oestreicher
	David Oestreicher
	Principal Executive Officer
Date	January 19, 2023

By	/s/ Alan S. Dupski
	Alan S. Dupski
	Principal Financial Officer
Date	January 19, 2023

EX-99.CERT

Item 13. (a)(2)

CERTIFICATIONS

I, David Oestreicher, certify that:

1. I have reviewed this report on Form N-CSR of T. Rowe Price New Income Fund;

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 financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

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 period covered by this report 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:  January 19, 2023	/s/ David Oestreicher
	David Oestreicher
	Principal Executive Officer

CERTIFICATIONS

I, Alan S. Dupski, certify that:

1. I have reviewed this report on Form N-CSR of T. Rowe Price New Income Fund;

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 financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

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 period covered by this report 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:  January 19, 2023	/s/ Alan S. Dupski
	Alan S. Dupski
	Principal Financial Officer

EX-99.906CE

Item 13. (b)

CERTIFICATION UNDER SECTION 906 OF SARBANES-OXLEY ACT OF 2002
Name of Issuer: T. Rowe Price New Income Fund
In connection with the Report on Form N-CSR for the above named Issuer, the undersigned hereby certifies, to the best of his knowledge, that:
1.  The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934;
2.  The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Issuer.
Date:  January 19, 2023	/s/ David Oestreicher
	David Oestreicher
	Principal Executive Officer
Date:  January 19, 2023	/s/ Alan S. Dupski
	Alan S. Dupski
	Principal Financial Officer