UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-05860

T. Rowe Price U.S. Treasury Funds, Inc.

(Exact name of registrant as specified in charter)

100 East Pratt Street, Baltimore, MD 21202

(Address of principal executive offices)

David Oestreicher

100 East Pratt Street, Baltimore, MD 21202

(Name and address of agent for service)

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

Date of fiscal year end: May 31

Date of reporting period: November 30, 2015

The views and opinions in this report were current as of November 30, 2015. They are not guarantees of performance or investment results and should not be taken as investment advice. Investment decisions reflect a variety of factors, and the managers reserve the right to change their views about individual stocks, sectors, and the markets at any time. As a result, the views expressed should not be relied upon as a forecast of the fund’s future investment intent. The report is certified under the Sarbanes-Oxley Act, which requires mutual funds and other public companies to affirm that, to the best of their knowledge, the information in their financial reports is fairly and accurately stated in all material respects.

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U.S. Treasuries were less volatile than in recent reporting periods but produced mixed results. Returns of intermediate maturities were modestly positive, while longer maturities lost ground. Results at the short end of the yield curve were essentially flat. Higher yields on U.S. government bonds versus bonds issued by other developed countries supported demand for Treasuries for most of our reporting period. However, changing expectations for when the Federal Reserve would begin to raise rates resulted in fluctuations in yields. While the U.S. economy continued to grow, concerns about a global slowdown weighed on markets during the period. In this environment, the U.S. Treasury Money Fund posted a flat return, while the U.S. Treasury Intermediate and U.S. Treasury Long-Term Funds posted modest gains.

The U.S. economy bounced back from a sluggish first quarter and grew at a moderate pace during our reporting period even as there were signs of a global slowdown. The U.S. economy expanded at a 2.1% annual rate in the third quarter of 2015, the Commerce Department reported at the end of November, which followed a 3.9% pace in the second quarter.

Other gauges also indicated a generally solid economic foundation. Nonfarm payrolls grew at an average monthly pace of 215,000 during the six-month period ended in October. The unemployment rate declined to 5.0%—its lowest level since the spring of 2008—versus the 5.4% jobless rate at the start of the reporting period, and wages showed some signs of accelerating. However, the labor force participation rate remained at historically low levels. Inflation was subdued and ran below the Fed’s 2% target amid a stronger U.S. dollar and tumbling crude oil prices.

The question of when the Federal Reserve would begin to raise short-term rates from near zero was a focus of bond markets throughout the year. Expectations for an initial rate hike had risen before the Fed’s September meeting, but the central bank kept the federal funds rate near zero, citing concerns that developments outside the U.S. “may restrain economic activity somewhat.” The decision came after the Chinese government expanded the trading range for the yuan to let the currency devalue, triggering fears that it is struggling to manage a deceleration in the country’s economic growth. The devaluation caused selling pressure on riskier asset classes worldwide, particularly in emerging markets securities and currencies. Later, at their October meeting, Fed policymakers again kept rates unchanged but issued a more hawkish statement that led the market to expect an initial increase soon.

In December, after our reporting period ended, the Fed decided to raise short-term rates to a range of 0.25% to 0.50%, noting a “considerable improvement in labor market conditions this year.” The central bank also expressed confidence that inflation would rise to its 2% target.

The yield on the 10-year U.S. Treasury note—a benchmark for many long-term borrowing costs—finished modestly higher during our reporting period. After starting at 2.12% at the end of May, the yield reached a high point of nearly 2.50% in June as concerns over the possibility of an imminent rate increase grew. It then dipped to a low of just under 2% in October during a risk-averse environment that resulted from worries about a slowdown in global growth. The Fed’s October 28 statement, which pointed toward a rate increase by the end of the year, followed by a robust employment report, caused another sell-off in Treasuries, and the 10-year yield finished November at 2.21%.

Even as yields remained near historic lows, Treasuries were attractive compared with other high-quality sovereign debt. Monetary stimulus programs in the European Union and Japan kept rates at minimal levels in other major global markets; 10-year German bonds, for example, yielded just 0.50% at the end of the period. Shorter-maturity bonds, which are more sensitive to a rate hike, fared worse during the period than intermediate-term debt, and the yield on the two-year Treasury note increased to a five-year high. Long-term Treasuries declined modestly as yields edged higher.

U.S. Treasury Money Fund
Your fund returned 0.01% for the six months ended November 30, 2015, roughly the same as its benchmark, the Lipper U.S. Treasury Money Market Funds Index. T. Rowe Price has voluntarily waived all or a portion of the management fee it is entitled to receive from the fund in an effort to maintain a 0% or positive net yield for the fund.

Short-term performance comparisons in the current low interest rate environment are difficult, but the fund’s returns have been competitive and placed it in the top quintile of all Treasury money market funds. Based on cumulative total return, Lipper ranked the U.S. Treasury Money Fund 1 of 59, 3 of 59, 6 of 55, and 9 of 47 money market funds for the 1-, 3-, 5-, and 10-year periods ended November 30, 2015, respectively. (Past performance cannot guarantee future results.)

The short investment horizon of money market investing is such that a rate increase by the Fed must be imminent before it becomes priced in to yields. This is in sharp contrast to longer maturity fixed income markets where changing rate expectations routinely cause significant rate moves. As November came to a close, most market participants believed that the Fed was very likely to hike rates at its December meeting, and rate capitulation followed. As such, investments for terms that extended past December’s Fed meeting began to more aggressively price in the likelihood of a Fed hike.

While many parts of the money market have been gradually building in assumptions of a Fed rate increase, the Treasury market has followed a somewhat different path, in part due to extraneous events. Specifically, shorter maturity Treasury bills saw their rates fall to zero as bill supply dropped when the Treasury was facing a limit to its outstanding debt caused by Congress’s debt ceiling debate. Congress remedied the debt ceiling issue with a budget agreement that suspended the debt limit until March 2017, so bill rates began to return to normal.

Also, the Treasury bill market continues to be somewhat bifurcated with the shorter (one to six month) and longer (six to 12 month) parts of the market responding in different ways. Persistent demand for short-dated, high-quality liquid assets from many investor types, including central banks, commercial banks, and money funds, continues to suppress shorter yields. Likewise, extremely short rates, such as those tied to overnight and seven-day Treasury collateralized repurchase agreements, remain well bid and have showed little change. Longer-dated maturities, which have slightly less demand, have followed a somewhat different yield path.

Over most of the period, the yield of the one-month bill ranged between 0% and 0.05%, although it moved notably higher in November, peaking at 0.13% before settling at 0.09%. Three-month bill yields followed a similar path, averaging a yield of 0.04% before moving higher in November to end at 0.24%. Longer maturities, such as one-year Treasury bills that began the period at 0.25%, ended at 0.48% as interest rate forecasts had a larger impact.

At the late-October Fed meeting, the market received some hints alluding to mid-December as the timing of the first rate hike. With recent data showing strength in the labor market, we felt the possibility of a rate hike in December was quite real. Therefore, we kept the fund’s weighted average maturity similar to that of the average competitor to give the fund the ability to benefit from the higher rates that have been forecast. The fund is focused on principal stability and liquidity, so we remain diligent monitoring the price pressures that higher rates may bring.

As we have discussed in prior shareholder letters, the Securities and Exchange Commission (SEC) enacted rules that will change the way money funds are managed, and these changes become effective in October 2016. These rule changes will differentiate between type of money funds (prime versus government funds, for example) as well as classes of shareholders (individual investors versus institutional investors).

T. Rowe Price has been carefully considering these SEC rule changes and their implications and is crafting responses designed to minimize the impacts on our money fund shareholders. As such, we will introduce changes to our money fund lineup in 2016. While most changes will have little effect on the majority of shareholders, some will be more noticeable, such as changes to some funds’ investment objectives or the suitability of a given fund for certain classes of investor. We expect to provide more detailed information about these changes in early 2016 to help shareholders make informed decisions.

U.S. Treasury Intermediate Fund
Your fund returned 0.15% for the six months ended November 30, 2015, trailing the return of its performance benchmark, the Barclays U.S. 4–10 Year Treasury Bond Index, but outperforming its Lipper peer group average.

Although the U.S. Treasury Intermediate Fund invests at least 80% of its assets in conventional Treasury securities, it also holds other securities backed by the U.S. government, including Treasury inflation protected securities (TIPS) and Ginnie Mae mortgage-backed securities (MBS), for diversification and additional return potential.

The fund’s modest exposure to TIPS—which aren’t included in the benchmark—detracted from relative returns for the period. TIPS continued to face pressure from lower oil prices, a stronger U.S. dollar, and concerns about uneven global growth that weighed on inflation expectations. We reduced our TIPS allocation over the summer as the inflation expectations priced in to the market reached what we considered to be a fair value.

Our MBS holdings, however, benefited relative performance. Demand from banks for these securities and the continued reinvestment of principal and interest payments from the Fed’s portfolio of MBS supported the market. We will continue to hold TIPS and MBS and vary our allocations based on their relative valuations. Our MBS holdings have the benefit of providing added yield over Treasuries, decent liquidity, and diversification for the fund, while our TIPS allocation provides some inflation protection.

Our yield curve positioning helped relative performance as short-term yields rose more than those of longer maturities. Our underweight to shorter-term maturities, where rates rose in anticipation of tighter Fed policy, lifted relative returns. In addition, the fund’s duration—which measures the sensitivity of a bond’s price to changes in interest rates—was slightly lower relative to that of the benchmark, which boosted relative returns as rates rose but generally cost the portfolio yield.

We have kept the fund’s duration somewhat shorter than the duration of the benchmark as we anticipate higher interest rates in light of the improving economy and a less accommodative Fed. We would like to remind investors that although we have some flexibility to manage interest rate risk by keeping the fund’s duration shorter than that of our benchmark, rising rates generally mean price declines for bonds. Our mandated focus on intermediate-term securities puts the fund at risk of generating negative total returns should interest rates markedly rise.

U.S. Treasury Long-Term Fund
Your fund returned 0.20% for the six months ended November 30, 2015, outperforming its benchmark, the Barclays U.S. Long Treasury Bond Index, as well as the Lipper peer group.

Similar to the U.S. Treasury Intermediate Fund, our yield curve positioning helped relative performance as short-term yields rose more than those of longer maturities. An overweight to longer rates in particular lifted relative performance. In addition, the fund’s duration—which measures the sensitivity of a bond’s price to changes in interest rates—was slightly shorter than that of the benchmark, which boosted relative returns as rates rose but generally cost the portfolio yield.

The fund’s modest exposure to Treasury inflation protected securities detracted from relative returns during a difficult environment for securities that are indexed to inflation. TIPS, which are not included in the benchmark, continued to face pressure from lower oil prices as well as a stronger U.S. dollar, which reduces the cost of imported goods. We reduced our TIPS allocation over the summer as the inflation expectations priced in to the market reached what we considered to be a fair value.

Longer-term Treasury bonds have proved to be an effective hedge against market turmoil, but their historically low yields have subjected holders to greater interest rate risk in recent years. As with the U.S. Treasury Intermediate Fund, we have some leeway to manage interest rate risk by adjusting the fund’s duration; however, our mandate of investing in long-dated Treasuries puts the fund at higher risk of generating negative returns in the event of rising interest rates.

Now that the first Fed rate hike is out of the way, Fed officials are likely to take some time assessing its impact on financial markets and economic conditions. Subsequent increases are likely to occur gradually, so the Fed may wait a few months before acting again, and markets anticipate only two or three rate hikes in 2016. In the Treasury market, the yields of shorter maturities will likely feel the effects of rate increases more than longer maturities.

Although we expect the U.S. economy to continue to strengthen, which will put some upward pressure on intermediate and longer rates, dollar strength and low inflation will likely continue to sustain strong demand for Treasuries. Also, large-scale quantitative easing efforts in Europe and Japan could also hold longer-term yields down globally, making Treasury yields relatively attractive.

A rising-rate environment is not favorable for bond prices. However, we would like to remind shareholders that bonds should continue to have a place in most investors’ portfolios. Bonds generate income on a regular basis that can offset price declines, increase returns, and help diversify the risks of an equity portfolio. Bonds tend to be less volatile than stocks and, therefore, should become a larger allocation in the portfolio of an investor who is nearing a financial goal, such as retirement. Finally, we emphasize that bonds vary in terms of maturity and coupon rate, so not all securities respond to interest rate changes in the same way.

Joseph K. Lynagh
Chairman of the Investment Advisory Committee
U.S. Treasury Money Fund

Brian J. Brennan
Chairman of the Investment Advisory Committee
U.S. Treasury Intermediate Fund and U.S. Treasury Long-Term Fund

The committee chairmen have day-to-day responsibility for managing the portfolios and work with committee members in developing and executing each fund’s investment program.

Funds that invest in fixed income securities are subject to price declines due to rising interest rates, with long-term securities generally most sensitive to rate fluctuations. Other risks include credit rating downgrades and defaults on scheduled interest and principal payments, but these are highly unlikely for securities backed by the full faith and credit of the U.S. government. MBS are subject to prepayment risk, particularly if falling rates lead to heavy refinancing activity, and extension risk, which is an increase in interest rates that causes a fund’s average maturity to lengthen unexpectedly due to a drop in mortgage prepayments. This would increase the fund’s sensitivity to rising interest rates and its potential for price declines.

Since money market funds are managed to maintain a constant $1.00 share price, there should be little risk of principal loss. However, there is no assurance the fund will avoid principal losses if fund holdings default or are downgraded—which are highly unlikely for securities backed by the full faith and credit of the U.S. government—or if interest rates rise sharply in an unusually short period. In addition, the fund’s yield will vary; it is not fixed for a specific period like the yield on a bank certificate of deposit. An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. Although a money market fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in it.

Barclays U.S. Long Treasury Bond Index: An index that includes all Treasuries in the Barclays U.S. Aggregate Bond Index that mature in 10 years or more.

Barclays U.S. 4–10 Year Treasury Bond Index: An index that includes all Treasuries in the Barclays U.S. Aggregate Bond Index that mature in four to 10 years.

Consumer price index: A measure of the average price of consumer goods and services purchased by households.

Duration: A measure of a bond’s or bond fund’s sensitivity to changes in interest rates. For example, a fund with a five-year duration would fall about 5% in response to a one-percentage-point rise in interest rates, and vice versa.

Fed funds target rate: An overnight lending rate set by the Federal Reserve and used by banks to meet reserve requirements. Banks also use the fed funds rate as a benchmark for their prime lending rates.

Gross domestic product: Total market value of all goods and services produced in a country in a given year.

Lipper averages: The averages of available mutual fund performance returns for specified time periods in categories defined by Lipper Inc.

Lipper indexes: Fund benchmarks that consist of a small number (10 to 30) of the largest mutual funds in a particular category as tracked by Lipper Inc.

Repurchase agreement (repo): A form of short-term borrowing using collateral in which a bank or broker-dealer sells government securities to another party, such as the Federal Reserve, and commits to buy them back at a fixed price on a future date, usually within a week.

SEC yield (7-day unsubsidized simple): A method of calculating a money fund’s yield by annualizing the fund’s net investment income for the last seven days of each period divided by the fund’s net asset value at the end of the period. Yield will vary and is not guaranteed.

SEC yield (30-day): A method of calculating a fund’s yield that assumes all portfolio securities are held until maturity. Yield will vary and is not guaranteed.

Treasury inflation protected securities (TIPS): Income-generating bonds that are issued by the federal government and whose interest and principal payments are adjusted for inflation. The inflation adjustment, which is typically applied monthly to the principal of the bond, follows a designated inflation index, such as the consumer price index.

Weighted average life: A measure of a fund’s credit quality risk. In general, the longer the average life, the greater the fund’s credit quality risk. The average life is the dollar-weighted average maturity of a portfolio’s individual securities without taking into account interest rate readjustment dates. Money funds must maintain a weighted average life of less than 120 days.

Weighted average maturity: A measure of a fund’s interest rate sensitivity. In general, the longer the average maturity, the greater the fund’s sensitivity to interest rate changes. The weighted average maturity may take into account the interest rate readjustment dates for certain securities. Money funds must maintain a weighted average maturity of less than 60 days.

Yield curve: A graphic depiction of the relationship between yields and maturity dates for a set of similar securities. A security with a longer maturity usually has a higher yield. If a short-term security offers a higher yield, then the curve is said to be “inverted.” If short- and long-term bonds are offering equivalent yields, then the curve is said to be “flat.”

This chart shows the value of a hypothetical $10,000 investment in the fund over the past 10 fiscal year periods or since inception (for funds lacking 10-year records). The result is compared with benchmarks, which may include a broad-based market index and a peer group average or index. Market indexes do not include expenses, which are deducted from fund returns as well as mutual fund averages and indexes.

As a mutual fund shareholder, you may incur two types of costs: (1) transaction costs, such as redemption fees or sales loads, and (2) ongoing costs, including management fees, distribution and service (12b-1) fees, and other fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the most recent six-month period and held for the entire period.

Actual Expenses
The first line of the following table (Actual) provides information about actual account values and expenses based on the fund’s actual returns. You may use the information on this line, together with your account balance, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number on the first line under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes
The information on the second line of the table (Hypothetical) is based on hypothetical account values and expenses derived from the fund’s actual expense ratio and an assumed 5% per year rate of return before expenses (not the fund’s actual return). You may compare the ongoing costs of investing in the fund with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.

Note: T. Rowe Price charges an annual account service fee of $20, generally for accounts with less than $10,000. The fee is waived for any investor whose T. Rowe Price mutual fund accounts total $50,000 or more; accounts electing to receive electronic delivery of account statements, transaction confirmations, prospectuses, and shareholder reports; or accounts of an investor who is a T. Rowe Price Preferred Services, Personal Services, or Enhanced Personal Services client (enrollment in these programs generally requires T. Rowe Price assets of at least $100,000). This fee is not included in the accompanying table. If you are subject to the fee, keep it in mind when you are estimating the ongoing expenses of investing in the fund and when comparing the expenses of this fund with other funds.

You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs, such as redemption fees or sales loads. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. To the extent a fund charges transaction costs, however, the total cost of owning that fund is higher.

T. Rowe Price U.S. Treasury Funds, Inc. (the corporation), is registered under the Investment Company Act of 1940 (the 1940 Act). The U.S. Treasury Money Fund (the fund) is a diversified, open-end management investment company established by the corporation. The fund commenced operations on June 28, 1982. The fund seeks maximum preservation of capital and liquidity and, consistent with these goals, the highest possible current income.

Basis of Preparation The fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 (ASC 946). The accompanying financial statements were prepared in accordance with accounting principles generally accepted in the United States of America (GAAP), including, but not limited to, ASC 946. GAAP requires the use of estimates made by management. Management believes that estimates and valuations are appropriate; however, actual results may differ from those estimates, and the valuations reflected in the accompanying financial statements may differ from the value ultimately realized upon sale or maturity.

Investment Transactions, Investment Income, and Distributions Income and expenses are recorded on the accrual basis. Premiums and discounts on debt securities are amortized for financial reporting purposes. Income tax-related interest and penalties, if incurred, would be recorded as income tax expense. Investment transactions are accounted for on the trade date. Realized gains and losses are reported on the identified cost basis. Distributions to shareholders are recorded on the ex-dividend date. Income distributions are declared daily and paid monthly.

New Accounting Guidance In June 2014, FASB issued Accounting Standards Update (ASU) No. 2014-11, Transfers and Servicing (Topic 860), Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. The ASU changes the accounting for certain repurchase agreements and expands disclosure requirements related to repurchase agreements, securities lending, repurchase-to-maturity, and similar transactions. The ASU is effective for interim and annual reporting periods beginning after December 15, 2014. Adoption had no effect on the fund’s net assets or results of operations.

In May 2015, FASB issued ASU No. 2015-07, Fair Value Measurement (Topic 820), Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent). The ASU removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient and amends certain disclosure requirements for such investments. The ASU is effective for interim and annual reporting periods beginning after December 15, 2015. Adoption will have no effect on the fund’s net assets or results of operations.

The fund’s financial instruments are valued and its net asset value (NAV) per share is computed at the close of the New York Stock Exchange (NYSE), normally 4 p.m. ET, each day the NYSE is open for business. The fund’s financial instruments 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 T. Rowe Price Valuation Committee (the Valuation Committee) has been established by the fund’s Board of Directors (the Board) to ensure that financial instruments are appropriately priced at fair value in accordance with GAAP and the 1940 Act. Subject to oversight by the Board, the Valuation Committee develops and oversees pricing-related policies and procedures and approves all fair value determinations.

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)

Observable inputs are developed using market data, such as publicly available information about actual events or transactions, and reflect the assumptions 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. 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. For example, securities held by a money market fund are generally high quality and liquid; however, they are reflected as Level 2 because the inputs used to determine fair value are not quoted prices in an active market.

In accordance with Rule 2a-7 under the 1940 Act, the fund values its securities at amortized cost, which approximates fair value. Securities for which amortized cost is deemed not to reflect fair value are stated at fair value as determined in good faith by the Valuation Committee. On November 30, 2015, all of the fund’s financial instruments were classified as Level 2 in the fair value hierarchy.

Consistent with its investment objective, the fund engages in the following practices to manage exposure to certain risks and/or to enhance performance. The investment objective, policies, program, and risk factors of the fund are described more fully in the fund’s prospectus and Statement of Additional Information.

Repurchase Agreements The fund may engage in repurchase agreements, pursuant to which it pays cash to and receives securities from a counterparty that agrees to “repurchase” the securities at a specified time, typically within seven business days, for a specified price. All repurchase agreements are fully collateralized by U.S. government or related agency securities, which are held by the custodian designated by the agreement. Collateral is evaluated daily to ensure that its market value exceeds the delivery value of the repurchase agreements at maturity. Although risk is mitigated by the collateral, the fund could experience a delay in recovering its value and a possible loss of income or value if the counterparty fails to perform in accordance with the terms of the agreement.

No provision for federal income taxes is required since the fund intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute to shareholders all of its taxable income and gains. Distributions determined in accordance with federal income tax regulations may differ in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character but are not adjusted for temporary differences. The amount and character of tax-basis distributions and composition of net assets are finalized at fiscal year-end; accordingly, tax-basis balances have not been determined as of the date of this report.

At November 30, 2015, the cost of investments for federal income tax purposes was $2,142,279,000.

The fund is managed by T. Rowe Price Associates, Inc. (Price Associates), a wholly owned subsidiary of T. Rowe Price Group, Inc. (Price Group). The investment management agreement between the fund and Price Associates provides for an annual investment management fee, which is computed daily and paid monthly. The fee is determined by applying a group fee rate to the fund’s average daily net assets. The group fee rate is calculated based on the combined net assets of certain mutual funds sponsored by Price Associates (the group) applied to a graduated fee schedule, with rates ranging from 0.48% for the first $1 billion of assets to 0.275% for assets in excess of $400 billion. At November 30, 2015, the effective annual group fee rate was 0.29%.

Price Associates may voluntarily waive all or a portion of its management fee and reimburse operating expenses to the extent necessary for the fund to maintain a zero or positive net yield (voluntary waiver). Any amounts waived/paid by Price Associates under this voluntary agreement are not subject to repayment by the fund. Price Associates may amend or terminate this voluntary arrangement at any time without prior notice. For the six months ended November 30, 2015, expenses waived/repaid totaled $3,505,000.

In addition, the fund has entered into service agreements with Price Associates and two wholly owned subsidiaries of Price Associates (collectively, Price). Price Associates provides certain accounting and administrative services to the fund. T. Rowe Price Services, Inc., provides shareholder and administrative services in its capacity as the fund’s transfer and dividend-disbursing agent. T. Rowe Price Retirement Plan Services, Inc., provides subaccounting and recordkeeping services for certain retirement accounts invested in the fund. For the six months ended November 30, 2015, expenses incurred pursuant to these service agreements were $34,000 for Price Associates; $646,000 for T. Rowe Price Services, Inc.; and $161,000 for T. Rowe Price Retirement Plan Services, Inc. The total amount payable at period-end pursuant to these service agreements is reflected as Due to Affiliates in the accompanying financial statements.

Additionally, the fund is one of several mutual funds in which certain college savings plans managed by Price Associates may invest. As approved by the fund’s Board of Directors, shareholder servicing costs associated with each college savings plan are borne by the fund in proportion to the average daily value of its shares owned by the college savings plan. For the six months ended November 30, 2015, the fund was charged $57,000 for shareholder servicing costs related to the college savings plans, of which $50,000 was for services provided by Price. The amount payable at period-end pursuant to this agreement is reflected as Due to Affiliates in the accompanying financial statements. At November 30, 2015, approximately 3% of the outstanding shares of the fund were held by college savings plans.

A description of the policies and procedures used by T. Rowe Price funds and portfolios to determine how to vote proxies relating to portfolio securities is available in each fund’s Statement of Additional Information. You may request this document by calling 1-800-225-5132 or by accessing the SEC’s website, sec.gov.

The description of our proxy voting policies and procedures is also available on our website, troweprice.com. To access it, click on the words “Social Responsibility” at the top of our corporate homepage. Next, click on the words “Conducting Business Responsibly” on the left side of the page that appears. Finally, click on the words “Proxy Voting Policies” on the left side of the page that appears.

Each fund’s most recent annual proxy voting record is available on our website and through the SEC’s website. To access it through our website, follow the above directions to reach the “Conducting Business Responsibly” page. Click on the words “Proxy Voting Records” on the left side of that page, and then click on the “View Proxy Voting Records” link at the bottom of the page that appears.

The fund files a complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The fund’s Form N-Q is available electronically on the SEC’s website (sec.gov); hard copies may be reviewed and copied at the SEC’s Public Reference Room, 100 F St. N.E., Washington, DC 20549. For more information on the Public Reference Room, call 1-800-SEC-0330.

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

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

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

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

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

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

(a)(1) The registrant’s code of ethics pursuant to Item 2 of Form N-CSR is filed with the registrant’s annual Form N-CSR.

(2) Separate certifications by the registrant's principal executive officer and principal financial officer, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(a) under the Investment Company Act of 1940, are attached.

(3) Written solicitation to repurchase securities issued by closed-end companies: not applicable.

(b) A certification by the registrant's principal executive officer and principal financial officer, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940, is attached.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

T. Rowe Price U.S. Treasury Funds, Inc.

	By	/s/ Edward C. Bernard
		Edward C. Bernard
		Principal Executive Officer

Date January 19, 2016

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

	By	/s/ Edward C. Bernard
		Edward C. Bernard
		Principal Executive Officer

Date January 19, 2016


	By	/s/ Catherine D. Mathews
		Catherine D. Mathews
		Principal Financial Officer

Date January 19, 2016