T.

ROWE

PRICE

New

Income

Fund

February

29,

2024

(Unaudited)

1

Portfolio

of

Investments

‡

Par/Shares

$

Value

(Amounts

in

000s)

‡

ASSET-BACKED

SECURITIES

5.9%

Car

Loan

2.5%

AmeriCredit

Automobile

Receivables

Trust

Series

2021-1,

Class

C

0.89%,

10/19/26 

11,618‌

11,162‌

AmeriCredit

Automobile

Receivables

Trust

Series

2021-1,

Class

D

1.21%,

12/18/26 

10,301‌

9,703‌

AmeriCredit

Automobile

Receivables

Trust

Series

2022-1,

Class

D

3.23%,

2/18/28 

36,840‌

34,501‌

AmeriCredit

Automobile

Receivables

Trust

Series

2023-1,

Class

C

5.80%,

12/18/28 

10,995‌

11,071‌

CarMax

Auto

Owner

Trust

Series

2022-1,

Class

C

2.20%,

11/15/27 

11,975‌

11,181‌

CarMax

Auto

Owner

Trust

Series

2023-3,

Class

B

5.47%,

2/15/29 

8,750‌

8,730‌

CarMax

Auto

Owner

Trust

Series

2024-1,

Class

B

5.17%,

8/15/29 

2,585‌

2,575‌

Carvana

Auto

Receivables

Trust

Series

2022-N1,

Class

C

3.32%,

12/11/28 (1)

1,826‌

1,774‌

Carvana

Auto

Receivables

Trust

Series

2022-P1,

Class

C

3.30%,

4/10/28 

13,955‌

12,902‌

Carvana

Auto

Receivables

Trust

Series

2023-N3,

Class

A

6.41%,

9/10/27 (1)

2,534‌

2,544‌

Carvana

Auto

Receivables

Trust

Series

2024-N1,

Class

A3

5.60%,

3/10/28 (1)

6,580‌

6,579‌

Carvana

Auto

Receivables

Trust

Series

2024-N1,

Class

B

5.63%,

5/10/30 (1)

7,995‌

7,994‌

Enterprise

Fleet

Financing

Series

2024-1,

Class

A2

5.23%,

3/20/30 (1)

13,620‌

13,591‌

Enterprise

Fleet

Financing

Series

2024-1,

Class

A3

5.16%,

9/20/30 (1)

10,280‌

10,243‌

Exeter

Automobile

Receivables

Trust

Series

2021-2A,

Class

D

1.40%,

4/15/27 

8,374‌

7,962‌

T.

ROWE

PRICE

New

Income

Fund

2

Par/Shares

$

Value

(Amounts

in

000s)

Exeter

Automobile

Receivables

Trust

Series

2022-1A,

Class

D

3.02%,

6/15/28 

35,405‌

33,827‌

Exeter

Automobile

Receivables

Trust

Series

2022-2A,

Class

C

3.85%,

7/17/28 

17,900‌

17,646‌

Exeter

Automobile

Receivables

Trust

Series

2022-3A,

Class

C

5.30%,

9/15/27 

19,445‌

19,350‌

Exeter

Automobile

Receivables

Trust

Series

2023-1A,

Class

D

6.69%,

6/15/29 

3,250‌

3,289‌

Ford

Credit

Auto

Lease

Trust

Series

2023-B,

Class

B

6.20%,

2/15/27 

2,545‌

2,580‌

Ford

Credit

Auto

Lease

Trust

Series

2023-B,

Class

C

6.43%,

4/15/27 

9,545‌

9,720‌

Ford

Credit

Auto

Lease

Trust

Series

2023-B,

Class

D

6.97%,

6/15/28 

7,830‌

8,024‌

Ford

Credit

Auto

Lease

Trust

Series

2024-A,

Class

A4

5.05%,

6/15/27 

4,465‌

4,447‌

Ford

Credit

Auto

Owner

Trust

Series

2023-1,

Class

A

4.85%,

8/15/35 (1)

33,720‌

33,545‌

GM

Financial

Automobile

Leasing

Trust

Series

2023-1,

Class

C

5.76%,

1/20/27 

6,550‌

6,560‌

Hyundai

Auto

Lease

Securitization

Trust

Series

2024-A,

Class

A4

5.07%,

2/15/28 (1)

5,515‌

5,490‌

Nissan

Auto

Lease

Trust

Series

2024-A,

Class

A4

4.97%,

9/15/28 

5,945‌

5,916‌

Santander

Bank

Series

2021-1A,

Class

B

1.833%,

12/15/31 (1)

1,427‌

1,397‌

Santander

Bank

Auto

Credit-Linked

Notes

Series

2023-B,

Class

B

5.64%,

12/15/33 (1)

575‌

575‌

Santander

Drive

Auto

Receivables

Trust

Series

2020-4,

Class

E

2.85%,

4/17/28 (1)

41,920‌

40,737‌

Santander

Drive

Auto

Receivables

Trust

Series

2022-2,

Class

C

3.76%,

7/16/29 

17,240‌

16,728‌

T.

ROWE

PRICE

New

Income

Fund

3

Par/Shares

$

Value

(Amounts

in

000s)

Santander

Drive

Auto

Receivables

Trust

Series

2024-1,

Class

A3

5.25%,

4/17/28 

6,940‌

6,937‌

Santander

Retail

Auto

Lease

Trust

Series

2021-A,

Class

D

1.38%,

3/22/27 (1)

23,480‌

23,210‌

SBNA

Auto

Lease

Trust

Series

2024-A,

Class

A3

5.39%,

11/20/26 (1)

6,285‌

6,286‌

SBNA

Auto

Lease

Trust

Series

2024-A,

Class

A4

5.24%,

1/22/29 (1)

6,020‌

6,006‌

SFS

Auto

Receivables

Securitization

Trust

Series

2024-1A,

Class

A4

4.94%,

1/21/31 (1)

4,615‌

4,586‌

SFS

Auto

Receivables

Securitization

Trust

Series

2024-1A,

Class

C

5.51%,

1/20/32 (1)

2,340‌

2,340‌

U.S.

Bank

Series

2023-1,

Class

B

6.789%,

8/25/32 (1)

1,550‌

1,560‌

413,268‌

Other

Asset-Backed

Securities

3.2%

522

Funding

Series

2019-5A,

Class

BR,

CLO,

FRN

3M

TSFR

+

1.85%,

7.164%,

4/15/35 (1)

16,085‌

16,084‌

Amur

Equipment

Finance

Receivables

XIII

Series

2024-1A,

Class

A2

5.38%,

1/21/31 (1)

14,510‌

14,466‌

Applebee's

Funding

Series

2023-1A,

Class

A2

7.824%,

3/5/53 (1)

15,945‌

16,463‌

Carlyle

U.S.

Series

2019-4A,

Class

A11R,

CLO,

FRN

3M

TSFR

+

1.32%,

6.634%,

4/15/35 (1)

21,308‌

21,325‌

Cedar

Funding

XIV

Series

2021-14A,

Class

A,

CLO,

FRN

3M

TSFR

+

1.362%,

6.676%,

7/15/33 (1)

9,385‌

9,390‌

Dell

Equipment

Finance

Trust

Series

2023-3,

Class

C

6.17%,

4/23/29 (1)

4,328‌

4,382‌

DLLST

Series

2024-1A,

Class

A3

5.05%,

8/20/27 (1)

6,895‌

6,864‌

DLLST

Series

2024-1A,

Class

A4

4.93%,

4/22/30 (1)

1,630‌

1,615‌

T.

ROWE

PRICE

New

Income

Fund

4

Par/Shares

$

Value

(Amounts

in

000s)

Driven

Brands

Funding

Series

2021-1A,

Class

A2

2.791%,

10/20/51 (1)

14,056‌

12,193‌

Dryden

Series

2020-86A,

Class

A1R,

CLO,

FRN

3M

TSFR

+

1.362%,

6.678%,

7/17/34 (1)

21,235‌

21,221‌

Elara

HGV

Timeshare

Issuer

Series

2023-A,

Class

A

6.16%,

2/25/38 (1)

10,992‌

11,157‌

Elara

HGV

Timeshare

Issuer

Series

2023-A,

Class

B

6.53%,

2/25/38 (1)

5,580‌

5,651‌

Elmwood

Series

2022-7A,

Class

AR,

CLO,

FRN

3M

TSFR

+

1.50%,

6.823%,

1/17/37 (1)

10,910‌

10,885‌

Hardee's

Funding

Series

2018-1A,

Class

A2II

4.959%,

6/20/48 (1)

29,178‌

28,240‌

Hardee's

Funding

Series

2021-1A,

Class

A2

2.865%,

6/20/51 (1)

4,105‌

3,460‌

Hilton

Grand

Vacations

Trust

Series

2023-1A,

Class

A

5.72%,

1/25/38 (1)

19,973‌

20,080‌

HPEFS

Equipment

Trust

Series

2022-1A,

Class

C

1.96%,

5/21/29 (1)

5,736‌

5,585‌

HPEFS

Equipment

Trust

Series

2022-1A,

Class

D

2.40%,

11/20/29 (1)

12,510‌

11,976‌

HPEFS

Equipment

Trust

Series

2022-2A,

Class

C

4.43%,

9/20/29 (1)

4,445‌

4,380‌

HPEFS

Equipment

Trust

Series

2023-2A,

Class

B

6.25%,

1/21/31 (1)

1,285‌

1,296‌

HPEFS

Equipment

Trust

Series

2023-2A,

Class

C

6.48%,

1/21/31 (1)

5,005‌

5,064‌

HPEFS

Equipment

Trust

Series

2023-2A,

Class

D

6.97%,

7/21/31 (1)

3,320‌

3,376‌

Invesco

U.S.

Series

2023-1A,

Class

AR,

CLO,

FRN

3M

TSFR

+

1.57%,

6.856%,

4/22/37 (1)

18,315‌

18,315‌

KKR

Series

2022-43A,

Class

A1R,

CLO,

FRN

3M

TSFR

+

1.75%,

7.095%,

1/15/36 (1)

11,620‌

11,660‌

T.

ROWE

PRICE

New

Income

Fund

5

Par/Shares

$

Value

(Amounts

in

000s)

Kubota

Credit

Owner

Trust

Series

2023-1A,

Class

A4

5.07%,

2/15/29 (1)

5,255‌

5,237‌

Madison

Park

Funding

LXI

Series

2023-61A,

Class

A,

CLO,

FRN

3M

TSFR

+

1.73%,

7.037%,

1/20/37 (1)

11,305‌

11,323‌

Madison

Park

Funding

XLVII

Series

2020-47A,

Class

A1R,

CLO,

FRN

3M

TSFR

+

1.54%,

6.864%,

4/19/37 (1)

5,495‌

5,500‌

Madison

Park

Funding

XLVII

Series

2020-47A,

Class

BR,

CLO,

FRN

3M

TSFR

+

1.95%,

7.274%,

4/19/37 (1)

4,000‌

3,879‌

MidOcean

Credit

XI

Series

2022-11A,

Class

A1R,

CLO,

FRN

3M

TSFR

+

1.73%,

7.096%,

10/18/33 (1)

16,090‌

16,189‌

MMAF

Equipment

Finance

Series

2021-A,

Class

A5

1.19%,

11/13/43 (1)

5,020‌

4,601‌

MMAF

Equipment

Finance

Series

2024-A,

Class

A3

4.95%,

7/14/31 (1)

23,220‌

23,108‌

MVW

Series

2023-1A,

Class

A

4.93%,

10/20/40 (1)

23,504‌

23,100‌

MVW

Series

2023-2A,

Class

A

6.18%,

11/20/40 (1)

20,164‌

20,626‌

MVW

Series

2023-2A,

Class

B

6.33%,

11/20/40 (1)

4,341‌

4,438‌

Neuberger

Berman

Loan

Advisers

Series

2019-32A,

Class

AR,

CLO,

FRN

3M

TSFR

+

1.252%,

6.561%,

1/20/32 (1)

5,510‌

5,516‌

Neuberger

Berman

Loan

Advisers

Series

2021-43A,

Class

A,

CLO,

FRN

3M

TSFR

+

1.392%,

6.708%,

7/17/35 (1)

15,105‌

15,086‌

Octagon

Investment

Partners

49

Series

2020-5A,

Class

AR,

CLO,

FRN

3M

TSFR

+

1.52%,

6.811%,

4/15/37 (1)

24,110‌

24,110‌

Octane

Receivables

Trust

Series

2023-1A,

Class

A

5.87%,

5/21/29 (1)

3,647‌

3,647‌

Octane

Receivables

Trust

Series

2023-3A,

Class

B

6.48%,

7/20/29 (1)

3,023‌

3,049‌

Octane

Receivables

Trust

Series

2023-3A,

Class

C

6.74%,

8/20/29 (1)

1,160‌

1,171‌

T.

ROWE

PRICE

New

Income

Fund

6

Par/Shares

$

Value

(Amounts

in

000s)

Octane

Receivables

Trust

Series

2023-3A,

Class

D

7.58%,

9/20/29 (1)

1,415‌

1,431‌

Octane

Receivables

Trust

Series

2024-1A,

Class

A2

5.68%,

5/20/30 (1)

9,625‌

9,624‌

Palmer

Square

Series

2020-3A,

Class

A1R2,

CLO,

FRN

3M

TSFR

+

1.65%,

6.957%,

11/15/36 (1)

17,485‌

17,583‌

Post

Road

Equipment

Finance

Series

2024-1A,

Class

A2

5.59%,

11/15/29 (1)

4,705‌

4,697‌

Progress

Residential

Trust

Series

2020-SFR3,

Class

A

1.294%,

10/17/27 (1)

2,841‌

2,656‌

Progress

Residential

Trust

Series

2020-SFR3,

Class

B

1.495%,

10/17/27 (1)

2,980‌

2,777‌

RR

28

Series

2024-28RA,

Class

A1R,

CLO,

FRN

3M

TSFR

+

1.55%,

4/15/37 (1)

21,300‌

21,300‌

Sierra

Timeshare

Receivables

Funding

Series

2022-3A,

Class

B

6.32%,

7/20/39 (1)

1,756‌

1,754‌

Symphony

XXXI

Series

2022-31A,

Class

B,

CLO,

FRN

3M

TSFR

+

1.85%,

7.168%,

4/22/35 (1)

14,150‌

14,048‌

Verizon

Master

Trust

Series

2023-1,

Class

C

4.98%,

1/22/29 

9,270‌

9,155‌

520,733‌

Student

Loan

0.2%

Navient

Private

Education

Loan

Trust

Series

2017-A,

Class

B

3.91%,

12/16/58 (1)

8,314‌

8,036‌

Navient

Private

Education

Refi

Loan

Trust

Series

2020-CA,

Class

B

2.83%,

11/15/68 (1)

20,755‌

17,219‌

SMB

Private

Education

Loan

Trust

Series

2018-C,

Class

A2A

3.63%,

11/15/35 (1)

4,970‌

4,819‌

T.

ROWE

PRICE

New

Income

Fund

7

Par/Shares

$

Value

(Amounts

in

000s)

SMB

Private

Education

Loan

Trust

Series

2021-A,

Class

APT1

1.07%,

1/15/53 (1)

13,743‌

12,130‌

42,204‌

Total

Asset-Backed

Securities

(Cost

$990,683)

976,205‌

BANK

LOANS

1.8%

(2)

FINANCIAL

INSTITUTIONS

0.6%

Brokerage

Asset

Managers

Exchanges

0.3%

Citadel

Securities,

FRN

1M

TSFR

+

2.25%,

7.576%,

7/29/30 

54,487‌

54,419‌

54,419‌

Financial

Other

0.1%

GTCR

W

Merger,

FRN

1M

TSFR

+

3.00%,

8.326%,

1/31/31 

7,935‌

7,958‌

7,958‌

Insurance

0.2%

AssuredPartners,

FRN

1M

TSFR

+

3.50%,

2/14/31 (3)

1,465‌

1,464‌

Asurion,

FRN

1M

TSFR

+

3.25%,

8.691%,

12/23/26 

3,475‌

3,452‌

Asurion,

FRN

1M

TSFR

+

4.25%,

9.676%,

8/19/28 

8,458‌

8,403‌

Asurion,

FRN

1M

TSFR

+

5.25%,

10.691%,

1/31/28 

7,435‌

7,084‌

Asurion,

FRN

1M

TSFR

+

5.25%,

10.691%,

1/20/29 

3,580‌

3,371‌

HUB

International,

FRN

1M

TSFR

+

3.25%,

8.574%,

6/20/30 

15,048‌

15,029‌

38,803‌

Total

Financial

Institutions

101,180‌

INDUSTRIAL

1.2%

Capital

Goods

0.1%

Charter

Next

Generation,

FRN

1M

TSFR

+

3.50%,

8.826%,

12/1/27 

8,521‌

8,515‌

Summit

Materials,

FRN

1M

TSFR

+

2.50%,

7.826%,

1/12/29 

5,485‌

5,497‌

TransDigm,

FRN

1M

TSFR

+

3.25%,

8.598%,

2/22/27 

89‌

89‌

14,101‌

Communications

0.1%

Lamar

Media,

FRN

1M

TSFR

+

1.50%,

6.926%,

2/5/27 

14,435‌

14,399‌

14,399‌

T.

ROWE

PRICE

New

Income

Fund

8

Par/Shares

$

Value

(Amounts

in

000s)

Consumer

Cyclical

0.5%

Caesars

Entertainment,

FRN

1M

TSFR

+

2.75%,

8.04%,

2/6/31 

2,375‌

2,370‌

Delta

2,

FRN

1M

TSFR

+

2.25%,

7.598%,

1/15/30 

8,755‌

8,742‌

Hilton

Domestic

Operating,

FRN

1M

TSFR

+

1.75%,

7.171%,

6/21/28 

26,840‌

26,835‌

Hilton

Domestic

Operating,

FRN

1M

TSFR

+

2.00%,

7.421%,

11/8/30 

26,840‌

26,858‌

UFC

Holdings,

FRN

1M

TSFR

+

2.75%,

8.336%,

4/29/26 

11,115‌

11,121‌

75,926‌

Consumer

Non-Cyclical

0.0%

Medline

Borrower,

FRN

1M

TSFR

+

3.00%,

8.441%,

10/23/28 

7,858‌

7,859‌

7,859‌

Technology

0.5%

Applied

Systems,

FRN

1M

TSFR

+

3.50%,

8.821%,

2/24/31 (3)

22,906‌

22,987‌

Applied

Systems,

FRN

1M

TSFR

+

5.25%,

2/23/32 (3)

323‌

330‌

Ascend

Learning,

FRN

1M

TSFR

+

3.50%,

8.926%,

12/11/28 

6,039‌

5,930‌

AthenaHealth

Group,

FRN

1M

TSFR

+

3.25%,

8.576%,

2/15/29 

5,004‌

4,956‌

Boxer

Parent,

FRN

1M

TSFR

+

4.25%,

9.576%,

12/29/28 (3)

5,087‌

5,101‌

Epicor

Software,

FRN

1M

TSFR

+

3.25%,

7/30/27 (3)

5,422‌

5,434‌

Epicor

Software,

FRN

1M

TSFR

+

3.75%,

9.076%,

7/30/27 

530‌

532‌

Gen

Digital,

FRN

1M

TSFR

+

1.75%,

7.176%,

9/10/27 

4,541‌

4,513‌

RealPage,

FRN

1M

TSFR

+

3.00%,

8.441%,

4/24/28 

5,105‌

4,964‌

UKG,

FRN

1M

TSFR

+

3.50%,

8.814%,

2/10/31 

16,125‌

16,133‌

UKG,

FRN

3M

TSFR

+

5.25%,

10.68%,

5/3/27 

3,959‌

3,994‌

74,874‌

T.

ROWE

PRICE

New

Income

Fund

9

Par/Shares

$

Value

(Amounts

in

000s)

Transportation

0.0%

Mileage

Plus

Holdings,

FRN

3M

TSFR

+

5.25%,

10.77%,

6/21/27 

1,969‌

2,026‌

2,026‌

Total

Industrial

189,185‌

Total

Bank

Loans

(Cost

$288,624)

290,365‌

BOND

MUTUAL

FUNDS

0.0%

Trusts

&

Mutual

Funds

0.0%

T.

Rowe

Price

Institutional

Floating

Rate

Fund

-

Z

Class,

9.14% (4)(5)

33‌

314‌

Total

Bond

Mutual

Funds

(Cost

$292)

314‌

CORPORATE

BONDS

29.6%

FINANCIAL

INSTITUTIONS

12.7%

Banking

8.5%

Ally

Financial,

4.75%,

6/9/27 

3,415‌

3,318‌

American

Express,

VR,

5.098%,

2/16/28 (6)

13,510‌

13,458‌

Bank

of

America,

VR,

1.898%,

7/23/31 (6)

76,106‌

61,729‌

Bank

of

America,

VR,

2.299%,

7/21/32 (6)(7)

13,098‌

10,626‌

Bank

of

America,

VR,

2.496%,

2/13/31 (6)(7)

23,595‌

20,107‌

Bank

of

America,

VR,

3.559%,

4/23/27 (6)

11,110‌

10,641‌

Bank

of

America,

VR,

4.271%,

7/23/29 (6)

38,939‌

37,503‌

Bank

of

America,

VR,

5.819%,

9/15/29 (6)(7)

25,037‌

25,463‌

Bank

of

New

York

Mellon,

VR,

6.317%,

10/25/29 (6)

15,925‌

16,671‌

Bank

of

New

York

Mellon,

VR,

6.474%,

10/25/34 (6)

18,245‌

19,768‌

Barclays,

VR,

2.852%,

5/7/26 (6)

8,973‌

8,674‌

Barclays,

VR,

5.304%,

8/9/26 (6)

5,668‌

5,632‌

Barclays,

VR,

6.496%,

9/13/27 (6)

6,325‌

6,408‌

Barclays,

VR,

6.692%,

9/13/34 (6)

25,860‌

27,035‌

BNP

Paribas,

VR,

5.497%,

5/20/30 (1)(6)(7)

20,945‌

20,904‌

BNP

Paribas,

VR,

5.738%,

2/20/35 (1)(6)(7)

20,535‌

20,402‌

CaixaBank,

VR,

6.208%,

1/18/29 (1)(6)

21,910‌

22,278‌

CaixaBank,

VR,

6.684%,

9/13/27 (1)(6)

16,185‌

16,455‌

CaixaBank,

VR,

6.84%,

9/13/34 (1)(6)(7)

9,695‌

10,153‌

Capital

One

Financial,

3.65%,

5/11/27 (7)

15,364‌

14,635‌

Capital

One

Financial,

3.75%,

3/9/27 (7)

23,993‌

22,943‌

Capital

One

Financial,

VR,

3.273%,

3/1/30 (6)

9,245‌

8,275‌

Capital

One

Financial,

VR,

5.247%,

7/26/30 (6)

3,340‌

3,255‌

Capital

One

Financial,

VR,

5.70%,

2/1/30 (6)(7)

7,175‌

7,200‌

Capital

One

Financial,

VR,

6.051%,

2/1/35 (6)(7)

9,260‌

9,361‌

Capital

One

Financial,

VR,

6.312%,

6/8/29 (6)

3,230‌

3,312‌

T.

ROWE

PRICE

New

Income

Fund

10

Par/Shares

$

Value

(Amounts

in

000s)

Capital

One

Financial,

VR,

7.624%,

10/30/31 (6)

3,005‌

3,289‌

Citigroup,

4.45%,

9/29/27 

5,040‌

4,885‌

Citigroup,

VR,

2.561%,

5/1/32 (6)(7)

10,603‌

8,725‌

Citigroup,

VR,

3.106%,

4/8/26 (6)(7)

12,300‌

11,946‌

Citigroup,

VR,

4.658%,

5/24/28 (6)(7)

4,855‌

4,773‌

Citigroup,

VR,

5.61%,

9/29/26 (6)

22,322‌

22,346‌

Citigroup,

VR,

5.827%,

2/13/35 (6)

57,900‌

56,684‌

Citigroup,

Series

VAR,

VR,

3.07%,

2/24/28 (6)(7)

20,740‌

19,458‌

Credit

Suisse,

7.50%,

2/15/28 

4,460‌

4,784‌

Danske

Bank,

VR,

3.244%,

12/20/25 (1)(6)

21,957‌

21,476‌

Danske

Bank,

VR,

3.773%,

3/28/25 (1)(6)

12,760‌

12,727‌

Danske

Bank,

VR,

5.705%,

3/1/30 (1)(6)

12,075‌

12,074‌

Deutsche

Bank,

VR,

3.961%,

11/26/25 (6)

11,345‌

11,149‌

Fifth

Third

Bancorp,

2.375%,

1/28/25 

3,260‌

3,167‌

Fifth

Third

Bancorp,

2.55%,

5/5/27 (7)

2,040‌

1,879‌

Fifth

Third

Bancorp,

VR,

5.631%,

1/29/32 (6)(7)

5,270‌

5,212‌

Fifth

Third

Bancorp,

VR,

6.339%,

7/27/29 (6)(7)

12,345‌

12,679‌

Fifth

Third

Bancorp,

VR,

6.361%,

10/27/28 (6)

2,875‌

2,918‌

Fifth

Third

Bank,

2.25%,

2/1/27 (7)

830‌

763‌

Fifth

Third

Bank,

3.85%,

3/15/26 

2,345‌

2,260‌

Fifth

Third

Bank,

3.95%,

7/28/25 

1,630‌

1,593‌

Fifth

Third

Bank,

VR,

5.852%,

10/27/25 (6)

5,950‌

5,929‌

Goldman

Sachs

Group,

VR,

1.542%,

9/10/27 (6)(7)

32,259‌

29,376‌

Goldman

Sachs

Group,

VR,

2.383%,

7/21/32 (6)(7)

17,802‌

14,495‌

Goldman

Sachs

Group,

VR,

3.615%,

3/15/28 (6)

20,205‌

19,181‌

Goldman

Sachs

Group,

VR,

3.691%,

6/5/28 (6)

6,770‌

6,469‌

Goldman

Sachs

Group,

VR,

4.482%,

8/23/28 (6)

22,790‌

22,263‌

HSBC

Holdings,

VR,

2.099%,

6/4/26 (6)(7)

11,435‌

10,931‌

HSBC

Holdings,

VR,

2.206%,

8/17/29 (6)

13,255‌

11,485‌

HSBC

Holdings,

VR,

4.755%,

6/9/28 (6)

35,820‌

34,998‌

Huntington

National

Bank,

VR,

5.699%,

11/18/25 (6)

3,380‌

3,353‌

ING

Groep,

VR,

6.114%,

9/11/34 (6)

9,190‌

9,493‌

JPMorgan

Chase,

VR,

1.764%,

11/19/31 (6)(7)

42,600‌

34,139‌

JPMorgan

Chase,

VR,

2.182%,

6/1/28 (6)

33,202‌

30,276‌

JPMorgan

Chase,

VR,

2.522%,

4/22/31 (6)(7)

4,475‌

3,803‌

JPMorgan

Chase,

VR,

2.739%,

10/15/30 (6)(7)

12,398‌

10,877‌

JPMorgan

Chase,

VR,

2.956%,

5/13/31 (6)(7)

38,833‌

33,732‌

JPMorgan

Chase,

VR,

5.04%,

1/23/28 (6)

9,645‌

9,616‌

JPMorgan

Chase,

VR,

5.336%,

1/23/35 (6)(7)

8,860‌

8,818‌

Morgan

Stanley,

VR,

1.512%,

7/20/27 (6)

22,190‌

20,285‌

Morgan

Stanley,

VR,

2.699%,

1/22/31 (6)

3,815‌

3,281‌

Morgan

Stanley,

VR,

5.123%,

2/1/29 (6)(7)

25,560‌

25,448‌

Morgan

Stanley,

VR,

5.173%,

1/16/30 (6)(7)

15,220‌

15,136‌

PNC

Financial

Services

Group,

VR,

5.30%,

1/21/28 (6)(7)

4,985‌

4,981‌

PNC

Financial

Services

Group,

VR,

6.615%,

10/20/27 (6)

3,100‌

3,187‌

Santander

UK

Group

Holdings,

VR,

1.532%,

8/21/26 (6)

48,133‌

45,168‌

T.

ROWE

PRICE

New

Income

Fund

11

Par/Shares

$

Value

(Amounts

in

000s)

Societe

Generale,

VR,

5.519%,

1/19/28 (1)(6)

33,760‌

33,381‌

Societe

Generale,

VR,

5.634%,

1/19/30 (1)(6)(7)

19,725‌

19,446‌

Standard

Chartered,

VR,

1.456%,

1/14/27 (1)(6)

10,354‌

9,518‌

Standard

Chartered,

VR,

2.819%,

1/30/26 (1)(6)

25,268‌

24,507‌

Standard

Chartered,

VR,

3.971%,

3/30/26 (1)(6)

13,070‌

12,738‌

Toronto-Dominion

Bank,

5.523%,

7/17/28 (7)

3,090‌

3,135‌

U.S.

Bancorp,

VR,

5.384%,

1/23/30 (6)(7)

6,380‌

6,340‌

U.S.

Bancorp,

VR,

5.678%,

1/23/35 (6)(7)

11,010‌

10,979‌

UBS,

5.65%,

9/11/28 

4,755‌

4,848‌

UBS

Group,

4.55%,

4/17/26 

3,670‌

3,605‌

UBS

Group,

VR,

1.305%,

2/2/27 (1)(6)

16,210‌

14,921‌

UBS

Group,

VR,

1.364%,

1/30/27 (1)(6)

14,633‌

13,486‌

UBS

Group,

VR,

2.193%,

6/5/26 (1)(6)

15,135‌

14,483‌

UBS

Group,

VR,

2.746%,

2/11/33 (1)(6)

7,329‌

5,870‌

UBS

Group,

VR,

4.751%,

5/12/28 (1)(6)

4,085‌

3,982‌

UBS

Group,

VR,

5.711%,

1/12/27 (1)(6)(7)

4,035‌

4,029‌

UBS

Group,

VR,

5.959%,

1/12/34 (1)(6)(7)

13,025‌

13,158‌

UBS

Group,

VR,

6.246%,

9/22/29 (1)(6)

3,135‌

3,220‌

UBS

Group,

VR,

6.301%,

9/22/34 (1)(6)

12,855‌

13,314‌

UBS

Group,

VR,

6.537%,

8/12/33 (1)(6)

1,600‌

1,663‌

UBS

Group,

VR,

9.25% (1)(6)(8)

2,250‌

2,399‌

Wells

Fargo,

4.30%,

7/22/27 (7)

7,312‌

7,098‌

Wells

Fargo,

VR,

2.393%,

6/2/28 (6)(7)

32,245‌

29,405‌

Wells

Fargo,

VR,

2.572%,

2/11/31 (6)(7)

49,550‌

42,344‌

Wells

Fargo,

VR,

4.478%,

4/4/31 (6)(7)

16,431‌

15,606‌

Wells

Fargo,

VR,

5.198%,

1/23/30 (6)(7)

19,905‌

19,743‌

1,400,931‌

Brokerage

Asset

Managers

Exchanges

0.5%

HAT

Holdings

I,

8.00%,

6/15/27 (1)

15,050‌

15,596‌

Intercontinental

Exchange,

4.35%,

6/15/29 (7)

18,145‌

17,597‌

LSEGA

Financing,

2.00%,

4/6/28 (1)

41,724‌

37,103‌

LSEGA

Financing,

2.50%,

4/6/31 (1)

14,998‌

12,576‌

LSEGA

Financing,

3.20%,

4/6/41 (1)

6,705‌

5,006‌

87,878‌

Finance

Companies

0.4%

AerCap

Ireland

Capital,

2.45%,

10/29/26 (7)

18,780‌

17,326‌

AerCap

Ireland

Capital,

3.30%,

1/30/32 

10,508‌

8,866‌

AerCap

Ireland

Capital,

5.10%,

1/19/29 

7,745‌

7,621‌

Navient,

9.375%,

7/25/30 

6,025‌

6,296‌

Navient,

11.50%,

3/15/31 

3,430‌

3,751‌

OneMain

Finance,

9.00%,

1/15/29 

11,155‌

11,713‌

55,573‌

Financial

Other

0.0%

Howard

Hughes,

5.375%,

8/1/28 (1)

4,795‌

4,507‌

4,507‌

T.

ROWE

PRICE

New

Income

Fund

12

Par/Shares

$

Value

(Amounts

in

000s)

Insurance

2.5%

Alliant

Holdings

Intermediate,

6.75%,

4/15/28 (1)

11,570‌

11,498‌

Alliant

Holdings

Intermediate,

7.00%,

1/15/31 (1)

2,450‌

2,432‌

AmWINS

Group,

4.875%,

6/30/29 (1)

5,245‌

4,839‌

AmWINS

Group,

6.375%,

2/15/29 (1)

4,395‌

4,395‌

Aon,

2.80%,

5/15/30 

3,835‌

3,325‌

Athene

Global

Funding,

5.684%,

2/23/26 (1)(7)

22,515‌

22,439‌

Centene,

2.50%,

3/1/31 

23,230‌

19,065‌

Centene,

3.00%,

10/15/30 

8,330‌

7,101‌

Centene,

3.375%,

2/15/30 

9,455‌

8,344‌

Centene,

4.25%,

12/15/27 

3,340‌

3,181‌

Centene,

4.625%,

12/15/29 

41,038‌

38,863‌

CNO

Financial

Group,

5.25%,

5/30/25 

9,713‌

9,640‌

Corebridge

Financial,

3.65%,

4/5/27 

3,425‌

3,252‌

Corebridge

Financial,

3.85%,

4/5/29 

3,495‌

3,242‌

Corebridge

Financial,

3.90%,

4/5/32 

16,445‌

14,460‌

Corebridge

Global

Funding,

5.20%,

1/12/29 (1)(7)

3,270‌

3,236‌

Elevance

Health,

5.125%,

2/15/53 

8,335‌

7,925‌

Equitable

Financial

Life

Global

Funding,

1.00%,

1/9/26 (1)

16,275‌

14,956‌

Equitable

Holdings,

4.35%,

4/20/28 

41,322‌

39,791‌

HUB

International,

7.25%,

6/15/30 (1)

13,485‌

13,721‌

Humana,

3.95%,

3/15/27 

6,275‌

6,062‌

Humana,

4.875%,

4/1/30 (7)

15,720‌

15,474‌

Humana,

5.95%,

3/15/34 (7)

9,325‌

9,635‌

Jones

Deslauriers

Insurance

Management,

8.50%,

3/15/30 (1)

7,898‌

8,204‌

Marsh

&

McLennan,

2.25%,

11/15/30 (7)

9,218‌

7,788‌

Marsh

&

McLennan,

5.70%,

9/15/53 

20,305‌

21,056‌

Metropolitan

Life

Global

Funding

I,

5.15%,

3/28/33 (1)(7)

9,335‌

9,239‌

Molina

Healthcare,

4.375%,

6/15/28 (1)

2,820‌

2,630‌

UnitedHealth

Group,

4.50%,

4/15/33 (7)

16,060‌

15,453‌

UnitedHealth

Group,

5.05%,

4/15/53 (7)

41,794‌

39,996‌

UnitedHealth

Group,

5.875%,

2/15/53 (7)

28,585‌

30,715‌

401,957‌

Real

Estate

Investment

Trusts

0.8%

Alexandria

Real

Estate

Equities,

3.95%,

1/15/27 

25,607‌

24,645‌

Alexandria

Real

Estate

Equities,

5.25%,

5/15/36 

2,525‌

2,425‌

Brixmor

Operating

Partnership,

3.90%,

3/15/27 

30,217‌

28,770‌

Brixmor

Operating

Partnership,

4.05%,

7/1/30 

1,984‌

1,825‌

Brixmor

Operating

Partnership,

4.125%,

6/15/26 

55,609‌

53,635‌

Essex

Portfolio,

1.65%,

1/15/31 

10,099‌

7,907‌

Essex

Portfolio,

3.625%,

5/1/27 (7)

5,006‌

4,748‌

Invitation

Homes

Operating

Partnership,

5.45%,

8/15/30 

4,206‌

4,187‌

Regency

Centers,

4.125%,

3/15/28 (7)

9,817‌

9,350‌

137,492‌

Total

Financial

Institutions

2,088,338‌

T.

ROWE

PRICE

New

Income

Fund

13

Par/Shares

$

Value

(Amounts

in

000s)

INDUSTRIAL

13.9%

Basic

Industry

0.3%

AngloGold

Ashanti

Holdings,

3.375%,

11/1/28 

3,725‌

3,334‌

Axalta

Coating

Systems

Dutch

Holding

B,

7.25%,

2/15/31 (1)

845‌

877‌

Celanese

U.S.

Holdings,

6.05%,

3/15/25 

2,508‌

2,517‌

Celanese

U.S.

Holdings,

6.165%,

7/15/27 (7)

3,120‌

3,160‌

Celulosa

Arauco

y

Constitucion,

3.875%,

11/2/27 

9,249‌

8,691‌

Freeport-McMoRan,

4.375%,

8/1/28 (7)

6,681‌

6,347‌

Freeport-McMoRan,

5.00%,

9/1/27 (7)

1,558‌

1,525‌

Methanex,

5.125%,

10/15/27 

4,980‌

4,762‌

Westlake,

1.625%,

7/17/29

(EUR) 

20,686‌

19,650‌

50,863‌

Capital

Goods

0.3%

Boeing,

3.25%,

2/1/28 

3,405‌

3,148‌

Boeing,

5.04%,

5/1/27 (7)

8,010‌

7,917‌

Carrier

Global,

2.493%,

2/15/27 

3,500‌

3,248‌

Carrier

Global,

5.80%,

11/30/25 

4,495‌

4,530‌

Ritchie

Bros

Holdings,

6.75%,

3/15/28 (1)

755‌

770‌

Ritchie

Bros

Holdings,

7.75%,

3/15/31 (1)

5,237‌

5,492‌

Sealed

Air,

6.125%,

2/1/28 (1)

2,245‌

2,237‌

Sealed

Air,

7.25%,

2/15/31 (1)(7)

825‌

852‌

Stanley

Black

&

Decker,

2.75%,

11/15/50 

4,964‌

2,876‌

Summit

Materials,

7.25%,

1/15/31 (1)

1,375‌

1,423‌

TransDigm,

6.75%,

8/15/28 (1)

3,100‌

3,131‌

TransDigm,

6.875%,

12/15/30 (1)

9,145‌

9,259‌

TransDigm,

7.125%,

12/1/31 (1)

7,965‌

8,164‌

53,047‌

Communications

3.1%

Altice

Financing,

5.00%,

1/15/28 (1)(7)

9,510‌

8,393‌

Altice

Financing,

9.625%,

7/15/27 (1)

11,945‌

11,975‌

American

Tower,

5.25%,

7/15/28 (7)

3,130‌

3,116‌

AT&T,

3.50%,

9/15/53 

11,088‌

7,662‌

CCO

Holdings,

6.375%,

9/1/29 (1)

8,250‌

7,724‌

CCO

Holdings,

7.375%,

3/1/31 (1)

2,600‌

2,509‌

Charter

Communications

Operating,

3.75%,

2/15/28 

8,600‌

7,930‌

Charter

Communications

Operating,

5.25%,

4/1/53 (7)

2,870‌

2,219‌

Charter

Communications

Operating,

6.484%,

10/23/45 

5,900‌

5,392‌

Charter

Communications

Operating,

6.65%,

2/1/34 

19,440‌

19,452‌

Comcast,

3.25%,

11/1/39 

23,223‌

17,811‌

Crown

Castle,

3.80%,

2/15/28 

3,445‌

3,236‌

Crown

Castle,

4.80%,

9/1/28 

19,320‌

18,856‌

Crown

Castle,

5.60%,

6/1/29 

12,885‌

12,942‌

Crown

Castle,

5.80%,

3/1/34 (7)

8,360‌

8,452‌

Crown

Castle

Towers,

3.663%,

5/15/25 (1)

50,986‌

49,719‌

CSC

Holdings,

11.75%,

1/31/29 (1)

6,935‌

7,247‌

T.

ROWE

PRICE

New

Income

Fund

14

Par/Shares

$

Value

(Amounts

in

000s)

Interpublic

Group,

4.65%,

10/1/28 

7,525‌

7,354‌

Lamar

Media,

4.875%,

1/15/29 

3,080‌

2,934‌

Meta

Platforms,

5.60%,

5/15/53 

26,215‌

27,170‌

Netflix,

4.625%,

5/15/29

(EUR) 

7,605‌

8,592‌

Rogers

Communications,

3.20%,

3/15/27 

10,104‌

9,504‌

Rogers

Communications,

3.80%,

3/15/32 (7)

10,875‌

9,675‌

Rogers

Communications,

4.35%,

5/1/49 (7)

1,365‌

1,100‌

Rogers

Communications,

4.55%,

3/15/52 (7)

56,583‌

46,635‌

Rogers

Communications,

5.00%,

2/15/29 (7)

23,960‌

23,731‌

Rogers

Communications,

5.30%,

2/15/34 (7)

20,675‌

20,276‌

SBA

Tower

Trust,

1.84%,

4/15/27 (1)

21,685‌

19,332‌

SBA

Tower

Trust,

2.593%,

10/15/31 (1)

17,515‌

13,753‌

Sirius

XM

Radio,

4.00%,

7/15/28 (1)

6,195‌

5,583‌

Sirius

XM

Radio,

5.00%,

8/1/27 (1)

4,168‌

3,970‌

Sprint

Capital,

6.875%,

11/15/28 (7)

24,540‌

26,196‌

Sprint

Capital,

8.75%,

3/15/32 

15,530‌

18,772‌

T-Mobile

USA,

5.75%,

1/15/54 

34,110‌

34,561‌

T-Mobile

USA,

6.00%,

6/15/54 (7)

9,255‌

9,748‌

Walt

Disney,

3.60%,

1/13/51 (7)

9,955‌

7,540‌

Warnermedia

Holdings,

3.755%,

3/15/27 (7)

19,535‌

18,499‌

509,560‌

Consumer

Cyclical

1.9%

American

Honda

Finance,

5.65%,

11/15/28 

13,860‌

14,269‌

Bath

&

Body

Works,

6.625%,

10/1/30 (1)(7)

10,110‌

10,161‌

Caesars

Entertainment,

7.00%,

2/15/30 (1)

5,700‌

5,821‌

Carnival,

7.00%,

8/15/29 (1)

5,185‌

5,367‌

Carnival,

10.50%,

6/1/30 (1)(7)

10,950‌

11,908‌

Clarios

Global,

6.75%,

5/15/28 (1)

4,857‌

4,900‌

Daimler

Truck

Finance

North

America,

5.00%,

1/15/27 (1)(7)

2,290‌

2,284‌

Daimler

Truck

Finance

North

America,

5.125%,

1/19/28 (1)(7)

3,425‌

3,420‌

Daimler

Truck

Finance

North

America,

5.375%,

1/18/34 (1)(7)

2,275‌

2,262‌

Dollar

General,

3.875%,

4/15/27 (7)

3,325‌

3,196‌

Dollar

General,

5.45%,

7/5/33 (7)

16,840‌

16,754‌

Ford

Motor,

9.625%,

4/22/30 

8,295‌

9,699‌

Ford

Motor

Credit,

4.95%,

5/28/27 (7)

6,895‌

6,701‌

Ford

Motor

Credit,

5.80%,

3/5/27 

5,135‌

5,103‌

Ford

Motor

Credit,

6.798%,

11/7/28 (7)

5,070‌

5,259‌

Ford

Motor

Credit,

6.80%,

5/12/28 

4,760‌

4,911‌

Ford

Motor

Credit,

7.122%,

11/7/33 

5,050‌

5,389‌

Ford

Motor

Credit,

7.35%,

11/4/27 

1,255‌

1,306‌

General

Motors

Financial,

4.00%,

10/6/26 

3,370‌

3,253‌

General

Motors

Financial,

5.40%,

5/8/27 

13,590‌

13,572‌

General

Motors

Financial,

5.80%,

6/23/28 (7)

6,420‌

6,518‌

GLP

Capital,

3.35%,

9/1/24 

6,162‌

6,069‌

Hyundai

Capital

America,

5.25%,

1/8/27 (1)

5,680‌

5,658‌

Hyundai

Capital

America,

5.40%,

1/8/31 (1)

3,290‌

3,292‌

T.

ROWE

PRICE

New

Income

Fund

15

Par/Shares

$

Value

(Amounts

in

000s)

Hyundai

Capital

America,

5.50%,

3/30/26 (1)(7)

5,370‌

5,375‌

Hyundai

Capital

America,

6.50%,

1/16/29 (1)

6,620‌

6,933‌

Las

Vegas

Sands,

3.50%,

8/18/26 (7)

10,677‌

10,054‌

Life

Time,

5.75%,

1/15/26 (1)

4,810‌

4,750‌

Lowe's,

4.25%,

4/1/52 

4,402‌

3,534‌

Lowe's,

5.625%,

4/15/53 

6,080‌

6,010‌

Lowe's,

5.75%,

7/1/53 (7)

5,950‌

6,009‌

Marriott

International,

5.00%,

10/15/27 

12,776‌

12,702‌

Match

Group

Holdings

II,

5.00%,

12/15/27 (1)

4,992‌

4,749‌

Nissan

Motor

Acceptance,

1.85%,

9/16/26 (1)

5,960‌

5,364‌

O'Reilly

Automotive,

5.75%,

11/20/26 (7)

4,875‌

4,942‌

Rivian

Holdings,

FRN,

6M

USD

LIBOR

+

5.625%,

11.493%,

10/15/26 (1)

5,270‌

5,020‌

Ross

Stores,

1.875%,

4/15/31 (7)

20,720‌

16,777‌

Royal

Caribbean

Cruises,

6.25%,

3/15/32 (1)

3,105‌

3,113‌

Royal

Caribbean

Cruises,

8.25%,

1/15/29 (1)

7,470‌

7,928‌

VF,

2.95%,

4/23/30 (7)

11,510‌

9,454‌

Volkswagen

Group

of

America

Finance,

3.20%,

9/26/26 (1)

10,398‌

9,877‌

Volkswagen

Group

of

America

Finance,

4.75%,

11/13/28 (1)(7)

13,610‌

13,430‌

Wand

NewCo

3,

7.625%,

1/30/32 (1)

1,905‌

1,953‌

Yum!

Brands,

5.375%,

4/1/32 

4,970‌

4,759‌

ZF

North

America

Capital,

6.875%,

4/14/28 (1)

3,380‌

3,443‌

ZF

North

America

Capital,

7.125%,

4/14/30 (1)

2,765‌

2,872‌

306,120‌

Consumer

Non-Cyclical

4.9%

AbbVie,

3.20%,

11/21/29 (7)

18,145‌

16,628‌

AbbVie,

4.05%,

11/21/39 

13,104‌

11,574‌

AbbVie,

4.25%,

11/21/49 (7)

14,924‌

12,868‌

AbbVie,

4.50%,

5/14/35 

20,682‌

19,758‌

AbbVie,

4.70%,

5/14/45 

28,417‌

26,284‌

AbbVie,

4.875%,

11/14/48 

28,471‌

26,918‌

AbbVie,

5.05%,

3/15/34 (7)

22,365‌

22,532‌

AbbVie,

5.35%,

3/15/44 (7)

4,485‌

4,529‌

AbbVie,

5.40%,

3/15/54 

19,285‌

19,658‌

AbbVie,

5.50%,

3/15/64 

10,965‌

11,142‌

Anheuser-Busch

InBev

Worldwide,

5.55%,

1/23/49 

22,565‌

23,135‌

Avantor

Funding,

4.625%,

7/15/28 (1)

3,120‌

2,944‌

BAT

Capital,

2.259%,

3/25/28 

5,565‌

4,925‌

BAT

Capital,

6.00%,

2/20/34 

8,890‌

8,821‌

BAT

Capital,

6.343%,

8/2/30 

3,090‌

3,189‌

BAT

Capital,

7.079%,

8/2/43 

8,280‌

8,621‌

BAT

Capital,

7.081%,

8/2/53 (7)

12,780‌

13,252‌

BAT

International

Finance,

1.668%,

3/25/26 

9,905‌

9,177‌

Bayer

U.S.

Finance,

6.125%,

11/21/26 (1)

5,645‌

5,681‌

Bayer

U.S.

Finance,

6.25%,

1/21/29 (1)

7,686‌

7,693‌

Bayer

U.S.

Finance,

6.375%,

11/21/30 (1)

11,085‌

11,183‌

Bayer

U.S.

Finance

II,

4.25%,

12/15/25 (1)(7)

8,165‌

7,937‌

T.

ROWE

PRICE

New

Income

Fund

16

Par/Shares

$

Value

(Amounts

in

000s)

Becton

Dickinson

&

Company,

2.823%,

5/20/30 (7)

10,563‌

9,270‌

Becton

Dickinson

&

Company,

3.70%,

6/6/27 

16,974‌

16,271‌

Bimbo

Bakeries

USA,

5.375%,

1/9/36 (1)

3,410‌

3,387‌

Bimbo

Bakeries

USA,

6.40%,

1/15/34 (1)

3,390‌

3,627‌

Bristol-Myers

Squibb,

5.10%,

2/22/31 

8,505‌

8,540‌

Bristol-Myers

Squibb,

5.20%,

2/22/34 (7)

17,770‌

17,887‌

Bristol-Myers

Squibb,

5.55%,

2/22/54 

7,205‌

7,289‌

Bristol-Myers

Squibb,

5.65%,

2/22/64 (7)

9,630‌

9,783‌

Bristol-Myers

Squibb,

6.25%,

11/15/53 (7)

11,112‌

12,369‌

Charles

River

Laboratories

International,

4.25%,

5/1/28 (1)

3,465‌

3,240‌

CVS

Health,

3.25%,

8/15/29 (7)

3,560‌

3,240‌

CVS

Health,

4.30%,

3/25/28 (7)

3,265‌

3,171‌

CVS

Health,

5.05%,

3/25/48 

37,769‌

33,639‌

CVS

Health,

5.625%,

2/21/53 

16,520‌

16,016‌

CVS

Health,

5.875%,

6/1/53 (7)

9,060‌

9,056‌

Darling

Ingredients,

6.00%,

6/15/30 (1)(7)

5,145‌

5,048‌

HCA,

3.125%,

3/15/27 

8,660‌

8,131‌

HCA,

3.375%,

3/15/29 

9,695‌

8,837‌

HCA,

3.50%,

9/1/30 (7)

18,270‌

16,306‌

HCA,

4.50%,

2/15/27 

3,300‌

3,226‌

HCA,

5.375%,

9/1/26 

6,729‌

6,695‌

HCA,

5.875%,

2/15/26 

6,575‌

6,600‌

IQVIA,

6.25%,

2/1/29 

13,440‌

13,826‌

IQVIA,

6.50%,

5/15/30 (1)

435‌

440‌

Mars,

4.75%,

4/20/33 (1)

16,610‌

16,176‌

Mattel,

5.875%,

12/15/27 (1)(7)

16,405‌

16,343‌

Mondelez

International,

2.75%,

4/13/30 (7)

4,714‌

4,163‌

Mylan,

4.55%,

4/15/28 

6,805‌

6,550‌

Pfizer

Investment

Enterprises,

4.75%,

5/19/33 (7)

10,395‌

10,089‌

Pfizer

Investment

Enterprises,

5.30%,

5/19/53 (7)

10,425‌

10,211‌

Pfizer

Investment

Enterprises,

5.34%,

5/19/63 

17,625‌

17,005‌

Philip

Morris

International,

5.125%,

2/15/30 (7)

10,740‌

10,701‌

Revvity,

1.90%,

9/15/28 (7)

13,950‌

12,069‌

Revvity,

2.25%,

9/15/31 (7)

7,580‌

6,133‌

Revvity,

3.30%,

9/15/29 

10,440‌

9,412‌

Reynolds

American,

4.45%,

6/12/25 

5,094‌

5,016‌

Sartorius

Finance,

4.875%,

9/14/35

(EUR) 

14,300‌

16,269‌

Solventum,

5.40%,

3/1/29 (1)

15,605‌

15,593‌

Solventum,

5.60%,

3/23/34 (1)

41,435‌

41,169‌

Solventum,

5.90%,

4/30/54 (1)

16,480‌

16,292‌

Solventum,

6.00%,

5/15/64 (1)

16,455‌

16,058‌

Sutter

Health,

5.164%,

8/15/33 

5,265‌

5,284‌

Teva

Pharmaceutical

Finance

Netherlands

III,

7.875%,

9/15/29 

3,580‌

3,813‌

Teva

Pharmaceutical

Finance

Netherlands

III,

8.125%,

9/15/31 

4,195‌

4,541‌

Thermo

Fisher

Scientific,

5.20%,

1/31/34 (7)

7,575‌

7,682‌

Utah

Acquisition

Sub,

3.95%,

6/15/26 

42,360‌

40,901‌

T.

ROWE

PRICE

New

Income

Fund

17

Par/Shares

$

Value

(Amounts

in

000s)

Utah

Acquisition

Sub,

5.25%,

6/15/46 

2,128‌

1,733‌

Viatris,

3.85%,

6/22/40 

12,713‌

9,423‌

Viatris,

4.00%,

6/22/50 (7)

8,520‌

5,810‌

812,779‌

Energy

2.6%

Boardwalk

Pipelines,

3.40%,

2/15/31 (7)

15,531‌

13,747‌

Boardwalk

Pipelines,

4.45%,

7/15/27 

17,539‌

17,021‌

Boardwalk

Pipelines,

5.95%,

6/1/26 

11,500‌

11,572‌

Cheniere

Corpus

Christi

Holdings,

5.125%,

6/30/27 

10,066‌

10,003‌

Cheniere

Energy,

4.625%,

10/15/28 

6,820‌

6,542‌

Chesapeake

Energy,

6.75%,

4/15/29 (1)

5,355‌

5,368‌

Columbia

Pipelines

Holding,

5.681%,

1/15/34 (1)

16,685‌

16,317‌

Continental

Resources,

4.375%,

1/15/28 

3,430‌

3,293‌

Diamondback

Energy,

6.25%,

3/15/53 

3,420‌

3,628‌

Enbridge,

6.20%,

11/15/30 (7)

5,155‌

5,397‌

Enbridge,

6.70%,

11/15/53 (7)

8,130‌

9,123‌

Energy

Transfer,

2.90%,

5/15/25 

8,697‌

8,423‌

Energy

Transfer,

5.55%,

5/15/34 

8,960‌

8,837‌

Energy

Transfer,

5.95%,

5/15/54 

5,935‌

5,788‌

Energy

Transfer,

6.40%,

12/1/30 

11,100‌

11,645‌

Energy

Transfer,

6.55%,

12/1/33 

5,350‌

5,671‌

Hilcorp

Energy

I,

8.375%,

11/1/33 (1)

8,416‌

9,016‌

Kinetik

Holdings,

5.875%,

6/15/30 (1)

2,861‌

2,786‌

Kinetik

Holdings,

6.625%,

12/15/28 (1)

10,468‌

10,599‌

MPLX,

4.125%,

3/1/27 

3,330‌

3,229‌

NuStar

Logistics,

6.00%,

6/1/26 

3,044‌

3,002‌

Occidental

Petroleum,

6.125%,

1/1/31 

13,454‌

13,804‌

Occidental

Petroleum,

6.20%,

3/15/40 

3,705‌

3,751‌

Occidental

Petroleum,

6.375%,

9/1/28 

4,630‌

4,801‌

Occidental

Petroleum,

6.45%,

9/15/36 

3,105‌

3,268‌

Occidental

Petroleum,

6.625%,

9/1/30 (7)

4,570‌

4,808‌

Occidental

Petroleum,

7.50%,

5/1/31 

12,010‌

13,256‌

Occidental

Petroleum,

8.50%,

7/15/27 (7)

5,295‌

5,732‌

Occidental

Petroleum,

8.875%,

7/15/30 

26,910‌

31,000‌

ONEOK,

5.65%,

11/1/28 

3,150‌

3,205‌

ONEOK,

5.80%,

11/1/30 

9,460‌

9,665‌

ONEOK,

6.05%,

9/1/33 

9,310‌

9,596‌

Ovintiv,

5.65%,

5/15/28 (7)

6,425‌

6,476‌

Pioneer

Natural

Resources,

5.10%,

3/29/26 

6,015‌

6,002‌

Raizen

Fuels

Finance,

6.45%,

3/5/34 (1)

5,330‌

5,415‌

Raizen

Fuels

Finance,

6.95%,

3/5/54 (1)

4,930‌

5,030‌

Sabine

Pass

Liquefaction,

4.20%,

3/15/28 

3,320‌

3,198‌

Tallgrass

Energy

Partners,

7.375%,

2/15/29 (1)

940‌

935‌

Targa

Resources,

6.15%,

3/1/29 

15,155‌

15,549‌

Targa

Resources

Partners,

5.00%,

1/15/28 

3,285‌

3,211‌

Targa

Resources

Partners,

5.50%,

3/1/30 

5,907‌

5,848‌

T.

ROWE

PRICE

New

Income

Fund

18

Par/Shares

$

Value

(Amounts

in

000s)

Targa

Resources

Partners,

6.875%,

1/15/29 

3,817‌

3,931‌

TER

F

inance

Jersey,

Series

21,

Zero

Coupon,

1/2/25 (1)

23,600‌

22,251‌

Venture

Global

Calcasieu

Pass,

3.875%,

11/1/33 (1)

2,855‌

2,391‌

Venture

Global

Calcasieu

Pass,

6.25%,

1/15/30 (1)

6,170‌

6,154‌

Venture

Global

LNG,

8.375%,

6/1/31 (1)

16,155‌

16,337‌

Venture

Global

LNG,

9.50%,

2/1/29 (1)

15,710‌

16,751‌

Western

Midstream

Operating,

4.50%,

3/1/28 

3,365‌

3,218‌

Western

Midstream

Operating,

6.35%,

1/15/29 

3,190‌

3,292‌

Williams,

2.60%,

3/15/31 (7)

29,960‌

25,203‌

Williams,

3.75%,

6/15/27 

10,751‌

10,332‌

435,417‌

Industrial

Other

0.1%

Booz

Allen

Hamilton,

5.95%,

8/4/33 

7,290‌

7,509‌

7,509‌

Technology

0.6%

Broadcom,

2.60%,

2/15/33 (1)

11,876‌

9,490‌

Broadcom,

3.419%,

4/15/33 (1)

16,816‌

14,312‌

Broadcom,

3.875%,

1/15/27 

3,320‌

3,212‌

Central

Parent,

7.25%,

6/15/29 (1)(7)

2,855‌

2,869‌

Central

Parent,

8.00%,

6/15/29 (1)

4,350‌

4,459‌

Fiserv,

4.20%,

10/1/28 (7)

3,380‌

3,242‌

Gen

Digital,

7.125%,

9/30/30 (1)(7)

1,130‌

1,151‌

GTCR

W-2

Merger,

7.50%,

1/15/31 (1)

7,070‌

7,370‌

Micron

Technology,

4.185%,

2/15/27 

4,965‌

4,804‌

Micron

Technology,

5.30%,

1/15/31 (7)

10,725‌

10,584‌

Micron

Technology,

6.75%,

11/1/29 

11,330‌

11,996‌

Oracle,

4.90%,

2/6/33 

16,745‌

16,156‌

Sensata

Technologies,

5.875%,

9/1/30 (1)

2,820‌

2,735‌

UKG,

6.875%,

2/1/31 (1)

6,580‌

6,654‌

99,034‌

Transportation

0.1%

American

Airlines,

5.50%,

4/20/26 (1)

2,651‌

2,625‌

Autostrade

per

l'Italia,

2.00%,

1/15/30

(EUR) 

17,020‌

16,269‌

18,894‌

Total

Industrial

2,293,223‌

UTILITY

3.0%

Electric

2.9%

AES,

5.45%,

6/1/28 

6,410‌

6,397‌

American

Electric

Power,

5.20%,

1/15/29 (7)

11,820‌

11,829‌

Baltimore

Gas

&

Electric,

5.40%,

6/1/53 (7)

7,960‌

7,843‌

DTE

Energy,

4.875%,

6/1/28 

3,220‌

3,173‌

DTE

Energy,

5.10%,

3/1/29 (7)

22,930‌

22,669‌

Duke

Energy,

5.00%,

8/15/52 

21,270‌

18,961‌

Duke

Energy,

6.10%,

9/15/53 

23,015‌

23,862‌

Edison

International,

4.95%,

4/15/25 

1,306‌

1,294‌

T.

ROWE

PRICE

New

Income

Fund

19

Par/Shares

$

Value

(Amounts

in

000s)

Edison

International,

6.95%,

11/15/29 

3,045‌

3,245‌

Enel

Finance

America,

7.10%,

10/14/27 (1)

3,075‌

3,229‌

Enel

Finance

International,

1.875%,

7/12/28 (1)(7)

18,162‌

15,727‌

Exelon,

5.15%,

3/15/28 (7)

3,215‌

3,202‌

Exelon,

5.45%,

3/15/34 (7)

8,675‌

8,632‌

Exelon,

5.60%,

3/15/53 (7)

26,830‌

26,155‌

Georgia

Power,

4.95%,

5/17/33 

17,255‌

16,904‌

Georgia

Power,

5.25%,

3/15/34 

18,800‌

18,650‌

Indiana

Michigan

Power,

5.625%,

4/1/53 

1,450‌

1,457‌

MidAmerican

Energy,

5.85%,

9/15/54 (7)

6,460‌

6,802‌

NextEra

Energy

Capital

Holdings,

2.44%,

1/15/32 (7)

15,465‌

12,579‌

NextEra

Energy

Capital

Holdings,

5.25%,

2/28/53 (7)

6,955‌

6,509‌

NextEra

Energy

Capital

Holdings,

5.749%,

9/1/25 

11,275‌

11,320‌

Niagara

Mohawk

Power,

5.664%,

1/17/54 (1)

9,190‌

8,863‌

NRG

Energy,

4.45%,

6/15/29 (1)

9,592‌

8,873‌

Pacific

Gas

&

Electric,

2.10%,

8/1/27 (7)

7,517‌

6,734‌

Pacific

Gas

&

Electric,

2.50%,

2/1/31 

21,478‌

17,611‌

Pacific

Gas

&

Electric,

3.30%,

12/1/27 (7)

3,550‌

3,282‌

Pacific

Gas

&

Electric,

3.95%,

12/1/47 

10,551‌

7,654‌

Pacific

Gas

&

Electric,

4.55%,

7/1/30 (7)

17,647‌

16,600‌

Pacific

Gas

&

Electric,

5.80%,

5/15/34 (7)

12,560‌

12,533‌

Pacific

Gas

&

Electric,

6.70%,

4/1/53 (7)

5,775‌

6,208‌

Pacific

Gas

&

Electric,

6.75%,

1/15/53 

12,830‌

13,779‌

Pacific

Gas

&

Electric,

6.95%,

3/15/34 (7)

9,445‌

10,194‌

PacifiCorp,

5.30%,

2/15/31 

14,010‌

13,810‌

Palomino

Funding

Trust

I,

7.233%,

5/17/28 (1)

9,700‌

10,063‌

Public

Service

Enterprise

Group,

5.875%,

10/15/28 

3,090‌

3,168‌

Southern,

5.70%,

3/15/34 (7)

27,500‌

28,034‌

Southern

California

Edison,

5.70%,

3/1/53 

8,250‌

8,199‌

Southern

California

Edison,

Series

D,

4.70%,

6/1/27 

13,000‌

12,815‌

Talen

Energy

Supply,

8.625%,

6/1/30 (1)

7,652‌

8,054‌

Vistra,

VR,

8.00% (1)(6)(8)

16,305‌

16,305‌

Vistra,

Series

C,

VR,

8.875% (1)(6)(8)

3,295‌

3,344‌

Vistra

Operations,

5.125%,

5/13/25 (1)

6,867‌

6,808‌

Vistra

Operations,

6.95%,

10/15/33 (1)

7,385‌

7,701‌

Vistra

Operations,

7.75%,

10/15/31 (1)

11,850‌

12,235‌

473,306‌

Natural

Gas

0.1%

Boston

Gas,

6.119%,

7/20/53 (1)(7)

5,860‌

5,892‌

NiSource,

3.49%,

5/15/27 

3,365‌

3,198‌

NiSource,

5.25%,

3/30/28 

3,395‌

3,413‌

Sempra,

3.40%,

2/1/28 

3,450‌

3,234‌

T.

ROWE

PRICE

New

Income

Fund

20

Par/Shares

$

Value

(Amounts

in

000s)

Sempra,

3.70%,

4/1/29 

5,350‌

4,981‌

20,718‌

Total

Utility

494,024‌

Total

Corporate

Bonds

(Cost

$5,033,833)

4,875,585‌

FOREIGN

GOVERNMENT

OBLIGATIONS

&

MUNICIPALITIES

1.4%

Owned

No

Guarantee

0.7%

Gaci

First

Investment,

4.875%,

2/14/35 

17,430‌

16,516‌

Gaci

First

Investment,

5.125%,

2/14/53 

28,255‌

24,270‌

Petroleos

Mexicanos,

6.50%,

3/13/27 

42,050‌

39,145‌

Republic

of

Chile,

3.625%,

8/1/27 

8,800‌

8,284‌

Republic

of

Chile,

6.30%,

9/8/53 (1)(7)

20,560‌

19,935‌

Republic

of

Chile,

6.30%,

9/8/53 

3,735‌

3,621‌

Republic

of

Chile,

6.44%,

1/26/36 (1)

9,730‌

9,910‌

121,681‌

Sovereign

0.7%

Kingdom

of

Saudi

Arabia,

4.75%,

1/16/30 (1)

6,490‌

6,386‌

Kingdom

of

Saudi

Arabia,

5.75%,

1/16/54 (1)

12,140‌

11,771‌

Republic

of

Bulgaria,

4.375%,

5/13/31

(EUR) 

12,065‌

13,618‌

Republic

of

Bulgaria,

4.875%,

5/13/36

(EUR) 

13,651‌

15,772‌

Republic

of

Panama,

7.50%,

3/1/31 

11,860‌

12,188‌

Republic

of

Romania,

5.875%,

1/30/29 (1)

18,690‌

18,574‌

United

Mexican

States,

5.00%,

5/7/29 

16,700‌

16,448‌

United

Mexican

States,

6.00%,

5/7/36 

15,680‌

15,641‌

110,398‌

Total

Foreign

Government

Obligations

&

Municipalities

(Cost

$229,743)

232,079‌

NON-U.S.

GOVERNMENT

MORTGAGE-BACKED

SECURITIES

2.7%

Collateralized

Mortgage

Obligations

0.9%

Angel

Oak

Mortgage

Trust

Series

2021-3,

Class

A1,

CMO,

ARM

1.068%,

5/25/66 (1)

7,470‌

6,253‌

BINOM

Securitization

Trust

Series

2021-INV1,

Class

A1,

CMO,

ARM

2.034%,

6/25/56 (1)

9,079‌

7,785‌

Citigroup

Mortgage

Loan

Trust

Series

2022-INV1,

Class

A4B,

CMO,

ARM

3.00%,

11/27/51 (1)

7,399‌

6,039‌

Connecticut

Avenue

Securities

Series

2017-C06,

Class

2ED1,

CMO,

ARM

SOFR30A

+

1.114%,

6.436%,

2/25/30 

129‌

129‌

T.

ROWE

PRICE

New

Income

Fund

21

Par/Shares

$

Value

(Amounts

in

000s)

Connecticut

Avenue

Securities

Series

2022-R01,

Class

1M2,

CMO,

ARM

SOFR30A

+

1.90%,

7.222%,

12/25/41 (1)

19,620‌

19,755‌

Flagstar

Mortgage

Trust

Series

2018-6RR,

Class

2A4,

CMO,

ARM

4.00%,

9/25/48 (1)

830‌

794‌

Flagstar

Mortgage

Trust

Series

2020-1INV,

Class

A11,

CMO,

ARM

1M

TSFR

+

0.964%,

6.00%,

3/25/50 (1)

3,590‌

3,379‌

Flagstar

Mortgage

Trust

Series

2021-5INV,

Class

A16,

CMO,

ARM

2.50%,

7/25/51 (1)

9,500‌

7,435‌

Flagstar

Mortgage

Trust

Series

2021-8INV,

Class

A18,

CMO,

ARM

2.50%,

9/25/51 (1)

8,668‌

6,784‌

FWD

Securitization

Trust

Series

2020-INV1,

Class

A3,

CMO,

ARM

2.44%,

1/25/50 (1)

1,079‌

989‌

Galton

Funding

Mortgage

Trust

Series

2018-1,

Class

A23,

CMO,

ARM

3.50%,

11/25/57 (1)

736‌

655‌

Galton

Funding

Mortgage

Trust

Series

2018-2,

Class

A22,

CMO,

ARM

4.00%,

10/25/58 (1)

1,689‌

1,545‌

GS

Mortgage-Backed

Securities

Trust

Series

2014-EB1A,

Class

2A1,

CMO,

ARM

5.133%,

7/25/44 (1)

349‌

346‌

GS

Mortgage-Backed

Securities

Trust

Series

2020-INV1,

Class

A14,

CMO,

ARM

2.925%,

10/25/50 (1)

15,872‌

13,293‌

Imperial

Fund

Mortgage

Trust

Series

2021-NQM2,

Class

A1,

CMO,

ARM

1.073%,

9/25/56 (1)

11,557‌

9,355‌

JPMorgan

Mortgage

Trust

Series

2019-INV3,

Class

A3,

CMO,

ARM

3.50%,

5/25/50 (1)

4,393‌

3,908‌

JPMorgan

Mortgage

Trust

Series

2020-INV1,

Class

A11,

CMO,

ARM

1M

TSFR

+

0.944%,

6.00%,

8/25/50 (1)

2,275‌

2,157‌

JPMorgan

Mortgage

Trust

Series

2020-INV1,

Class

A3,

CMO,

ARM

3.50%,

8/25/50 (1)

3,848‌

3,370‌

JPMorgan

Mortgage

Trust

Series

2020-LTV1,

Class

A15,

CMO,

ARM

3.50%,

6/25/50 (1)

265‌

257‌

JPMorgan

Mortgage

Trust

Series

2020-LTV1,

Class

A3,

CMO,

ARM

3.50%,

6/25/50 (1)

656‌

637‌

T.

ROWE

PRICE

New

Income

Fund

22

Par/Shares

$

Value

(Amounts

in

000s)

Morgan

Stanley

Residential

Mortgage

Loan

Trust

Series

2023-NQM1,

Class

A2,

CMO,

STEP

7.53%,

9/25/68 (1)

5,738‌

5,839‌

New

Residential

Mortgage

Loan

Trust

Series

2021-INV1,

Class

A4,

CMO,

ARM

2.50%,

6/25/51 (1)

5,897‌

4,637‌

New

Residential

Mortgage

Loan

Trust

Series

2021-INV2,

Class

A4,

CMO,

ARM

2.50%,

9/25/51 (1)

10,901‌

8,629‌

OBX

Trust

Series

2019-INV2,

Class

A25,

CMO,

ARM

4.00%,

5/27/49 (1)

928‌

844‌

OBX

Trust

Series

2019-INV2,

Class

A5,

CMO,

ARM

4.00%,

5/27/49 (1)

2,512‌

2,285‌

OBX

Trust

Series

2020-EXP1,

Class

1A8,

CMO,

ARM

3.50%,

2/25/60 (1)

6,384‌

5,636‌

OBX

Trust

Series

2023-NQM9,

Class

A2,

CMO,

STEP

7.513%,

10/25/63 (1)

1,363‌

1,386‌

Sequoia

Mortgage

Trust

Series

2018-CH1,

Class

A2,

CMO,

ARM

3.50%,

3/25/48 (1)

602‌

539‌

Sequoia

Mortgage

Trust

Series

2018-CH2,

Class

A3,

CMO,

ARM

4.00%,

6/25/48 (1)

2,873‌

2,645‌

Sequoia

Mortgage

Trust

Series

2018-CH3,

Class

A2,

CMO,

ARM

4.00%,

8/25/48 (1)

612‌

593‌

SG

Residential

Mortgage

Trust

Series

2019-3,

Class

A1,

CMO,

ARM

2.703%,

9/25/59 (1)

379‌

369‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2021-DNA2,

Class

M2,

CMO,

ARM

SOFR30A

+

2.30%,

7.622%,

8/25/33 (1)

7,817‌

7,977‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2023-HQA3,

Class

A1,

CMO,

ARM

SOFR30A

+

1.85%,

7.172%,

11/25/43 

22‌

23‌

Towd

Point

Mortgage

Trust

Series

2019-HY3,

Class

A1A,

CMO,

ARM

1M

TSFR

+

1.114%,

6.435%,

10/25/59 (1)

3,257‌

3,283‌

Verus

Securitization

Trust

Series

2019-INV2,

Class

A3,

CMO,

ARM

4.219%,

7/25/59 (1)

2,362‌

2,251‌

Verus

Securitization

Trust

Series

2019-INV3,

Class

A3,

CMO,

ARM

4.10%,

11/25/59 (1)

3,465‌

3,348‌

T.

ROWE

PRICE

New

Income

Fund

23

Par/Shares

$

Value

(Amounts

in

000s)

Verus

Securitization

Trust

Series

2020-INV1,

Class

A1,

CMO,

ARM

1.977%,

3/25/60 (1)

193‌

191‌

Verus

Securitization

Trust

Series

2022-1,

Class

A1,

CMO,

STEP

2.724%,

1/25/67 (1)

5,428‌

4,828‌

Vista

Point

Securitization

Trust

Series

2020-2,

Class

A1,

CMO,

ARM

1.475%,

4/25/65 (1)

1,790‌

1,621‌

151,789‌

Commercial

Mortgage-Backed

Securities

1.8%

Austin

Fairmont

Hotel

Trust

Series

2019-FAIR,

Class

B,

ARM

1M

TSFR

+

1.297%,

6.615%,

9/15/32 (1)

6,970‌

6,918‌

Aventura

Mall

Trust

Series

2018-AVM,

Class

A,

ARM

4.112%,

7/5/40 (1)

39,170‌

36,807‌

BAMLL

Commercial

Mortgage

Securities

Trust

Series

2018-DSNY,

Class

A,

ARM

1M

TSFR

+

1.147%,

6.465%,

9/15/34 (1)

35,456‌

35,457‌

BBCMS

Mortgage

Trust

Series

2019-BWAY,

Class

D,

ARM

1M

TSFR

+

2.274%,

7.592%,

11/15/34 (1)

10,230‌

1,636‌

BX

Commercial

Mortgage

Trust

Series

2022-CSMO,

Class

B,

ARM

1M

TSFR

+

3.141%,

8.458%,

6/15/27 (1)

8,275‌

8,298‌

BX

Trust

Series

2021-ARIA,

Class

B,

ARM

1M

TSFR

+

1.411%,

6.729%,

10/15/36 (1)

6,815‌

6,697‌

Cantor

Commercial

Real

Estate

Lending

Series

2019-CF2,

Class

B

3.267%,

11/15/52 

9,752‌

8,027‌

Citigroup

Commercial

Mortgage

Trust

Series

2019-C7,

Class

805A,

ARM

3.79%,

12/15/72 (1)

12,000‌

4,819‌

Citigroup

Commercial

Mortgage

Trust

Series

2020-555,

Class

C

3.031%,

12/10/41 (1)

8,370‌

6,673‌

Citigroup

Commercial

Mortgage

Trust

Series

2020-555,

Class

D

3.233%,

12/10/41 (1)

5,500‌

4,262‌

Cold

Storage

Trust

Series

2020-ICE5,

Class

B,

ARM

1M

TSFR

+

1.414%,

6.736%,

11/15/37 (1)

11,083‌

11,035‌

Eleven

Madison

Mortgage

Trust

Series

2015-11MD,

Class

A,

ARM

3.555%,

9/10/35 (1)

23,679‌

22,037‌

T.

ROWE

PRICE

New

Income

Fund

24

Par/Shares

$

Value

(Amounts

in

000s)

Great

Wolf

Trust

Series

2019-WOLF,

Class

A,

ARM

1M

TSFR

+

1.348%,

6.666%,

12/15/36 (1)

9,868‌

9,862‌

Great

Wolf

Trust

Series

2019-WOLF,

Class

B,

ARM

1M

TSFR

+

1.648%,

6.966%,

12/15/36 (1)

3,274‌

3,269‌

GS

Mortgage

Securities

Trust

Series

2019-GC40,

Class

B

3.543%,

7/10/52 

12,730‌

10,869‌

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

Series

2018-WPT,

Class

AFX

4.248%,

7/5/33 (1)

9,825‌

8,879‌

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

Series

2018-WPT,

Class

BFX

4.549%,

7/5/33 (1)

7,620‌

6,438‌

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

Series

2018-WPT,

Class

CFX

4.95%,

7/5/33 (1)

11,395‌

9,032‌

Morgan

Stanley

Bank

of

America

Merrill

Lynch

Trust

Series

2014-C17,

Class

B,

ARM

4.464%,

8/15/47 

20,470‌

19,758‌

SCG

Mortgage

Trust

Series

2023-NASH,

Class

A,

ARM

1M

TSFR

+

2.391%,

7.708%,

12/15/40 (1)

23,405‌

23,551‌

UBS

Commercial

Mortgage

Trust

Series

2018-C9,

Class

AS,

ARM

4.318%,

3/15/51 

7,230‌

6,499‌

VNDO

Trust

Series

2016-350P,

Class

D,

ARM

3.903%,

1/10/35 (1)

8,849‌

7,958‌

Wells

Fargo

Commercial

Mortgage

Trust

Series

2015-NXS2,

Class

AS,

ARM

4.121%,

7/15/58 

6,215‌

5,959‌

Wells

Fargo

Commercial

Mortgage

Trust

Series

2017-C39,

Class

B

4.025%,

9/15/50 

5,750‌

5,259‌

Worldwide

Plaza

Trust

Series

2017-WWP,

Class

A

3.526%,

11/10/36 (1)

19,849‌

15,031‌

285,030‌

Total

Non-U.S.

Government

Mortgage-Backed

Securities

(Cost

$499,273)

436,819‌

T.

ROWE

PRICE

New

Income

Fund

25

Par/Shares

$

Value

(Amounts

in

000s)

U.S.

GOVERNMENT

&

AGENCY

MORTGAGE-BACKED

SECURITIES

26.4%

U.S.

Government

Agency

Obligations

20.1%

Federal

Home

Loan

Mortgage 

2.50%,

5/1/30 

4,313‌

4,066‌

3.00%,

12/1/42

-

4/1/47 

15,339‌

13,621‌

3.50%,

9/1/42

-

3/1/46 

71,974‌

65,817‌

4.00%,

10/1/40

-

8/1/45 

7,696‌

7,244‌

4.50%,

6/1/39

-

5/1/42 

11,658‌

11,385‌

5.00%,

7/1/25

-

8/1/40 

3,166‌

3,145‌

5.50%,

4/1/26

-

12/1/39 

3,086‌

3,138‌

6.00%,

10/1/32

-

8/1/38 

1,993‌

2,052‌

6.50%,

4/1/24

-

9/1/39 

776‌

797‌

7.00%,

12/1/24

-

6/1/32 

18‌

19‌

7.50%,

5/1/24

-

6/1/24 

—‌

—‌

Federal

Home

Loan

Mortgage,

ARM 

1Y

CMT

+

2.25%,

6.34%,

10/1/36 

27‌

28‌

RFUCCT1Y

+

1.725%,

5.975%,

7/1/35 

19‌

19‌

RFUCCT1Y

+

1.832%,

6.081%,

3/1/36 

76‌

76‌

RFUCCT1Y

+

1.842%,

6.091%,

1/1/37 

121‌

120‌

RFUCCT1Y

+

1.917%,

6.292%,

2/1/37 

66‌

67‌

RFUCCT1Y

+

1.93%,

6.187%,

12/1/36 

77‌

77‌

RFUCCT1Y

+

2.031%,

6.276%,

11/1/36 

111‌

110‌

Federal

Home

Loan

Mortgage,

CMO,

IO,

4.50%,

5/25/50 

10,892‌

2,093‌

Federal

Home

Loan

Mortgage,

CMO,

PO,

Zero

Coupon,

8/15/28 

4‌

4‌

Federal

Home

Loan

Mortgage,

UMBS 

1.50%,

2/1/36

-

4/1/37 

31,574‌

27,368‌

2.00%,

8/1/36

-

5/1/52 

216,901‌

174,869‌

2.50%,

4/1/37

-

9/1/52 

297,819‌

248,209‌

3.00%,

11/1/34

-

4/1/52 

59,587‌

52,554‌

3.50%,

6/1/47

-

6/1/52 

37,541‌

34,048‌

4.00%,

6/1/37

-

2/1/50 

28,212‌

26,591‌

4.50%,

9/1/37

-

11/1/52 

66,796‌

63,316‌

5.00%,

8/1/52

-

5/1/53 

19,237‌

18,671‌

5.50%,

8/1/53 

38,161‌

37,842‌

Federal

National

Mortgage

Assn. 

3.00%,

6/1/33

-

8/1/46 

5,880‌

5,156‌

3.50%,

6/1/42

-

5/1/46 

43,533‌

39,611‌

4.00%,

11/1/40 

7,571‌

7,231‌

Federal

National

Mortgage

Assn.,

ARM 

RFUCCT1Y

+

1.34%,

5.59%,

12/1/35 

63‌

63‌

RFUCCT1Y

+

1.598%,

5.683%,

7/1/36 

193‌

196‌

RFUCCT1Y

+

1.655%,

5.905%,

8/1/37 

44‌

44‌

RFUCCT1Y

+

1.87%,

6.12%,

8/1/36 

115‌

114‌

Federal

National

Mortgage

Assn.,

CMO,

IO,

6.50%,

2/25/32 

20‌

3‌

T.

ROWE

PRICE

New

Income

Fund

26

Par/Shares

$

Value

(Amounts

in

000s)

Federal

National

Mortgage

Assn.,

UMBS 

1.50%,

2/1/37

-

1/1/42 

61,870‌

52,100‌

2.00%,

11/1/35

-

7/1/52 

947,358‌

764,186‌

2.50%,

5/1/30

-

9/1/52 

490,889‌

412,258‌

3.00%,

6/1/27

-

7/1/52 

374,354‌

330,622‌

3.50%,

11/1/32

-

3/1/52 

125,342‌

114,872‌

4.00%,

7/1/35

-

11/1/52 

183,944‌

172,332‌

4.50%,

7/1/39

-

7/1/52 

99,004‌

95,758‌

5.00%,

3/1/25

-

9/1/53 

82,481‌

80,879‌

5.50%,

4/1/34

-

10/1/53 

73,285‌

72,955‌

6.00%,

11/1/32

-

1/1/54 

137,981‌

139,736‌

6.50%,

8/1/27

-

11/1/53 

32,964‌

33,758‌

7.00%,

10/1/29

-

4/1/37 

96‌

99‌

UMBS,

TBA (9)

2.50%,

3/1/54 

27,950‌

22,961‌

3.50%,

3/1/54 

28,465‌

25,322‌

5.00%,

3/1/54 

55,185‌

53,512‌

5.50%,

3/1/54 

14,690‌

14,531‌

6.00%,

3/1/54 

11,280‌

11,327‌

6.50%,

3/1/54 

56,435‌

57,422‌

3,304,394‌

U.S.

Government

Obligations

6.3%

Government

National

Mortgage

Assn. 

1.50%,

8/20/36

-

6/20/37 

10,464‌

8,972‌

2.00%,

1/20/51

-

3/20/52 

226,007‌

184,039‌

2.50%,

8/20/50

-

3/20/52 

216,999‌

183,754‌

3.00%,

9/15/42

-

6/20/52 

191,853‌

169,162‌

3.50%,

9/15/41

-

7/20/52 

127,716‌

116,961‌

4.00%,

2/20/41

-

10/20/52 

106,334‌

99,780‌

4.50%,

7/15/26

-

4/20/53 

88,796‌

85,418‌

5.00%,

9/15/33

-

6/20/48 

35,335‌

35,266‌

5.50%,

10/20/32

-

3/20/49 

15,179‌

15,425‌

6.00%,

1/20/34

-

12/20/38 

1,913‌

1,973‌

6.50%,

1/15/26

-

12/15/31 

37‌

38‌

7.00%,

5/20/28

-

11/20/28 

10‌

11‌

7.50%,

7/15/28

-

8/15/28 

35‌

36‌

8.00%,

9/15/27

-

10/15/27 

80‌

81‌

8.50%,

9/20/26 

—‌

—‌

Government

National

Mortgage

Assn.,

CMO 

3.00%,

11/20/47

-

12/20/47 

2,850‌

2,569‌

3.50%,

10/20/50 

9,510‌

7,875‌

Government

National

Mortgage

Assn.,

CMO,

IO 

3.50%,

5/20/43 

2,751‌

427‌

4.00%,

2/20/43 

1,985‌

217‌

Government

National

Mortgage

Assn.,

TBA (9)

5.00%,

3/20/54 

32,425‌

31,670‌

T.

ROWE

PRICE

New

Income

Fund

27

Par/Shares

$

Value

(Amounts

in

000s)

5.50%,

3/20/54 

81,265‌

80,722‌

6.00%,

3/20/54 

19,170‌

19,263‌

6.50%,

3/20/54 

1,340‌

1,358‌

1,045,017‌

Total

U.S.

Government

&

Agency

Mortgage-Backed

Securities

(Cost

$4,694,146)

4,349,411‌

U.S.

GOVERNMENT

AGENCY

OBLIGATIONS

(EXCLUDING

MORTGAGE-BACKED)

31.0%

U.S.

Treasury

Obligations

31.0%

U.S.

Treasury

Bonds,

3.375%,

8/15/42 

437,190‌

373,797‌

U.S.

Treasury

Bonds,

3.625%,

2/15/53 

269,845‌

235,988‌

U.S.

Treasury

Bonds,

3.625%,

5/15/53 

19,900‌

17,419‌

U.S.

Treasury

Bonds,

3.875%,

2/15/43 

159,815‌

146,381‌

U.S.

Treasury

Bonds,

4.00%,

11/15/42 

304,955‌

284,704‌

U.S.

Treasury

Bonds,

4.125%,

8/15/53 

278,000‌

266,315‌

U.S.

Treasury

Bonds,

4.75%,

11/15/53 

171,700‌

182,780‌

U.S.

Treasury

Inflation-Indexed

Notes,

1.375%,

7/15/33 

646,264‌

618,798‌

U.S.

Treasury

Notes,

0.625%,

12/31/27 

206,375‌

179,514‌

U.S.

Treasury

Notes,

0.625%,

8/15/30 

210,550‌

167,617‌

U.S.

Treasury

Notes,

1.50%,

1/31/27 

308,150‌

283,642‌

U.S.

Treasury

Notes,

3.25%,

6/30/27 

234,665‌

226,452‌

U.S.

Treasury

Notes,

3.875%,

11/30/27 

212,795‌

209,271‌

U.S.

Treasury

Notes,

4.125%,

6/15/26 

23,040‌

22,824‌

U.S.

Treasury

Notes,

4.125%,

9/30/27 

228,435‌

226,579‌

U.S.

Treasury

Notes,

4.125%,

10/31/27 

7,870‌

7,806‌

U.S.

Treasury

Notes,

4.50%,

7/15/26 

249,905‌

249,710‌

U.S.

Treasury

Notes,

4.50%,

11/15/33 

79,050‌

80,557‌

U.S.

Treasury

Notes,

4.625%,

9/15/26 

737,622‌

739,697‌

U.S.

Treasury

Notes,

4.625%,

10/15/26 (10)

346,295‌

347,431‌

U.S.

Treasury

Notes,

4.625%,

9/30/30 

68,600‌

69,951‌

U.S.

Treasury

Notes,

8/31/30 

168,635‌

167,133‌

Total

U.S.

Government

Agency

Obligations

(Excluding

Mortgage-

Backed)

(Cost

$5,198,402)

5,104,366‌

SHORT-TERM

INVESTMENTS

2.9%

Money

Market

Funds

2.9%

T.

Rowe

Price

Government

Reserve

Fund,

5.39% (4)(11)

484,244‌

484,244‌

Total

Short-Term

Investments

(Cost

$484,244)

484,244‌

T.

ROWE

PRICE

New

Income

Fund

28

Par/Shares

$

Value

(Amounts

in

000s)

SECURITIES

LENDING

COLLATERAL

2.1%

INVESTMENTS

IN

A

POOLED

ACCOUNT

THROUGH

SECURITIES

LENDING

PROGRAM

WITH

JPMORGAN

CHASE

BANK

0.0%

Money

Market

Funds

0.0%

T.

Rowe

Price

Government

Reserve

Fund,

5.39% (4)(11)

533‌

533‌

Total

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

JPMorgan

Chase

Bank

533‌

INVESTMENTS

IN

A

POOLED

ACCOUNT

THROUGH

SECURITIES

LENDING

PROGRAM

WITH

STATE

STREET

BANK

AND

TRUST

COMPANY

2.1%

Money

Market

Funds

2.1%

T.

Rowe

Price

Government

Reserve

Fund,

5.39% (4)(11)

353,354‌

353,354‌

Total

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

State

Street

Bank

and

Trust

Company

353,354‌

Total

Securities

Lending

Collateral

(Cost

$353,887)

353,887‌

(Amounts

in

000s,

except

for

contracts)

OPTIONS

PURCHASED

0.1%

Exchange-Traded

Options

Purchased

0.0%

Description

Contracts

Notional

Amount

$

Value

U.S.

Treasury

10-Year

Notes

Futures,

Put,

3/22/24

@

$109.50 (12)

11,487‌

1,268,596‌

4,487‌

Total

Exchange-Traded

Options

Purchased

(Cost

$5,043)

4,487‌

OTC

Options

Purchased

0.1%

Counterparty

Description

Contracts

Notional

Amount

$

Value

Barclays

Bank

30

Year

Interest

Rate

Swap,

8/12/54

Pay

Fixed

3.80%

Annually,

Receive

Variable

5.32%

(SOFR)

Annually,

8/8/24

@

3.80%* (12)

1‌

114,982‌

3,168‌

Barclays

Bank

30

Year

Interest

Rate

Swap,

8/13/54

Pay

Fixed

3.80%

Annually,

Receive

Variable

5.32%

(SOFR)

Annually,

8/9/24

@

3.80%* (12)

1‌

202,750‌

5,611‌

T.

ROWE

PRICE

New

Income

Fund

29

(Amounts

in

000s,

except

for

contracts)

Counterparty

Description

Contracts

Notional

Amount

$

Value

Citibank

Credit

Default

Swap

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.HY-S41,

5

Year

Index,

12/20/28),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

3/20/24

@

1.03%* (12)

1‌

277,771‌

125‌

Goldman

Sachs

30

Year

Interest

Rate

Swap,

8/13/54

Pay

Fixed

3.80%

Annually,

Receive

Variable

5.32%

(SOFR)

Annually,

8/9/24

@

3.80%* (12)

1‌

101,375‌

2,805‌

JPMorgan

Chase

Credit

Default

Swap

Protection

Bought

(Relevant

Credit:

Markit

CDX.NA.HY-S41,

5

Year

Index,

12/20/28),

Pay

5.00%

Quarterly,

Receive

upon

credit

default,

3/20/24

@

1.04%* (12)

1‌

540,784‌

134‌

Morgan

Stanley

30

Year

Interest

Rate

Swap,

8/12/54

Pay

Fixed

3.80%

Annually,

Receive

Variable

5.32%

(SOFR)

Annually,

8/8/24

@

3.80%* (12)

1‌

101,375‌

2,793‌

Morgan

Stanley

30

Year

Interest

Rate

Swap,

8/13/54

Pay

Fixed

3.80%

Annually,

Receive

Variable

5.32%

(SOFR)

Annually,

8/9/24

@

3.80%* (12)

1‌

202,750‌

5,611‌

Total

OTC

Options

Purchased

(Cost

$24,609)

20,247‌

Total

Options

Purchased

(Cost

$29,652)

24,734‌

Total

Investments

in

Securities

103.9%

(Cost

$17,802,779)

$

17,128,009‌

Other

Assets

Less

Liabilities

(3.9)%

(650,805‌)

Net

Assets

100.0%

$

16,477,204‌

‡

Par/Shares

and

Notional

Amount

are

denominated

in

U.S.

dollars

unless

otherwise

noted.

*

Exercise

Spread

T.

ROWE

PRICE

New

Income

Fund

30

.

.

.

.

.

.

.

.

.

.

(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

$2,411,282

and

represents

14.6%

of

net

assets.

(2)

Bank

loan

positions

may

involve

multiple

underlying

tranches.

In

those

instances,

the

position

presented

reflects

the

aggregate

of

those

respective

underlying

tranches

and

the

rate

presented

reflects

the

weighted

average

rate

of

the

settled

positions.

(3)

All

or

a

portion

of

this

loan

is

unsettled

as

of

February

29,

2024.

The

interest

rate

for

unsettled

loans

will

be

determined

upon

settlement

after

period

end.

(4)

SEC

30-day

yield

(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)

All

or

a

portion

of

this

security

is

on

loan

at

February

29,

2024.

(8)

Perpetual

security

with

no

stated

maturity

date.

(9)

To-Be-Announced

purchase

commitment.

Total

value

of

such

securities

at

period-end

amounts

to

$318,088

and

represents

1.9%

of

net

assets.

(10)

At

February

29,

2024,

all

or

a

portion

of

this

security

is

pledged

as

collateral

and/

or

margin

deposit

to

cover

future

funding

obligations.

(11)

Seven-day

yield

(12)

Non-income

producing

1M

TSFR

One

month

term

SOFR

(Secured

overnight

financing

rate)

3M

TSFR

Three

month

term

SOFR

(Secured

overnight

financing

rate)

6M

USD

LIBOR

Six

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. 

AUD

Australian

Dollar

CLO

Collateralized

Loan

Obligation

CMO

Collateralized

Mortgage

Obligation

EUR

Euro

FRN

Floating

Rate

Note

IO

Interest-only

security

for

which

the

fund

receives

interest

on

notional

principal

JPY

Japanese

Yen

OTC

Over-the-counter

PO

Principal-only

security

for

which

the

fund

receives

regular

cash

flows

based

on

principal

repayments

RFUCCT1Y

Twelve

month

Refinitiv

USD

IBOR

Consumer

Cash

Fallback

SOFR30A

30-day

Average

SOFR

(Secured

overnight

financing

rate)

STEP

Stepped

coupon

bond

for

which

the

coupon

rate

of

interest

adjusts

on

specified

date(s);

rate

shown

is

effective

rate

at

period-end.

TBA

To-Be-Announced

T.

ROWE

PRICE

New

Income

Fund

31

.

.

.

.

.

.

.

.

.

.

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

32

(Amounts

in

000s,

except

for

contracts)

OPTIONS

WRITTEN

(0.2)%

OTC

Options

Written

(0.2)%

Counterparty

Description

Contracts

Notional

Amount

$

Value

Barclays

Bank

2

Year

Interest

Rate

Swap,

8/12/26

Pay

Fixed

4.20%

Annually,

Receive

Variable

5.32%

(SOFR)

Annually,

8/8/24

@

4.20%*

1

922,538

(5,258‌)

Morgan

Stanley

2

Year

Interest

Rate

Swap,

8/12/26

Pay

Fixed

4.20%

Annually,

Receive

Variable

5.32%

(SOFR)

Annually,

8/8/24

@

4.20%*

1

839,988

(4,787‌)

Barclays

Bank

2

Year

Interest

Rate

Swap,

8/13/26

Pay

Fixed

4.20%

Annually,

Receive

Variable

5.32%

(SOFR)

Annually,

8/9/24

@

4.20%*

1

1,634,708

(9,318‌)

Goldman

Sachs

2

Year

Interest

Rate

Swap,

8/13/26

Pay

Fixed

4.20%

Annually,

Receive

Variable

5.32%

(SOFR)

Annually,

8/9/24

@

4.20%*

1

804,779

(4,588‌)

Morgan

Stanley

2

Year

Interest

Rate

Swap,

8/13/26

Pay

Fixed

4.20%

Annually,

Receive

Variable

5.32%

(SOFR)

Annually,

8/9/24

@

4.20%*

1

1,634,707

(9,318‌)

Total

Options

Written

(Premiums

$(21,870))

$

(33,269‌)

T.

ROWE

PRICE

New

Income

Fund

33

(Amounts

in

000s)

SWAPS

0.3%

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)

Unrealized

$

Gain/(Loss)

BILATERAL

SWAPS

0.0%

Credit

Default

Swaps,

Protection

Bought

0.0%

Goldman

Sachs,

Protection

Bought

(Relevant

Credit:

Markit

CMBX.

NA.AAA-S15,

40

Year

Index),

Pay

0.50%

Monthly,

Receive

upon

credit

default,

11/18/64

*

2,883

44

73

(29‌)

Morgan

Stanley,

Protection

Bought

(Relevant

Credit:

Markit

CMBX.

NA.AAA-S15,

40

Year

Index),

Pay

0.50%

Monthly,

Receive

upon

credit

default,

11/18/64

*

454,750

6,938

11,902

(4,964‌)

Morgan

Stanley,

Protection

Bought

(Relevant

Credit:

Markit

CMBX.

NA.AAA-S16,

40

Year

Index),

Pay

0.50%

Monthly,

Receive

upon

credit

default,

4/17/65

*

16,953

308

513

(205‌)

Total

Bilateral

Credit

Default

Swaps,

Protection

Bought

12,488

(5,198‌)

Credit

Default

Swaps,

Protection

Sold

0.0%

JPMorgan

Chase,

Protection

Sold

(Relevant

Credit:

Barclays

Bank,

Baa1*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

6/20/24

(EUR)

*

5,778

24

17

7‌

Total

Bilateral

Credit

Default

Swaps,

Protection

Sold

17

7‌

Total

Bilateral

Swaps

12,505

(5,191‌)

Description

Notional

Amount

$

Value

Initial

$

Value

**

Unrealized

$

Gain/(Loss)

CENTRALLY

CLEARED

SWAPS

0.3%

Credit

Default

Swaps,

Protection

Sold

0.3%

Protection

Sold

(Relevant

Credit:

Freeport-McMoRan,

Baa2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/28

27,140

(93)

(90)

(3‌)

Protection

Sold

(Relevant

Credit:

Markit

CDX.EM.IG-S40,

5

Year

Index),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/28

165,132

2,624

2,392

232‌

T.

ROWE

PRICE

New

Income

Fund

34

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

Protection

Sold

(Relevant

Credit:

Markit

CDX.NA.HY-S41,

5

Year

Index),

Receive

5.00%

Quarterly,

Pay

upon

credit

default,

12/20/28

117,174

8,606

94

8,512‌

Protection

Sold

(Relevant

Credit:

Markit

CDX.NA.IG-S41,

5

Year

Index),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/28

1,457,239

32,984

27,352

5,632‌

Protection

Sold

(Relevant

Credit:

Markit

iTraxx

Europe

Subordinated

Financials-S40,

5

Year

Index),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/28

(EUR)

190,975

(1,090)

(914)

(176‌)

Protection

Sold

(Relevant

Credit:

United

Mexican

States,

Baa2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

12/20/28

231,883

2,013

337

1,676‌

Total

Centrally

Cleared

Credit

Default

Swaps,

Protection

Sold

15,873‌

Total

Centrally

Cleared

Swaps

15,873‌

Net

payments

(receipts)

of

variation

margin

to

date

(14,591‌)

Variation

margin

receivable

(payable)

on

centrally

cleared

swaps

$

1,282‌

*

Credit

ratings

as

of

February

29,

2024.

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

$1,471.

T.

ROWE

PRICE

New

Income

Fund

35

(Amounts

in

000s)

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

Counterparty

Settlement

Receive

Deliver

Unrealized

Gain/(Loss)

Barclays

Bank

3/4/24

AUD

83,039‌

JPY

8,035,679‌

$

349‌

Barclays

Bank

3/4/24

AUD

5,583‌

USD

3,622‌

7‌

Citibank

3/4/24

AUD

127,010‌

JPY

12,288,853‌

546‌

Citibank

3/4/24

JPY

36,383,948‌

AUD

381,648‌

(5,261‌)

Deutsche

Bank

5/24/24

USD

7,332‌

EUR

6,751‌

10‌

Deutsche

Bank

5/24/24

USD

16,826‌

EUR

15,560‌

(50‌)

Goldman

Sachs

3/4/24

AUD

83,006‌

JPY

8,030,479‌

362‌

JPMorgan

Chase

3/4/24

AUD

83,010‌

JPY

8,028,938‌

375‌

JPMorgan

Chase

5/24/24

USD

9,326‌

EUR

8,570‌

31‌

State

Street

5/24/24

USD

54,849‌

EUR

50,714‌

(154‌)

Net

unrealized

gain

(loss)

on

open

forward

currency

exchange

contracts

$

(3,785‌)

T.

ROWE

PRICE

New

Income

Fund

36

FUTURES

CONTRACTS

($000s)

Expiration

Date

Notional

Amount

Value

and

Unrealized

Gain

(Loss)

Short,

2,116

Euro

BUND

contracts

3/24

(303,367)

$

1,880‌

Long,

7,262

U.S.

Treasury

Notes

five

year

contracts

6/24

776,353

160‌

Short,

4,264

U.S.

Treasury

Notes

ten

year

contracts

6/24

(470,905)

(538‌)

Short,

13,803

U.S.

Treasury

Notes

two

year

contracts

6/24

(2,826,164)

(574‌)

Long,

4,575

Ultra

U.S.

Treasury

Bonds

contracts

6/24

585,028

3,929‌

Short,

5,284

Ultra

U.S.

Treasury

Notes

ten

year

contracts

6/24

(603,284)

(503‌)

Net

payments

(receipts)

of

variation

margin

to

date

(3,451‌)

Variation

margin

receivable

(payable)

on

open

futures

contracts

$

903‌

T.

ROWE

PRICE

New

Income

Fund

37

The

accompanying

notes

are

an

integral

part

of

this

Portfolio

of

Investments.

AFFILIATED

COMPANIES

($000s)

The

fund

may

invest

in

certain

securities

that

are

considered

affiliated

companies.

As

defined

by

the

1940

Act,

an

affiliated

company

is

one

in

which

the

fund

owns

5%

or

more

of

the

outstanding

voting

securities,

or

a

company

that

is

under

common

ownership

or

control.

The

following

securities

were

considered

affiliated

companies

for

all

or

some

portion

of

the

nine

months

ended

February

29,

2024.

Net

realized

gain

(loss),

investment

income,

change

in

net

unrealized

gain/loss,

and

purchase

and

sales

cost

reflect

all

activity

for

the

period

then

ended.

Affiliate

Net

Realized

Gain

(Loss)

Change

in

Net

Unrealized

Gain/Loss

Investment

Income

T.

Rowe

Price

Institutional

Floating

Rate

Fund

-

Z

Class,

9.14% 

$

—‌

$

8‌

$

21‌

T.

Rowe

Price

Government

Reserve

Fund,

5.39%

—‌

—‌

51,493‌++

Totals

$

—‌#

$

8‌

$

51,514‌+

Supplementary

Investment

Schedule

Affiliate

Value

05/31/23

Purchase

Cost

Sales

Cost

Value

02/29/24

T.

Rowe

Price

Institutional

Floating

Rate

Fund

-

Z

Class,

9.14% 

$

284‌

$

22‌

$

—‌

$

314‌

T.

Rowe

Price

Government

Reserve

Fund,

5.39%

2,018,913‌

 ¤

 ¤

838,131‌

Total

$

838,445‌^

#

Capital

gain

distributions

from

underlying

Price

funds

represented

$0

of

the

net

realized

gain

(loss).

++

Excludes

earnings

on

securities

lending

collateral,

which

are

subject

to

rebates

and

fees.

+

Investment

income

comprised

$51,514

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

$838,423.

T.

ROWE

PRICE

New

Income

Fund

Unaudited

Notes

to

Portfolio

of

Investments

38

T.

Rowe

Price

New

Income

Fund,

Inc. (the

fund) is

registered

under

the

Investment

Company

Act

of

1940

(the

1940

Act)

as

an

open-end

management

investment

company

and

follows

accounting

and

reporting

guidance

of

the

Financial

Accounting

Standards

Board

Accounting

Standards

Codification

Topic

946.

The

accompanying

Portfolio

of

Investments

was

prepared

in

accordance

with

accounting

principles

generally

accepted

in

the

United

States

of

America

(GAAP).

For

additional

information

on

the

fund’s

significant

accounting

policies

and

investment

related

disclosures,

please

refer

to

the

fund’s most

recent

semiannual

or

annual

shareholder

report

and

its

prospectus. 

VALUATION 

Fair

Value

  The

fund’s

financial

instruments

are

valued

at

the

close

of

the

New

York

Stock

Exchange

(NYSE),

normally

4

p.m.

ET,

each

day

the

NYSE

is

open

for

business,

and

are

reported

at

fair

value,

which

GAAP

defines

as

the

price

that

would

be

received

to

sell

an

asset

or

paid

to

transfer

a

liability

in

an

orderly

transaction

between

market

participants

at

the

measurement

date. The fund’s

Board

of

Directors

(the

Board)

has

designated

T.

Rowe

Price

Associates,

Inc.

as

the

fund’s

valuation

designee

(Valuation

Designee).

Subject

to

oversight

by

the

Board,

the

Valuation

Designee

performs

the

following

functions

in

performing

fair

value

determinations:

assesses

and

manages

valuation

risks;

establishes

and

applies

fair

value

methodologies;

tests

fair

value

methodologies;

and

evaluates

pricing

vendors

and

pricing

agents.

The

duties

and

responsibilities

of

the

Valuation

Designee

are

performed

by

its

Valuation

Committee. The

Valuation

Designee provides

periodic

reporting

to

the

Board

on

valuation

matters.

Various

valuation

techniques

and

inputs

are

used

to

determine

the

fair

value

of

financial

instruments.

GAAP

establishes

the

following

fair

value

hierarchy

that

categorizes

the

inputs

used

to

measure

fair

value:

Level

1

–

quoted

prices

(unadjusted)

in

active

markets

for

identical

financial

instruments

that

the

fund

can

access

at

the

reporting

date

Level

2

–

inputs

other

than

Level

1

quoted

prices

that

are

observable,

either

directly

or

indirectly

(including,

but

not

limited

to,

quoted

prices

for

similar

financial

instruments

in

active

markets,

quoted

prices

for

identical

or

similar

financial

instruments

in

inactive

markets,

interest

rates

and

yield

curves,

implied

volatilities,

and

credit

spreads)

Level

3

–

unobservable

inputs

(including

the Valuation

Designee’s assumptions

in

determining

fair

value)

T.

ROWE

PRICE

New

Income

Fund

39

Observable

inputs

are

developed

using

market

data,

such

as

publicly

available

information

about

actual

events

or

transactions,

and

reflect

the

assumptions

that

market

participants

would

use

to

price

the

financial

instrument.

Unobservable

inputs

are

those

for

which

market

data

are

not

available

and

are

developed

using

the

best

information

available

about

the

assumptions

that

market

participants

would

use

to

price

the

financial

instrument.

GAAP

requires

valuation

techniques

to

maximize

the

use

of

relevant

observable

inputs

and

minimize

the

use

of

unobservable

inputs.

When

multiple

inputs

are

used

to

derive

fair

value,

the

financial

instrument

is

assigned

to

the

level

within

the

fair

value

hierarchy

based

on

the

lowest-level

input

that

is

significant

to

the

fair

value

of

the

financial

instrument.

Input

levels

are

not

necessarily

an

indication

of

the

risk

or

liquidity

associated

with

financial

instruments

at

that

level

but

rather

the

degree

of

judgment

used

in

determining

those

values.

Valuation

Techniques 

Debt

securities

generally

are

traded

in

the over-the-counter

(OTC)

market

and

are

valued

at

prices

furnished

by

independent

pricing

services

or

by

broker

dealers

who

make

markets

in

such

securities.

When

valuing

securities,

the

independent

pricing

services

consider

factors

such

as,

but

not

limited

to,

the

yield

or

price

of

bonds

of

comparable

quality,

coupon,

maturity,

and

type,

as

well

as

prices

quoted

by

dealers

who

make

markets

in

such

securities.   

Investments

denominated

in

foreign

currencies

are

translated

into

U.S.

dollar

values

each

day

at

the

prevailing

exchange

rate,

using

the

mean

of

the

bid

and

asked

prices

of

such

currencies

against

U.S.

dollars

as

provided

by

an

outside

pricing

service.

Investments

in

mutual

funds

are

valued

at

the

mutual

fund’s

closing

NAV

per

share

on

the

day

of

valuation.

Listed

options,

and

OTC

options

with

a

listed

equivalent,

are

valued

at

the

mean

of

the

closing

bid

and

asked

prices

and

exchange-traded

options

on

futures

contracts

are

valued

at

closing

settlement

prices.

Futures

contracts

are

valued

at

closing

settlement

prices.

Forward

currency

exchange

contracts

are

valued

using

the

prevailing

forward

exchange

rate.

Swaps

are

valued

at

prices

furnished

by

an

independent

pricing

service

or

independent

swap

dealers.

Investments

for

which

market

quotations are

not

readily

available

or

deemed

unreliable

are

valued

at

fair

value

as

determined

in

good

faith

by

the

Valuation

Designee.

The

Valuation

Designee

has

adopted

methodologies

for

determining

the

fair

value

of

investments

for

which

market

quotations

are

not

readily

available

or

deemed

unreliable,

including

the

use

of

other

pricing

sources.

Factors

used

in

determining

fair

value

vary

by

type

of

investment

and

may

include

market

or

investment

specific

considerations.

The

Valuation

Designee typically

will

afford

greatest

weight

to

actual

prices

in

arm’s

length

transactions,

to

the

extent

they

represent

orderly

transactions

between

market

participants,

transaction

information

can

be

reliably

obtained,

and

prices

are

deemed

representative

of

fair

value.

However,

the

Valuation

Designee may

also

consider

other

T.

ROWE

PRICE

New

Income

Fund

40

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.

Valuation

Inputs

  The

following

table

summarizes

the

fund’s

financial

instruments,

based

on

the

inputs

used

to

determine

their

fair

values

on

February

29,

2024

(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

$

—‌

$

16,264,830‌

$

—‌

$

16,264,830‌

Bond

Mutual

Funds

314‌

—‌

—‌

314‌

Short-Term

Investments

484,244‌

—‌

—‌

484,244‌

Securities

Lending

Collateral

353,887‌

—‌

—‌

353,887‌

Options

Purchased

4,487‌

20,247‌

—‌

24,734‌

Total

Securities

842,932‌

16,285,077‌

—‌

17,128,009‌

Swaps*

—‌

23,366‌

—‌

23,366‌

Forward

Currency

Exchange

Contracts

—‌

1,680‌

—‌

1,680‌

Futures

Contracts*

5,969‌

—‌

—‌

5,969‌

Total

$

848,901‌

$

16,310,123‌

$

—‌

$

17,159,024‌

Liabilities

Options

Written

$

—‌

$

33,269‌

$

—‌

$

33,269‌

Swaps*

—‌

179‌

—‌

179‌

Forward

Currency

Exchange

Contracts

—‌

5,465‌

—‌

5,465‌

Futures

Contracts*

1,615‌

—‌

—‌

1,615‌

Total

$

1,615‌

$

38,913‌

$

—‌

$

40,528‌

T.

ROWE

PRICE

New

Income

Fund

41

OTHER

MATTERS 

Unpredictable

events

such

as

environmental

or

natural

disasters,

war

and

conflict,

terrorism,

geopolitical

events,

and

public

health

epidemics and

similar

public

health

threats

may

significantly

affect

the

economy

and

the

markets

and

issuers

in

which

the fund

invests.

Certain

events

may

cause

instability

across

global

markets,

including

reduced

liquidity

and

disruptions

in

trading

markets,

while

some

events

may

affect

certain

geographic

regions,

countries,

sectors,

and

industries

more

significantly

than

others,

and

exacerbate

other

pre-existing

political,

social,

and

economic

risks.

The

global

outbreak

of

COVID-19

and

the

related

governmental

and

public

responses

have

led

and

may

continue

to

lead

to

increased

market

volatility

and

the

potential

for

illiquidity

in

certain

classes

of

securities

and

sectors

of

the

market

either

in

specific

countries

or

worldwide.

In

February

2022,

Russian

forces

entered

Ukraine

and

commenced

an

armed

conflict,

leading

to

economic

sanctions imposed

on

Russia

that

target certain

of

its

citizens

and

issuers

and

sectors

of

the

Russian

economy,

creating

impacts

on

Russian-related

stocks

and

debt

and

greater

volatility

in

global

markets.

In

March

2023,

the

banking

industry

experienced

heightened

volatility,

which

sparked

concerns

of

potential

broader

adverse

market

conditions.

The

extent

of

impact

of

these

events

on

the

US

and

global

markets

is

highly

uncertain.

These

are

recent

examples

of

global

events

which

may

have

a

negative

impact

on

the

values

of

certain

portfolio

holdings

or

the

fund's

overall

performance.

Management

is

actively

monitoring

the

risks

and

financial

impacts

arising

from

these

events.

F43-054Q3

02/24

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.