T.

ROWE

PRICE

New

Income

Fund

August

31,

2024

(Unaudited)

1

Portfolio

of

Investments

‡

Par/Shares

$

Value

(Amounts

in

000s)

‡

ASSET-BACKED

SECURITIES

 8.6%

Car

Loan

 3.0%

AmeriCredit

Automobile

Receivables

Trust

Series

2021-1,

Class

C

0.89%,

10/19/26 

10,150‌

9,974‌

AmeriCredit

Automobile

Receivables

Trust

Series

2021-1,

Class

D

1.21%,

12/18/26 

10,301‌

9,961‌

AmeriCredit

Automobile

Receivables

Trust

Series

2022-1,

Class

D

3.23%,

2/18/28 

36,840‌

35,616‌

AmeriCredit

Automobile

Receivables

Trust

Series

2023-1,

Class

C

5.80%,

12/18/28 

10,995‌

11,250‌

Bayview

Opportunity

Master

Fund

VII

Series

2024-CAR1,

Class

A,

FRN

SOFR30A

+

1.10%,

6.449%,

12/26/31 (1)

9,588‌

9,603‌

Bayview

Opportunity

Master

Fund

VII

Series

2024-CAR1,

Class

C,

FRN

SOFR30A

+

1.50%,

6.849%,

12/26/31 (1)

209‌

209‌

CarMax

Auto

Owner

Trust

Series

2022-1,

Class

C

2.20%,

11/15/27 

11,975‌

11,470‌

CarMax

Auto

Owner

Trust

Series

2023-3,

Class

B

5.47%,

2/15/29 

8,750‌

8,924‌

CarMax

Auto

Owner

Trust

Series

2024-1,

Class

B

5.17%,

8/15/29 

2,585‌

2,627‌

CarMax

Auto

Owner

Trust

Series

2024-3,

Class

A3

4.89%,

7/16/29 

10,260‌

10,372‌

CarMax

Auto

Owner

Trust

Series

2024-3,

Class

A4

4.85%,

1/15/30 

4,305‌

4,364‌

CarMax

Select

Receivables

Trust

Series

2024-A,

Class

A3

5.40%,

11/15/28 

5,115‌

5,187‌

CarMax

Select

Receivables

Trust

Series

2024-A,

Class

B

5.35%,

1/15/30 

5,895‌

5,996‌

Carvana

Auto

Receivables

Trust

Series

2022-N1,

Class

C

3.32%,

12/11/28 (1)

1,038‌

1,011‌

T.

ROWE

PRICE

New

Income

Fund

2

Par/Shares

$

Value

(Amounts

in

000s)

Carvana

Auto

Receivables

Trust

Series

2022-P1,

Class

C

3.30%,

4/10/28 

13,955‌

13,306‌

Carvana

Auto

Receivables

Trust

Series

2023-N3,

Class

A

6.41%,

9/10/27 (1)

1,585‌

1,592‌

Carvana

Auto

Receivables

Trust

Series

2024-N1,

Class

A3

5.60%,

3/10/28 (1)

6,580‌

6,628‌

Carvana

Auto

Receivables

Trust

Series

2024-N1,

Class

B

5.63%,

5/10/30 (1)

7,995‌

8,120‌

Carvana

Auto

Receivables

Trust

Series

2024-N2,

Class

A3

5.71%,

7/10/28 (1)

14,610‌

14,777‌

Carvana

Auto

Receivables

Trust

Series

2024-P2,

Class

A4

5.21%,

6/10/30 

13,890‌

14,276‌

Enterprise

Fleet

Financing

Series

2024-1,

Class

A2

5.23%,

3/20/30 (1)

13,620‌

13,702‌

Enterprise

Fleet

Financing

Series

2024-1,

Class

A3

5.16%,

9/20/30 (1)

10,280‌

10,486‌

Enterprise

Fleet

Financing

Series

2024-3,

Class

A3

4.98%,

8/21/28 (1)

6,525‌

6,611‌

Enterprise

Fleet

Financing

Series

2024-3,

Class

A4

5.06%,

3/20/31 (1)

4,495‌

4,571‌

Exeter

Automobile

Receivables

Trust

Series

2022-1A,

Class

D

3.02%,

6/15/28 

35,405‌

34,402‌

Exeter

Automobile

Receivables

Trust

Series

2022-3A,

Class

C

5.30%,

9/15/27 

19,445‌

19,431‌

Exeter

Automobile

Receivables

Trust

Series

2023-1A,

Class

D

6.69%,

6/15/29 

3,250‌

3,322‌

Ford

Credit

Auto

Lease

Trust

Series

2023-B,

Class

B

6.20%,

2/15/27 

2,545‌

2,590‌

Ford

Credit

Auto

Lease

Trust

Series

2023-B,

Class

C

6.43%,

4/15/27 

9,545‌

9,797‌

T.

ROWE

PRICE

New

Income

Fund

3

Par/Shares

$

Value

(Amounts

in

000s)

Ford

Credit

Auto

Lease

Trust

Series

2023-B,

Class

D

6.97%,

6/15/28 

7,830‌

8,078‌

Ford

Credit

Auto

Lease

Trust

Series

2024-A,

Class

A4

5.05%,

6/15/27 

4,465‌

4,499‌

Ford

Credit

Auto

Owner

Trust

Series

2023-1,

Class

A

4.85%,

8/15/35 (1)

33,720‌

34,132‌

GM

Financial

Automobile

Leasing

Trust

Series

2023-1,

Class

C

5.76%,

1/20/27 

6,550‌

6,586‌

Huntington

Bank

Auto

Credit-Linked

Notes

Series

2024-1,

Class

B1

6.153%,

5/20/32 (1)

12,993‌

13,148‌

Hyundai

Auto

Lease

Securitization

Trust

Series

2024-A,

Class

A4

5.07%,

2/15/28 (1)

5,515‌

5,558‌

Navistar

Financial

Dealer

Note

Master

Owner

Trust

Series

2024-1,

Class

A

5.59%,

4/25/29 (1)

10,780‌

10,913‌

Nissan

Auto

Lease

Trust

Series

2024-A,

Class

A4

4.97%,

9/15/28 

5,945‌

5,993‌

Santander

Bank

Series

2021-1A,

Class

B

1.833%,

12/15/31 (1)

510‌

508‌

Santander

Bank

Auto

Credit-Linked

Notes

Series

2023-B,

Class

B

5.64%,

12/15/33 (1)

575‌

581‌

Santander

Drive

Auto

Receivables

Trust

Series

2020-4,

Class

E

2.85%,

4/17/28 (1)

41,920‌

41,081‌

Santander

Drive

Auto

Receivables

Trust

Series

2021-4,

Class

E

4.03%,

3/15/29 (1)

34,950‌

34,292‌

Santander

Drive

Auto

Receivables

Trust

Series

2022-2,

Class

C

3.76%,

7/16/29 

17,240‌

16,944‌

SBNA

Auto

Lease

Trust

Series

2024-A,

Class

A3

5.39%,

11/20/26 (1)

6,285‌

6,321‌

SBNA

Auto

Lease

Trust

Series

2024-A,

Class

A4

5.24%,

1/22/29 (1)

6,020‌

6,081‌

T.

ROWE

PRICE

New

Income

Fund

4

Par/Shares

$

Value

(Amounts

in

000s)

SFS

Auto

Receivables

Securitization

Trust

Series

2024-1A,

Class

A4

4.94%,

1/21/31 (1)

4,615‌

4,664‌

SFS

Auto

Receivables

Securitization

Trust

Series

2024-1A,

Class

C

5.51%,

1/20/32 (1)

2,340‌

2,389‌

SFS

Auto

Receivables

Securitization

Trust

Series

2024-2A,

Class

A3

5.33%,

11/20/29 (1)

13,590‌

13,849‌

SFS

Auto

Receivables

Securitization

Trust

Series

2024-2A,

Class

B

5.41%,

8/20/30 (1)

2,920‌

2,996‌

U.S.

Bank

Series

2023-1,

Class

B

6.789%,

8/25/32 (1)

1,160‌

1,173‌

509,961‌

Other

Asset-Backed

Securities

 5.4%

522

Funding

Series

2019-5A,

Class

BR,

CLO,

FRN

3M

TSFR

+

1.85%,

7.151%,

4/15/35 (1)

16,085‌

16,086‌

Amur

Equipment

Finance

Receivables

XIII

Series

2024-1A,

Class

A2

5.38%,

1/21/31 (1)

14,152‌

14,255‌

Amur

Equipment

Finance

Receivables

XIV

Series

2024-2A,

Class

A2

5.19%,

7/21/31 (1)

16,550‌

16,697‌

Applebee's

Funding

Series

2023-1A,

Class

A2

7.824%,

3/5/53 (1)

7,880‌

8,252‌

Auxilior

Term

Funding

Series

2024-1A,

Class

A2

5.84%,

3/15/27 (1)

6,905‌

6,954‌

Auxilior

Term

Funding

Series

2024-1A,

Class

A3

5.49%,

7/15/31 (1)

5,580‌

5,691‌

BRE

Grand

Islander

Timeshare

Issuer

Series

2019-A,

Class

A

3.28%,

9/26/33 (1)

4,280‌

4,169‌

CCG

Receivables

Trust

Series

2024-1,

Class

A2

4.99%,

3/15/32 (1)

16,200‌

16,219‌

Crossroads

Asset

Trust

Series

2024-A,

Class

A2

5.90%,

8/20/30 (1)

9,050‌

9,132‌

Crown

Point

Series

2018-7A,

Class

AR,

CLO,

FRN

3M

TSFR

+

1.23%,

6.512%,

10/20/31 (1)

19,033‌

19,051‌

T.

ROWE

PRICE

New

Income

Fund

5

Par/Shares

$

Value

(Amounts

in

000s)

CyrusOne

Data

Centers

Issuer

I

Series

2024-1A,

Class

A2

4.76%,

3/22/49 (1)

3,475‌

3,362‌

CyrusOne

Data

Centers

Issuer

I

Series

2024-2A,

Class

A2

4.50%,

5/20/49 (1)

41,120‌

39,517‌

CyrusOne

Data

Centers

Issuer

I

Series

2024-3A,

Class

A2

4.65%,

5/20/49 (1)

15,975‌

14,846‌

Dell

Equipment

Finance

Trust

Series

2023-3,

Class

C

6.17%,

4/23/29 (1)

4,328‌

4,434‌

Dell

Equipment

Finance

Trust

Series

2024-1,

Class

C

5.73%,

3/22/30 (1)

100‌

102‌

DLLST

Series

2024-1A,

Class

A3

5.05%,

8/20/27 (1)

6,895‌

6,921‌

DLLST

Series

2024-1A,

Class

A4

4.93%,

4/22/30 (1)

1,630‌

1,644‌

Driven

Brands

Funding

Series

2019-1A,

Class

A2

4.641%,

4/20/49 (1)

5,524‌

5,443‌

Driven

Brands

Funding

Series

2021-1A,

Class

A2

2.791%,

10/20/51 (1)

13,985‌

12,537‌

Elara

HGV

Timeshare

Issuer

Series

2023-A,

Class

A

6.16%,

2/25/38 (1)

5,902‌

6,069‌

Elara

HGV

Timeshare

Issuer

Series

2023-A,

Class

B

6.53%,

2/25/38 (1)

4,738‌

4,869‌

Elmwood

Series

2022-7A,

Class

AR,

CLO,

FRN

3M

TSFR

+

1.50%,

6.786%,

1/17/37 (1)

10,910‌

10,919‌

Elmwood

VIII

Series

2021-1A,

Class

AR,

CLO,

FRN

3M

TSFR

+

1.55%,

6.832%,

4/20/37 (1)

7,690‌

7,702‌

Golub

Capital

Partners

Series

2022-60A,

Class

AR,

CLO,

FRN

3M

TSFR

+

1.31%,

6.595%,

10/25/34 (1)

11,190‌

11,204‌

Hardee's

Funding

Series

2021-1A,

Class

A2

2.865%,

6/20/51 (1)

4,084‌

3,596‌

T.

ROWE

PRICE

New

Income

Fund

6

Par/Shares

$

Value

(Amounts

in

000s)

Hardee's

Funding

Series

2024-1A,

Class

A2

7.253%,

3/20/54 (1)

22,259‌

23,031‌

HPEFS

Equipment

Trust

Series

2022-1A,

Class

C

1.96%,

5/21/29 (1)

5,736‌

5,684‌

HPEFS

Equipment

Trust

Series

2022-1A,

Class

D

2.40%,

11/20/29 (1)

12,510‌

12,252‌

HPEFS

Equipment

Trust

Series

2022-2A,

Class

C

4.43%,

9/20/29 (1)

4,445‌

4,420‌

HPEFS

Equipment

Trust

Series

2023-2A,

Class

B

6.25%,

1/21/31 (1)

1,285‌

1,305‌

HPEFS

Equipment

Trust

Series

2023-2A,

Class

C

6.48%,

1/21/31 (1)

5,005‌

5,102‌

HPEFS

Equipment

Trust

Series

2023-2A,

Class

D

6.97%,

7/21/31 (1)

3,320‌

3,415‌

HPEFS

Equipment

Trust

Series

2024-2A,

Class

A3

5.36%,

10/20/31 (1)

6,085‌

6,163‌

HPEFS

Equipment

Trust

Series

2024-2A,

Class

B

5.35%,

10/20/31 (1)

2,730‌

2,775‌

Invesco

U.S.

Series

2023-1A,

Class

AR,

CLO,

FRN

3M

TSFR

+

1.57%,

6.852%,

4/22/37 (1)

18,315‌

18,360‌

KKR

Series

2022-43A,

Class

A1R,

CLO,

FRN

3M

TSFR

+

1.75%,

7.051%,

1/15/36 (1)

11,620‌

11,663‌

KKR

Series

40A,

Class

AR,

CLO,

FRN

3M

TSFR

+

1.30%,

6.582%,

10/20/34 (1)

14,140‌

14,156‌

Kubota

Credit

Owner

Trust

Series

2023-1A,

Class

A4

5.07%,

2/15/29 (1)

5,255‌

5,314‌

Kubota

Credit

Owner

Trust

Series

2024-2A,

Class

A3

5.26%,

11/15/28 (1)

11,160‌

11,381‌

Kubota

Credit

Owner

Trust

Series

2024-2A,

Class

A4

5.19%,

5/15/30 (1)

5,895‌

6,028‌

T.

ROWE

PRICE

New

Income

Fund

7

Par/Shares

$

Value

(Amounts

in

000s)

Madison

Park

Funding

LXI

Series

2023-61A,

Class

A,

CLO,

FRN

3M

TSFR

+

1.73%,

7.012%,

1/20/37 (1)

11,305‌

11,343‌

Madison

Park

Funding

XLVII

Series

2020-47A,

Class

A1R,

CLO,

FRN

3M

TSFR

+

1.54%,

6.819%,

4/19/37 (1)

5,495‌

5,503‌

Madison

Park

Funding

XLVII

Series

2020-47A,

Class

BR,

CLO,

FRN

3M

TSFR

+

1.95%,

7.229%,

4/19/37 (1)

4,000‌

4,004‌

MidOcean

Credit

VI

Series

2016-6A,

Class

ARRR,

CLO,

FRN

3M

TSFR

+

1.23%,

6.512%,

4/20/33 (1)

19,260‌

19,271‌

MidOcean

Credit

XI

Series

2022-11A,

Class

A1R,

CLO,

FRN

3M

TSFR

+

1.73%,

7.009%,

10/18/33 (1)

16,090‌

16,120‌

MMAF

Equipment

Finance

Series

2021-A,

Class

A5

1.19%,

11/13/43 (1)

5,020‌

4,757‌

MMAF

Equipment

Finance

Series

2024-A,

Class

A3

4.95%,

7/14/31 (1)

23,220‌

23,532‌

MVW

Series

2023-1A,

Class

A

4.93%,

10/20/40 (1)

19,335‌

19,448‌

MVW

Series

2023-2A,

Class

A

6.18%,

11/20/40 (1)

5,597‌

5,777‌

MVW

Series

2023-2A,

Class

B

6.33%,

11/20/40 (1)

3,751‌

3,857‌

Neuberger

Berman

Loan

Advisers

Series

2022-50A,

Class

AR,

CLO,

FRN

3M

TSFR

+

1.25%,

6.533%,

7/23/36 (1)

17,195‌

17,204‌

Northwoods

Capital

XIV-B

Series

2018-14BA,

Class

AR,

CLO,

FRN

3M

TSFR

+

1.25%,

6.363%,

11/13/31 (1)

17,552‌

17,563‌

Octagon

Investment

Partners

49

Series

2020-5A,

Class

AR,

CLO,

FRN

3M

TSFR

+

1.52%,

6.821%,

4/15/37 (1)

24,110‌

24,139‌

Octane

Receivables

Trust

Series

2023-1A,

Class

A

5.87%,

5/21/29 (1)

2,474‌

2,481‌

Octane

Receivables

Trust

Series

2023-3A,

Class

B

6.48%,

7/20/29 (1)

3,023‌

3,099‌

T.

ROWE

PRICE

New

Income

Fund

8

Par/Shares

$

Value

(Amounts

in

000s)

Octane

Receivables

Trust

Series

2023-3A,

Class

C

6.74%,

8/20/29 (1)

1,160‌

1,199‌

Octane

Receivables

Trust

Series

2024-1A,

Class

A2

5.68%,

5/20/30 (1)

9,375‌

9,446‌

Palmer

Square

Series

2020-3A,

Class

A1R2,

CLO,

FRN

3M

TSFR

+

1.65%,

6.768%,

11/15/36 (1)

17,485‌

17,524‌

Post

Road

Equipment

Finance

Series

2024-1A,

Class

A2

5.59%,

11/15/29 (1)

4,705‌

4,735‌

Progress

Residential

Trust

Series

2021-SFR8,

Class

B

1.681%,

10/17/38 (1)

4,920‌

4,624‌

Progress

Residential

Trust

Series

2024-SFR5,

Class

A

3.00%,

8/9/29 (1)

22,025‌

20,279‌

RR

12

Series

2020-12A,

Class

AAR3,

CLO,

FRN

3M

TSFR

+

1.25%,

6.551%,

1/15/36 (1)

3,005‌

3,007‌

RR

28

Series

2024-28RA,

Class

A1R,

CLO,

FRN

3M

TSFR

+

1.55%,

6.851%,

4/15/37 (1)

21,300‌

21,333‌

SCF

Equipment

Leasing

Series

2024-1A,

Class

A3

5.52%,

1/20/32 (1)

13,355‌

13,672‌

SEB

Funding

Series

2024-1A,

Class

A2

7.386%,

4/30/54 (1)

26,380‌

26,977‌

Sierra

Timeshare

Receivables

Funding

Series

2022-3A,

Class

B

6.32%,

7/20/39 (1)

1,355‌

1,382‌

Signal

Peak

Series

2018-5A,

Class

A1R,

CLO,

FRN

3M

TSFR

+

1.55%,

6.835%,

4/25/37 (1)

29,505‌

29,551‌

Symphony

XVI

Series

2015-16A,

Class

ARR,

CLO,

FRN

3M

TSFR

+

1.20%,

6.501%,

10/15/31 (1)

35,672‌

35,708‌

Symphony

XXXI

Series

2022-31A,

Class

B,

CLO,

FRN

3M

TSFR

+

1.85%,

7.132%,

4/22/35 (1)

14,150‌

14,151‌

THL

Credit

Wind

River

Series

2018-2A,

Class

A1R,

CLO,

FRN

3M

TSFR

+

1.20%,

6.501%,

7/15/30 (1)

23,866‌

23,880‌

T.

ROWE

PRICE

New

Income

Fund

9

Par/Shares

$

Value

(Amounts

in

000s)

TIAA

Series

2016-1A,

Class

ARR,

CLO,

FRN

3M

TSFR

+

1.25%,

6.532%,

7/20/31 (1)

22,093‌

22,115‌

Tricon

Residential

Trust

Series

2024-SFR2,

Class

A

4.75%,

6/17/40 (1)

24,020‌

23,935‌

Tricon

Residential

Trust

Series

2024-SFR3,

Class

A

4.50%,

8/17/41 (1)

20,642‌

20,268‌

Trinitas

IX

Series

2018-9A,

Class

ARRR,

CLO,

FRN

3M

TSFR

+

1.20%,

6.464%,

1/20/32 (1)

5,845‌

5,848‌

Trinitas

VI

Series

2017-6A,

Class

ARRR,

CLO,

FRN

3M

TSFR

+

1.33%,

6.615%,

1/25/34 (1)

41,700‌

41,759‌

Verdant

Receivables

Series

2024-1A,

Class

A2

5.68%,

12/12/31 (1)

5,520‌

5,623‌

Verizon

Master

Trust

Series

2023-1,

Class

C

4.98%,

1/22/29 

9,270‌

9,255‌

Wise

Series

2024-2A,

Class

A,

CLO,

FRN

3M

TSFR

+

1.46%,

6.76%,

7/15/37 (1)

12,420‌

12,414‌

927,503‌

Student

Loan

 0.2%

Navient

Private

Education

Loan

Trust

Series

2017-A,

Class

B

3.91%,

12/16/58 (1)

6,745‌

6,637‌

Navient

Private

Education

Refi

Loan

Trust

Series

2020-CA,

Class

B

2.83%,

11/15/68 (1)

20,755‌

17,824‌

SMB

Private

Education

Loan

Trust

Series

2018-C,

Class

A2A

3.63%,

11/15/35 (1)

4,001‌

3,922‌

SMB

Private

Education

Loan

Trust

Series

2021-A,

Class

APT1

1.07%,

1/15/53 (1)

12,503‌

11,261‌

39,644‌

Total

Asset-Backed

Securities

(Cost

$1,471,056)

1,477,108‌

T.

ROWE

PRICE

New

Income

Fund

10

Par/Shares

$

Value

(Amounts

in

000s)

BANK

LOANS

 2.3%

(2)

FINANCIAL

INSTITUTIONS

 0.6%

Brokerage

Asset

Managers

Exchanges

 0.3%

Citadel

Securities,

FRN

1M

TSFR

+

2.25%,

7.497%,

7/29/30 

54,215‌

54,310‌

54,310‌

Insurance

 0.3%

AssuredPartners,

FRN

1M

TSFR

+

3.50%,

8.747%,

2/14/31 

8,554‌

8,568‌

Asurion,

FRN

1M

TSFR

+

3.25%,

8.611%,

12/23/26 

3,457‌

3,440‌

Asurion,

FRN

1M

TSFR

+

4.25%,

9.597%,

8/19/28 

4,994‌

4,961‌

Asurion,

FRN

1M

TSFR

+

5.25%,

10.611%,

1/31/28 

5,993‌

5,589‌

Asurion,

FRN

1M

TSFR

+

5.25%,

10.611%,

1/20/29 

3,580‌

3,301‌

HUB

International,

FRN

3M

TSFR

+

3.00%,

8.255%,

6/20/30 

15,010‌

15,016‌

Truist

Insurance

Holdings,

FRN

3M

TSFR

+

3.25%,

8.585%,

5/6/31 

13,665‌

13,668‌

54,543‌

Total

Financial

Institutions

108,853‌

INDUSTRIAL

 1.4%

Capital

Goods

 0.2%

Charter

Next

Generation,

FRN

1M

TSFR

+

3.25%,

8.497%,

12/1/27 

8,477‌

8,494‌

Summit

Materials,

FRN

3M

TSFR

+

2.50%,

7.804%,

1/12/29 

16,098‌

16,171‌

TransDigm,

FRN

3M

TSFR

+

2.75%,

8.085%,

3/22/30 

89‌

89‌

24,754‌

Communications

 0.1%

Lamar

Media,

FRN

1M

TSFR

+

1.50%,

6.847%,

2/5/27 

14,435‌

14,390‌

14,390‌

Consumer

Cyclical

 0.4%

Caesars

Entertainment,

FRN

1M

TSFR

+

2.75%,

7.997%,

2/6/31 

2,369‌

2,365‌

Delta

2,

FRN

3M

TSFR

+

2.25%,

7.585%,

1/15/30 

8,755‌

8,788‌

Hilton

Domestic

Operating,

FRN

1M

TSFR

+

1.75%,

7.028%,

11/8/30 

53,680‌

53,741‌

T.

ROWE

PRICE

New

Income

Fund

11

Par/Shares

$

Value

(Amounts

in

000s)

UFC

Holdings,

FRN

3M

TSFR

+

2.75%,

8.291%,

4/29/26 

11,052‌

11,080‌

75,974‌

Consumer

Non-Cyclical

 0.3%

ICON

Luxembourg,

FRN

3M

TSFR

+

2.00%,

7.335%,

7/3/28 

1,421‌

1,428‌

IQVIA,

FRN

3M

TSFR

+

2.00%,

7.335%,

1/2/31 

40,919‌

41,115‌

Medline

Borrower,

FRN

1M

TSFR

+

2.75%,

7.997%,

10/23/28 

7,122‌

7,136‌

49,679‌

Technology

 0.4%

Applied

Systems,

FRN

1M

TSFR

+

3.50%,

8.286%,

2/24/31 

22,906‌

22,992‌

Applied

Systems,

FRN

3M

TSFR

+

5.25%,

10.585%,

2/23/32 

323‌

334‌

Ascend

Learning,

FRN

1M

TSFR

+

3.50%,

8.847%,

12/11/28 

6,008‌

5,994‌

AthenaHealth

Group,

FRN

1M

TSFR

+

3.25%,

8.497%,

2/15/29 

4,979‌

4,936‌

Boost

Newco

Borrower,

FRN

3M

TSFR

+

2.50%,

7.748%,

1/31/31 

7,935‌

7,941‌

Epicor

Software,

FRN

1M

TSFR

+

3.25%,

7/30/27 (3)

7,059‌

7,082‌

Ep

icor

Software,

FRN

1M

TSFR

+

3.25%,

7.71%,

5/30/31 (4)

3,135‌

3,146‌

Gen

Digital,

FRN

1M

TSFR

+

1.50%,

6.847%,

9/10/27 

4,422‌

4,414‌

UKG,

FRN

3M

TSFR

+

3.25%,

8.555%,

2/10/31 

16,090‌

16,124‌

72,963‌

Transportation

 0.0%

AAdvantage

Loyalty

IP,

FRN

3M

TSFR

+

4.75%,

4/20/28 (3)

5,035‌

5,205‌

5,205‌

Total

Industrial

242,965‌

UTILITY

 0.3%

Electric

 0.3%

NRG

Energy,

FRN

1M

TSFR

+

2.00%,

7.264%,

4/16/31 

41,167‌

41,303‌

T.

ROWE

PRICE

New

Income

Fund

12

Par/Shares

$

Value

(Amounts

in

000s)

Vistra

Zero

Operating,

FRN

1M

TSFR

+

2.75%,

7.997%,

4/30/31 

1,531‌

1,538‌

Total

Utility

42,841‌

Total

Bank

Loans

(Cost

$392,826)

394,659‌

BOND

MUTUAL

FUNDS

 0.0%

Trusts

&

Mutual

Funds

-

Taxable

 0.0%

T.

Rowe

Price

Institutional

Floating

Rate

Fund

-

Z

Class,

8.99% (5)

(6)

35‌

329‌

Total

Bond

Mutual

Funds

(Cost

$307)

329‌

CORPORATE

BONDS

 24.7%

FINANCIAL

INSTITUTIONS

 8.7%

Banking

 5.1%

Banco

Bilbao

Vizcaya

Argentaria,

VR,

6.033%,

3/13/35 (7)

24,400‌

25,352‌

Bank

of

America,

VR,

1.898%,

7/23/31 (7)

76,106‌

65,120‌

Bank

of

America,

VR,

2.299%,

7/21/32 (7)

13,098‌

11,118‌

Bank

of

America,

VR,

2.496%,

2/13/31 (7)

23,595‌

21,075‌

Bank

of

America,

VR,

5.819%,

9/15/29 (7)

25,037‌

26,040‌

Bank

of

New

York

Mellon,

VR,

5.188%,

3/14/35 (7)

15,100‌

15,380‌

Bank

of

New

York

Mellon,

VR,

6.474%,

10/25/34 (7)

18,245‌

20,286‌

CaixaBank,

VR,

6.037%,

6/15/35 (1)(7)

19,705‌

20,483‌

CaixaBank,

VR,

6.208%,

1/18/29 (1)(7)

21,910‌

22,755‌

CaixaBank,

VR,

6.684%,

9/13/27 (1)(7)

16,185‌

16,739‌

Capital

One

Financial,

3.75%,

3/9/27 

23,993‌

23,469‌

Capital

One

Financial,

VR,

5.70%,

2/1/30 (7)(8)

3,361‌

3,452‌

Capital

One

Financial,

VR,

6.051%,

2/1/35 (7)(8)

9,260‌

9,594‌

Capital

One

Financial,

VR,

7.624%,

10/30/31 (7)

3,005‌

3,377‌

Citigroup,

4.45%,

9/29/27 

5,040‌

5,014‌

Citigroup,

VR,

2.561%,

5/1/32 (7)

10,603‌

9,131‌

Citigroup,

VR,

5.827%,

2/13/35 (7)

57,900‌

59,457‌

Danske

Bank,

VR,

3.244%,

12/20/25 (1)(7)

21,957‌

21,772‌

Danske

Bank,

VR,

5.705%,

3/1/30 (1)(7)

12,075‌

12,443‌

Deutsche

Bank,

VR,

3.961%,

11/26/25 (7)

11,345‌

11,303‌

Fifth

Third

Bancorp,

VR,

5.631%,

1/29/32 (7)

5,270‌

5,403‌

Fifth

Third

Bancorp,

VR,

6.339%,

7/27/29 (7)(8)

12,345‌

12,948‌

Fifth

Third

Bancorp,

VR,

6.361%,

10/27/28 (7)

2,875‌

2,993‌

Fifth

Third

Bank,

3.85%,

3/15/26 

997‌

978‌

Goldman

Sachs

Group,

VR,

2.383%,

7/21/32 (7)

17,802‌

15,116‌

T.

ROWE

PRICE

New

Income

Fund

13

Par/Shares

$

Value

(Amounts

in

000s)

Goldman

Sachs

Group,

VR,

3.615%,

3/15/28 (7)(8)

20,205‌

19,723‌

Goldman

Sachs

Group,

VR,

3.691%,

6/5/28 (7)(8)

6,770‌

6,585‌

Goldman

Sachs

Group,

VR,

4.482%,

8/23/28 (7)

22,790‌

22,701‌

Huntington

National

Bank,

VR,

5.699%,

11/18/25 (7)

3,380‌

3,381‌

JPMorgan

Chase,

VR,

1.764%,

11/19/31 (7)

42,600‌

35,880‌

JPMorgan

Chase,

VR,

2.522%,

4/22/31 (7)(8)

4,475‌

4,013‌

JPMorgan

Chase,

VR,

2.739%,

10/15/30 (7)

12,398‌

11,286‌

JPMorgan

Chase,

VR,

2.956%,

5/13/31 (7)

38,833‌

35,256‌

JPMorgan

Chase,

VR,

5.04%,

1/23/28 (7)

9,645‌

9,754‌

JPMorgan

Chase,

VR,

5.336%,

1/23/35 (7)

8,860‌

9,132‌

Morgan

Stanley,

VR,

1.512%,

7/20/27 (7)

22,190‌

20,885‌

Morgan

Stanley,

VR,

5.173%,

1/16/30 (7)

15,220‌

15,504‌

PNC

Financial

Services

Group,

VR,

5.30%,

1/21/28 (7)

4,985‌

5,069‌

PNC

Financial

Services

Group,

VR,

6.875%,

10/20/34 (7)

16,895‌

18,963‌

Santander

Holdings

USA,

VR,

6.342%,

5/31/35 (7)

26,710‌

27,620‌

Societe

Generale,

VR,

5.519%,

1/19/28 (1)(7)

13,513‌

13,598‌

Standard

Chartered,

VR,

1.456%,

1/14/27 (1)(7)

10,354‌

9,847‌

Standard

Chartered,

VR,

5.905%,

5/14/35 (1)(7)

28,730‌

29,687‌

U.S.

Bancorp,

VR,

5.384%,

1/23/30 (7)

6,380‌

6,524‌

U.S.

Bancorp,

VR,

5.678%,

1/23/35 (7)

28,985‌

30,048‌

UBS

Group,

VR,

2.193%,

6/5/26 (1)(7)

15,135‌

14,791‌

UBS

Group,

VR,

2.746%,

2/11/33 (1)(7)

7,329‌

6,252‌

UBS

Group,

VR,

3.091%,

5/14/32 (1)(7)

15,685‌

13,880‌

UBS

Group,

VR,

4.751%,

5/12/28 (1)(7)

4,085‌

4,079‌

UBS

Group,

VR,

6.246%,

9/22/29 (1)(7)

3,135‌

3,303‌

UBS

Group,

VR,

6.537%,

8/12/33 (1)(7)

1,600‌

1,728‌

Wells

Fargo,

VR,

2.572%,

2/11/31 (7)

49,550‌

44,427‌

Wells

Fargo,

VR,

4.478%,

4/4/31 (7)

16,431‌

16,210‌

880,924‌

Brokerage

Asset

Managers

Exchanges

 0.5%

HA

Sustainable

Infrastructure

Capital,

6.375%,

7/1/34 (1)

35,845‌

36,204‌

HAT

Holdings

I,

8.00%,

6/15/27 (1)

10,245‌

10,719‌

Jane

Street

Group,

7.125%,

4/30/31 (1)

12,112‌

12,672‌

Lseg

U.S.

Fin,

5.297%,

3/28/34 (1)

12,015‌

12,451‌

LSEGA

Financing,

2.50%,

4/6/31 (1)

14,998‌

13,043‌

85,089‌

Finance

Companies

 0.2%

AerCap

Ireland

Capital,

3.30%,

1/30/32 

10,508‌

9,319‌

Navient,

9.375%,

7/25/30 

6,025‌

6,522‌

Navient,

11.50%,

3/15/31 

4,955‌

5,562‌

OneMain

Finance,

7.125%,

11/15/31 

1,350‌

1,364‌

OneMain

Finance,

9.00%,

1/15/29 

11,155‌

11,838‌

34,605‌

T.

ROWE

PRICE

New

Income

Fund

14

Par/Shares

$

Value

(Amounts

in

000s)

Financial

Other

 0.0%

Howard

Hughes,

5.375%,

8/1/28 (1)

3,050‌

2,958‌

2,958‌

Insurance

 2.5%

Alliant

Holdings

Intermediate,

6.75%,

4/15/28 (1)

6,565‌

6,672‌

Alliant

Holdings

Intermediate,

7.00%,

1/15/31 (1)

2,450‌

2,527‌

AmWINS

Group,

6.375%,

2/15/29 (1)

4,935‌

5,046‌

Aon,

2.80%,

5/15/30 

3,835‌

3,489‌

Arthur

J

Gallagher,

5.75%,

7/15/54 

3,148‌

3,234‌

Arthur

J

Gallagher,

6.75%,

2/15/54 

17,645‌

20,258‌

Athene

Global

Funding,

5.526%,

7/11/31 (1)

18,015‌

18,372‌

Athene

Global

Funding,

5.684%,

2/23/26 (1)

22,515‌

22,725‌

Centene,

2.50%,

3/1/31 (8)

23,230‌

19,767‌

Centene,

3.00%,

10/15/30 (8)

8,330‌

7,403‌

Centene,

3.375%,

2/15/30 (8)

9,455‌

8,651‌

Centene,

4.25%,

12/15/27 

3,340‌

3,265‌

Centene,

4.625%,

12/15/29 

41,038‌

39,909‌

CNO

Financial

Group,

5.25%,

5/30/25 

9,713‌

9,701‌

Corebridge

Financial,

3.85%,

4/5/29 

3,495‌

3,365‌

Corebridge

Financial,

3.90%,

4/5/32 

16,445‌

15,144‌

Corebridge

Global

Funding,

5.20%,

1/12/29 (1)

3,270‌

3,339‌

Elevance

Health,

5.125%,

2/15/53 

8,335‌

7,893‌

Health

Care

Service

A

Mutual

Legal

Reserve,

5.20%,

6/15/29 (1)

6,825‌

6,960‌

Health

Care

Service

A

Mutual

Legal

Reserve,

5.45%,

6/15/34 (1)(8)

8,635‌

8,825‌

Health

Care

Service

A

Mutual

Legal

Reserve,

5.875%,

6/15/54 (1)

17,935‌

18,371‌

HUB

International,

7.25%,

6/15/30 (1)

13,485‌

14,041‌

Humana,

3.95%,

3/15/27 

6,275‌

6,181‌

Humana,

4.875%,

4/1/30 

15,720‌

15,897‌

Humana,

5.375%,

4/15/31 

15,235‌

15,593‌

Humana,

5.75%,

4/15/54 

6,310‌

6,350‌

Humana,

5.95%,

3/15/34 

9,325‌

9,868‌

Jones

Deslauriers

Insurance

Management,

8.50%,

3/15/30 (1)

7,898‌

8,332‌

Panther

Escrow

Issuer,

7.125%,

6/1/31 (1)

4,685‌

4,878‌

UnitedHealth

Group,

4.50%,

4/15/33 

16,060‌

15,878‌

UnitedHealth

Group,

5.00%,

4/15/34 

22,045‌

22,390‌

UnitedHealth

Group,

5.05%,

4/15/53 (8)

41,794‌

40,121‌

UnitedHealth

Group,

5.875%,

2/15/53 

28,585‌

30,892‌

425,337‌

Real

Estate

Investment

Trusts

 0.4%

Alexandria

Real

Estate

Equities,

5.25%,

5/15/36 

2,525‌

2,532‌

Brixmor

Operating

Partnership,

3.90%,

3/15/27 

30,217‌

29,541‌

Brixmor

Operating

Partnership,

4.05%,

7/1/30 

1,984‌

1,904‌

Brixmor

Operating

Partnership,

4.125%,

6/15/26 

32,980‌

32,573‌

Essex

Portfolio,

1.65%,

1/15/31 (8)

10,099‌

8,327‌

T.

ROWE

PRICE

New

Income

Fund

15

Par/Shares

$

Value

(Amounts

in

000s)

Invitation

Homes

Operating

Partnership,

5.45%,

8/15/30 

4,206‌

4,343‌

79,220‌

Total

Financial

Institutions

1,508,133‌

INDUSTRIAL

 13.0%

Basic

Industry

 0.2%

AngloGold

Ashanti

Holdings,

3.375%,

11/1/28 (8)

3,725‌

3,450‌

Freeport-McMoRan,

4.375%,

8/1/28 

6,681‌

6,580‌

Freeport-McMoRan,

5.00%,

9/1/27 

1,558‌

1,562‌

Westlake,

1.625%,

7/17/29

(EUR) 

20,686‌

20,763‌

32,355‌

Capital

Goods

 0.7%

AGCO,

5.80%,

3/21/34 

4,170‌

4,276‌

BAE

Systems,

5.30%,

3/26/34 (1)

10,970‌

11,235‌

Boeing,

3.25%,

2/1/28 

3,405‌

3,205‌

Boeing,

3.75%,

2/1/50 

5,030‌

3,467‌

Boeing,

5.04%,

5/1/27 

8,010‌

8,014‌

Boeing,

6.388%,

5/1/31 (1)

8,645‌

9,085‌

Boeing,

6.528%,

5/1/34 (1)

19,815‌

20,948‌

Ingersoll

Rand,

5.314%,

6/15/31 

8,185‌

8,452‌

Ingersoll

Rand,

5.45%,

6/15/34 (8)

6,700‌

6,947‌

Ingersoll

Rand,

5.70%,

6/15/54 

2,742‌

2,847‌

Owens

Corning,

5.70%,

6/15/34 

8,985‌

9,374‌

Owens

Corning,

5.95%,

6/15/54 

9,090‌

9,377‌

Ritchie

Bros

Holdings,

7.75%,

3/15/31 (1)

5,237‌

5,551‌

Stanley

Black

&

Decker,

2.75%,

11/15/50 

8,693‌

5,270‌

TransDigm,

6.875%,

12/15/30 (1)

4,195‌

4,368‌

TransDigm,

7.125%,

12/1/31 (1)

7,965‌

8,403‌

120,819‌

Communications

 3.1%

Altice

Financing,

5.00%,

1/15/28 (1)(8)

3,861‌

3,099‌

Altice

Financing,

9.625%,

7/15/27 (1)(8)

7,260‌

6,906‌

American

Tower,

5.20%,

2/15/29 

6,015‌

6,139‌

American

Tower,

5.45%,

2/15/34 (8)

17,660‌

18,190‌

AT&T,

3.50%,

9/15/53 

11,088‌

7,842‌

CCO

Holdings,

4.25%,

2/1/31 (1)(8)

6,180‌

5,346‌

CCO

Holdings,

6.375%,

9/1/29 (1)

8,250‌

8,126‌

CCO

Holdings,

7.375%,

3/1/31 (1)

1,460‌

1,482‌

Cellnex

Finance,

2.00%,

9/15/32

(EUR) 

12,400‌

12,032‌

Cellnex

Finance,

2.00%,

2/15/33

(EUR) 

9,200‌

8,843‌

Cellnex

Telecom,

1.75%,

10/23/30

(EUR) (8)

5,400‌

5,346‌

Charter

Communications

Operating,

2.80%,

4/1/31 

20,830‌

17,635‌

Charter

Communications

Operating,

3.75%,

2/15/28 (8)

8,600‌

8,216‌

Charter

Communications

Operating,

5.25%,

4/1/53 (8)

21,850‌

17,825‌

T.

ROWE

PRICE

New

Income

Fund

16

Par/Shares

$

Value

(Amounts

in

000s)

Charter

Communications

Operating,

6.484%,

10/23/45 

5,900‌

5,635‌

Charter

Communications

Operating,

6.65%,

2/1/34 

19,440‌

20,239‌

Comcast,

3.25%,

11/1/39 

23,223‌

18,550‌

Comcast,

5.65%,

6/1/54 

30,025‌

31,218‌

Crown

Castle,

5.80%,

3/1/34 

8,360‌

8,775‌

Crown

Castle

Towers,

3.663%,

5/15/25 (1)

50,986‌

50,332‌

CSC

Holdings,

11.75%,

1/31/29 (1)

4,965‌

4,382‌

Interpublic

Group,

4.65%,

10/1/28 

7,525‌

7,531‌

Meta

Platforms,

5.40%,

8/15/54 

4,775‌

4,856‌

Meta

Platforms,

5.60%,

5/15/53 

26,215‌

27,530‌

Netflix,

4.625%,

5/15/29

(EUR) 

7,605‌

8,899‌

Rogers

Communications,

3.80%,

3/15/32 

10,875‌

9,999‌

Rogers

Communications,

4.35%,

5/1/49 

1,365‌

1,129‌

Rogers

Communications,

4.55%,

3/15/52 

36,193‌

30,511‌

Rogers

Communications,

5.00%,

2/15/29 

18,431‌

18,632‌

Rogers

Communications,

5.30%,

2/15/34 

20,675‌

20,774‌

SBA

Tower

Trust,

1.84%,

4/15/27 (1)

21,685‌

19,905‌

SBA

Tower

Trust,

2.593%,

10/15/31 (1)

17,515‌

14,824‌

Sirius

XM

Radio,

4.00%,

7/15/28 (1)

4,365‌

4,081‌

Sirius

XM

Radio,

5.00%,

8/1/27 (1)

4,168‌

4,074‌

Sprint

Capital,

6.875%,

11/15/28 

24,540‌

26,565‌

Sprint

Capital,

8.75%,

3/15/32 

15,530‌

19,180‌

T-Mobile

USA,

5.75%,

1/15/54 

34,110‌

35,441‌

Vmed

O2

U.K.

Financing

I,

7.75%,

4/15/32 (1)

13,850‌

14,006‌

Walt

Disney,

3.60%,

1/13/51 

9,955‌

7,737‌

541,832‌

Consumer

Cyclical

 1.6%

Caesars

Entertainment,

7.00%,

2/15/30 (1)

5,700‌

5,892‌

Carnival,

7.00%,

8/15/29 (1)

3,575‌

3,758‌

Carnival,

10.50%,

6/1/30 (1)(8)

7,385‌

7,985‌

Clarios

Global,

6.75%,

5/15/28 (1)

4,857‌

4,997‌

Daimler

Truck

Finance

North

America,

5.375%,

1/18/34 (1)

2,275‌

2,333‌

Ford

Motor,

9.625%,

4/22/30 

8,295‌

9,818‌

Ford

Motor

Credit,

4.95%,

5/28/27 (8)

6,895‌

6,877‌

Ford

Motor

Credit,

5.80%,

3/5/27 

6,545‌

6,639‌

Ford

Motor

Credit,

6.798%,

11/7/28 (8)

5,070‌

5,334‌

Ford

Motor

Credit,

6.80%,

5/12/28 (8)

4,760‌

4,991‌

Ford

Motor

Credit,

7.122%,

11/7/33 

5,050‌

5,445‌

Ford

Motor

Credit,

7.35%,

11/4/27 (8)

1,255‌

1,326‌

General

Motors

Financial,

5.55%,

7/15/29 

12,735‌

13,084‌

GLP

Capital,

3.35%,

9/1/24 

6,162‌

6,158‌

Hilton

Domestic

Operating,

6.125%,

4/1/32 (1)

4,605‌

4,720‌

Home

Depot,

4.95%,

6/25/34 

17,415‌

17,821‌

T.

ROWE

PRICE

New

Income

Fund

17

Par/Shares

$

Value

(Amounts

in

000s)

Home

Depot,

5.30%,

6/25/54 

9,005‌

9,135‌

Hyundai

Capital

America,

5.35%,

3/19/29 (1)

5,630‌

5,752‌

Hyundai

Capital

America,

5.40%,

1/8/31 (1)

3,290‌

3,373‌

Hyundai

Capital

America,

5.50%,

3/30/26 (1)

5,370‌

5,423‌

Hyundai

Capital

America,

6.50%,

1/16/29 (1)

6,620‌

7,051‌

Las

Vegas

Sands,

3.50%,

8/18/26 

10,677‌

10,357‌

Las

Vegas

Sands,

5.90%,

6/1/27 

3,795‌

3,870‌

Lowe's,

4.25%,

4/1/52 

4,402‌

3,604‌

Lowe's,

5.625%,

4/15/53 

6,080‌

6,130‌

Lowe's,

5.75%,

7/1/53 

5,950‌

6,092‌

Match

Group

Holdings

II,

5.00%,

12/15/27 (1)

4,992‌

4,886‌

Rivian

Holdings,

FRN,

6M

TSFR

+

6.053%,

11.359%,

10/15/26 (1)

8,815‌

8,859‌

Ross

Stores,

1.875%,

4/15/31 

20,720‌

17,397‌

Royal

Caribbean

Cruises,

6.00%,

2/1/33 (1)

3,560‌

3,645‌

Royal

Caribbean

Cruises,

6.25%,

3/15/32 (1)

1,990‌

2,050‌

Six

Flags

Entertainment,

6.625%,

5/1/32 (1)

7,020‌

7,213‌

VF,

2.95%,

4/23/30 (8)

16,259‌

14,031‌

Volkswagen

Group

of

America

Finance,

4.75%,

11/13/28 (1)

13,610‌

13,597‌

Volkswagen

Group

of

America

Finance,

4.95%,

8/15/29 (1)

5,075‌

5,093‌

Volkswagen

Group

of

America

Finance,

5.60%,

3/22/34 (1)

14,705‌

15,105‌

Yum!

Brands,

5.375%,

4/1/32 

4,970‌

4,920‌

ZF

North

America

Capital,

6.75%,

4/23/30 (1)

3,890‌

3,987‌

ZF

North

America

Capital,

6.875%,

4/23/32 (1)

4,735‌

4,901‌

ZF

North

America

Capital,

7.125%,

4/14/30 (1)

1,690‌

1,770‌

275,419‌

Consumer

Non-Cyclical

 3.4%

AbbVie,

4.05%,

11/21/39 

13,104‌

11,804‌

AbbVie,

4.25%,

11/21/49 

14,924‌

13,028‌

AbbVie,

4.50%,

5/14/35 

20,682‌

20,306‌

AbbVie,

4.875%,

11/14/48 

28,471‌

27,223‌

AbbVie,

5.05%,

3/15/34 

22,365‌

22,980‌

Anheuser-Busch

InBev

Worldwide,

5.55%,

1/23/49 

22,565‌

23,619‌

Astrazeneca

Finance,

5.00%,

2/26/34 

25,165‌

25,856‌

BAT

Capital,

2.259%,

3/25/28 

2,597‌

2,387‌

BAT

Capital,

4.54%,

8/15/47 

4,173‌

3,419‌

BAT

Capital,

6.00%,

2/20/34 

8,890‌

9,388‌

BAT

Capital,

6.343%,

8/2/30 

1,512‌

1,626‌

BAT

Capital,

7.081%,

8/2/53 

26,775‌

30,238‌

Bayer

U.S.

Finance,

6.375%,

11/21/30 (1)

11,085‌

11,765‌

Bayer

U.S.

Finance

II,

4.25%,

12/15/25 (1)

8,165‌

8,072‌

Becton

Dickinson

&

Company,

2.823%,

5/20/30 

10,563‌

9,589‌

Bimbo

Bakeries

USA,

5.375%,

1/9/36 (1)

3,410‌

3,464‌

Bimbo

Bakeries

USA,

6.40%,

1/15/34 (1)

3,390‌

3,735‌

T.

ROWE

PRICE

New

Income

Fund

18

Par/Shares

$

Value

(Amounts

in

000s)

Bristol-Myers

Squibb,

5.65%,

2/22/64 

9,630‌

9,971‌

Bristol-Myers

Squibb,

6.25%,

11/15/53 

11,112‌

12,566‌

CVS

Health,

5.05%,

3/25/48 

37,769‌

33,482‌

CVS

Health,

5.625%,

2/21/53 

16,520‌

15,783‌

CVS

Health,

5.875%,

6/1/53 

9,060‌

8,924‌

Eli

Lilly,

4.70%,

2/9/34 

25,605‌

25,896‌

HCA,

3.50%,

9/1/30 

18,270‌

17,037‌

HCA,

5.45%,

9/15/34 

8,450‌

8,532‌

Icon

Investments

Six,

5.849%,

5/8/29 

4,535‌

4,731‌

Icon

Investments

Six,

6.00%,

5/8/34 

5,710‌

6,010‌

IQVIA,

6.25%,

2/1/29 

13,440‌

14,213‌

IQVIA,

6.50%,

5/15/30 (1)

435‌

450‌

Mars,

4.75%,

4/20/33 (1)

16,610‌

16,492‌

Mattel,

5.875%,

12/15/27 (1)

16,405‌

16,568‌

Medline

Borrower,

6.25%,

4/1/29 (1)

13,365‌

13,749‌

Mondelez

International,

2.75%,

4/13/30 

4,714‌

4,322‌

Pfizer

Investment

Enterprises,

5.30%,

5/19/53 

10,425‌

10,468‌

Pfizer

Investment

Enterprises,

5.34%,

5/19/63 

17,625‌

17,592‌

Philip

Morris

International,

5.125%,

2/15/30 

10,740‌

11,031‌

Revvity,

1.90%,

9/15/28 

13,950‌

12,535‌

Revvity,

2.25%,

9/15/31 

7,580‌

6,355‌

Revvity,

3.30%,

9/15/29 

10,440‌

9,753‌

Sartorius

Finance,

4.875%,

9/14/35

(EUR) 

14,300‌

16,745‌

Solventum,

5.40%,

3/1/29 (1)

15,605‌

15,928‌

Solventum,

5.60%,

3/23/34 (1)

16,310‌

16,643‌

Solventum,

5.90%,

4/30/54 (1)

16,480‌

16,593‌

Sutter

Health,

5.164%,

8/15/33 

5,265‌

5,419‌

Teva

Pharmaceutical

Finance

Netherlands

III,

8.125%,

9/15/31 

4,195‌

4,793‌

581,080‌

Energy

 3.1%

6297782,

5.026%,

10/1/29 (1)

3,870‌

3,861‌

6297782,

5.584%,

10/1/34 (1)

4,665‌

4,638‌

Boardwalk

Pipelines,

3.40%,

2/15/31 

15,531‌

14,040‌

Cheniere

Energy,

4.625%,

10/15/28 

6,820‌

6,749‌

Cheniere

Energy,

5.65%,

4/15/34 (1)

16,590‌

17,063‌

Cheniere

Energy

Partners,

4.50%,

10/1/29 

4,379‌

4,281‌

Cheniere

Energy

Partners,

5.75%,

8/15/34 (1)

25,305‌

26,210‌

Cheniere

Energy

Partners,

5.95%,

6/30/33 

13,221‌

13,899‌

Columbia

Pipelines

Holding,

5.681%,

1/15/34 (1)

16,685‌

17,077‌

Continental

Resources,

4.375%,

1/15/28 

3,430‌

3,366‌

Diamondback

Energy,

5.15%,

1/30/30 

5,650‌

5,782‌

Diamondback

Energy,

5.40%,

4/18/34 

25,974‌

26,545‌

Diamondback

Energy,

5.75%,

4/18/54 

10,495‌

10,438‌

T.

ROWE

PRICE

New

Income

Fund

19

Par/Shares

$

Value

(Amounts

in

000s)

Diamondback

Energy,

5.90%,

4/18/64 

11,060‌

11,074‌

Diamondback

Energy,

6.25%,

3/15/53 

3,420‌

3,636‌

Enbridge,

5.625%,

4/5/34 

13,535‌

14,010‌

Enbridge,

6.70%,

11/15/53 

8,130‌

9,294‌

Energy

Transfer,

5.55%,

5/15/34 

8,960‌

9,182‌

Energy

Transfer,

5.95%,

5/15/54 

5,935‌

6,015‌

Energy

Transfer,

6.40%,

12/1/30 

11,100‌

12,044‌

Energy

Transfer,

6.55%,

12/1/33 

5,350‌

5,865‌

Eni,

5.50%,

5/15/34 (1)

12,625‌

12,946‌

Eni,

5.95%,

5/15/54 (1)

15,730‌

16,039‌

Greensaif

Pipelines

Bidco,

5.853%,

2/23/36 (1)

12,530‌

12,927‌

Hilcorp

Energy

I,

8.375%,

11/1/33 (1)

8,416‌

9,195‌

Kinetik

Holdings,

5.875%,

6/15/30 (1)

2,861‌

2,868‌

Kinetik

Holdings,

6.625%,

12/15/28 (1)

593‌

610‌

Occidental

Petroleum,

5.55%,

10/1/34 

7,840‌

7,981‌

Occidental

Petroleum,

6.05%,

10/1/54 

6,840‌

6,971‌

Occidental

Petroleum,

6.125%,

1/1/31 

13,454‌

14,144‌

Occidental

Petroleum,

6.20%,

3/15/40 

3,705‌

3,862‌

Occidental

Petroleum,

6.375%,

9/1/28 (8)

4,630‌

4,856‌

Occidental

Petroleum,

6.45%,

9/15/36 (8)

3,105‌

3,361‌

Occidental

Petroleum,

6.625%,

9/1/30 

4,570‌

4,918‌

Occidental

Petroleum,

7.50%,

5/1/31 

12,010‌

13,616‌

Occidental

Petroleum,

8.50%,

7/15/27 (8)

5,295‌

5,752‌

Occidental

Petroleum,

8.875%,

7/15/30 

26,910‌

31,687‌

ONEOK,

5.65%,

11/1/28 

3,150‌

3,267‌

ONEOK,

5.80%,

11/1/30 

9,460‌

9,999‌

ONEOK,

6.05%,

9/1/33 

9,310‌

9,806‌

Raizen

Fuels

Finance,

6.45%,

3/5/34 (1)

5,330‌

5,621‌

Raizen

Fuels

Finance,

6.95%,

3/5/54 (1)(8)

4,930‌

5,269‌

Sabine

Pass

Liquefaction,

4.20%,

3/15/28 

3,320‌

3,279‌

South

Bow

Canadian

Infrastructure

Holdings,

VR,

7.50%,

3/1/55 (1)

(7)

1,140‌

1,174‌

Sunoco,

7.00%,

5/1/29 (1)

1,950‌

2,036‌

Sunoco,

7.25%,

5/1/32 (1)

3,641‌

3,850‌

Targa

Resources,

6.15%,

3/1/29 

15,155‌

15,965‌

Targa

Resources

Partners,

5.00%,

1/15/28 

3,285‌

3,277‌

Targa

Resources

Partners,

5.50%,

3/1/30 

5,907‌

5,981‌

Targa

Resources

Partners,

6.875%,

1/15/29 

3,817‌

3,922‌

TER

Finance

Jersey,

Series

21,

Zero

Coupon,

1/2/25 (1)(9)

23,600‌

23,128‌

Venture

Global

Calcasieu

Pass,

4.125%,

8/15/31 (1)

5,595‌

5,175‌

Venture

Global

Calcasieu

Pass,

6.25%,

1/15/30 (1)

3,960‌

4,109‌

Venture

Global

LNG,

8.375%,

6/1/31 (1)

3,230‌

3,432‌

Venture

Global

LNG,

9.50%,

2/1/29 (1)

15,710‌

17,693‌

T.

ROWE

PRICE

New

Income

Fund

20

Par/Shares

$

Value

(Amounts

in

000s)

Western

Midstream

Operating,

4.50%,

3/1/28 

3,365‌

3,319‌

Western

Midstream

Operating,

6.35%,

1/15/29 

3,190‌

3,361‌

Williams,

2.60%,

3/15/31 

29,960‌

26,203‌

Williams,

5.15%,

3/15/34 

6,175‌

6,219‌

542,887‌

Industrial

Other

 0.0%

Booz

Allen

Hamilton,

5.95%,

8/4/33 

7,290‌

7,682‌

7,682‌

Technology

 0.7%

AP

Grange

Holdings,

6.50%,

3/20/45,

Acquisition

Date:

6/12/24,

Cost $16,600 (9)(10)(11)

16,600‌

16,600‌

Atlassian,

5.25%,

5/15/29 

5,055‌

5,161‌

Boost

Newco

Borrower,

7.50%,

1/15/31 (1)

4,410‌

4,691‌

Broadcom,

3.419%,

4/15/33 (1)

16,816‌

14,955‌

Broadcom,

5.15%,

11/15/31 

13,255‌

13,513‌

Intel,

3.05%,

8/12/51 

21,971‌

13,617‌

Intel,

3.25%,

11/15/49 

29,633‌

19,172‌

Micron

Technology,

6.75%,

11/1/29 

11,330‌

12,350‌

Motorola

Solutions,

5.40%,

4/15/34 

7,860‌

8,087‌

UKG,

6.875%,

2/1/31 (1)

4,875‌

5,046‌

113,192‌

Transportation

 0.2%

Autostrade

per

l'Italia,

2.00%,

1/15/30

(EUR) 

17,020‌

17,204‌

Burlington

Northern

Santa

Fe,

5.50%,

3/15/55 

14,325‌

14,946‌

Genesee

&

Wyoming,

6.25%,

4/15/32 (1)

5,025‌

5,126‌

37,276‌

Total

Industrial

2,252,542‌

UTILITY

 3.0%

Electric

 2.8%

American

Electric

Power,

5.20%,

1/15/29 

7,263‌

7,440‌

Appalachian

Power,

5.65%,

4/1/34 

4,090‌

4,241‌

Baltimore

Gas

&

Electric,

5.40%,

6/1/53 

3,346‌

3,363‌

DTE

Energy,

4.875%,

6/1/28 (8)

3,220‌

3,254‌

DTE

Energy,

5.10%,

3/1/29 

22,930‌

23,397‌

Duke

Energy,

5.00%,

8/15/52 

21,270‌

19,545‌

Duke

Energy,

6.10%,

9/15/53 

10,092‌

10,842‌

Edison

International,

6.95%,

11/15/29 

3,045‌

3,333‌

Eversource

Energy,

5.85%,

4/15/31 

12,870‌

13,521‌

Eversource

Energy,

5.95%,

7/15/34 

24,805‌

26,135‌

Exelon,

5.45%,

3/15/34 

8,675‌

8,933‌

Exelon,

5.60%,

3/15/53 

26,830‌

27,212‌

FirstEnergy,

2.65%,

3/1/30 

15,341‌

13,827‌

FirstEnergy,

Series

B,

2.25%,

9/1/30 

2,840‌

2,472‌

T.

ROWE

PRICE

New

Income

Fund

21

Par/Shares

$

Value

(Amounts

in

000s)

FirstEnergy,

Series

C,

3.40%,

3/1/50 

19,676‌

13,978‌

Georgia

Power,

4.95%,

5/17/33 

17,255‌

17,469‌

Georgia

Power,

5.25%,

3/15/34 

18,800‌

19,363‌

Indianapolis

Power

&

Light,

5.70%,

4/1/54 (1)

5,430‌

5,649‌

IPALCO

Enterprises,

5.75%,

4/1/34 

9,230‌

9,500‌

MidAmerican

Energy,

5.85%,

9/15/54 

6,460‌

6,927‌

Niagara

Mohawk

Power,

5.664%,

1/17/54 (1)

9,190‌

9,160‌

NRG

Energy,

4.45%,

6/15/29 (1)

9,592‌

9,304‌

Pacific

Gas

&

Electric,

2.10%,

8/1/27 

7,517‌

6,973‌

Pacific

Gas

&

Electric,

2.50%,

2/1/31 

21,478‌

18,399‌

Pacific

Gas

&

Electric,

3.30%,

12/1/27 

3,550‌

3,387‌

Pacific

Gas

&

Electric,

3.50%,

8/1/50 

6,590‌

4,599‌

Pacific

Gas

&

Electric,

3.95%,

12/1/47 

10,551‌

7,983‌

Pacific

Gas

&

Electric,

4.55%,

7/1/30 

3,980‌

3,895‌

Pacific

Gas

&

Electric,

5.80%,

5/15/34 

12,560‌

12,933‌

Pacific

Gas

&

Electric,

6.70%,

4/1/53 

5,775‌

6,354‌

Pacific

Gas

&

Electric,

6.75%,

1/15/53 

12,830‌

13,969‌

Pacific

Gas

&

Electric,

6.95%,

3/15/34 

9,445‌

10,522‌

PacifiCorp,

5.30%,

2/15/31 

4,199‌

4,311‌

Palomino

Funding

Trust

I,

7.233%,

5/17/28 (1)

9,700‌

10,371‌

Southern,

5.70%,

3/15/34 

27,500‌

29,065‌

Southern

California

Edison,

5.45%,

6/1/31 

4,600‌

4,805‌

Southern

California

Edison,

5.70%,

3/1/53 

8,250‌

8,492‌

Southwestern

Public

Service,

6.00%,

6/1/54 

5,300‌

5,626‌

Talen

Energy

Supply,

8.625%,

6/1/30 (1)

12,143‌

13,084‌

Vistra,

VR,

8.00% (1)(7)(12)

16,305‌

16,815‌

Vistra,

Series

C,

VR,

8.875% (1)(7)(12)

16,440‌

17,402‌

Vistra

Operations,

6.00%,

4/15/34 (1)

5,820‌

6,089‌

Vistra

Operations,

6.95%,

10/15/33 (1)

7,385‌

8,188‌

Vistra

Operations,

7.75%,

10/15/31 (1)

8,110‌

8,627‌

480,754‌

Natural

Gas

 0.2%

Boston

Gas,

6.119%,

7/20/53 (1)

5,860‌

6,044‌

Engie,

5.25%,

4/10/29 (1)

6,335‌

6,497‌

Engie,

5.625%,

4/10/34 (1)

7,835‌

8,078‌

NiSource,

5.25%,

3/30/28 

3,395‌

3,472‌

Sempra,

3.40%,

2/1/28 

3,450‌

3,327‌

27,418‌

Total

Utility

508,172‌

Total

Corporate

Bonds

(Cost

$4,259,861)

4,268,847‌

T.

ROWE

PRICE

New

Income

Fund

22

Par/Shares

$

Value

(Amounts

in

000s)

FOREIGN

GOVERNMENT

OBLIGATIONS

&

MUNICIPALITIES

 1.6%

Owned

No

Guarantee

 0.9%

Corp.

Nacional

del

Cobre

de

Chile,

6.30%,

9/8/53 (1)

20,560‌

21,560‌

Corp.

Nacional

del

Cobre

de

Chile,

6.30%,

9/8/53 

3,735‌

3,917‌

Corp.

Nacional

del

Cobre

de

Chile,

6.44%,

1/26/36 (1)

9,730‌

10,461‌

Freeport

Indonesia,

5.315%,

4/14/32 

17,670‌

17,728‌

Gaci

First

Investment,

4.875%,

2/14/35 

17,430‌

17,217‌

Gaci

First

Investment,

5.125%,

2/14/53 

28,255‌

25,699‌

Petroleos

Mexicanos,

6.50%,

3/13/27 

42,050‌

40,531‌

Saudi

Arabian

Oil,

5.25%,

7/17/34 (1)

8,620‌

8,818‌

Saudi

Arabian

Oil,

5.75%,

7/17/54 (1)(8)

13,480‌

13,551‌

159,482‌

Sovereign

 0.7%

Republic

of

Bulgaria,

5.00%,

3/5/37 

10,400‌

10,346‌

Republic

of

Panama,

7.50%,

3/1/31 

32,770‌

35,127‌

Republic

of

Peru,

5.375%,

2/8/35 

9,820‌

9,976‌

Republic

of

Peru,

5.875%,

8/8/54 

7,850‌

8,209‌

Republic

of

Romania,

5.875%,

1/30/29 (1)

18,690‌

19,078‌

United

Mexican

States,

5.00%,

5/7/29 

16,700‌

16,718‌

United

Mexican

States,

6.00%,

5/7/36 

15,680‌

15,832‌

115,286‌

Supranational

 0.0%

International

Bank

for

Reconstruction

&

Development,

STEP,

1.745%,

7/31/33 

6,400‌

6,400‌

6,400‌

Total

Foreign

Government

Obligations

&

Municipalities

(Cost

$271,278)

281,168‌

MUNICIPAL

SECURITIES

 0.0%

California

 0.0%

Los

Angeles

Dept.

of

Airports,

Build

America,

6.582%,

5/15/39 

3,140‌

3,479‌

3,479‌

Illinois

 0.0%

Illinois,

Build

America,

GO,

7.35%,

7/1/35 

3,347‌

3,659‌

3,659‌

Total

Municipal

Securities

(Cost

$6,867)

7,138‌

T.

ROWE

PRICE

New

Income

Fund

23

Par/Shares

$

Value

(Amounts

in

000s)

NON-U.S.

GOVERNMENT

MORTGAGE-BACKED

SECURITIES

 2.8%

Collateralized

Mortgage

Obligations

 1.0%

Bayview

Financing

Trust

Series

2024-2F,

Class

A,

CMO,

ARM,

8.10%,

9/25/29,

Acquisition

Date:

8/29/24,

Cost $22,980 (10)(11)

22,980‌

22,980‌

BINOM

Securitization

Trust

Series

2021-INV1,

Class

A1,

CMO,

ARM,

2.034%,

6/25/56 (1)

8,249‌

7,295‌

Citigroup

Mortgage

Loan

Trust

Series

2022-INV1,

Class

A4B,

CMO,

ARM,

3.00%,

11/27/51 (1)

7,132‌

6,085‌

Connecticut

Avenue

Securities

Series

2017-C06,

Class

2ED1,

CMO,

ARM,

SOFR30A

+

1.114%,

6.463%,

2/25/30 

9‌

9‌

Connecticut

Avenue

Securities

Trust

Series

2022-R01,

Class

1M2,

CMO,

ARM,

SOFR30A

+

1.90%,

7.249%,

12/25/41 (1)

19,620‌

19,889‌

Flagstar

Mortgage

Trust

Series

2018-6RR,

Class

2A4,

CMO,

ARM,

4.00%,

9/25/48 (1)

616‌

596‌

Flagstar

Mortgage

Trust

Series

2020-1INV,

Class

A11,

CMO,

ARM,

1M

TSFR

+

0.964%,

6.00%,

3/25/50 (1)

3,428‌

3,217‌

Flagstar

Mortgage

Trust

Series

2021-5INV,

Class

A16,

CMO,

ARM,

2.50%,

7/25/51 (1)

9,131‌

7,477‌

Flagstar

Mortgage

Trust

Series

2021-8INV,

Class

A18,

CMO,

ARM,

2.50%,

9/25/51 (1)

8,305‌

6,800‌

FWD

Securitization

Trust

Series

2020-INV1,

Class

A3,

CMO,

ARM,

2.44%,

1/25/50 (1)

949‌

887‌

Galton

Funding

Mortgage

Trust

Series

2018-1,

Class

A23,

CMO,

ARM,

3.50%,

11/25/57 (1)

687‌

624‌

Galton

Funding

Mortgage

Trust

Series

2018-2,

Class

A22,

CMO,

ARM,

4.00%,

10/25/58 (1)

1,547‌

1,442‌

GS

Mortgage-Backed

Securities

Trust

Series

2014-EB1A,

Class

2A1,

CMO,

ARM,

5.821%,

7/25/44 (1)

288‌

285‌

GS

Mortgage-Backed

Securities

Trust

Series

2020-INV1,

Class

A14,

CMO,

ARM,

2.921%,

10/25/50 (1)

15,168‌

13,188‌

Imperial

Fund

Mortgage

Trust

Series

2021-NQM2,

Class

A1,

CMO,

ARM,

1.073%,

9/25/56 (1)

10,726‌

8,945‌

JPMorgan

Mortgage

Trust

Series

2019-INV3,

Class

A3,

CMO,

ARM,

3.50%,

5/25/50 (1)

4,205‌

3,770‌

JPMorgan

Mortgage

Trust

Series

2020-INV1,

Class

A11,

CMO,

ARM,

1M

TSFR

+

0.944%,

6.00%,

8/25/50 (1)

2,128‌

2,007‌

JPMorgan

Mortgage

Trust

Series

2020-INV1,

Class

A3,

CMO,

ARM,

3.50%,

8/25/50 (1)

3,599‌

3,216‌

T.

ROWE

PRICE

New

Income

Fund

24

Par/Shares

$

Value

(Amounts

in

000s)

JPMorgan

Mortgage

Trust

Series

2020-LTV1,

Class

A15,

CMO,

ARM,

3.50%,

6/25/50 (1)

202‌

198‌

JPMorgan

Mortgage

Trust

Series

2020-LTV1,

Class

A3,

CMO,

ARM,

3.50%,

6/25/50 (1)

500‌

489‌

Morgan

Stanley

Residential

Mortgage

Loan

Trust

Series

2023-NQM1,

Class

A2,

CMO,

STEP,

7.53%,

9/25/68 (1)

5,235‌

5,336‌

New

Residential

Mortgage

Loan

Trust

Series

2021-INV1,

Class

A4,

CMO,

ARM,

2.50%,

6/25/51 (1)

5,681‌

4,663‌

New

Residential

Mortgage

Loan

Trust

Series

2021-INV2,

Class

A4,

CMO,

ARM,

2.50%,

9/25/51 (1)

10,474‌

8,503‌

OBX

Trust

Series

2019-INV2,

Class

A25,

CMO,

ARM,

4.00%,

5/27/49 (1)

890‌

825‌

OBX

Trust

Series

2019-INV2,

Class

A5,

CMO,

ARM,

4.00%,

5/27/49 (1)

2,408‌

2,235‌

OBX

Trust

Series

2020-EXP1,

Class

1A8,

CMO,

ARM,

3.50%,

2/25/60 (1)

6,121‌

5,407‌

OBX

Trust

Series

2023-NQM9,

Class

A2,

CMO,

STEP,

7.513%,

10/25/63 (1)

1,198‌

1,229‌

Sequoia

Mortgage

Trust

Series

2018-CH1,

Class

A2,

CMO,

ARM,

3.50%,

3/25/48 (1)

588‌

536‌

Sequoia

Mortgage

Trust

Series

2018-CH2,

Class

A3,

CMO,

ARM,

4.00%,

6/25/48 (1)

2,676‌

2,508‌

Sequoia

Mortgage

Trust

Series

2018-CH3,

Class

A2,

CMO,

ARM,

4.00%,

8/25/48 (1)

393‌

384‌

SG

Residential

Mortgage

Trust

Series

2019-3,

Class

A1,

CMO,

ARM,

2.703%,

9/25/59 (1)

186‌

183‌

Structured

Agency

Credit

Risk

Debt

Notes

Series

2024-DNA2,

Class

A1,

CMO,

ARM,

SOFR30A

+

1.25%,

6.599%,

5/25/44 (1)

12,345‌

12,353‌

Towd

Point

Mortgage

Trust

Series

2019-HY3,

Class

A1A,

CMO,

ARM,

1M

TSFR

+

1.114%,

6.392%,

10/25/59 (1)

2,838‌

2,892‌

Verus

Securitization

Trust

Series

2019-INV2,

Class

A3,

CMO,

ARM,

4.219%,

7/25/59 (1)

1,219‌

1,203‌

Verus

Securitization

Trust

Series

2019-INV3,

Class

A3,

CMO,

ARM,

4.10%,

11/25/59 (1)

2,671‌

2,622‌

Verus

Securitization

Trust

Series

2022-1,

Class

A1,

CMO,

STEP,

2.724%,

1/25/67 (1)

5,165‌

4,792‌

Vista

Point

Securitization

Trust

Series

2020-2,

Class

A1,

CMO,

ARM,

1.475%,

4/25/65 (1)

1,606‌

1,500‌

166,570‌

Commercial

Mortgage-Backed

Securities

 1.8%

BANK5

Series

2024-5YR8,

Class

A3,

5.884%,

8/15/57 

24,005‌

25,141‌

T.

ROWE

PRICE

New

Income

Fund

25

Par/Shares

$

Value

(Amounts

in

000s)

BBCMS

Mortgage

Trust

Series

2019-BWAY,

Class

D,

ARM,

1M

TSFR

+

2.274%,

7.611%,

11/15/34 (1)

10,230‌

205‌

BBCMS

Mortgage

Trust

Series

2024-5C27,

Class

A3,

6.014%,

7/15/57 

4,935‌

5,189‌

Benchmark

Mortgage

Trust

Series

2024-V9,

Class

A3,

5.602%,

8/15/57 

43,365‌

44,691‌

BMO

Mortgage

Trust

Series

2024-5C5,

Class

A3,

5.857%,

2/15/57 

40,445‌

42,120‌

BX

Commercial

Mortgage

Trust

Series

2024-MDHS,

Class

A,

ARM,

1M

TSFR

+

1.641%,

6.978%,

5/15/41 (1)

39,607‌

39,533‌

BX

Trust

Series

2021-ARIA,

Class

B,

ARM,

1M

TSFR

+

1.411%,

6.748%,

10/15/36 (1)

6,815‌

6,704‌

Cantor

Commercial

Real

Estate

Lending

Series

2019-CF2,

Class

B,

3.267%,

11/15/52 

9,752‌

8,321‌

Citigroup

Commercial

Mortgage

Trust

Series

2019-C7,

Class

805A,

ARM,

3.917%,

12/15/72 (1)

12,000‌

4,990‌

Citigroup

Commercial

Mortgage

Trust

Series

2020-555,

Class

C,

3.031%,

12/10/41 (1)

8,370‌

7,056‌

Citigroup

Commercial

Mortgage

Trust

Series

2020-555,

Class

D,

3.233%,

12/10/41 (1)

5,500‌

4,525‌

CONE

Trust

Series

2024-DFW1,

Class

A,

ARM,

1M

TSFR

+

1.642%,

6.979%,

8/15/41 (1)

17,510‌

17,510‌

GS

Mortgage

Securities

Trust

Series

2019-GC40,

Class

B,

3.543%,

7/10/52 

12,730‌

10,996‌

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

Series

2018-WPT,

Class

AFX,

4.248%,

7/5/33 (1)

9,825‌

8,977‌

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

Series

2018-WPT,

Class

BFX,

4.549%,

7/5/33 (1)

7,620‌

6,268‌

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

Series

2018-WPT,

Class

CFX,

4.95%,

7/5/33 (1)

11,395‌

8,804‌

MED

Commercial

Mortgage

Trust

Series

2024-MOB,

Class

A,

ARM,

1M

TSFR

+

1.592%,

6.928%,

5/15/41 (1)

13,149‌

13,059‌

SDR

Commercial

Mortgage

Trust

Series

2024-DSNY,

Class

A,

ARM,

1M

TSFR

+

1.392%,

6.729%,

5/15/39 (1)

24,450‌

24,313‌

TX

Trust

Series

2024-HOU,

Class

A,

ARM,

1M

TSFR

+

1.591%,

6.928%,

6/15/39 (1)

7,965‌

7,895‌

UBS

Commercial

Mortgage

Trust

Series

2018-C9,

Class

AS,

ARM,

4.318%,

3/15/51 

7,230‌

6,690‌

T.

ROWE

PRICE

New

Income

Fund

26

Par/Shares

$

Value

(Amounts

in

000s)

VNDO

Trust

Series

2016-350P,

Class

D,

ARM,

4.033%,

1/10/35 (1)

8,849‌

8,252‌

WB

Commercial

Mortgage

Trust

Series

2024-HQ,

Class

A,

ARM,

6.134%,

3/15/40 (1)

6,965‌

7,050‌

Worldwide

Plaza

Trust

Series

2017-WWP,

Class

A,

3.526%,

11/10/36 (1)

19,849‌

13,795‌

322,084‌

Total

Non-U.S.

Government

Mortgage-Backed

Securities

(Cost

$539,082)

488,654‌

U.S.

GOVERNMENT

&

AGENCY

MORTGAGE-BACKED

SECURITIES

 29.8%

U.S.

Government

Agency

Obligations

 22.9%

Federal

Home

Loan

Mortgage 

2.50%,

5/1/30 

3,799‌

3,646‌

3.00%,

12/1/42

-

4/1/47 

14,485‌

13,282‌

3.50%,

9/1/42

-

3/1/46 

68,289‌

64,225‌

4.00%,

10/1/40

-

8/1/45 

7,243‌

7,063‌

4.50%,

6/1/39

-

5/1/42 

11,066‌

11,086‌

5.00%,

7/1/25

-

8/1/40 

3,022‌

3,091‌

5.50%,

4/1/26

-

12/1/39 

2,926‌

3,001‌

6.00%,

10/1/32

-

8/1/38 

1,769‌

1,850‌

6.50%,

2/1/36

-

9/1/39 

727‌

752‌

7.00%,

8/1/31

-

6/1/32 

17‌

18‌

Federal

Home

Loan

Mortgage,

ARM 

1Y

CMT

+

2.25%,

6.65%,

10/1/36 

27‌

28‌

RFUCCT1Y

+

1.832%,

6.081%,

3/1/36 

74‌

75‌

RFUCCT1Y

+

1.842%,

6.091%,

1/1/37 

118‌

119‌

RFUCCT1Y

+

1.916%,

6.291%,

2/1/37 

64‌

65‌

RFUCCT1Y

+

1.944%,

6.205%,

12/1/36 

68‌

69‌

RFUCCT1Y

+

2.031%,

6.276%,

11/1/36 

108‌

109‌

Federal

Home

Loan

Mortgage,

CMO,

PO,

Zero

Coupon,

8/15/28 

4‌

3‌

Federal

Home

Loan

Mortgage,

UMBS 

1.50%,

2/1/36 

25,253‌

22,420‌

2.00%,

8/1/36

-

5/1/52 

297,431‌

248,296‌

2.50%,

4/1/37

-

9/1/52 

338,452‌

292,691‌

3.00%,

7/1/34

-

8/1/52 

102,474‌

93,722‌

3.50%,

6/1/47

-

11/1/52 

62,817‌

58,323‌

4.00%,

6/1/37

-

2/1/50 

26,605‌

25,812‌

4.50%,

9/1/37

-

11/1/52 

64,623‌

62,976‌

5.00%,

8/1/52

-

11/1/53 

28,249‌

28,066‌

5.50%,

8/1/53

-

5/1/54 

56,102‌

56,635‌

6.50%,

1/1/54 

2,319‌

2,394‌

T.

ROWE

PRICE

New

Income

Fund

27

Par/Shares

$

Value

(Amounts

in

000s)

7.00%,

6/1/54 

6,454‌

6,745‌

Federal

National

Mortgage

Assn. 

3.00%,

8/1/43

-

8/1/46 

5,399‌

4,913‌

3.50%,

6/1/42

-

5/1/46 

41,311‌

38,843‌

4.00%,

11/1/40 

7,064‌

6,946‌

Federal

National

Mortgage

Assn.,

ARM 

RFUCCT1Y

+

1.34%,

5.59%,

12/1/35 

62‌

62‌

RFUCCT1Y

+

1.59%,

6.751%,

7/1/36 

171‌

176‌

RFUCCT1Y

+

1.655%,

7.529%,

8/1/37 

43‌

44‌

RFUCCT1Y

+

1.87%,

7.811%,

8/1/36 

112‌

113‌

Federal

National

Mortgage

Assn.,

CMO,

IO,

6.50%,

2/25/32 

19‌

3‌

Federal

National

Mortgage

Assn.,

UMBS 

1.50%,

2/1/37

-

1/1/42 

63,709‌

55,268‌

2.00%,

11/1/35

-

7/1/52 

979,570‌

820,907‌

2.50%,

5/1/30

-

9/1/52 

508,169‌

442,424‌

3.00%,

6/1/27

-

4/1/52 

354,999‌

325,696‌

3.50%,

11/1/32

-

3/1/52 

118,307‌

111,485‌

4.00%,

7/1/35

-

12/1/52 

192,995‌

186,585‌

4.50%,

7/1/39

-

7/1/52 

93,732‌

92,995‌

5.00%,

3/1/25

-

9/1/53 

100,961‌

101,343‌

5.50%,

4/1/34

-

5/1/54 

111,315‌

112,605‌

6.00%,

11/1/32

-

8/1/54 

201,888‌

207,131‌

6.50%,

8/1/27

-

1/1/54 

38,521‌

39,906‌

7.00%,

10/1/29

-

3/1/54 

6,404‌

6,688‌

UMBS,

TBA (13)

5.00%,

9/1/54 

310,335‌

308,101‌

5.50%,

9/1/54 

23,225‌

23,383‌

6.00%,

9/1/54 

10,090‌

10,275‌

6.50%,

9/1/54 

56,435‌

58,109‌

3,960,563‌

U.S.

Government

Obligations

 6.9%

Government

National

Mortgage

Assn. 

1.50%,

8/20/36

-

6/20/37 

9,741‌

8,549‌

2.00%,

1/20/51

-

3/20/52 

246,555‌

207,702‌

2.50%,

8/20/50

-

3/20/52 

254,728‌

222,673‌

3.00%,

9/15/42

-

6/20/52 

192,560‌

175,218‌

3.50%,

9/15/41

-

7/20/52 

137,650‌

129,746‌

4.00%,

2/20/41

-

10/20/52 

119,023‌

114,476‌

4.50%,

7/15/26

-

4/20/53 

84,755‌

83,583‌

5.00%,

9/15/33

-

6/20/48 

33,173‌

33,808‌

5.50%,

10/20/32

-

3/20/49 

14,121‌

14,529‌

6.00%,

1/20/34

-

12/20/38 

1,792‌

1,878‌

6.50%,

1/15/26

-

12/15/31 

33‌

34‌

T.

ROWE

PRICE

New

Income

Fund

28

Par/Shares

$

Value

(Amounts

in

000s)

7.00%,

5/20/28

-

11/20/28 

9‌

9‌

7.50%,

7/15/28

-

8/15/28 

31‌

31‌

8.00%,

9/15/27

-

10/15/27 

64‌

65‌

8.50%,

9/20/26 

—‌

—‌

Government

National

Mortgage

Assn.,

CMO 

3.00%,

11/20/47

-

12/20/47 

2,742‌

2,533‌

3.50%,

10/20/50 

9,510‌

8,145‌

Government

National

Mortgage

Assn.,

CMO,

IO 

3.50%,

5/20/43 

2,620‌

400‌

4.00%,

2/20/43 

1,877‌

180‌

Government

National

Mortgage

Assn.,

TBA (13)

2.50%,

9/20/54 

26,135‌

22,848‌

4.50%,

9/20/54 

24,775‌

24,269‌

5.00%,

9/20/54 

40,940‌

40,866‌

5.50%,

9/20/54 

84,225‌

84,777‌

6.00%,

9/20/54 

6,200‌

6,291‌

1,182,610‌

Total

U.S.

Government

&

Agency

Mortgage-Backed

Securities

(Cost

$5,321,040)

5,143,173‌

U.S.

GOVERNMENT

AGENCY

OBLIGATIONS

(EXCLUDING

MORTGAGE-BACKED)

 29.2%

U.S.

Treasury

Obligations

 29.2%

U.S.

Treasury

Bonds,

3.375%,

8/15/42 

300,420‌

265,778‌

U.S.

Treasury

Bonds,

3.875%,

2/15/43 

159,815‌

151,225‌

U.S.

Treasury

Bonds,

4.00%,

11/15/42 (14)

304,955‌

294,186‌

U.S.

Treasury

Bonds,

4.25%,

2/15/54 

253,665‌

254,695‌

U.S.

Treasury

Bonds,

4.25%,

8/15/54 

20,045‌

20,177‌

U.S.

Treasury

Bonds,

4.50%,

2/15/44 

435,950‌

446,849‌

U.S.

Treasury

Bonds,

4.625%,

5/15/44 

25,840‌

26,914‌

U.S.

Treasury

Bonds,

4.625%,

5/15/54 

20,665‌

22,092‌

U.S.

Treasury

Inflation-Indexed

Bonds,

2.125%,

2/15/54 

76,760‌

77,996‌

U.S.

Treasury

Notes,

0.625%,

12/31/27 

106,375‌

95,970‌

U.S.

Treasury

Notes,

1.50%,

1/31/27 

308,150‌

291,587‌

U.S.

Treasury

Notes,

3.25%,

6/30/27 

224,195‌

220,902‌

U.S.

Treasury

Notes,

3.875%,

11/30/27 (14)

212,795‌

213,327‌

U.S.

Treasury

Notes,

3.875%,

8/15/34 

38,100‌

37,963‌

U.S.

Treasury

Notes,

4.00%,

7/31/29 

86,695‌

87,724‌

U.S.

Treasury

Notes,

4.125%,

9/30/27 

228,435‌

230,719‌

U.S.

Treasury

Notes,

4.125%,

10/31/27 

7,870‌

7,946‌

U.S.

Treasury

Notes,

4.375%,

5/15/34 

710,145‌

735,999‌

U.S.

Treasury

Notes,

4.50%,

7/15/26 

65,495‌

66,099‌

U.S.

Treasury

Notes,

4.50%,

5/15/27 

113,000‌

114,907‌

T.

ROWE

PRICE

New

Income

Fund

29

Par/Shares

$

Value

(Amounts

in

000s)

U.S.

Treasury

Notes,

4.625%,

9/15/26 

712,442‌

722,016‌

U.S.

Treasury

Notes,

4.625%,

10/15/26 (14)

346,295‌

351,273‌

U.S.

Treasury

Notes,

4.625%,

9/30/28 

302,900‌

312,697‌

Total

U.S.

Government

Agency

Obligations

(Excluding

Mortgage-Backed)

(Cost

$4,982,229)

5,049,041‌

SHORT-TERM

INVESTMENTS

 3.8%

Money

Market

Funds

 3.8%

T.

Rowe

Price

Government

Reserve

Fund,

5.34% (6)(15)

665,667‌

665,667‌

Total

Short-Term

Investments

(Cost

$665,667)

665,667‌

SECURITIES

LENDING

COLLATERAL

 0.4%

INVESTMENTS

IN

A

POOLED

ACCOUNT

THROUGH

SECURITIES

LENDING

PROGRAM

WITH

JPMORGAN

CHASE

BANK 0.0%

Money

Market

Funds 0.0%

T.

Rowe

Price

Government

Reserve

Fund,

5.34% (6)(15)

2,872‌

2,872‌

Total

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

JPMorgan

Chase

Bank

2,872‌

INVESTMENTS

IN

A

POOLED

ACCOUNT

THROUGH

SECURITIES

LENDING

PROGRAM

WITH

STATE

STREET

BANK

AND

TRUST

COMPANY 0.4%

Money

Market

Funds 0.4%

T.

Rowe

Price

Government

Reserve

Fund,

5.34% (6)(15)

61,188‌

61,188‌

Total

Investments

in

a

Pooled

Account

through

Securities

Lending

Program

with

State

Street

Bank

and

Trust

Company

61,188‌

Total

Securities

Lending

Collateral

(Cost

$64,060)

64,060‌

Total

Investments

in

Securities 103.2%

(Cost

$17,974,273)

$

17,839,844‌

Other

Assets

Less

Liabilities

(3.2)%

(549,469‌)

Net

Assets

100.0%

$

17,290,375‌

‡

Par/Shares

and

Notional

Amount

are

denominated

in

U.S.

dollars

unless

otherwise

noted.

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

$2,800,414

and

represents

16.2%

of

net

assets.

(2)

Bank

loan

positions

may

involve

multiple

underlying

tranches.

In

those

instances,

the

position

presented

reflects

the

aggregate

of

those

respective

underlying

tranches

and

the

rate

presented

reflects

the

weighted

average

rate

of

the

settled

positions.

(3)

All

or

a

portion

of

this

loan

is

unsettled

as

of

August

31,

2024.

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

August

31,

2024,

was

$329

and

was

valued

at

$330

(0.0%

of

net

assets).

(5)

SEC

30-day

yield

(6)

Affiliated

Companies

(7)

Security

is

a

fix-to-float

security,

which

carries

a

fixed

coupon

until

a

certain

date,

upon

which

it

switches

to

a

floating

rate.

Reference

rate

and

spread

are

provided

if

the

rate

is

currently

floating.

(8)

All

or

a

portion

of

this

security

is

on

loan

at

August

31,

2024.

(9)

Level

3

in

fair

value

hierarchy.

(10)

Security

cannot

be

offered

for

public

resale

without

first

being

registered

under

the

Securities

Act

of

1933

and

related

rules

("restricted

security").

Acquisition

date

represents

the

day

on

which

an

enforceable

right

to

acquire

such

security

is

obtained

and

is

presented

along

with

related

cost

in

the

security

description.

The

fund

may

have

registration

rights

for

certain

restricted

securities.

Any

costs

related

to

such

registration

are

generally

borne

by

the

issuer.

The

aggregate

value

of

restricted

securities

(excluding

144A

holdings)

at

period

end

amounts

to

$39,580

and

represents

0.2%

of

net

assets.

(11)

Non-income

producing

(12)

Perpetual

security

with

no

stated

maturity

date.

(13)

To-Be-Announced

purchase

commitment.

Total

value

of

such

securities

at

period-end

amounts

to

$578,919

and

represents

3.3%

of

net

assets.

(14)

At

August

31,

2024,

all

or

a

portion

of

this

security

is

pledged

as

collateral

and/or

margin

deposit

to

cover

future

funding

obligations.

(15)

Seven-day

yield

1M

TSFR

One

month

term

SOFR

(Secured

overnight

financing

rate)

3M

TSFR

Three

month

term

SOFR

(Secured

overnight

financing

rate)

6M

TSFR

Six

month

Term

SOFR

(Secured

overnight

financing

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

T.

ROWE

PRICE

New

Income

Fund

31

.

.

.

.

.

.

.

.

.

.

CAD

Canadian

Dollar

CHF

Swiss

Franc

CLO

Collateralized

Loan

Obligation

CMO

Collateralized

Mortgage

Obligation

EUR

Euro

FRN

Floating

Rate

Note

GBP

British

Pound

GO

General

Obligation

IO

Interest-only

security

for

which

the

fund

receives

interest

on

notional

principal

JPY

Japanese

Yen

NOK

Norwegian

Krone

NZD

New

Zealand

Dollar

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

SEK

Swedish

Krona

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

32

Par

$

Value

(Cost

and

value

in

$000s)

TBA

SALES

COMMITMENTS

 (0.7)%

U.S.

GOVERNMENT

&

AGENCY

MORTGAGE-BACKED

SECURITIES

 (0.7)%

U.S.

Government

Agency

Obligations

 (0.7)% 

UMBS,

TBA,

3.50%,

9/1/54 

138,990,000

(127,951)

Total

TBA

Sales

Commitments

(Proceeds

$(127,552))

(127,951)

T.

ROWE

PRICE

New

Income

Fund

33

(Amounts

in

000s)

SWAPS

0.2%

Description

Notional

Amount

$

Value

Upfront

Payments/

$

(Receipts)

Unrealized

$

Gain/(Loss)

BILATERAL

SWAPS

0.0%

Credit

Default

Swaps,

Protection

Bought

0.0%

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

227,070

2,794

5,826

(3,032‌)

Total

Bilateral

Credit

Default

Swaps,

Protection

Bought

5,826

(3,032‌)

Total

Bilateral

Swaps

5,826

(3,032‌)

Description

Notional

Amount

$

Value

Initial

$

Value

**

Unrealized

$

Gain/(Loss)

CENTRALLY

CLEARED

SWAPS

0.2%

Credit

Default

Swaps,

Protection

Sold

0.2%

Protection

Sold

(Relevant

Credit:

Freeport-McMoRan,

Baa2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

6/20/29

*

27,140

202

(24)

226‌

Protection

Sold

(Relevant

Credit:

Markit

CDX.NA.IG-S42,

5

Year

Index),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

6/20/29

562,140

13,603

11,325

2,278‌

Protection

Sold

(Relevant

Credit:

Markit

iTraxx

Europe-S41,

5

Year

Index),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

6/20/29

(EUR)

560,750

14,489

11,721

2,768‌

T.

ROWE

PRICE

New

Income

Fund

34

(Amounts

in

000s)

Description

Notional

Amount

$

Value

Initial

$

Value**

Unrealized

$

Gain/(Loss)

Protection

Sold

(Relevant

Credit:

United

Mexican

States,

Baa2*),

Receive

1.00%

Quarterly,

Pay

upon

credit

default,

6/20/29

*

182,739

(654)

232

(886‌)

Total

Centrally

Cleared

Credit

Default

Swaps,

Protection

Sold

4,386‌

Total

Centrally

Cleared

Swaps

4,386‌

Net

payments

(receipts)

of

variation

margin

to

date

(4,585‌)

Variation

margin

receivable

(payable)

on

centrally

cleared

swaps

$

(199‌)

*

Credit

ratings

as

of

August

31,

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

$947.

T.

ROWE

PRICE

New

Income

Fund

35

(Amounts

in

000s)

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

Counterparty

Settlement

Receive

Deliver

Unrealized

Gain/(Loss)

Bank

of

America

10/25/24

AUD

15,056‌

USD

10,180‌

$

23‌

Bank

of

America

10/25/24

JPY

3,214,876‌

USD

20,463‌

1,709‌

Bank

of

America

10/25/24

NZD

14,455‌

USD

8,784‌

254‌

BNP

Paribas

11/22/24

EUR

2,905‌

USD

3,234‌

(10‌)

BNP

Paribas

11/22/24

GBP

4,153‌

USD

5,384‌

73‌

BNP

Paribas

11/22/24

USD

26,234‌

EUR

23,568‌

84‌

Canadian

Imperial

Bank

of

Commerce

10/25/24

USD

9,697‌

CAD

13,197‌

(113‌)

Deutsche

Bank

10/25/24

NOK

22,307‌

USD

2,074‌

32‌

Deutsche

Bank

10/25/24

NZD

1,539‌

USD

937‌

25‌

Deutsche

Bank

10/25/24

USD

19,259‌

NOK

208,185‌

(392‌)

Deutsche

Bank

10/25/24

USD

1,135‌

NZD

1,868‌

(33‌)

Goldman

Sachs

10/25/24

NOK

30,257‌

USD

2,754‌

102‌

Goldman

Sachs

10/25/24

NOK

10,959‌

USD

1,046‌

(12‌)

Goldman

Sachs

10/25/24

USD

695‌

CAD

948‌

(10‌)

Goldman

Sachs

10/25/24

USD

1,402‌

JPY

202,925‌

2‌

Goldman

Sachs

11/22/24

GBP

527‌

USD

696‌

(3‌)

HSBC

Bank

10/25/24

AUD

3,042‌

USD

1,982‌

80‌

HSBC

Bank

10/25/24

AUD

3,026‌

USD

2,055‌

(4‌)

HSBC

Bank

10/25/24

CAD

2,266‌

USD

1,638‌

46‌

HSBC

Bank

10/25/24

CHF

967‌

USD

1,105‌

40‌

HSBC

Bank

10/25/24

USD

681‌

CAD

933‌

(13‌)

HSBC

Bank

11/22/24

EUR

5,811‌

USD

6,490‌

(42‌)

HSBC

Bank

11/22/24

USD

52,643‌

EUR

47,136‌

344‌

JPMorgan

Chase

10/25/24

AUD

1,016‌

USD

679‌

10‌

JPMorgan

Chase

10/25/24

CAD

822‌

USD

610‌

1‌

JPMorgan

Chase

10/25/24

USD

1,046‌

AUD

1,562‌

(13‌)

JPMorgan

Chase

10/25/24

USD

610‌

NOK

6,500‌

(3‌)

Morgan

Stanley

10/25/24

NZD

1,312‌

USD

777‌

43‌

Standard

Chartered

11/29/24

USD

10,030‌

SEK

101,610‌

85‌

State

Street

11/22/24

EUR

2,905‌

USD

3,239‌

(15‌)

State

Street

11/22/24

USD

26,272‌

EUR

23,568‌

122‌

UBS

Investment

Bank

10/25/24

CHF

809‌

USD

962‌

(4‌)

UBS

Investment

Bank

10/25/24

USD

36,640‌

CHF

32,356‌

(1,680‌)

Net

unrealized

gain

(loss)

on

open

forward

currency

exchange

contracts

$

728‌

T.

ROWE

PRICE

New

Income

Fund

36

FUTURES

CONTRACTS

($000s)

Expiration

Date

Notional

Amount

Value

and

Unrealized

Gain

(Loss)

Long,

686

Commonwealth

of

Australia

ten

year

bond

contracts

9/24

54,128

$

1,047‌

Short,

342

Euro

BUND

contracts

9/24

(50,624)

9‌

Long,

13,356

U.S.

Treasury

Notes

five

year

contracts

12/24

1,461,126

(3,978‌)

Long,

241

U.S.

Treasury

Notes

ten

year

contracts

12/24

27,369

(136‌)

Short,

2,581

U.S.

Treasury

Notes

two

year

contracts

12/24

(535,679)

480‌

Long,

2,700

Ultra

U.S.

Treasury

Bonds

contracts

12/24

356,231

(4,148‌)

Short,

6,832

Ultra

U.S.

Treasury

Notes

ten

year

contracts

12/24

(802,333)

6,289‌

Long,

6,954

Three

Month

SOFR

Futures

contracts

3/25

1,664,527

(661‌)

Short,

6,954

Three

Month

SOFR

Futures

contracts

3/26

(1,683,303)

905‌

Net

payments

(receipts)

of

variation

margin

to

date

(1,208‌)

Variation

margin

receivable

(payable)

on

open

futures

contracts

$

(1,401‌)

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

three

months

ended

August

31,

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,

8.99% 

$

—‌

$

(1‌)

$

8‌

T.

Rowe

Price

Government

Reserve

Fund,

5.34%

—‌

—‌

8,540‌++

Totals

$

—‌#

$

(1‌)

$

8,548‌+

Supplementary

Investment

Schedule

Affiliate

Value

05/31/24

Purchase

Cost

Sales

Cost

Value

08/31/24

T.

Rowe

Price

Institutional

Floating

Rate

Fund

-

Z

Class,

8.99% 

$

322‌

$

8‌

$

—‌

$

329‌

T.

Rowe

Price

Government

Reserve

Fund,

5.34%

691,715‌

 ¤

 ¤

729,727‌

Total

$

730,056‌^

#

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

$8,548

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

$730,034.

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)

T.

ROWE

PRICE

New

Income

Fund

39

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

factors

such

as,

but

not

limited

to,

the

yield

or

price

of

bonds

of

comparable

quality,

coupon,

maturity,

and

type,

as

well

as

prices

quoted

by

dealers

who

make

markets

in

such

securities.   

Investments

denominated

in

foreign

currencies

are

translated

into

U.S.

dollar

values

each

day

at

the

prevailing

exchange

rate,

using

the

mean

of

the

bid

and

asked

prices

of

such

currencies

against

U.S.

dollars

as

provided

by

an

outside

pricing

service.

Investments

in

mutual

funds

are

valued

at

the

mutual

fund’s

closing

NAV

per

share

on

the

day

of

valuation.

Futures

contracts

are

valued

at

closing

settlement

prices.

Forward

currency

exchange

contracts

are

valued

using

the

prevailing

forward

exchange

rate.

Swaps

are

valued

at

prices

furnished

by

an

independent

pricing

service

or

independent

swap

dealers.

Investments

for

which

market

quotations are

not

readily

available

or

deemed

unreliable

are

valued

at

fair

value

as

determined

in

good

faith

by

the

Valuation

Designee.

The

Valuation

Designee

has

adopted

methodologies

for

determining

the

fair

value

of

investments

for

which

market

quotations

are

not

readily

available

or

deemed

unreliable,

including

the

use

of

other

pricing

sources.

Factors

used

in

determining

fair

value

vary

by

type

of

investment

T.

ROWE

PRICE

New

Income

Fund

40

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

41

Valuation

Inputs

  The

following

table

summarizes

the

fund’s

financial

instruments,

based

on

the

inputs

used

to

determine

their

fair

values

on

August

31,

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

$

—‌

$

12,840,941‌

$

—‌

$

12,840,941‌

Bond

Mutual

Funds

329‌

—‌

—‌

329‌

Corporate

Bonds

—‌

4,229,119‌

39,728‌

4,268,847‌

Short-Term

Investments

665,667‌

—‌

—‌

665,667‌

Securities

Lending

Collateral

64,060‌

—‌

—‌

64,060‌

Total

Securities

730,056‌

17,070,060‌

39,728‌

17,839,844‌

Swaps*

—‌

8,066‌

—‌

8,066‌

Forward

Currency

Exchange

Contracts

—‌

3,075‌

—‌

3,075‌

Futures

Contracts*

8,730‌

—‌

—‌

8,730‌

Total

$

738,786‌

$

17,081,201‌

$

39,728‌

$

17,859,715‌

Liabilities

TBA

Sales

Commitments

$

—‌

$

127,951‌

$

—‌

$

127,951‌

Swaps*

—‌

886‌

—‌

886‌

Forward

Currency

Exchange

Contracts

—‌

2,347‌

—‌

2,347‌

Futures

Contracts*

8,923‌

—‌

—‌

8,923‌

Total

$

8,923‌

$

131,184‌

$

—‌

$

140,107‌

1

Includes

Asset-Backed

Securities,

Bank

Loans,

Foreign

Government

Obligations

&

Municipalities,

Municipal

Securities,

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

42

OTHER

MATTERS 

Unpredictable environmental,

political,

social

and

economic

events,

including

but

not

limited

to,

environmental

or

natural

disasters,

war

and

conflict

(including

Russia’s

military

invasion

of

Ukraine

and

the

conflict

in

Israel,

Gaza

and

surrounding

areas),

terrorism,

geopolitical

developments

(including

trading

and

tariff

arrangements,

sanctions

and

cybersecurity

attacks),

and

public

health

epidemics

(including

the

global

outbreak

of

COVID-19)

and

similar

public

health

threats,

may

significantly

affect

the

economy

and

the

markets

and

issuers

in

which

a

fund

invests.

The

extent

and

duration

of

such

events

and

resulting

market

disruptions

cannot

be

predicted.

These

and

other

similar

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

fund’s

performance

could

be

negatively

impacted

if

the

value

of

a

portfolio

holding

were

harmed

by

these

or

such

events.

Management

actively

monitors

the

risks

and

financial

impacts

arising

from

such

events.

F43-054Q1

08/24