N-CSRS 1 d424186dncsrs.htm U.S. TREASURY MONEY FUND_UST_F53-051 U.S. Treasury Money Fund_UST_F53-051

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, 2022

 

Item 1. Reports to Shareholders

(a) Report pursuant to Rule 30e-1

November
30,
2022
Semiannual
Report
T.
ROWE
PRICE
U.S.
Treasury
Funds
For
more
insights
from
T.
Rowe
Price
investment
professionals,
go
to
troweprice.com
.
T.
ROWE
PRICE
U.S.
Treasury
Funds
HIGHLIGHTS
Amid
a
sharp
rise
in
interest
rates,
the
T.
Rowe
Price
U.S.
Treasury
Money
Fund
posted
positive
returns
and
modestly
outperformed
its
Lipper
peer
group
index.
T.
Rowe
Price’s
U.S.
Treasury
Index
Funds
produced
steep
losses
amid
high
inflation
and
rapid
monetary
tightening
by
the
Federal
Reserve
(Fed).
The
funds
underperformed
their
respective
Bloomberg
benchmarks
and
delivered
mixed
results
versus
their
Lipper
peer
group
average.
Within
our
U.S.
Treasury
Index
Funds,
we
reduced
non-benchmark
allocations
to
Ginnie
Mae
mortgage-backed
securities
amid
continued
headwinds
to
the
mortgage
sector.
With
the
Fed
tightening
into
a
slowing
economy,
we
see
a
high
likelihood
of
a
policy-driven
recession
by
early
next
year.
Moreover,
given
the
pace
at
which
inflation
has
moderated
and
demand
has
weakened,
we
believe
that
the
Fed
will
be
forced
to
pause
rate
hikes
and
could
cut
rates
sooner
than
the
market
expects.
Log
in
to
your
account
at
troweprice.com
for
more
information.
*
Certain
mutual
fund
accounts
that
are
assessed
an
annual
account
service
fee
can
also
save
money
by
switching
to
e-delivery.
T.
ROWE
PRICE
U.S.
Treasury
Funds
Market
Commentary
1
Dear
Shareholder
Global
stock
markets
generally
produced
negative
returns
during
the
first
half
of
your
fund’s
fiscal
year,
the
six-month
period
ended
November
30,
2022,
while
rising
bond
yields
weighed
on
returns
for
fixed
income
investors.
Investors
contended
with
tightening
financial
conditions
and
slowing
economic
and
corporate
earnings
growth,
but
hopes
that
persistently
high
inflation
might
be
easing
helped
spark
a
rally
late
in
the
period
that
partially
offset
earlier
losses.
In
the
U.S.,
equity
results
were
mixed.
The
Dow
Jones
Industrial
Average
recorded
positive
results
and
mid-cap
growth
stocks
also
performed
well,
while
most
other
benchmarks
finished
in
negative
territory.
The
S&P
500
Index
was
modestly
negative
for
the
period,
but
results
varied
widely
at
the
sector
level,
with
industrials
and
energy
shares
delivering
strong
gains
while
communication
services
stocks
struggled.
Outside
the
U.S.,
most
major
country
and
regional
benchmarks
lost
ground.
Emerging
markets
stocks
generally
underperformed
shares
in
developed
markets.
Meanwhile,
the
U.S.
dollar
strengthened
versus
most
currencies
during
the
period,
which
weighed
on
returns
for
U.S.
investors
in
international
securities.
Elevated
inflation
remained
a
leading
concern
for
investors
throughout
the
period,
although
hopes
that
inflation
may
have
peaked
led
to
rallies
during
the
summer
and
again
in
November.
The
October
consumer
price
index
report,
which
was
released
in
mid-November,
was
better
than
expected
and
showed
price
increases
easing
from
recent
40-year
highs.
However,
the
7.7%
year-over-
year
increase
in
the
headline
inflation
number
remained
well
above
the
Fed’s
2%
target.
In
response
to
the
high
inflation
readings,
global
central
banks
continued
to
tighten
monetary
policy,
and
investors
focused
on
communications
from
central
bank
officials
on
how
high
rates
would
have
to
go.
The
Federal
Reserve
delivered
four
historically
large
75-basis-point
(0.75
percentage
point)
rate
hikes
during
the
period,
which
lifted
its
short-term
lending
benchmark
to
a
target
range
of
3.75%
to
4.00%
by
early
November,
the
highest
level
since
2008.
As
our
reporting
period
came
to
an
end,
Fed
officials
signaled
that
they
were
likely
to
dial
back
the
pace
of
rate
increases.
Bond
yields
increased
considerably
across
the
Treasury
yield
curve
as
the
Fed
tightened
monetary
policy,
with
the
yield
on
the
benchmark
10-year
U.S.
Treasury
note
climbing
from
2.85%
at
the
start
of
the
period
to
3.68%
at
the
end
of
November.
Significant
inversions
in
the
Treasury
curve,
which
are
often
considered
a
warning
sign
of
a
coming
recession,
occurred
during
the
period
T.
ROWE
PRICE
U.S.
Treasury
Funds
2
as
shorter-maturity
Treasuries
experienced
the
largest
yield
increases.
The
sharp
increase
in
yields
led
to
generally
negative
results
across
the
fixed
income
market
as
bond
prices
and
yields
move
in
opposite
directions.
On
a
positive
note,
the
U.S.
jobs
market
remained
resilient
during
the
period,
and
overall
economic
growth
turned
positive
in
the
third
quarter
after
two
slightly
negative
quarters.
However,
recession
fears
also
grew
as
corporate
earnings
slowed
and
manufacturing
gauges
drifted
toward
contraction
levels.
In
addition,
the
housing
market
began
to
weaken
as
mortgage
rates
climbed
to
the
highest
level
in
more
than
20
years.
The
past
year
has
been
a
trying
time
for
investors
as
few
sectors
remained
untouched
by
the
broad
headwinds
that
markets
faced,
and
volatility
may
continue
in
the
near
term
as
central
banks
tighten
policy
amid
slowing
economic
growth.
However,
in
our
view,
valuations
have
become
more
attractive
across
many
market
sectors
during
the
downturn,
which
provides
potential
opportunities
for
selective
investors
focused
on
fundamentals.
We
believe
this
environment
makes
skilled
active
management
a
critical
tool
for
identifying
risks
and
opportunities,
and
our
investment
teams
will
continue
to
use
fundamental
research
to
identify
securities
that
can
add
value
to
your
portfolio
over
the
long
term.
Thank
you
for
your
continued
confidence
in
T.
Rowe
Price.
Sincerely, 
Robert
Sharps
CEO
and
President
T.
ROWE
PRICE
U.S.
Treasury
Funds
Management’s
Discussion
of
Fund
Performance
3
U.S.
TREASURY MONEY
FUND 
INVESTMENT
OBJECTIVE 
The
fund
seeks
maximum preservation
of
capital
and liquidity
and,
consistent
with
these
goals, the
highest
possible current  income.
FUND
COMMENTARY
How
did
the
fund
perform
in
the
past six
months?
Amid
rapidly
rising
money
market
interest
rates,
the
U.S.
Treasury
Money
Fund
returned
1.07%
over
the
six
months
ended
November
30,
2022.
The
fund
modestly
outperformed
its
Lipper
peer
group
index.
(Returns
for
I
and
Z
Class
shares
varied,
reflecting
their
different
fee
structures.
Past
performance
cannot
guarantee
future
results.
)
What
factors
influenced
the
fund’s
performance?
Money
market
yields
rose
sharply
from
near-zero
levels
since
March
2022,
when
the
Federal
Reserve
(Fed)
began
to
raise
the
fed
funds
target
rate
from
the
0.00%
to
0.25%
range
it
adopted
when
the
coronavirus
pandemic
erupted
in
March
2020.
Fed
rate
hikes
were
aggressive,
as
the
central
bank
combatted
elevated
inflation
stemming
from
factors
such
as
a
tight
labor
market,
pandemic-related
global
supply
chain
disruptions,
and
higher
prices
of
energy
commodities
as
many
nations
attempted
to
reduce
reliance
on
Russian
energy
exports
due
to
Russia’s
attacks
against
Ukraine.
In
fact,
the
Fed
enacted
several
75-basis-point
(0.75%)
rate
increases
during
the
period—a
meaningful
departure
from
the
25-basis-point
incremental
changes
typically
made
to
the
fed
funds
rate.
By
the
end
of
November,
the
Fed
had
raised
the
fed
funds
target
rate
to
the
3.75%
to
4.00%
range—a
level
unseen
in
about
15
years.
(After
our
reporting
period
ended,
the
Fed
lifted
the
target
rate
to
the
4.25%
to
4.50%
range
on
December
14.)
PERFORMANCE
COMPARISON
Six-Month
Period
Ended
11/30/22
Total
Return
U.S.
Treasury
Money
Fund
–
.
1.07‌%
U.S.
Treasury
Money
Fund–
.
I  Class
1.11‌
U.S.
Treasury
Money
Fund–
.
Z
Class
1.23‌
Lipper
U.S.
Treasury
Money
Market
Funds
Index
0.97‌
T.
ROWE
PRICE
U.S.
Treasury
Funds
4
Thanks
to
a
series
of
large
interest
rate
hikes
and
continued
hawkish
rhetoric
from
Fed
officials
who
are
committed
to
bringing
inflation
back
down
to
the
central
bank’s
long-term
2%
goal,
U.S.
Treasury
yields
surged
in
the
first
half
of
our
fiscal
year.
In
the
money
market
universe,
three-month
U.S.
Treasury
bill
(T-bill)
yields
climbed
from
1.16%
to
4.37%,
while
six-month
T-bill
yields
advanced
from
1.64%
to
4.70%.
One-year
T-bill
yields
increased
from
2.08%
to
4.74%.
How
is
the
fund
positioned?
Since
our
last
report,
we
steadily
extended
the
fund’s
weighted
average
maturity
(WAM)
in
an
effort
to
take
advantage
of
higher
yields
on
longer-term
money
market
securities.
As
of
November
30,
2022,
the
fund’s
WAM
stood
at
23
days,
up
from
nine
days
at
the
start
of
the
period.
Still,
due
to
our
expectation
for
further
monetary
tightening
in
the
months
ahead,
we
kept
the
portfolio’s
WAM
relatively
short
so
that
we
could
respond
accordingly
to
subsequent
rate
increases.
Consistent
with
our
preference
for
shorter
maturities,
approximately
78%
of
the
portfolio’s
net
assets
as
of
the
period-end
were
invested
in
one-
to
seven-
day
repurchase
agreements
fully
collateralized
by
Treasury
securities.
The
remainder
of
the
portfolio
was
invested
largely
in
T-bills
and,
to
a
smaller
extent,
Treasury
notes
scheduled
to
mature
within
one
year.
What
is
portfolio
management’s
outlook?
The
Fed’s
rate-hiking
cycle
is
well
underway
in
an
attempt
to
curb
inflation
pressures.
However,
policymakers
have
yet
to
give
any
clear
indication
as
to
when
they
expect
to
pause
their
rate
increases
or
at
what
level
they
expect
the
fed
funds
rate
to
peak.
According
to
the
Fed’s
post-meeting
statement
published
on
November
2,
policymakers
anticipate
that
“ongoing
increases
in
the
target
range
will
be
appropriate
in
order
to
attain
a
stance
of
monetary
policy
that
is
sufficiently
restrictive”
to
bring
inflation
back
down
to
2%.
Fed
Chair
Jerome
Powell
confirmed
in
his
November
post-meeting
press
conference
that
Fed
officials
“still
have
some
ways
to
go”
regarding
interest
rate
increases
and
noted
that
“the
ultimate
level
of
interest
rates
will
be
higher
than
previously
expected.”
Money
market
fund
investors
undoubtedly
welcome
higher
money
market
yields
and
returns.
However,
with
year-over-year
consumer
price
index
inflation
around
7%
through
the
end
of
November,
real
(inflation-adjusted)
yields
remain
negative,
so
we
agree
that
the
central
bank
has
more
work
to
do.
If
inflation
remains
elevated,
we
would
not
be
surprised
to
see
additional
rate
T.
ROWE
PRICE
U.S.
Treasury
Funds
5
increases
that
take
the
fed
funds
rate
to
5%
and
possibly
higher.
We
would
also
not
be
surprised
to
see
the
central
bank
keep
short-term
interest
rates
at
higher
levels
for
some
time—even
if
it
causes
a
recession—to
make
sure
that
inflation
trends
back
down
toward
the
Fed’s
long-term
2%
target.
As
we
watch
the
economy
evolve
and
monitor
the
words
and
actions
of
Fed
policymakers
for
clues
about
possible
future
rate
increases,
we
believe
that
our
strategy
of
keeping
a
relatively
short
WAM
should
enable
us
to
respond
quickly
to
any
changes
in
the
interest
rate
outlook
or
other
factors
affecting
the
money
markets.
In
any
event,
we
remain
committed
to
managing
a
high-
quality,
diversified
money
market
portfolio
focused
on
liquidity
and
stability
of
principal,
which
we
deem
of
utmost
importance
to
our
investors.
U.S.
TREASURY
INTERMEDIATE
INDEX FUND 
INVESTMENT
OBJECTIVE 
The
fund
seeks
a
high
level
of
income
consistent
with
maximum credit
protection
and
moderate
fluctuation
in
principal.
FUND
COMMENTARY
How
did
the
fund
perform
in
the
past six
months?
The
U.S.
Treasury
Intermediate
Index
Fund
returned
-4.00%
during
the
past
six
months
and
underperformed
its
Bloomberg
benchmark,
which
also
produced
firmly
negative
returns.
The
fund
markedly
outperformed
its
Lipper
peer
group
average,
which
consists
of
U.S.
Treasury
funds
that
span
the
maturity
spectrum—
including
long-maturity
portfolios
that
fared
worse
than
intermediate-term
funds.
(Returns
for
I
and
Z
Class
shares
varied,
reflecting
their
different
fee
structures.
Past
performance
cannot
guarantee
future
results.
)
PERFORMANCE
COMPARISON
Six-Month
Period
Ended
11/30/22
Total
Return
U.S.
Treasury
Intermediate
Index
Fund
–
.
-4.00‌%
U.S.
Treasury
Intermediate
Index
Fund–
.
I  Class
-3.92‌
U.S.
Treasury
Intermediate
Index
Fund–
.
Z
Class
-3.68‌
Bloomberg
U.S.
4–10
Year
Treasury
Bond
Index
-3.52‌
Lipper
General
U.S.
Treasury
Funds
Average
-7.08‌
T.
ROWE
PRICE
U.S.
Treasury
Funds
6
What
factors
influenced
the
fund’s
performance?
U.S.
Treasuries
sold
off
meaningfully
in
the
face
of
persistently
high
inflation,
rapid
interest
rate
hikes
by
the
Federal
Reserve
(Fed),
and
hawkish
revisions
to
the
Fed’s
monetary
policy
outlook.
Though
remaining
at
multi-decade
highs,
inflation
readings
moderated
near
the
end
of
the
period,
and
the
Fed
signaled
that
it
would
soon
begin
to
slow
the
pace
of
rate
hikes—which
it
did
at
the
central
bank’s
mid-December
policy
meeting
after
our
reporting
period
ended.
Together,
these
factors
aided
a
November
rally
that
pared
some
of
the
Treasury
market’s
earlier
losses.
In
this
environment,
the
fund’s
limited,
out-of-benchmark
exposure
to
Treasury
inflation
protected
securities
(TIPS)
in
November
weighed
on
relative
returns.
We
initiated
this
position
based
on
our
view
that
the
Fed’s
signals
for
smaller
rate
hikes
would
enable
upside
surprises
in
economic
data
to
generate
a
positive
reaction
from
investors,
who
could
instead
focus
on
the
implications
for
better
nominal
growth
rather
than
the
need
for
stronger
Fed
policy
responses.
Consequently,
we
expected
this
changing
dynamic
to
place
a
ceiling
on
interest
rate
volatility
and
the
U.S.
dollar,
aiding
oil
prices
and
TIPS
break-
even
spreads—a
market-based
measure
of
inflation
expectations.
Although
the
U.S.
dollar
softened
and
rate
volatility
lessened
in
November,
the
fund’s
TIPS
position
detracted
from
performance
as
break-even
spreads
tightened
on
lower-than-expected
U.S.
inflation
readings
and
a
pullback
in
global
crude
prices
stemming
from
China’s
COVID-related
lockdowns.
We
exited
this
TIPS
position
by
the
end
of
the
period
amid
signs
of
renewed
strength
in
the
U.S.
dollar.
Our
tactical
adjustments
to
the
portfolio’s
duration—a
key
measure
of
interest
rate
sensitivity—were
generally
favorable.
However,
our
use
of
derivatives—
namely,
Treasury
futures
and
options
on
Treasury
futures—worked
against
some
of
the
portfolio’s
duration
positions
due
to
the
pricing
of
these
instruments
versus
cash
bonds.
As
a
result,
duration
management
crimped
relative
performance,
on
net.
(Although
the
fund
invests
primarily
in
cash
bonds,
we
also
employ
derivatives
instruments
in
the
portfolio
to
manage
its
duration
and
exposures
to
various
parts
of
the
Treasury
yield
curve.
These
instruments
detracted
from
the
fund’s
absolute
returns
during
the
period.)
Yield
curve
exposures
impeded
results,
with
extreme
rate
volatility
occasionally
undermining
our
tactical
positions.
From
late
July
through
part
of
August,
we
positioned
the
fund
for
a
steeper
5-year/30-year
curve
segment
amid
signs
that
Fed
hawkishness
may
have
peaked.
However,
this
positioning
detracted
from
performance.
At
the
time,
higher-than-expected
inflation
data
and
hawkish
messaging
from
Fed
Chair
Jerome
Powell
led
investors
to
price
in
a
“higher
for
T.
ROWE
PRICE
U.S.
Treasury
Funds
7
longer”
rate
regime
from
the
Fed,
and
a
resulting
surge
in
shorter-term
yields
caused
the
5-year/30-year
segment
to
invert.
(A
yield
curve
inversion
occurs
when
yields
on
shorter-term
securities
exceed
those
on
longer-term
bonds
and
is
considered
by
many
investors
to
be
a
precursor
to
an
economic
recession.)
How
is
the
fund
positioned?
We
continued
to
tactically
adjust
the
fund’s
overall
duration
and
curve
posture
based
on
incoming
economic
and
inflation
data,
monetary
policy
signals,
and
geopolitical
developments.
We
generally
favored
a
neutral
to
short
duration
stance
versus
the
benchmark
through
August,
reflecting
our
expectations
for
aggressive
Fed
policy
tightening
and
labor
market
strength
to
sustain
upward
pressure
on
Treasury
yields.
As
the
period
progressed,
we
shifted
to
a
slightly
long
duration
bias,
but
severe
volatility
across
sovereign
bond
markets—exacerbated
by
turmoil
in
UK
gilts—led
us
to
pivot
back
to
a
neutral
duration
stance
by
the
end
of
September.
At
the
end
of
November,
the
fund
again
had
a
slightly
longer-than-benchmark
duration.
With
inflation
and
the
pace
of
monetary
tightening
likely
past
their
peak
and
the
global
economy
seemingly
tilting
toward
recession,
we
saw
a
high
likelihood
that
investors
would
return
to
the
Treasury
Sources:
Credit
ratings
for
the
securities
held
in
the
fund
are
provided
by
Moody’s,
Standard
&
Poor’s,
and
Fitch
and
are
converted
to
the
Standard
&
Poor’s
nomenclature.
A
rating
of
AAA
represents
the
highest-
rated
securities,
and
a
rating
of
D
represents
the
lowest-
rated
securities.
If
the
rating
agencies
differ,
the
highest
rating
is
applied
to
the
security.
If
a
rating
is
not
available,
the
security
is
classified
as
Not
Rated.
T.
Rowe
Price
uses
the
rating
of
the
underlying
investment
vehicle
to
determine
the
creditworthiness
of
credit
default
swaps.
The
fund
is
not
rated
by
any
agency.
*
U.S.
government
agency
securities
are
issued
or
guaranteed
by
a
U.S.
government
agency,
and
may
include
conventional
pass-through
securities
and
collateralized
mortgage
obligations;
unlike
Treasuries,
government
agency
securities
are
not
issued
directly
by
the
U.S.
government
and
are
generally
unrated
but
may
have
credit
support
from
the
U.S.
Treasury
(e.g.,
FHLMC
and
FNMA
issues)
or
a
direct
government
guarantee
(e.g.,
GNMA
issues).
Therefore,
this
category
may
include
rated
and
unrated
securities.
**
U.S.
Treasury
securities
are
issued
by
the
U.S.
Treasury
and
are
backed
by
the
full
faith
and
credit
of
the
U.S.
government.
The
ratings
of
U.S.
Treasury
securities
are
derived
from
the
ratings
on
the
U.S.
government.
CREDIT
QUALITY
DIVERSIFICATION
U.S.
Treasury
Intermediate
Index
Fund
T.
ROWE
PRICE
U.S.
Treasury
Funds
8
market
in
an
effort
to
hedge
riskier
positions,
thereby
driving
yields
downward.
(U.S.
Treasuries
have
often—though
not
always—exhibited
an
inverse
correlation
with
equities
and
other
risk
assets
during
periods
of
risk
aversion
and
economic
growth
concerns.)
At
the
end
of
November,
approximately
96%
of
the
fund’s
net
assets
were
invested
in
U.S.
Treasury
securities,
with
the
remainder
composed
of
U.S.
government-guaranteed
Ginnie
Mae
(GNMA)
mortgage-backed
securities
(MBS)
and
cash
reserves.
After
slightly
increasing
the
fund’s
non-benchmark
allocation
to
GNMAs
around
the
middle
of
the
period
due
to
attractive
valuations
and
a
plunge
in
mortgage
origination,
we
allowed
the
fund’s
GNMA
exposure
to
lessen
as
holdings
matured.
This
decrease
in
the
fund’s
MBS
position
reflected
relative
value
considerations
and
less
supportive
technical
dynamics
in
the
sector.
By
the
conclusion
of
the
reporting
period,
the
portfolio’s
GNMA
allocation
stood
at
its
lowest
level
in
several
years,
though
we
continue
to
closely
monitor
valuations,
rate
volatility,
and
other
technical
conditions
for
potential
opportunities
to
add
exposure
to
the
sector.
Within
the
GNMA
universe,
we
favored
floating
rate
collateralized
mortgage
obligations,
which
typically
fare
better
than
fixed
rate
issues
when
mortgage
rates
increase.
For
similar
reasons,
we
maintained
a
general
preference
for
higher-coupon,
shorter-duration
MBS.
At
times,
however,
we
sought
to
take
advantage
of
attractive
valuations
in
lower-coupon
mortgage
bonds,
which
saw
a
noticeable
reduction
in
prepayment
risk
given
unappealing
refinancing
conditions
for
most
borrowers.
What
is
portfolio
management’s
outlook?
With
the
Fed
tightening
into
a
slowing
economy,
we
see
a
high
likelihood
of
a
policy-driven
recession
in
the
U.S.
by
early
next
year.
This
forecast
is
underpinned
by
a
contraction
in
the
housing
sector
and
significant
headwinds
to
consumer
spending
from
a
softer
labor
market,
still-high
inflation,
and
eroded
savings
buffers.
Given
the
faster-than-anticipated
deceleration
in
inflation
readings
over
recent
months,
we
believe
the
Fed
will
be
forced
to
pause
rate
hikes
and
could
cut
rates
sooner
than
the
market
expects.
In
our
view,
the
pace
at
which
price
data
have
declined
signals
that
consumer
demand
is
dissolving
quickly.
T.
ROWE
PRICE
U.S.
Treasury
Funds
9
Despite
its
strong
sell-off
this
year,
we
believe
that
U.S.
government
debt
remains
an
important
tool
for
asset
allocators
and
a
top
diversifier
for
riskier
assets,
especially
now
that
yields
have
returned
to
pre-global
financial
crisis
levels.
Moreover,
Treasuries
have
recently
demonstrated
their
ability
to
rally
when
growth
fears
outweigh
inflation
concerns.
To
that
end,
we
expect
Treasuries
to
resume
their
typical,
inverse
relationship
with
risk
assets
as
the
global
economy
likely
weakens.
As
always,
we
will
look
for
opportunities
to
make
tactical
adjustments
to
the
portfolio
based
on
incoming
data,
movements
in
Treasury
yields,
and
changes
in
the
macroeconomic
landscape.
U.S.
TREASURY
LONG-TERM
INDEX FUND 
INVESTMENT
OBJECTIVE 
The
fund
seeks
to
provide
high
income
consistent
with
maximum
credit
protection.
FUND
COMMENTARY
How
did
the
fund
perform
in
the
past six
months?
The
U.S.
Treasury
Long-
Term
Index
Fund
returned
-10.36%
during
the
past
six
months
and
underperformed
its
Bloomberg
benchmark,
which
also
posted
steep
losses.
The
fund
notably
underperformed
its
Lipper
peer
group
average,
which
consists
of
U.S.
Treasury
funds
that
span
the
maturity
spectrum—including
shorter-term
funds
that
fared
much
better
than
long-maturity
portfolios.
(Returns
for
I
and
Z
Class
shares
varied,
reflecting
their
different
fee
structures.
Past
performance
cannot
guarantee
future
results.
)
What
factors
influenced
the
fund’s
performance?
U.S.
Treasuries
sold
off
meaningfully
in
the
face
of
persistently
high
inflation,
rapid
interest
rate
hikes
by
the
Federal
Reserve
(Fed),
and
hawkish
revisions
to
the
Fed’s
monetary
policy
outlook.
Though
remaining
at
multi-decade
highs,
inflation
readings
moderated
near
the
end
of
the
period,
and
the
Fed
signaled
PERFORMANCE
COMPARISON
Six-Month
Period
Ended
11/30/22
Total
Return
U.S.
Treasury
Long-Term
Index
Fund
–
.
-10.36‌%
U.S.
Treasury
Long-Term
Index
Fund–
.
I  Class
-10.17‌
U.S.
Treasury
Long-Term
Index
Fund–
.
Z
Class
-10.12‌
Bloomberg
U.S.
Long
Treasury
Bond
Index
-9.95‌
Lipper
General
U.S.
Treasury
Funds
Average
-7.08‌
T.
ROWE
PRICE
U.S.
Treasury
Funds
10
that
it
would
soon
begin
to
slow
the
pace
of
rate
hikes—which
it
did
at
the
central
bank’s
mid-December
policy
meeting
after
our
reporting
period
ended.
Together,
these
factors
aided
a
November
rally
that
pared
some
of
the
Treasury
market’s
earlier
losses.
In
this
environment,
the
fund’s
limited,
out-of-benchmark
exposure
to
Treasury
inflation
protected
securities
(TIPS)
in
November
weighed
on
relative
returns.
We
initiated
this
position
based
on
our
view
that
the
Fed’s
signals
for
smaller
rate
hikes
would
enable
upside
surprises
in
economic
data
to
generate
a
positive
reaction
from
investors,
who
could
instead
focus
on
the
implications
for
better
nominal
growth
rather
than
the
need
for
stronger
Fed
policy
responses.
Consequently,
we
expected
this
changing
dynamic
to
place
a
ceiling
on
interest
rate
volatility
and
the
U.S.
dollar,
aiding
oil
prices
and
TIPS
break-
even
spreads—a
market-based
measure
of
inflation
expectations.
Although
the
U.S.
dollar
softened
and
rate
volatility
lessened
in
November,
the
fund’s
TIPS
position
detracted
from
performance
as
break-even
spreads
tightened
on
lower-than-expected
U.S.
inflation
readings
and
a
pullback
in
global
crude
prices
stemming
from
China’s
COVID-related
lockdowns.
We
exited
this
TIPS
position
by
the
end
of
the
period
amid
signs
of
renewed
strength
in
the
U.S.
dollar.
Yield
curve
exposures
impeded
results,
with
extreme
rate
volatility
undermining
some
of
our
tactical
positions.
From
late
July
through
part
of
August,
we
positioned
the
fund
for
a
steeper
5-year/30-year
curve
segment
amid
signs
that
Fed
hawkishness
may
have
peaked.
However,
this
positioning
detracted
from
performance.
At
the
time,
higher-than-expected
inflation
data
and
hawkish
messaging
from
Fed
Chair
Jerome
Powell
led
investors
to
price
in
a
“higher
for
longer”
rate
regime
from
the
Fed,
and
a
resulting
surge
in
shorter-term
yields
caused
the
5-year/30-year
segment
to
invert.
(A
yield
curve
inversion
occurs
when
yields
on
shorter-term
securities
exceed
those
on
longer-term
bonds
and
is
considered
by
many
investors
to
be
a
precursor
to
an
economic
recession.)
On
net,
our
tactical
adjustments
to
the
portfolio’s
duration—a
key
measure
of
interest
rate
sensitivity—contributed
to
relative
performance,
aided
by
our
accurate
forecasting
of
yield
changes
late
in
the
reporting
period.
In
particular,
we
moved
from
a
shorter-than-benchmark
duration
stance
in
early
November
to
a
modestly
long
posture,
and
this
repositioning
added
value
as
Treasury
yields
fell
on
signs
that
economic
growth
and
inflation
were
slowing.
How
is
the
fund
positioned?
We
continued
to
tactically
adjust
the
fund’s
overall
duration
and
curve
posture
T.
ROWE
PRICE
U.S.
Treasury
Funds
11
based
on
incoming
economic
and
inflation
data,
monetary
policy
signals,
and
geopolitical
developments.
Through
August,
we
generally
favored
a
neutral
to
short
duration
stance
versus
the
benchmark,
reflecting
our
expectations
for
Fed
policy
tightening
and
labor
market
strength
to
sustain
upward
pressure
on
Treasury
yields.
Later,
we
shifted
to
a
slightly
long
duration
bias,
but
severe
volatility
across
sovereign
bond
markets—exacerbated
by
turmoil
in
UK
gilts—
led
us
to
pivot
back
to
a
neutral
duration
stance
by
the
end
of
September.
At
the
end
of
the
period,
the
fund
again
had
a
slightly
longer-than-benchmark
duration
posture.
With
inflation
and
the
pace
of
monetary
tightening
likely
past
their
peak
and
the
global
economy
seemingly
tilting
toward
recession,
we
saw
a
high
likelihood
that
investors
would
return
to
the
Treasury
market
in
an
effort
to
hedge
riskier
positions,
thereby
driving
yields
downward.
(U.S.
Treasuries
have
often—
though
not
always—exhibited
an
inverse
correlation
with
equities
and
other
risk
assets
during
periods
of
risk
aversion
and
economic
growth
concerns.)
Sources:
Credit
ratings
for
the
securities
held
in
the
fund
are
provided
by
Moody’s,
Standard
&
Poor’s,
and
Fitch
and
are
converted
to
the
Standard
&
Poor’s
nomenclature.
A
rating
of
AAA
represents
the
highest-
rated
securities,
and
a
rating
of
D
represents
the
lowest-
rated
securities.
If
the
rating
agencies
differ,
the
highest
rating
is
applied
to
the
security.
If
a
rating
is
not
available,
the
security
is
classified
as
Not
Rated.
T.
Rowe
Price
uses
the
rating
of
the
underlying
investment
vehicle
to
determine
the
creditworthiness
of
credit
default
swaps.
The
fund
is
not
rated
by
any
agency.
*
U.S.
government
agency
securities
are
issued
or
guaranteed
by
a
U.S.
government
agency,
and
may
include
conventional
pass-through
securities
and
collateralized
mortgage
obligations;
unlike
Treasuries,
government
agency
securities
are
not
issued
directly
by
the
U.S.
government
and
are
generally
unrated
but
may
have
credit
support
from
the
U.S.
Treasury
(e.g.,
FHLMC
and
FNMA
issues)
or
a
direct
government
guarantee
(e.g.,
GNMA
issues).
Therefore,
this
category
may
include
rated
and
unrated
securities.
**
U.S.
Treasury
securities
are
issued
by
the
U.S.
Treasury
and
are
backed
by
the
full
faith
and
credit
of
the
U.S.
government.
The
ratings
of
U.S.
Treasury
securities
are
derived
from
the
ratings
on
the
U.S.
government.
CREDIT
QUALITY
DIVERSIFICATION
U.S.
Treasury
Long-Term
Index
Fund
T.
ROWE
PRICE
U.S.
Treasury
Funds
12
The
fund’s
positioning
at
period-end
also
reflected
our
bias
for
a
flattening
of
the
5-year/30-year
curve
segment.
Specifically,
we
believed
that
slowing
economic
activity
would
likely
keep
a
lid
on
long-term
yields,
while
the
potential
for
continued
Fed
hawkishness
posed
upside
risks
to
front-end
rates.
As
of
November
30,
2022,
approximately
98%
of
the
fund’s
net
assets
were
invested
in
U.S.
Treasury
securities,
with
the
remainder
largely
composed
of
U.S.
government-guaranteed
Ginnie
Mae
(GNMA)
mortgage-backed
securities
(MBS).
After
slightly
increasing
the
fund’s
non-benchmark
allocation
to
GNMAs
around
the
middle
of
the
period
due
to
attractive
valuations
and
a
plunge
in
mortgage
origination,
we
allowed
the
fund’s
GNMA
exposure
to
lessen
as
holdings
matured.
This
decrease
in
the
fund’s
MBS
position
reflected
relative
value
considerations
and
less
supportive
technical
dynamics
in
the
sector.
By
the
conclusion
of
the
reporting
period,
the
portfolio’s
GNMA
allocation
stood
at
its
lowest
level
in
several
years,
though
we
continue
to
closely
monitor
valuations,
rate
volatility,
and
other
technical
conditions
for
potential
opportunities
to
add
exposure
to
the
sector.
Within
the
GNMA
universe,
we
favored
floating
rate
collateralized
mortgage
obligations,
which
typically
fare
better
than
fixed
rate
issues
when
mortgage
rates
increase.
For
similar
reasons,
we
maintained
a
general
preference
for
higher-coupon,
shorter-duration
MBS.
At
times,
however,
we
sought
to
take
advantage
of
attractive
valuations
in
lower-coupon
mortgage
bonds,
which
saw
a
noticeable
reduction
in
prepayment
risk
given
unappealing
refinancing
conditions
for
most
borrowers.
Although
the
fund
invests
primarily
in
cash
bonds,
we
also
regularly
employ
derivatives,
mainly
to
adjust
the
fund’s
duration
and
manage
exposures
to
different
parts
of
the
Treasury
yield
curve.
Such
instruments
include
U.S.
Treasury
futures
and
options
on
Treasury
futures,
which
were
held
within
the
fund
during
the
period.
What
is
portfolio
management’s
outlook?
With
the
Fed
tightening
into
a
slowing
economy,
we
see
a
high
likelihood
of
a
policy-driven
recession
in
the
U.S.
by
early
next
year.
This
forecast
is
underpinned
by
a
contraction
in
the
housing
sector
and
significant
headwinds
to
consumer
spending
from
a
softer
labor
market,
still-high
inflation,
and
eroded
savings
buffers.
Given
the
faster-than-anticipated
deceleration
in
inflation
readings
over
recent
months,
we
believe
the
Fed
will
be
forced
to
pause
rate
hikes
and
could
cut
rates
sooner
than
the
market
expects.
In
our
view,
the
pace
at
which
price
data
have
declined
signals
that
consumer
demand
is
dissolving
quickly.
T.
ROWE
PRICE
U.S.
Treasury
Funds
13
Despite
its
strong
sell-off
this
year,
we
believe
that
U.S.
government
debt
remains
an
important
tool
for
asset
allocators
and
a
top
diversifier
for
riskier
assets,
especially
now
that
yields
have
returned
to
pre-global
financial
crisis
levels.
Moreover,
Treasuries
have
recently
demonstrated
their
ability
to
rally
when
growth
fears
outweigh
inflation
concerns.
To
that
end,
we
expect
Treasuries
to
resume
their
typical,
inverse
relationship
with
risk
assets
as
the
global
economy
likely
weakens.
As
always,
we
will
look
for
opportunities
to
make
tactical
adjustments
to
the
portfolio
based
on
incoming
data,
movements
in
Treasury
yields,
and
changes
in
the
macroeconomic
landscape.
The
views
expressed
reflect
the
opinions
of
T.
Rowe
Price
as
of
the
date
of
this
report
and
are
subject
to
change
based
on
changes
in
market,
economic,
or
other
conditions.
These
views
are
not
intended
to
be
a
forecast
of
future
events
and
are
no
guarantee
of
future
results.
T.
ROWE
PRICE
U.S.
Treasury
Funds
14
RISKS
OF
INVESTING
IN
FIXED
INCOME
SECURITIES
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.
RISKS
OF
INVESTING
IN
GOVERNMENT
MONEY
MARKET
FUNDS
You
could
lose
money
by
investing
in
the
Fund.
Although
the
Fund
seeks
to
preserve
the
value
of
your
investment
at
$1.00
per
share,
it
cannot
guarantee
it
will
do
so.
An
investment
in
the
Fund
is
not
insured
or
guaranteed
by
the
Federal
Deposit
Insurance
Corporation
or
any
other
government
agency.
The
Fund’s
sponsor
has
no
legal
obligation
to
provide
financial
support
to
the
Fund,
and
you
should
not
expect
that
the
sponsor
will
provide
financial
support
to
the
Fund
at
any
time.
BENCHMARK
INFORMATION
Note:
Bloomberg
®
,
Bloomberg
U.S.
4–10
Year
Treasury
Bond
Index,
and
Bloomberg
U.S.
Long
Treasury
Bond
Index
are
service
marks
of
Bloomberg
Finance
L.P.
and
its
affiliates,
including
Bloomberg
Index
Services
Limited
(“BISL”),
the
administrator
of
the
index
(collectively,
“Bloomberg”)
and
have
been
licensed
for
use
for
certain
purposes
by
T.
Rowe
Price.
Bloomberg
is
not
affiliated
with
T.
Rowe
Price,
and
Bloomberg
does
not
approve,
endorse,
review,
or
recommend
its
products.
Bloomberg
does
not
guarantee
the
timeliness,
accurateness,
or
completeness
of
any
data
or
information
relating
to
its
products.
Note:
Portions
of
the
mutual
fund
information
contained
in
this
report
were
supplied
by
Lipper,
a
Refinitiv
Company,
subject
to
the
following:
Copyright
2022
©
Refinitiv.
All
rights
reserved.
Any
copying,
republication
or
redistribution
of
Lipper
content
is
expressly
prohibited
without
the
prior
written
consent
of
Lipper.
Lipper
shall
not
be
liable
for
any
errors
or
delays
in
the
content,
or
for
any
actions
taken
in
reliance
thereon.
T.
ROWE
PRICE
U.S.
Treasury
Funds
15
Note:
Copyright
©
2022
Fitch
Ratings,
Inc.,
Fitch
Ratings
Ltd.
and
its
subsidiaries.
Note:
©
2022,
Moody’s
Corporation,
Moody’s
Investors
Service,
Inc.,
Moody’s
Analytics,
Inc.
and/or
their
licensors
and
affiliates
(collectively,
“Moody’s”).
All
rights
reserved.
Moody’s
ratings
and
other
information
(“Moody’s
Information”)
are
proprietary
to
Moody’s
and/or
its
licensors
and
are
protected
by
copyright
and
other
intellectual
property
laws.
Moody’s
Information
is
licensed
to
Client
by
Moody’s.
MOODY’S
INFORMATION
MAY
NOT
BE
COPIED
OR
OTHERWISE
REPRODUCED,
REPACKAGED,
FURTHER
TRANSMITTED,
TRANSFERRED,
DISSEMINATED,
REDISTRIBUTED
OR
RESOLD,
OR
STORED
FOR
SUBSEQUENT
USE
FOR
ANY
SUCH
PURPOSE,
IN
WHOLE
OR
IN
PART,
IN
ANY
FORM
OR
MANNER
OR
BY
ANY
MEANS
WHATSOEVER,
BY
ANY
PERSON
WITHOUT
MOODY’S
PRIOR
WRITTEN
CONSENT.
Moody's
®
is
a
registered
trademark.
Note:
Copyright
©
2022,
S&P
Global
Market
Intelligence
(and
its
affiliates,
as
applicable).
Reproduction
of
any
information,
data
or
material,
including
ratings
("Content")
in
any
form
is
prohibited
except
with
the
prior
written
permission
of
the
relevant
party. Such
party,
its
affiliates
and
suppliers
("Content
Providers")
do
not
guarantee
the
accuracy,
adequacy,
completeness,
timeliness
or
availability
of
any
Content
and
are
not
responsible
for
any
errors
or
omissions
(negligent
or
otherwise),
regardless
of
the
cause,
or
for
the
results
obtained
from
the
use
of
such
Content.
In
no
event
shall
Content
Providers
be
liable
for
any
damages,
costs,
expenses,
legal
fees,
or
losses
(including
lost
income
or
lost
profit
and
opportunity
costs)
in
connection
with
any
use
of
the
Content.
A
reference
to
a
particular
investment
or
security,
a
rating
or
any
observation
concerning
an
investment
that
is
part
of
the
Content
is
not
a
recommendation
to
buy,
sell
or
hold
such
investment
or
security,
does
not
address
the
appropriateness
of
an
investment
or
security
and
should
not
be
relied
on
as
investment
advice.
Credit
ratings
are
statements
of
opinions
and
are
not
statements
of
fact.
BENCHMARK
INFORMATION
(continued)
T.
ROWE
PRICE
U.S.
Treasury
Funds
16
GROWTH
OF
$10,000 
This
chart
shows
the
value
of
a
hypothetical
$10,000
investment
in
the
fund
over
the
past
10
fiscal
year
periods
or
since
inception
(for funds
lacking
10-year
records).
The
result
is
compared
with
benchmarks,
which
include
a
broad-based
market
index
and
may
also
include
a
peer
group
average
or
index.
Market
indexes
do
not
include
expenses,
which
are
deducted
from
fund
returns
as
well
as
mutual fund
averages
and
indexes. 
U.S.
TREASURY
MONEY
FUND
Note:
Performance
for
the
I
and
Z Class
shares
will
vary
due
to
their
differing
fee
structures.
See
the
Average
Annual
Compound
Total
Return
table. 
AVERAGE
ANNUAL
COMPOUND
TOTAL
RETURN
Periods
Ended
11/30/22
1
Year
5
Years
10
Years
Since
Inception
Inception
Date
U.S.
Treasury
Money
Fund
–
.
1.11‌%
0.96‌%
0.53‌%
–‌
–
U.S.
Treasury
Money
Fund–
.
I  Class
1.16‌
1.01‌
–‌
0.98‌%
5/3/17
U.S.
Treasury
Money
Fund–
.
Z  Class
1.36‌
–‌
–‌
0.60‌
3/16/20
This
table
shows
how
the
fund
would
have
performed
each
year
if
its
actual
(or
cumulative)
returns
for
the
periods
shown
had
been
earned
at
a
constant
rate.
Returns
do
not
reflect
taxes
that
the
shareholder
may
pay
on
fund
distributions.
Past
performance
cannot
guarantee
future
results.
T.
ROWE
PRICE
U.S.
Treasury
Funds
17
GROWTH
OF
$10,000 
This
chart
shows
the
value
of
a
hypothetical
$10,000
investment
in
the
fund
over
the
past
10
fiscal
year
periods
or
since
inception
(for funds
lacking
10-year
records).
The
result
is
compared
with
benchmarks,
which
include
a
broad-based
market
index
and
may
also
include
a
peer
group
average
or
index.
Market
indexes
do
not
include
expenses,
which
are
deducted
from
fund
returns
as
well
as
mutual fund
averages
and
indexes. 
U.S.
TREASURY
INTERMEDIATE
INDEX
FUND
Note:
Performance
for
the
I
and
Z Class
shares
will
vary
due
to
their
differing
fee
structures.
See
the
Average
Annual
Compound
Total
Return
table. 
AVERAGE
ANNUAL
COMPOUND
TOTAL
RETURN
Periods
Ended
11/30/22
1
Year
5
Years
10
Years
Since
Inception
Inception
Date
U.S.
Treasury
Intermediate
Index
Fund
–
.
-12.06‌%
-0.09‌%
0.22‌%
–‌
–
U.S.
Treasury
Intermediate
Index
Fund–
.
I  Class
-11.91‌
0.06‌
–‌
0.08‌%
5/3/17
U.S.
Treasury
Intermediate
Index
Fund–
.
Z  Class
-11.64‌
–‌
–‌
-7.22‌
2/22/21
This
table
shows
how
the
fund
would
have
performed
each
year
if
its
actual
(or
cumulative)
returns
for
the
periods
shown
had
been
earned
at
a
constant
rate.
Returns
do
not
reflect
taxes
that
the
shareholder
may
pay
on
fund
distributions.
Past
performance
cannot
guarantee
future
results.
T.
ROWE
PRICE
U.S.
Treasury
Funds
18
GROWTH
OF
$10,000 
This
chart
shows
the
value
of
a
hypothetical
$10,000
investment
in
the
fund
over
the
past
10
fiscal
year
periods
or
since
inception
(for funds
lacking
10-year
records).
The
result
is
compared
with
benchmarks,
which
include
a
broad-based
market
index
and
may
also
include
a
peer
group
average
or
index.
Market
indexes
do
not
include
expenses,
which
are
deducted
from
fund
returns
as
well
as
mutual fund
averages
and
indexes. 
U.S.
TREASURY
LONG-TERM
INDEX
FUND
Note:
Performance
for
the
I
and
Z Class
shares
will
vary
due
to
their
differing
fee
structures.
See
the
Average
Annual
Compound
Total
Return
table. 
AVERAGE
ANNUAL
COMPOUND
TOTAL
RETURN
Periods
Ended
11/30/22
1
Year
5
Years
10
Years
Since
Inception
Inception
Date
U.S.
Treasury
Long-Term
Index
Fund
–
.
-29.89‌%
-1.81‌%
0.08‌%
–‌
–
U.S.
Treasury
Long-Term
Index
Fund–
.
I  Class
-29.65‌
-1.62‌
–‌
-0.82‌%
5/3/17
U.S.
Treasury
Long-Term
Index
Fund–
.
Z  Class
-29.59‌
–‌
–‌
-13.69‌
3/16/20
This
table
shows
how
the
fund
would
have
performed
each
year
if
its
actual
(or
cumulative)
returns
for
the
periods
shown
had
been
earned
at
a
constant
rate.
Returns
do
not
reflect
taxes
that
the
shareholder
may
pay
on
fund
distributions.
Past
performance
cannot
guarantee
future
results.
T.
ROWE
PRICE
U.S.
Treasury
Funds
19
EXPENSE
RATIOS
FUND
EXPENSE
EXAMPLE
As
a
mutual
fund
shareholder,
you
may
incur
two
types
of
costs:
(1)
transaction
costs,
such
as
redemption
fees
or
sales
loads,
and
(2)
ongoing
costs,
including
management
fees,
distribution
and
service
(12b-1)
fees,
and
other
fund
expenses.
The
following
example
is
intended
to
help
you
understand
your
ongoing
costs
(in
dollars)
of
investing
in
the
fund
and
to
compare
these
costs
with
the
ongoing
costs
of
investing
in
other
mutual
funds.
The
example
is
based
on
an
investment
of
$1,000
invested
at
the
beginning
of
the
most
recent
six-month
period
and
held
for
the
entire
period.
Please
note
that
the
fund
has
three
share
classes:
The
original
share
class
(Investor
Class)
charges
no
distribution
and
service
(12b-1)
fee,
I
Class
shares
are
also
available
to
institutionally
oriented
clients
and
impose
no
12b-1
or
administrative
fee
payment,
and
Z
Class
shares
are
offered
only
to
funds
advised
by
T.
Rowe
Price
and
other
advisory
clients
of
T.
Rowe
Price
or
its
affiliates
that
are
subject
to
a
contractual
fee
for
investment
management
services
and
impose
no
12b-1
fee
or
administrative
fee
payment.
Each
share
class
is
presented
separately
in
the
table.
Actual
Expenses
The
first
line
of
the
following
table
(Actual)
provides
information
about
actual
account
values
and
expenses
based
on
the
fund’s
actual
returns.
You
may
use
the
information
on
this
line,
together
with
your
account
balance,
to
estimate
the
expenses
that
you
paid
over
the
period.
Simply
divide
your
account
value
by
$1,000
(for
example,
an
$8,600
account
value
divided
by
$1,000
=
8.6),
then
multiply
the
result
by
the
number
on
the
first
line
under
the
heading
“Expenses
Paid
During
Period”
to
estimate
the
expenses
you
paid
on
your
account
during
this
period.
U.S.
Treasury
Money
Fund
0.31‌%
U.S.
Treasury
Money
Fund–I
Class
0.21‌ 
U.S.
Treasury
Money
Fund–Z
Class
0.19‌ 
U.S.
Treasury
Intermediate
Index
Fund
0.27‌ 
U.S.
Treasury
Intermediate
Index
Fund–I
Class
0.11‌ 
U.S.
Treasury
Intermediate
Index
Fund–Z
Class
0.11‌ 
U.S.
Treasury
Long-Term
Index
Fund
0.29‌ 
U.S.
Treasury
Long-Term
Index
Fund–I
Class
0.08‌ 
U.S.
Treasury
Long-Term
Index
Fund–Z
Class
0.07‌ 
The
expense
ratios
shown
are
as
of
the
funds’
most
recent
prospectus.
These
numbers
may
vary
from
the
expense
ratios
shown
elsewhere
in
this
report
because
they
are
based
on
a
different
time
period
and,
if
applicable,
include
acquired
fund
fees
and
expenses
but
do
not
include
fee
or
expense
waivers.
T.
ROWE
PRICE
U.S.
Treasury
Funds
20
Hypothetical
Example
for
Comparison
Purposes
The
information
on
the
second
line
of
the
table
(Hypothetical)
is
based
on
hypothetical
account
values
and
expenses
derived
from
the
fund’s
actual
expense
ratio
and
an
assumed
5%
per
year
rate
of
return
before
expenses
(not
the
fund’s
actual
return).
You
may
compare
the
ongoing
costs
of
investing
in
the
fund
with
other
funds
by
contrasting
this
5%
hypothetical
example
and
the
5%
hypothetical
examples
that
appear
in
the
shareholder
reports
of
the
other
funds.
The
hypothetical
account
values
and
expenses
may
not
be
used
to
estimate
the
actual
ending
account
balance
or
expenses
you
paid
for
the
period.
Note:
T.
Rowe
Price
charges
an
annual
account
service
fee
of
$20,
generally
for
accounts
with
less
than
$10,000.
The
fee
is
waived
for
any
investor
whose
T.
Rowe
Price
mutual
fund
accounts
total
$50,000
or
more;
accounts
electing
to
receive
electronic
delivery
of
account
statements,
transaction
confirmations,
prospectuses,
and
shareholder
reports;
or
accounts
of
an
investor
who
is
a
T.
Rowe
Price
Personal
Services
or
Enhanced
Personal
Services
client
(enrollment
in
these
programs
generally
requires
T.
Rowe
Price
assets
of
at
least
$250,000).
This
fee
is
not
included
in
the
accompanying
table.
If
you
are
subject
to
the
fee,
keep
it
in
mind
when
you
are
estimating
the
ongoing
expenses
of
investing
in
the
fund
and
when
comparing
the
expenses
of
this
fund
with
other
funds.
You
should
also
be
aware
that
the
expenses
shown
in
the
table
highlight
only
your
ongoing
costs
and
do
not
reflect
any
transaction
costs,
such
as
redemption
fees
or
sales
loads.
Therefore,
the
second
line
of
the
table
is
useful
in
comparing
ongoing
costs
only
and
will
not
help
you
determine
the
relative
total
costs
of
owning
different
funds.
To
the
extent
a
fund
charges
transaction
costs,
however,
the
total
cost
of
owning
that
fund
is
higher.
FUND
EXPENSE
EXAMPLE
(CONTINUED)
T.
ROWE
PRICE
U.S.
Treasury
Funds
21
U.S.
TREASURY
MONEY
FUND
Beginning
Account
Value
6/1/22
Ending
Account
Value
11/30/22
Expenses
Paid
During
Period*
6/1/22
to
11/30/22
Investor
Class
Actual
$1,000.00
$1,010.70
$1.56
Hypothetical
(assumes
5%
return
before
expenses)
 1,000.00
  1,023.51
  1.57
I
Class
Actual
  1,000.00
  1,011.10
  1.16
Hypothetical
(assumes
5%
return
before
expenses)
 1,000.00
  1,023.92
  1.17
Z
Class
Actual
  1,000.00
  1,012.30
  0.00
Hypothetical
(assumes
5%
return
before
expenses)
 1,000.00
  1,025.07
  0.00
*
Expenses
are
equal
to
the
fund’s
annualized
expense
ratio
for
the
6-month
period,
multiplied
by
the
average
account
value
over
the
period,
multiplied
by
the
number
of
days
in
the
most
recent
fiscal
half
year
(183),
and
divided
by
the
days
in
the
year
(365)
to
reflect
the
half-year
period.
The
annualized
expense
ratio
of
the
1
Investor
Class
was
0.31%,
the
2
I Class
was
0.23%,
and
the
3
Z Class
was
0.00%.
FUND
EXPENSE
EXAMPLE
(CONTINUED)
T.
ROWE
PRICE
U.S.
Treasury
Funds
22
U.S.
TREASURY
INTERMEDIATE
INDEX
FUND
Beginning
Account
Value
6/1/22
Ending
Account
Value
11/30/22
Expenses
Paid
During
Period*
6/1/22
to
11/30/22
Investor
Class
Actual
$1,000.00
$960.00
$1.38
Hypothetical
(assumes
5%
return
before
expenses)
 1,000.00
  1,023.66
  1.42
I
Class
Actual
  1,000.00
  960.80
  0.54
Hypothetical
(assumes
5%
return
before
expenses)
 1,000.00
  1,024.52
  0.56
Z
Class
Actual
  1,000.00
  963.20
  0.00
Hypothetical
(assumes
5%
return
before
expenses)
 1,000.00
  1,025.07
  0.00
*
Expenses
are
equal
to
the
fund’s
annualized
expense
ratio
for
the
6-month
period,
multiplied
by
the
average
account
value
over
the
period,
multiplied
by
the
number
of
days
in
the
most
recent
fiscal
half
year
(183),
and
divided
by
the
days
in
the
year
(365)
to
reflect
the
half-year
period.
The
annualized
expense
ratio
of
the
1
Investor
Class
was
0.28%,
the
2
I Class
was
0.11%,
and
the
3
Z Class
was
0.00%.
FUND
EXPENSE
EXAMPLE
(CONTINUED)
T.
ROWE
PRICE
U.S.
Treasury
Funds
23
U.S.
TREASURY
LONG-TERM
INDEX
FUND
Beginning
Account
Value
6/1/22
Ending
Account
Value
11/30/22
Expenses
Paid
During
Period*
6/1/22
to
11/30/22
Investor
Class
Actual
$1,000.00
$896.40
$1.38
Hypothetical
(assumes
5%
return
before
expenses)
 1,000.00
  1,023.61
  1.47
I
Class
Actual
  1,000.00
  898.30
  0.48
Hypothetical
(assumes
5%
return
before
expenses)
 1,000.00
  1,024.57
  0.51
Z
Class
Actual
  1,000.00
  898.80
  0.00
Hypothetical
(assumes
5%
return
before
expenses)
 1,000.00
  1,025.07
  0.00
*
Expenses
are
equal
to
the
fund’s
annualized
expense
ratio
for
the
6-month
period,
multiplied
by
the
average
account
value
over
the
period,
multiplied
by
the
number
of
days
in
the
most
recent
fiscal
half
year
(183),
and
divided
by
the
days
in
the
year
(365)
to
reflect
the
half-year
period.
The
annualized
expense
ratio
of
the
1
Investor
Class
was
0.29%,
the
2
I Class
was
0.10%,
and
the
3
Z Class
was
0.00%.
FUND
EXPENSE
EXAMPLE
(CONTINUED)
T.
ROWE
PRICE
U.S.
Treasury
Funds
24
QUARTER-END
RETURNS
Periods
Ended
9/30/22
SEC
Yield
(7-Day
Simple)
With
Waiver
a
SEC
Yield
(7-Day
Simple)
Without
Waiver
......
1
Year
....
5
Years
....
10
Years
Since
Inception
Inception
Date
U.S.
Treasury
Money
Fund
–
.
2.77‌%
2.77‌%
0.60‌%
0.88‌%
0.48‌%
–‌
–
U.S.
Treasury
Money
Fund–
.
I 
Class
b
2.85‌
2.85‌
0.64‌
0.93‌
–‌
0.92‌%
5/3/17
U.S.
Treasury
Money
Fund–
.
Z
Class
c
3.08‌
2.89‌
0.81‌
–‌
–‌
0.42‌
3/16/20
U.S.
Treasury
Intermediate
Index
Fund
–
.
–‌
–‌
-13.84‌
-0.54‌
0.08‌
–‌
–
U.S.
Treasury
Intermediate
Index
Fund–
.
I  Class
–‌
–‌
-13.87‌
-0.43‌
–‌
-0.27‌
5/3/17
U.S.
Treasury
Intermediate
Index
Fund–
.
Z
Class
–‌
–‌
-13.60‌
–‌
–‌
-9.03‌
2/22/21
U.S.
Treasury
Long-Term
Index
Fund
–
.
–‌
–‌
-27.54‌
-1.91‌
0.06‌
–‌
–
U.S.
Treasury
Long-Term
Index
Fund–
.
I  Class
–‌
–‌
-27.29‌
-1.73‌
–‌
-1.05‌
5/3/17
U.S.
Treasury
Long-Term
Index
Fund–
.
Z
Class
–‌
–‌
-27.29‌
–‌
–‌
-14.90‌
3/16/20
The
funds’
performance
information
represents
only
past
performance
and
is
not
necessarily
an
indication
of
future
results.
Current
performance
may
be
lower
or
higher
than
the
performance
data
cited.
Share
price,
principal
value,
and
return
will
vary,
and
you
may
have
a
gain
or
loss
when
you
sell
your
shares.
For
the
most
recent
month-end
performance,
please
visit
our
website
(troweprice.com)
or
contact
a
T.
Rowe
Price
representative
at
1-800-225-5132
or,
for
2
I
and
3
Z
Class
shares,
1-800-638-8790.
T.
ROWE
PRICE
U.S.
Treasury
Funds
25
This
table
provides
returns
through
the
most
recent
calendar
quarter-end
rather
than
through
the
end
of
the
funds’
fiscal
period.
It
shows
how
the
funds
would
have
performed
each
year
if
their
actual
(or
cumulative)
returns
for
the
periods
shown
had
been
earned
at
a
constant
rate.
Average
annual
total
return
figures
include
changes
in
principal
value,
reinvested
dividends,
and
capital
gain
distributions.
Returns
do
not
reflect
taxes
that
the
shareholder
may
pay
on
fund
distributions
or
the
redemption
of
fund
shares.
When
assessing
performance,
investors
should
consider
both
short-
and
long-term
returns.
A
money
fund’s
yield
more
closely
represents
its
current
earnings
than
does
the
total
return.
a
In
an
effort
to
maintain
a
zero
or
positive
net
yield
for
the
fund,
T.
Rowe
Price
has
voluntarily
waived
all
or
a
portion
of
the
management
fee
it
is
entitled
to
receive
from
the
fund.
This
voluntary
waiver
is
in
addition
to
any
contractual
expense
ratio
limitation
in
effect
for
the
fund
and
may
be
amended
or
terminated
at
any
time
without
prior
notice.
A
fee
waiver
has
the
effect
of
increasing
the
fund’s
net
yield;
without
it,
the
fund’s
7-day
yield
would
have
been
lower.
Please
see
the
prospectus
for
more
details.
b
Through
September
30,
2023,
T.
Rowe
Price
Associates,
Inc.
(TRPA),
has
agreed
to
pay
the
operating
expenses
of
the
fund’s
I
Class
excluding
management
fees;
interest;
expenses
related
to
borrowings,
taxes,
and
brokerage;
nonrecurring,
extraordinary
expenses;
and
acquired
fund
fees
and
expenses
(I
Class
operating
expenses)
to
the
extent
the
I
Class
operating
expenses
exceed
a
certain
portion
of
the
class’s
average
daily
net
assets.
Details
are
available
in
the
fund’s
prospectus.
c
TRPA
has
contractually
agreed
to
waive
and/or
bear
all
of
the
Z
Class's
expenses
(excluding
interest;
expenses
related
to
borrowings,
taxes,
and
brokerage;
nonrecurring,
extraordinary
expenses;
and
acquired
fund
fees
and
expenses)
in
their
entirety.
QUARTER-END
RETURNS
(continued)
T.
Rowe
Price
Investment
Services,
Inc.
|
100
East
Pratt
Street
|
Baltimore,
MD
21202-1009
You
have
many
investment
goals.
Explore
products
and
services
that
can
help
you
achieve
them.
Whether
you
want
to
put
away
more
money
for
retirement,
for
a
child’s
education,
or
for
other
priorities,
we
have
solutions
for
you.
See
how
we
can
help
you
accomplish
the
investment
goals
that
are
important
to
you.
RETIREMENT
IRAs:
Traditional,
Roth,
Rollover/Transfer,
or
Brokerage
Small
Business
Plans
help
minimize
taxes,
maximize
savings
T.
Rowe
Price
®
ActivePlus
Portfolios
1
for
online
investing
powered
by
experts
GENERAL
INVESTING
Individual
or
Joint
Tenant
Brokerage
2
offers
access
to
stocks,
ETFs,
bonds,
and
more
Gifts
and
transfers
to
a
child
(UGMA/UTMAs)
Trust
Transfer
on
Death
COLLEGE
SAVINGS
T.
Rowe
Price-managed
529
plans
offer
tax-
advantaged
solutions
for
families
saving
money
for
college
tuition
and
education-
related
expenses
Visit
troweprice.com/broadrange
Call
1-800-225-5132
to
request
a
prospectus
or
summary
prospectus;
each
includes
investment
objectives,
risks,
fees,
expenses,
and
other
information
that
you
should
read
and
consider
carefully
before
investing.
All
mutual
funds
are
subject
to
market
risk,
including
possible
loss
of
principal.
Investing
internationally
involves
special
risks
including
economic
and
political
uncertainty
and
currency
fluctuation.
1
The
T.
Rowe
Price
®
ActivePlus
Portfolios
is
a
discretionary
investment
management
program
provided
by
T.
Rowe
Price
Advisory
Services,
Inc.,
a
registered
investment
adviser
under
the
Investment
Advisers
Act
of
1940.
Brokerage
services
are
provided
by
T.
Rowe
Price
Investment
Services,
Inc.,
member
FINRA/SIPC.
Brokerage
accounts
are
carried
by
Pershing
LLC,
a
BNY
Mellon
Company,
member
NYSE/FINRA/SIPC.
T.
Rowe
Price
Advisory
Services,
Inc.,
and
T.
Rowe
Price
Investment
Services,
Inc.,
are
affiliated
companies.
2
Brokerage
services
are
provided
by
T.
Rowe
Price
Investment
Services,
Inc.,
member
FINRA/SIPC.
Brokerage
accounts
are
carried
by
Pershing
LLC,
a
BNY
Mellon
Company,
member
NYSE/FINRA/SIPC.
202301-2568615
C07-051
1/23
Highlights
and
Market
Commentary
Management’s
Discussion
of
Fund
Performance
Performance
and
Expenses
Financial
Highlights
Portfolio
of
Investments
Financial
Statements
and
Notes
Additional
Fund
Information
November
30,
2022
Semiannual
Report
|
Financial
Statements
For
more
insights
from
T.
Rowe
Price
investment
professionals,
go
to
troweprice.com.
T.
ROWE
PRICE
PRTXX
U.S.
Treasury
Money
Fund
–
.
TRGXX
U.S.
Treasury
Money
Fund–
.
I  Class
TRZXX
U.S.
Treasury
Money
Fund–
.
Z Class
T.
ROWE
PRICE
U.S.
Treasury
Money
Fund
(Unaudited)
Financial
Highlights
28
For
a
share
outstanding
throughout
each
period
Investor
Class
6
Months
.
Ended
11/30/22
..
Year
..
..
Ended
.
5/31/22
5/31/21
5/31/20
5/31/19
5/31/18
NET
ASSET
VALUE
Beginning
of
period
$
1
.00‌
$
1
.00‌
$
1
.00‌
$
1
.00‌
$
1
.00‌
$
1
.00‌
Investment
activities
Net
investment
income
(1)(2)
0
.01‌
—‌
(3)
(4)
—‌
(3)
(4)
0
.01‌
(4)
0
.02‌
0
.01‌
Net
realized
and
unrealized
gain/loss
—‌
(3)
—‌
(3)
—‌
(3)
—‌
(3)
—‌
(3)
—‌
(3)
Total
from
investment
activities
0
.01‌
—‌
(3)
—‌
(3)
0
.01‌
0
.02‌
0
.01‌
Distributions
Net
investment
income
(
0
.01‌
)
—‌
(3)
—‌
(3)
(
0
.01‌
)
(
0
.02‌
)
(
0
.01‌
)
NET
ASSET
VALUE
End
of
period
$
1
.00‌
$
1
.00‌
$
1
.00‌
$
1
.00‌
$
1
.00‌
$
1
.00‌
T.
ROWE
PRICE
U.S.
Treasury
Money
Fund
(Unaudited)
Financial
Highlights
29
For
a
share
outstanding
throughout
each
period
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Investor
Class
6
Months
.
Ended
11/30/22
..
Year
..
..
Ended
.
5/31/22
5/31/21
5/31/20
5/31/19
5/31/18
Ratios/Supplemental
Data
Total
return
(2)(5)
1
.07‌
%
0
.04‌
%
(4)
0
.01‌
%
(4)
1
.27‌
%
(4)
1
.88‌
%
0
.87‌
%
Ratios
to
average
net
assets:
(2)
Gross
expenses
before
waivers/
payments
by
Price
Associates
(6)
0
.31‌
%
(7)
0
.31‌
%
0
.37‌
%
0
.41‌
%
0
.39‌
%
0
.39‌
%
Net
expenses
after
waivers/payments
by
Price
Associates
0
.31‌
%
(7)
0
.11‌
%
(4)
0
.15‌
%
(4)
0
.35‌
%
(4)
0
.39‌
%
0
.39‌
%
Net
investment
income
2
.12‌
%
(7)
0
.04‌
%
(4)
0
.01‌
%
(4)
1
.22‌
%
(4)
1
.84‌
%
0
.86‌
%
Net
assets,
end
of
period
(in
millions)
$4,857
$5,005
$5,414
$6,019
$4,567
$5,465
0‌
%
0‌
%
0‌
%
0‌
%
0‌
%
0‌
%
(1)
Per
share
amounts
calculated
using
average
shares
outstanding
method.
(2)
See
Note
5
for
details
of
expense-related
arrangements
with
Price
Associates.
(3)
Amounts
round
to
less
than
$0.01
per
share.
(4)
See
Note
5.
Includes
the
effect
of
voluntary
management
fee
waivers
and
operating
expense
reimbursements
(0.20%,
0.19%
and
0.01%
of
average
net
assets)
for
the
years
ended
5/31/22,
5/31/21
and
5/31/20,
respectively.
(5)
Total
return
reflects
the
rate
that
an
investor
would
have
earned
on
an
investment
in
the
fund
during
each
period,
assuming
reinvestment
of
all
distributions,
and
payment
of
no
redemption
or
account
fees,
if
applicable.
Total
return
is
not
annualized
for
periods
less
than
one
year.
(6)
See
Note
5.
Prior
to
5/31/20,
the
gross
expense
ratios
presented
are
net
of
a
management
fee
waiver
in
effect
during
the
period,
as
applicable.
(7)
Annualized
T.
ROWE
PRICE
U.S.
Treasury
Money
Fund
(Unaudited)
Financial
Highlights
30
For
a
share
outstanding
throughout
each
period
I
Class
6
Months
.
Ended
11/30/22
..
Year
..
..
Ended
.
5/31/22
5/31/21
5/31/20
5/31/19
5/31/18
NET
ASSET
VALUE
Beginning
of
period
$
1
.00‌
$
1
.00‌
$
1
.00‌
$
1
.00‌
$
1
.00‌
$
1
.00‌
Investment
activities
Net
investment
income
(1)(2)
0
.01‌
—‌
(3)
(4)
—‌
(3)
(4)
0
.01‌
(4)
0
.02‌
0
.01‌
Net
realized
and
unrealized
gain/loss
—‌
(3)
—‌
(3)
—‌
(3)
—‌
(3)
—‌
(3)
—‌
(3)
Total
from
investment
activities
0
.01‌
—‌
(3)
—‌
(3)
0
.01‌
0
.02‌
0
.01‌
Distributions
Net
investment
income
(
0
.01‌
)
—‌
(3)
—‌
(3)
(
0
.01‌
)
(
0
.02‌
)
(
0
.01‌
)
NET
ASSET
VALUE
End
of
period
$
1
.00‌
$
1
.00‌
$
1
.00‌
$
1
.00‌
$
1
.00‌
$
1
.00‌
T.
ROWE
PRICE
U.S.
Treasury
Money
Fund
(Unaudited)
Financial
Highlights
31
For
a
share
outstanding
throughout
each
period
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
I
Class
6
Months
.
Ended
11/30/22
..
Year
..
..
Ended
.
5/31/22
5/31/21
5/31/20
5/31/19
5/31/18
Ratios/Supplemental
Data
Total
return
(2)(5)
1
.11‌
%
0
.06‌
%
(4)
0
.01‌
%
(4)
1
.33‌
%
(4)
1
.97‌
%
0
.98‌
%
Ratios
to
average
net
assets:
(2)
Gross
expenses
before
waivers/
payments
by
Price
Associates
(6)
0
.24‌
%
(7)
0
.23‌
%
0
.34‌
%
0
.38‌
%
0
.36‌
%
0
.32‌
%
Net
expenses
after
waivers/payments
by
Price
Associates
0
.23‌
%
(7)
0
.11‌
%
(4)
0
.13‌
%
(4)
0
.30‌
%
(4)
0
.30‌
%
0
.30‌
%
Net
investment
income
2
.24‌
%
(7)
0
.07‌
%
(4)
0
.01‌
%
(4)
1
.32‌
%
(4)
1
.93‌
%
1
.11‌
%
Net
assets,
end
of
period
(in
millions)
$3,579
$3,113
$2,028
$1,209
$1,119
$828
0‌
%
0‌
%
0‌
%
0‌
%
0‌
%
0‌
%
(1)
Per
share
amounts
calculated
using
average
shares
outstanding
method.
(2)
See
Note
5
for
details
of
expense-related
arrangements
with
Price
Associates.
(3)
Amounts
round
to
less
than
$0.01
per
share.
(4)
See
Note
5.
Includes
the
effect
of
voluntary
management
fee
waivers
and
operating
expense
reimbursements
(0.12%,
0.15%
and
less
than
0.01%
of
average
net
assets)
for
the
years
ended
5/31/22,
5/31/21
and
5/31/20,
respectively.
(5)
Total
return
reflects
the
rate
that
an
investor
would
have
earned
on
an
investment
in
the
fund
during
each
period,
assuming
reinvestment
of
all
distributions,
and
payment
of
no
redemption
or
account
fees,
if
applicable.
Total
return
is
not
annualized
for
periods
less
than
one
year.
(6)
See
Note
5.
Prior
to
5/31/20,
the
gross
expense
ratios
presented
are
net
of
a
management
fee
waiver
in
effect
during
the
period,
as
applicable.
(7)
Annualized
T.
ROWE
PRICE
U.S.
Treasury
Money
Fund
(Unaudited)
Financial
Highlights
32
For
a
share
outstanding
throughout
each
period
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Z
Class
(1)
6
Months
.
Ended
11/30/22
..
Year
..
..
Ended
.
3/16/20
(1)
Through
5/31/20
5/31/22
5/31/21
NET
ASSET
VALUE
Beginning
of
period
$
1
.00‌
$
1
.00‌
$
1
.00‌
$
1
.00‌
Investment
activities
Net
investment
income
(2)(3)
0
.01‌
—‌
(4)
—‌
(4)
—‌
(4)
Net
realized
and
unrealized
gain/loss
—‌
(4)
—‌
(4)
—‌
(4)
—‌
(4)
Total
from
investment
activities
0
.01‌
—‌
(4)
—‌
(4)
—‌
(4)
Distributions
Net
investment
income
(
0
.01‌
)
—‌
(4)
—‌
(4)
—‌
(4)
NET
ASSET
VALUE
End
of
period
$
1
.00‌
$
1
.00‌
$
1
.00‌
$
1
.00‌
Ratios/Supplemental
Data
Total
return
(3)(5)
1
.23‌
%
0
.16‌
%
0
.16‌
%
0
.08‌
%
Ratios
to
average
net
assets:
(3)
Gross
expenses
before
waivers/payments
by
Price
Associates
0
.19‌
%
(6)
0
.19‌
%
0
.27‌
%
0
.32‌
%
(6)
Net
expenses
after
waivers/payments
by
Price
Associates
0
.00‌
%
(6)
0
.00‌
%
0
.00‌
%
0
.00‌
%
(6)
Net
investment
income
2
.54‌
%
(6)
0
.14‌
%
0
.15‌
%
0
.33‌
%
(6)
Net
assets,
end
of
period
(in
millions)
$5,041
$3,587
$2,788
$3,239
0‌
%
0‌
%
0‌
%
0‌
%
(1)
Inception
date
(2)
Per
share
amounts
calculated
using
average
shares
outstanding
method.
(3)
See
Note
5
for
details
of
expense-related
arrangements
with
Price
Associates.
(4)
Amounts
round
to
less
than
$0.01
per
share.
(5)
Total
return
reflects
the
rate
that
an
investor
would
have
earned
on
an
investment
in
the
fund
during
each
period,
assuming
reinvestment
of
all
distributions,
and
payment
of
no
redemption
or
account
fees,
if
applicable.
Total
return
is
not
annualized
for
periods
less
than
one
year.
(6)
Annualized
T.
ROWE
PRICE
U.S.
Treasury
Money
Fund
November
30,
2022
(Unaudited)
33
Portfolio
of
Investments
‡
Par
$
Value
(Amounts
in
000s)
‡
U.S.
TREASURY
DEBT
23.4%
U.S.
Treasury
Bills,
2.352%,
12/8/22 
122,840‌
122,784‌
U.S.
Treasury
Bills,
2.532%,
12/29/22 
29,200‌
29,143‌
U.S.
Treasury
Bills,
2.867%,
12/13/22 
47,700‌
47,655‌
U.S.
Treasury
Bills,
2.881%,
12/6/22 
148,300‌
148,241‌
U.S.
Treasury
Bills,
2.892%,
2/2/23 
130,000‌
129,352‌
U.S.
Treasury
Bills,
2.953%,
1/19/23 
70,000‌
69,723‌
U.S.
Treasury
Bills,
2.964%,
1/26/23 
136,420‌
135,800‌
U.S.
Treasury
Bills,
3.096%,
7/13/23 
374,500‌
367,503‌
U.S.
Treasury
Bills,
3.115%,
6/15/23 
59,350‌
58,374‌
U.S.
Treasury
Bills,
3.527%,
3/16/23 
112,000‌
110,868‌
U.S.
Treasury
Bills,
3.711%,
12/20/22 
153,540‌
153,241‌
U.S.
Treasury
Bills,
3.941%,
2/14/23 
230,295‌
228,429‌
U.S.
Treasury
Bills,
4.201%,
2/21/23 
380,305‌
376,716‌
U.S.
Treasury
Bills,
4.435%,
5/11/23 
91,200‌
89,430‌
U.S.
Treasury
Bills,
4.517%,
4/4/23 
127,900‌
126,018‌
U.S.
Treasury
Bills,
4.542%,
5/18/23 
150,700‌
147,577‌
U.S.
Treasury
Bills,
4.581%,
10/5/23 
94,000‌
90,471‌
U.S.
Treasury
Bills,
4.67%,
6/1/23 
100,000‌
97,694‌
U.S.
Treasury
Bills,
4.735%,
11/2/23 
44,800‌
42,909‌
U.S.
Treasury
Notes,
FRN,
3M
UST
+
0.029%,
4.361%,
7/31/23 
166,200‌
166,202‌
U.S.
Treasury
Notes,
FRN,
3M
UST
+
0.034%,
4.366%,
4/30/23 
152,800‌
152,801‌
U.S.
Treasury
Notes,
FRN,
3M
UST
+
0.035%,
4.367%,
10/31/23 
45,540‌
45,540‌
U.S.
Treasury
Notes,
FRN,
3M
UST
+
0.049%,
4.381%,
1/31/23 
137,349‌
137,350‌
U.S.
Treasury
Notes,
FRN,
3M
UST
+
0.14%,
4.419%,
10/31/24 
84,500‌
84,373‌
Total
U.S.
Treasury
Debt
(Cost
$3,158,194)
3,158,194‌
U.S.
TREASURY
REPURCHASE
AGREEMENT
78.3%(1)
BNY
Mellon,
Bilateral,
Dated
11/30/22,
3.80%,
Delivery
Value
of
$238,025,122
on
12/1/22,
Collateralized
by
U.S.
Government
securities,
1.875%,
2/28/27,
valued
at
$242,760,051 
238,000‌
238,000‌
Credit
Agricole,
Tri-Party,
Dated
11/30/22,
3.79%,
Delivery
Value
of
$4,860,512
on
12/1/22,
Collateralized
by
U.S.
Government
securities,
0.625%,
2/15/43,
valued
at
$4,957,229 
4,860‌
4,860‌
Federal
Reserve
Bank
of
New
York,
Tri-Party,
Dated
11/30/22,
3.80%,
Delivery
Value
of
$10,041,059,778
on
12/1/22,
Collateralized
by
U.S.
Government
securities,
0.13%
-
3.13%,
8/15/23
-
2/15/32,
valued
at
$10,041,059,841 
10,040,000‌
10,040,000‌
T.
ROWE
PRICE
U.S.
Treasury
Money
Fund
33
T.
ROWE
PRICE
U.S.
Treasury
Money
Fund
34
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Par
$
Value
(Amounts
in
000s)
State
Street,
Bilateral,
Dated
11/30/22,
3.80%,
Delivery
Value
of
$261,027,550
on
12/1/22,
Collateralized
by
U.S.
Government
securities,
2.75%
-
4.00%,
4/30/29
-
10/31/29,
valued
at
$266,220,069 
261,000‌
261,000‌
Total
U.S.
Treasury
Repurchase
Agreement
(Cost
$10,543,860)
10,543,860‌
Total
Investments
in
Securities
101.7%
of
Net
Assets
(Cost
$13,702,054)
$
13,702,054‌
‡
Par
is
denominated
in
U.S.
dollars
unless
otherwise
noted.
(1)
See
Note
3.
Collateralized
by
U.S.
government
securities
valued
at
$10,554,997
at
November
30,
2022.
3M
UST
Three
month
U.S.
Treasury
bill
yield
FRN
Floating
Rate
Note
T.
ROWE
PRICE
U.S.
Treasury
Money
Fund
November
30,
2022
(Unaudited)
Statement
of
Assets
and
Liabilities
35
($000s,
except
shares
and
per
share
amounts)
Assets
Investments
in
securities,
at
value
(cost
$13,702,054)
$
13,702,054‌
Receivable
for
shares
sold
22,402‌
Interest
receivable
3,254‌
Due
from
affiliates
324‌
Cash
4‌
Other
assets
89‌
Total
assets
13,728,127‌
Liabilities
Payable
for
investment
securities
purchased
223,712‌
Payable
for
shares
redeemed
23,374‌
Investment
management
fees
payable
1,981‌
Payable
to
directors
6‌
Other
liabilities
1,716‌
Total
liabilities
250,789‌
NET
ASSETS
$
13,477,338‌
T.
ROWE
PRICE
U.S.
Treasury
Money
Fund
November
30,
2022
(Unaudited)
Statement
of
Assets
and
Liabilities
36
($000s,
except
shares
and
per
share
amounts)
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
Net
Assets
Consist
of:
Total
distributable
earnings
(loss)
$
(25‌)
Paid-in
capital
applicable
to
13,476,997,289
shares
of
$0.01
par
value
capital
stock
outstanding;
32,000,000,000
shares
of
the
Corporation
authorized
13,477,363‌
NET
ASSETS
$
13,477,338‌
NET
ASSET
VALUE
PER
SHARE
Investor
Class
($4,857,175,986
/
4,857,053,331
shares
outstanding)
$
1.00‌
I
Class
($3,579,364,535
/
3,579,273,942
shares
outstanding)
$
1.00‌
Z
Class
($5,040,797,572
/
5,040,670,016
shares
outstanding)
$
1.00‌
T.
ROWE
PRICE
U.S.
Treasury
Money
Fund
(Unaudited)
Statement
of
Operations
37
($000s)
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
6
Months
Ended
11/30/22
Investment
Income
(Loss)
Income
    Interest
$
162,591‌
Other
1‌
Total
income
162,592‌
Expenses
Investment
management
11,785‌
Shareholder
servicing
Investor
Class
$
2,850‌
I
Class
321‌
3,171‌
Prospectus
and
shareholder
reports
Investor
Class
145‌
I
Class
630‌
Z
Class
1‌
776‌
Custody
and
accounting
193‌
Registration
91‌
Directors
17‌
Legal
and
audit
13‌
Miscellaneous
17‌
Waived
/
paid
by
Price
Associates
(
4,704‌
)
Total
expenses
11,359‌
Net
investment
income
151,233‌
Realized
and
Unrealized
Gain
/
Loss
–
Net
realized
gain
on
securities
47‌
INCREASE
IN
NET
ASSETS
FROM
OPERATIONS
$
151,280‌
T.
ROWE
PRICE
U.S.
Treasury
Money
Fund
(Unaudited)
Statement
of
Changes
in
Net
Assets
38
($000s)
The
accompanying
notes
are
an
integral
part
of
these
financial
statements.
6
Months
Ended
11/30/22
Year
Ended
5/31/22
Increase
(Decrease)
in
Net
Assets
Operations
Net
investment
income
$
151,233‌
$
9,354‌
Net
realized
gain
47‌
12‌
Increase
in
net
assets
from
operations
151,280‌
9,366‌
Distributions
to
shareholders
Net
earnings
Investor
Class
(
51,571‌
)
(
1,946‌
)
I
Class
(
37,779‌
)
(
1,669‌
)
Z
Class
(
61,883‌
)
(
5,884‌
)
Decrease
in
net
assets
from
distributions
(
151,233‌
)
(
9,499‌
)
Capital
share
transactions
*
Shares
sold
Investor
Class
2,557,394‌
5,655,227‌
I
Class
1,407,159‌
2,848,091‌
Z
Class
13,178,565‌
25,914,303‌
Distributions
reinvested
Investor
Class
50,708‌
1,907‌
I
Class
37,315‌
1,650‌
Z
Class
61,883‌
5,884‌
Shares
redeemed
Investor
Class
(
2,756,194‌
)
(
6,065,325‌
)
I
Class
(
977,792‌
)
(
1,765,221‌
)
Z
Class
(
11,786,685‌
)
(
25,121,405‌
)
Increase
in
net
assets
from
capital
share
transactions
1,772,353‌
1,475,111‌
Net
Assets
Increase
during
period
1,772,400‌
1,474,978‌
Beginning
of
period
11,704,938‌
10,229,960‌
End
of
period
$
13,477,338‌
$
11,704,938‌
*
Capital
share
transactions
at
net
asset
value
of
$1.00
per
share.
T.
ROWE
PRICE
U.S.
Treasury
Money
Fund
Unaudited
NOTES
TO
FINANCIAL
STATEMENTS
39
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
seeks
maximum
preservation
of
capital
and
liquidity
and,
consistent
with
these
goals,
the
highest
possible
current
income.
The
fund
intends
to
operate
as
a
government
money
market
fund
and
has
no
intention
to
voluntarily impose
liquidity
fees
on
redemptions
or
temporarily
suspend
redemptions.
The
fund
has
three classes
of
shares:
the
U.S.
Treasury
Money
Fund
(Investor
Class),
the
U.S.
Treasury
Money
Fund–I
Class
(I
Class)
and
the
U.S.
Treasury
Money
Fund–Z
Class
(Z
Class).
I
Class
shares
require
a
$500,000
initial
investment
minimum,
although
the
minimum
generally
is
waived
or
reduced
for
financial
intermediaries,
eligible
retirement
plans,
and
certain
other
accounts.
Prior
to
November
15,
2021,
the
initial
investment
minimum
was
$1
million
and
was
generally
waived
for
financial
intermediaries,
eligible
retirement
plans,
and
other
certain
accounts.
As
a
result
of
the
reduction
in
the
I
Class
minimum,
certain
assets
transferred
from
the
Investor
Class
to
the
I
Class.
This
transfer
of
shares
from
Investor
Class
to
I
Class
is
reflected
in
the
Statement
of
Changes
in
Net
Assets
within
the
Capital
shares
transactions
as
Shares
redeemed
and
Shares
sold,
respectively.
The
Z
Class
is
only
available
to
funds
advised
by
T.
Rowe
Price
Associates,
Inc.
and
its
affiliates
and
other
clients
that
are
subject
to
a
contractual
fee
for
investment
management
services. Each
class
has
exclusive
voting
rights
on
matters
related
solely
to
that
class;
separate
voting
rights
on
matters
that
relate
to
all
classes;
and,
in
all
other
respects,
the
same
rights
and
obligations
as
the
other
classes.
NOTE
1
-
SIGNIFICANT
ACCOUNTING
POLICIES 
Basis
of
Preparation
 The fund
is
an
investment
company
and
follows
accounting
and
reporting
guidance
in
the
Financial
Accounting
Standards
Board
(FASB)
Accounting
Standards
Codification
Topic
946
(ASC
946).
The
accompanying
financial
statements
were
prepared
in
accordance
with
accounting
principles
generally
accepted
in
the
United
States
of
America
(GAAP),
including,
but
not
limited
to,
ASC
946.
GAAP
requires
the
use
of
estimates
made
by
management.
Management
believes
that
estimates
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.
T.
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PRICE
U.S.
Treasury
Money
Fund
40
Investment
Transactions,
Investment
Income,
and
Distributions
Investment
transactions
are
accounted
for
on
the
trade
date
basis.
Income
and
expenses
are
recorded
on
the
accrual
basis.
Realized
gains
and
losses
are
reported
on
the
identified
cost
basis.
Premiums
and
discounts
on
debt
securities
are
amortized
for
financial
reporting
purposes.
Income
tax-related
interest
and
penalties,
if
incurred,
are
recorded
as
income
tax
expense.
Distributions
to
shareholders
are
recorded
on
the
ex-dividend
date.
Income
distributions,
if
any, are
declared
by
each
class daily
and
paid
monthly.
A
capital
gain
distribution,
if
any, may
also
be
declared
and
paid
by
the
fund
annually.
Class
Accounting
 Shareholder
servicing,
prospectus,
and
shareholder
report
expenses
incurred
by
each
class
are
charged
directly
to
the
class
to
which
they
relate.
Expenses
common
to all classes
and
investment
income
are
allocated
to
the
classes
based
upon
the
relative
daily
net
assets
of
each
class’s
settled
shares;
realized
and
unrealized
gains
and
losses
are
allocated
based
upon
the
relative
daily
net
assets
of
each
class’s
outstanding
shares.
Capital
Transactions
 Each
investor’s
interest
in
the
net
assets
of the
fund
is
represented
by
fund
shares. The
fund’s
net
asset
value
(NAV)
per
share
is
computed
at
the
close
of
the
New
York
Stock
Exchange
(NYSE),
normally
4
p.m.
ET,
each
day
the
NYSE
is
open
for
business.
However,
the
NAV
per
share
may
be
calculated
at
a
time
other
than
the
normal
close
of
the
NYSE
if
trading
on
the
NYSE
is
restricted,
if
the
NYSE
closes
earlier,
or
as
may
be
permitted
by
the
SEC.
Purchases
and
redemptions
of
fund
shares
are
transacted
at
the
next-computed
NAV
per
share,
after
receipt
of
the
transaction
order
by
T.
Rowe
Price
Associates,
Inc.,
or
its
agents.
New
Accounting
Guidance
The
FASB
issued
Accounting
Standards
Update
(ASU),
ASU
2020–04,
Reference
Rate
Reform
(Topic
848) –
Facilitation
of
the
Effects
of
Reference
Rate
Reform
on
Financial
Reporting
in
March
2020
and
ASU
2021-01
in
January
2021
which
provided
further
amendments
and
clarifications
to
Topic
848.
These
ASUs provide
optional,
temporary
relief
with
respect
to
the
financial
reporting
of
contracts
subject
to
certain
types
of
modifications
due
to
the
planned
discontinuation
of
the
London
Interbank
Offered
Rate
(LIBOR),
and
other
interbank-offered
based
reference
rates,
through December
31,
2022.
Management
intends
to
rely
upon
the
relief
provided
under
Topic
848,
which
is
not
expected to
have
a
material
impact
on
the fund's
financial  statements.
Indemnification
 In
the
normal
course
of
business, the
fund
may
provide
indemnification
in
connection
with
its
officers
and
directors,
service
providers,
and/or
private
company
investments. The
fund’s
maximum
exposure
under
these
arrangements
is
unknown;
however,
the
risk
of
material
loss
is
currently
considered
to
be
remote.
T.
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PRICE
U.S.
Treasury
Money
Fund
41
NOTE
2
-
VALUATION 
The
fund’s
financial
instruments
are
valued
at
the
close
of
the
NYSE
and
are
reported
at
fair
value,
which
GAAP
defines
as
the
price
that
would
be
received
to
sell
an
asset
or
paid
to
transfer
a
liability
in
an
orderly
transaction
between
market
participants
at
the
measurement
date.
Assets
and
liabilities
other
than
financial
instruments,
including
short-term
receivables
and
payables,
are
carried
at
cost,
or
estimated
realizable
value,
if
less,
which
approximates
fair
value.
The
fund’s
Board
of
Directors
(the
Board)
has
designated
T.
Rowe
Price
Associates,
Inc.
as
the
fund’s
valuation
designee
(Valuation
Designee).
Subject
to
oversight
by
the
Board,
the
Valuation
Designee
performs
the
following
functions
in
performing
fair
value
determinations:
assesses
and
manages
valuation risks;
establishes
and
applies
fair
value
methodologies;
tests
fair
value
methodologies;
and
evaluates
pricing
vendors
and
pricing
agents.
The
duties
and
responsibilities
of
the
Valuation
Designee
are
performed
by
its
Valuation
Committee.
The
Valuation
Designee
provides
periodic
reporting
to
the
Board
on
valuation
matters.
Various
valuation
techniques
and
inputs
are
used
to
determine
the
fair
value
of
financial
instruments.
GAAP
establishes
the
following
fair
value
hierarchy
that
categorizes
the
inputs
used
to
measure
fair
value:
Level
1 – quoted
prices
(unadjusted)
in
active
markets
for
identical
financial
instruments
that
the
fund
can
access
at
the
reporting
date
Level
2 – inputs
other
than
Level
1
quoted
prices
that
are
observable,
either
directly
or
indirectly
(including,
but
not
limited
to,
quoted
prices
for
similar
financial
instruments
in
active
markets,
quoted
prices
for
identical
or
similar
financial
instruments
in
inactive
markets,
interest
rates
and
yield
curves,
implied
volatilities,
and
credit
spreads)
Level
3 – unobservable
inputs
(including
the Valuation
Designee’s
assumptions
in
determining
fair
value)
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.
T.
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PRICE
U.S.
Treasury
Money
Fund
42
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
Designee,
in
accordance
with
fair
valuation
policies
and
procedures.
On
November
30,
2022,
all
of
the
fund’s
financial
instruments
were
classified
as
Level
2
in
the
fair
value
hierarchy.
NOTE
3
-
OTHER
INVESTMENT
TRANSACTIONS 
Consistent
with
its
investment
objective,
the
fund
engages
in
the
following
practices
to
manage
exposure
to
certain
risks
and/or
to
enhance
performance.
The
investment
objective,
policies,
program,
and
risk
factors
of
the
fund
are
described
more
fully
in
the
fund’s
prospectus
and
Statement
of
Additional
Information.
Repurchase
Agreements
 The
fund
engages
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.
The
fund
enters
into
such
agreements
with
well-established
securities
dealers
or
banks
that
are
members
of
the
Federal
Reserve
System
and
are
on
Price
Associates' approved
list.
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.
LIBOR
Transition
 The fund
may
invest
in
instruments
that
are
tied
to
reference
rates,
including
LIBOR.
Over
the
course
of
the
last
several
years,
global
regulators
have
indicated
an
intent
to
phase
out
the
use
of
LIBOR
and
similar
interbank
offered
rates
(IBOR).
While
publication
for
most
LIBOR
currencies
and
lesser-used
USD
LIBOR
settings
ceased
immediately
after
December
31,
2021,
remaining
USD
LIBOR
settings
will
continue
to
be
published
until
June
30,
2023.
There
remains
uncertainty
regarding
the
future
utilization
of
LIBOR
and
the
nature
of
any
replacement
rate.
Any
potential
effects
of
the
transition
away
from
LIBOR
on
the fund,
or
on
certain
instruments
in
which
the fund
invests,
cannot
yet
be
determined.
The
transition
process
may
result
in,
among
other
things,
an
increase
in
volatility
or
illiquidity
of
markets
for
instruments
that
currently
rely
on
LIBOR,
a
reduction
in
the
value
of
certain
instruments
held
by
the fund,
or
a
reduction
in
the
effectiveness
of
related
fund
transactions
such
as
hedges.
Any
such
effects
could
have
an
adverse
impact
on
the fund's
performance.
T.
ROWE
PRICE
U.S.
Treasury
Money
Fund
43
NOTE
4
-
FEDERAL
INCOME
TAXES
No
provision
for
federal
income
taxes
is
required
since
the
fund
intends
to
continue
to
qualify
as
a
regulated
investment
company
under
Subchapter
M
of
the
Internal
Revenue
Code
and
distribute
to
shareholders
all
of
its
taxable
income
and
gains.
Distributions
determined
in
accordance
with
federal
income
tax
regulations
may
differ
in
amount
or
character
from
net
investment
income
and
realized
gains
for
financial
reporting
purposes.
Financial
reporting
records
are
adjusted
for
permanent
book/tax
differences
to
reflect
tax
character
but
are
not
adjusted
for
temporary
differences.
The
amount
and
character
of
tax-basis
distributions
and
composition
of
net
assets
are
finalized
at
fiscal
year-end;
accordingly,
tax-basis
balances
have
not
been
determined
as
of
the
date
of
this
report.
At
November
30,
2022,
the
cost
of
investments
for
federal
income
tax
purposes
was  $13,702,054,000.
NOTE
5
-
RELATED
PARTY
TRANSACTIONS
The
fund
is
managed
by
T.
Rowe
Price
Associates,
Inc.
(Price
Associates),
a
wholly
owned
subsidiary
of
T.
Rowe
Price
Group,
Inc.
(Price
Group). 
The
investment
management
agreement
between
the
fund
and
Price
Associates
provides
for
an
annual
investment
management
fee
equal
to 0.18%
of
the
fund’s
average
daily
net
assets.
The
fee
is
computed
daily
and
paid
monthly.
The
I
Class
is
subject
to
an
operating
expense
limitation
(I
Class
Limit)
pursuant
to
which
Price
Associates
is
contractually
required
to
pay
all
operating
expenses
of
the
I
Class,
excluding
management
fees;
interest;
expenses
related
to
borrowings,
taxes,
and
brokerage; non-recurring,
extraordinary expenses; and
acquired
fund
fees
and
expenses, to
the
extent
such
operating
expenses,
on
an
annualized
basis,
exceed
the
I
Class
Limit. This
agreement
will
continue
through
the
expense
limitation
date
indicated
in
the
table
below,
and
may
be
renewed,
revised,
or
revoked
only
with
approval
of
the
fund’s
Board.
The
I
Class
is
required
to
repay
Price
Associates
for
expenses
previously
paid
to
the
extent
the
class’s
net
assets
grow
or
expenses
decline
sufficiently
to
allow
repayment
without
causing
the
class’s
operating
expenses
(after
the
repayment
is
taken
into
account)
to
exceed
the
lesser
of:
(1)
the
I
Class
Limit
in
place
at
the
time
such
amounts
were
paid;
or
(2)
the
current
I
Class
Limit.
However,
no
repayment
will
be
made
more
than
three
years
after
the
date
of
a
payment
or
waiver.
The
Z
Class
is
also
subject
to
a
contractual
expense
limitation
agreement
whereby
Price
Associates
has
agreed
to
waive
and/or
bear
all
of
the
Z
Class’
expenses
(excluding
interest;
expenses
related
to
borrowings,
taxes,
and
brokerage;
non-recurring,
T.
ROWE
PRICE
U.S.
Treasury
Money
Fund
44
extraordinary
expenses;
and
acquired
fund
fees
and
expenses)
in
their
entirety.
This
fee
waiver
and/or
expense
reimbursement
arrangement
is
expected
to
remain
in
place
indefinitely,
and
the
agreement
may
only
be
amended
or
terminated
with
approval
by
the
fund’s
Board.
Expenses
of
the
fund
waived/paid
by
the
manager
are
not
subject
to
later
repayment
by
the
fund.
Pursuant
to
these
agreements,
expenses
were
waived/paid
by
and/or
repaid
to
Price
Associates
during
the
six
months ended November
30,
2022
as
indicated
in
the
table
below.
Including these
amounts,
expenses
previously
waived/paid
by
Price
Associates
in
the
amount
of $1,090,000 remain
subject
to
repayment
by
the
fund
at
November
30,
2022.
Any
repayment
of
expenses
previously
waived/paid
by
Price
Associates
during
the
period
would
be
included
in
the
net
investment
income
and
expense
ratios
presented
on
the
accompanying
Financial
Highlights.
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).
This
voluntary
waiver
is
in
addition
to
the
contractual
expense
limit
in
effect
for
the
fund. 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,
2022,
the
fund
had
no
voluntary
waivers.
In
addition,
the
fund
has
entered
into
service
agreements
with
Price
Associates
and
two
wholly
owned
subsidiaries
of
Price
Associates,
each
an
affiliate
of
the
fund
(collectively,
Price).
Price
Associates
provides
certain
accounting
and
administrative
services
to
the
fund.
T.
Rowe
Price
Services,
Inc.
provides
shareholder
and
administrative
services
in
its
capacity
as
the
fund’s
transfer
and
dividend-disbursing
agent.
T.
Rowe
Price
Retirement
Plan
Services,
Inc.
provides
subaccounting
and
recordkeeping
services
for
certain
retirement
accounts
invested
in
the
Investor
Class.
For
the
six
months ended
November
30,
2022,
expenses
incurred
pursuant
to
these
service
agreements
were
$50,000 for
Price
Associates;
$2,003,000 for
T.
Rowe
Price
Services,
Inc.;
and
I
Class
Z
Class
Expense
limitation/I
Class
Limit
0.05%
0.00%
Expense
limitation
date
09/30/23
N/A
(Waived)/repaid
during
the
period
($000s)
$(193)
$(4,511)
T.
ROWE
PRICE
U.S.
Treasury
Money
Fund
45
$265,000 for
T.
Rowe
Price
Retirement
Plan
Services,
Inc.
All
amounts
due
to
and
due
from
Price,
exclusive
of
investment
management
fees
payable,
are
presented
net
on
the
accompanying
Statement
of
Assets
and
Liabilities.
Additionally,
the
fund
is
one
of
several
mutual
funds
in
which
certain
college
savings
plans
managed
by
Price
Associates may
invest.
As
approved
by
the
fund’s
Board
of
Directors,
shareholder
servicing
costs
associated
with
each
college
savings
plan
are
borne
by
the
fund
in
proportion
to
the
average
daily
value
of
its
shares
owned
by
the
college
savings
plan.
Price
has
agreed
to waive/reimburse
shareholder
servicing
costs in
excess
of
0.05%
of
the
fund’s
average
daily
value
of
its
shares
owned
by
the
college
savings
plan.
Any
amounts
waived/paid
by
Price
under
this
voluntary
agreement
are
not
subject
to
repayment
by
the
fund.
Price
may
amend
or
terminate
this
voluntary
arrangement
at
any
time
without
prior
notice.
For
the
six
months ended
November
30,
2022,
the
fund
was
charged $236,000 for
shareholder
servicing
costs
related
to
the
college
savings
plans, of
which
$74,000
was
for
services
provided
by
Price.
All
amounts
due
to
and
due
from
Price,
exclusive
of
investment
management
fees
payable,
are
presented
net
on
the
accompanying
Statement
of
Assets
and
Liabilities. At
November
30,
2022,
approximately 22%
of
the
outstanding
shares
of
the
I
Class
were
held
by
college
savings
plans.
Mutual
funds,
trusts,
and
other
accounts
managed
by
Price
Associates
or
its
affiliates
(collectively,
Price
Funds
and
accounts)
may
invest
in
the
fund.
No
Price
fund
or
account
may
invest
for
the
purpose
of
exercising
management
or
control
over
the
fund.
At
November
30,
2022,
approximately
100%
of
the
Z
Class’s
outstanding
shares
were
held
by
Price
Funds
and
accounts.
The
fund may
participate
in
securities
purchase
and
sale
transactions
with
other
funds
or
accounts
advised
by
Price
Associates
(cross
trades),
in
accordance
with
procedures
adopted
by the
fund’s
Board
and
Securities
and
Exchange
Commission
rules,
which
require,
among
other
things,
that
such
purchase
and
sale
cross
trades
be
effected
at
the
independent
current
market
price
of
the
security.
During
the
six
months ended
November
30,
2022,
the
fund
had
no
purchases
or
sales
cross
trades
with
other
funds
or
accounts
advised
by
Price
Associates.
NOTE
6
-
OTHER
MATTERS
Unpredictable
events
such
as
environmental
or
natural
disasters,
war,
terrorism,
pandemics,
outbreaks
of
infectious
diseases,
and
similar
public
health
threats
may
significantly
affect
the
economy
and
the
markets
and
issuers
in
which
a
fund
invests.
Certain
events
may
cause
instability
across
global
markets,
including
reduced
liquidity
T.
ROWE
PRICE
U.S.
Treasury
Money
Fund
46
and
disruptions
in
trading
markets,
while
some
events
may
affect
certain
geographic
regions,
countries,
sectors,
and
industries
more
significantly
than
others,
and
exacerbate
other
pre-existing
political,
social,
and
economic
risks.
Since
2020,
a
novel
strain
of
coronavirus
(COVID-19)
has
resulted
in
disruptions
to
global
business
activity
and
caused
significant
volatility
and
declines
in
global
financial
markets.
In
February
2022,
Russian
forces
entered
Ukraine
and
commenced
an
armed
conflict
leading
to
economic
sanctions
being
imposed
on
Russia
and
certain
of
its
citizens,
creating
impacts
on
Russian-related
stocks
and
debt
and
greater
volatility
in
global
markets.
These
are
recent
examples
of
global
events
which
may
have
a
negative
impact
on
the
values
of
certain
portfolio
holdings
or
the
fund’s
overall
performance.
Management
is
actively
monitoring
the
risks
and
financial
impacts
arising
from
these
events.
T.
ROWE
PRICE
U.S.
Treasury
Money
Fund
47
INFORMATION
ON
PROXY
VOTING
POLICIES,
PROCEDURES,
AND
RECORDS
A
description
of
the
policies
and
procedures
used
by
T.
Rowe
Price
funds
to
determine
how
to
vote
proxies
relating
to
portfolio
securities
is
available
in
each
fund’s
Statement
of
Additional
Information.
You
may
request
this
document
by
calling
1-800-225-5132
or
by
accessing
the
SEC’s
website,
sec.gov.
The
description
of
our
proxy
voting
policies
and
procedures
is
also
available
on
our
corporate
website.
To
access
it,
please
visit
the
following
Web
page:
https://www.troweprice.com/corporate/us/en/utility/policies.html
Scroll
down
to
the
section
near
the
bottom
of
the
page
that
says,
“Proxy
Voting
Guidelines.”
Click
on
the
links
in
the
shaded
box.
Each
fund’s
most
recent
annual
proxy
voting
record
is
available
on
our
website
and
through
the
SEC’s
website.
To
access
it
through
T.
Rowe
Price,
visit
the
website
location
shown
above,
and
scroll
down
to
the
section
near
the
bottom
of
the
page
that
says,
“Proxy
Voting
Records.”
Click
on
the
Proxy
Voting
Records
link
in
the
shaded
box.
HOW
TO
OBTAIN
QUARTERLY
PORTFOLIO
HOLDINGS
The
fund
files
its
complete
schedule
of
portfolio
holdings
with
the
Securities
and
Exchange
Commission
(SEC)
each
month
on
Form
N-MFP. The
fund’s
reports
on
Form
N-MFP
are
available on
the
SEC’s
website
(sec.gov).
In
addition,
most
T.
Rowe
Price
funds
disclose
their portfolio
holdings
information
on
troweprice.com
.
T.
ROWE
PRICE
U.S.
Treasury
Money
Fund
48
LIQUIDITY
RISK
MANAGEMENT
PROGRAM
In
accordance
with
Rule
22e-4
(Liquidity
Rule)
under
the
Investment
Company
Act
of
1940,
as
amended,
the
fund
has
established
a
liquidity
risk
management
program
(Liquidity
Program)
reasonably
designed
to
assess
and
manage
the
fund’s
liquidity
risk,
which
generally
represents
the
risk
that
the
fund
would
not
be
able
to
meet
redemption
requests
without
significant
dilution
of
remaining
investors’
interests
in
the
fund.
The
fund’s
Board
of
Directors
(Board)
has
appointed
the
fund’s
investment
adviser,
T.
Rowe
Price
Associates,
Inc.
(Adviser),
as
the
administrator
of
the
Liquidity
Program.
As
administrator,
the
Adviser
is
responsible
for
overseeing
the
day-to-day
operations
of
the
Liquidity
Program
and,
among
other
things,
is
responsible
for
assessing,
managing,
and
reviewing
with
the
Board
at
least
annually
the
liquidity
risk
of
each
T.
Rowe
Price
fund.
The
Adviser
has
delegated
oversight
of
the
Liquidity
Program
to
a
Liquidity
Risk
Committee
(LRC),
which
is
a
cross-functional
committee
composed
of
personnel
from
multiple
departments
within
the
Adviser.
The
Liquidity
Program’s
principal
objectives
include
supporting
the
T.
Rowe
Price
funds’
compliance
with
limits
on
investments
in
illiquid
assets
and
mitigating
the
risk
that
the
fund
will
be
unable
to
timely
meet
its
redemption
obligations.
The
Liquidity
Program
also
includes
a
number
of
elements
that
support
the
management
and
assessment
of
liquidity
risk,
including
an
annual
assessment
of
factors
that
influence
the
fund’s
liquidity
and
the
periodic
classification
and
reclassification
of
a
fund’s
investments
into
categories
that
reflect
the
LRC’s
assessment
of
their
relative
liquidity
under
current
market
conditions.
Under
the
Liquidity
Program,
every
investment
held
by
the
fund
is
classified
at
least
monthly
into
one
of
four
liquidity
categories
based
on
estimations
of
the
investment’s
ability
to
be
sold
during
designated
time
frames
in
current
market
conditions
without
significantly
changing
the
investment’s
market
value.
As
required
by
the
Liquidity
Rule,
at
a
meeting
held
on
July
25,
2022,
the
Board
was
presented
with
an
annual
assessment
prepared
by
the
LRC,
on
behalf
of
the
Adviser,
that
addressed
the
operation
of
the
Liquidity
Program
and
assessed
its
adequacy
and
effectiveness
of
implementation,
including
any
material
changes
to
the
Liquidity
Program
and
the
determination
of
each
fund’s
Highly
Liquid
Investment
Minimum
(HLIM).
The
annual
assessment
included
consideration
of
the
following
factors,
as
applicable:
the
fund’s
investment
strategy
and
liquidity
of
portfolio
investments
during
normal
and
reasonably
foreseeable
stressed
conditions,
including
whether
the
investment
strategy
is
appropriate
for
an
open-end
fund,
the
extent
to
which
the
strategy
involves
a
relatively
concentrated
portfolio
or
large
positions
in
particular
issuers,
and
the
use
of
borrowings
for
investment
purposes
and
derivatives;
short-term
and
long-term
cash
flow
projections
covering
both
normal
and
reasonably
foreseeable
stressed
conditions;
and
holdings
of
cash
and
cash
equivalents,
as
well
as
available
borrowing
arrangements.
T.
ROWE
PRICE
U.S.
Treasury
Money
Fund
49
For
the
fund
and
other
T.
Rowe
Price
funds,
the
annual
assessment
incorporated
a
report
related
to
a
fund’s
holdings,
shareholder
and
portfolio
concentration,
any
borrowings
during
the
period,
cash
flow
projections,
and
other
relevant
data
for
the
period
of
April
1,
2021,
through
March
31,
2022.
The
report
described
the
methodology
for
classifying
a
fund’s
investments
(including
any
derivative
transactions)
into
one
of
four
liquidity
categories,
as
well
as
the
percentage
of
a
fund’s
investments
assigned
to
each
category.
It
also
explained
the
methodology
for
establishing
a
fund’s
HLIM
and
noted
that
the
LRC
reviews
the
HLIM
assigned
to
each
fund
no
less
frequently
than
annually.
During
the
period
covered
by
the
annual
assessment,
the
LRC
has
concluded,
and
reported
to
the
Board,
that
the
Liquidity
Program
continues
to
operate
adequately
and
effectively
and
is
reasonably
designed
to
assess
and
manage
the
fund’s
liquidity
risk.
LIQUIDITY
RISK
MANAGEMENT
PROGRAM
(continued)
T.
Rowe
Price
Investment
Services,
Inc.
|
100
East
Pratt
Street
|
Baltimore,
MD
21202-1009
You
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RETIREMENT
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Roth,
Rollover/Transfer,
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Rowe
Price
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GENERAL
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Gifts
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child
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Trust
Transfer
on
Death
COLLEGE
SAVINGS
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Rowe
Price-managed
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plans
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Visit
troweprice.com/broadrange
Call
1-800-225-5132
to
request
a
prospectus
or
summary
prospectus;
each
includes
investment
objectives,
risks,
fees,
expenses,
and
other
information
that
you
should
read
and
consider
carefully
before
investing.
All
mutual
funds
are
subject
to
market
risk,
including
possible
loss
of
principal.
Investing
internationally
involves
special
risks
including
economic
and
political
uncertainty
and
currency
fluctuation.
1
The
T.
Rowe
Price
®
ActivePlus
Portfolios
is
a
discretionary
investment
management
program
provided
by
T.
Rowe
Price
Advisory
Services,
Inc.,
a
registered
investment
adviser
under
the
Investment
Advisers
Act
of
1940.
Brokerage
services
are
provided
by
T.
Rowe
Price
Investment
Services,
Inc.,
member
FINRA/SIPC.
Brokerage
accounts
are
carried
by
Pershing
LLC,
a
BNY
Mellon
Company,
member
NYSE/FINRA/SIPC.
T.
Rowe
Price
Advisory
Services,
Inc.,
and
T.
Rowe
Price
Investment
Services,
Inc.,
are
affiliated
companies.
2
Brokerage
services
are
provided
by
T.
Rowe
Price
Investment
Services,
Inc.,
member
FINRA/SIPC.
Brokerage
accounts
are
carried
by
Pershing
LLC,
a
BNY
Mellon
Company,
member
NYSE/FINRA/SIPC.
F53-051
1/23

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

Not applicable.

Item 2. Code of Ethics.

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

Item 3. Audit Committee Financial Expert.

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

Item 4. Principal Accountant Fees and Services.

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

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

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

(b) Not applicable.

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

Not applicable.

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

Not applicable.

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

Not applicable.

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

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

 

Item 11. Controls and Procedures.

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

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

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

Not applicable.

Item 13. Exhibits.

 

(a)(1)    

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

     (2)    

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

     (3)    

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

(b)        

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

 

SIGNATURES

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

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

 

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

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

 

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

 

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