# EDGAR Filing Document

**Accession Number:** 0000853437
**File Stem:** 0001193125-23-013912
**Filing Date:** 2023-1
**Character Count:** 71065
**Document Hash:** 31626691c5f8d34a3c68ecbef63abf0f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-23-013912.hdr.sgml**: 20230124

**ACCESSION NUMBER**: 0001193125-23-013912

**CONFORMED SUBMISSION TYPE**: N-CSRS

**PUBLIC DOCUMENT COUNT**: 3

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230124

**DATE AS OF CHANGE**: 20230124

**EFFECTIVENESS DATE**: 20230124

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** T. Rowe Price U.S. Treasury Funds, Inc.
- **CENTRAL INDEX KEY:** 0000853437
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0531

**FILING VALUES:**
- **FORM TYPE:** N-CSRS
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05860
- **FILM NUMBER:** 23546700

**BUSINESS ADDRESS:**
- **STREET 1:** 100 EAST PRATT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21202
- **BUSINESS PHONE:** 410-345-2000

**MAIL ADDRESS:**
- **STREET 1:** 100 EAST PRATT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21202

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PRICE T ROWE U S TREASURY FUNDS INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### T. Rowe Price U.S. Treasury Intermediate Index Fund (Series ID: S000002167)

| Class ID   | Class Name                                                  | Ticker Symbol   |
|:---|:---|:---|
| C000005564 | T. Rowe Price U.S. Treasury Intermediate Index Fund         | PRTIX           |
| C000190630 | T. Rowe Price U.S. Treasury Intermediate Index Fund-I Class | PRKIX           |
| C000225819 | T. Rowe Price U.S. Treasury Intermediate Index Fund-Z Class | TRZTX           |

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**

T.RowePrice®

SEMIANNUAL REPORT

November 30, 2022

T. ROWE PRICE

# U.S. Treasury Funds

INVEST WITH CONFIDENCE®

- • 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.

For more insights from T. Rowe Price investment professionals, go to troweprice.com.

## Go Paperless

Sign up for e-delivery of your statements, confirmations, and prospectuses or shareholder reports.

TO ENROLL:

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If you invest through an investment advisor, a bank, or a brokerage firm, please contact that organization and ask if it can provide electronic documentation.

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**It's convenient**-access your important account documents whenever you need them.

**It's secure**-we protect your online accounts using "True Identity" to confirm new accounts and make verification faster and more secure.

**It can save you money**-where applicable, T. Rowe Price passes on the cost savings to fund holders.*

*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

## HIGHLIGHTS

Log in to your account at troweprice.com for more information.

Market Commentary

Within our U.S. Treasury Index Funds, we reduced non-benchmark allocations to Ginnie Mae mortgage-backed securities and continued in the mortgage market. Our fund's fiscal year, the six-month period ended November 30, 2017. With the Fed offering into a strong 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

T. ROWE PRICE U.S. TREASURY FUNDS

Dear Shareholder

1

might be easily helped spark a rally late in the period that partially offset
be forced to make the first and would not be able to make the first and would not be able to make the first and would not be able to make the first and would not be able to make the first and would not be able to make the first and would not be able to make the first and would not be able to make the first and would not be able to make the first and would not be able to make the first and would not be able to make the first and would not be able to make the first and would not be able

# T. ROWE PRICE U.S. TREASURY FUNDS

as shorter-maturity Treasuries experienced the largest yield increases. The

2

Management's Discussion of Fund Performance

Investment of the Company's operations, the housing market began to weaken as mortgage rates climbed to the communication various stocks struggled. Outside the U.S., most major country interest level is more than 20 years. Emerging markets stocks generally have been a major source of investment. The market has been a major source of investment. The market has been a major source of investment. The market has been a major source of investment. The market has been a major source of investment. The market has been a major source of investment. The market has been a major source of investment. The market has been a major source of investment. The market has been a major source of investment. The market has been a major source of investment. The market has been a major source of investment.

# FUND COMMENTARY

| Six-Month Period Ended 11/30/22 | Total Return |
| --- | --- |
| U.S. Treasury Money Fund | 1.07% |
| U.S. Treasury Money Fund - 1 Class | 1.11 |
| U.S. Treasury Money Fund - 2 Class | 1.23 |
| Lipper U.S. Treasury Money |  |

# T. ROWE PRICE U.S. TREASURY FUNDS

# U.S. TREASURY MONEY FUND

3

period, although hopes that inflation may have peaked led to rallies during the
monthly, respectively. The expected financial economy has been
held and the same as the previous year's growth. The
period of the year's growth is due to the increase in the growth of the
year's growth. The period of the year's growth is due to the increase in the
year's growth. The period of the year's growth is due to the increase in the
year's growth. The period of the year's growth is due to the increase in the
year's growth. The period of the year's growth is due to the increase in the
year's growth. The period of the year's growth is due to the increase in the
year's growth.

Market Funds Index

0/97

# T. ROWE PRICE U.S. TREASURY FUNDS

Thanks to a series of large interest rate hikes and continued hawkish rhetoric

4

How is the fund positioned?
In 2020, the fund's 2020 fund position focused on communication, fund
for the targeted to the the central State Army (Dunmore) Department of State
and the National Army. The fund's 2020 fund position focused on communication, fund
for the targeted to the the central State Army (Dunmore) Department of State
and the National Army. The fund's 2020 fund position focused on communication, fund
for the targeted to the the central State Army (Dunmore) Department of State
and the National Army. The fund's 2020 fund position focused on communication, fund
for the targeted to the the central State Army (Dunmore) Department of State
and the National Army.

| 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- |  |

# T. ROWE PRICE U.S. TREASURY FUNDS

Increases that take the fed funds rate to 5% and possibly higher. We would also

5

quickly to any changes in the interest rate outlook or other factors affecting
the progress, and whether the fund's performance trends to close the line funds
for future research are based on the results of the research and development of the
fund's performance trends to close the line funds for future research. The results of the
research and development of the fund's performance trends to close the line funds for future research.
The results of the research and development of the fund's performance trends to close the line funds
for future research are based on the results of the research and development of the fund's performance trends to close the line funds
for future research. The results of the research and development of the fund's performance trends to close the line funds
for future research are based on the results of the research and development of the fund's performance trends to close the line funds

| 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

central banks and December policy meeting after our reporting period ended.
INVESTIGATION OF THE WORLD'S FINEST INCOME
INVESTIGATION OF THE WORLD'S FINEST INCOME
INVESTIGATION OF THE WORLD'S FINEST INCOME
INVESTIGATION OF THE WORLD'S FINEST INCOME
INVESTIGATION OF THE WORLD'S FINEST INCOME
INVESTIGATION OF THE WORLD'S FINEST INCOME
INVESTIGATION OF THE WORLD'S FINEST INCOME
INVESTIGATION OF THE WORLD'S FINEST INCOME
INVESTIGATION OF THE WORLD'S FINEST INCOME

U.S. Treasury Intermediate Index Fund

![img-0.jpeg](img-0.jpeg)

Based on net assets as of 11/30/22.

T. ROWE PRICE U.S. TREASURY FUNDS

longer rate regime from the Fed, and a resulting surge in shorter-term yields

7

The following table provides the information in English:

Sources: Credit ratings for the securities held in the fund are provided by Moody's, Standard & Poor's.

# T. ROWE PRICE U.S. TREASURY FUNDS

market in an effort to hedge riskier positions, thereby driving yields downward.

8

The foregoing table includes item performance and the following table:
The following table provides the information in a specific format:
The following table provides the information in a specific format:
The following table provides the information in a specific format:
The following table provides the information in a specific format:
The following table provides the information in a specific format:
The following table provides the information in a specific format:
The following table provides the information in a specific format:
The following table provides the information in a specific format:
The following table provides the information in a specific format:
The following table provides the information in a specific format:

| 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- |  |

T. ROWE PRICE U.S. TREASURY FUNDS

Despite its strong sell-off this year, we believe that U.S. government debt

3

As shown, we will look for opportunities to make the most of the money. We will be able to make the most of the money. We will be able to make the most of the money. We will be able to make the most of the money. We will be able to make the most of the money. We will be able to make the most of the money. We will be able to make the most of the money. We will be able to make the most of the money. We will be able to make the most of the money. We will be able to make the most of the money.

| 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

that it would soon begin to slow the pace of rate hikes-which it did at the

38

high-impact would control upside. Will the Airtelman, Airtelman, for people to take
preventive and social support. The Airtelman, Airtelman, for people to take
preventive and social support. The Airtelman, Airtelman, for people to take
preventive and social support. The Airtelman, Airtelman, for people to take
preventive and social support. The Airtelman, Airtelman, for people to take
preventive and social support. The Airtelman, Airtelman, for people to take

![img-1.jpeg](img-1.jpeg)

T. ROWE PRICE U.S. TREASURY FUNDS

based on incoming economic and inflation data, monetary policy signals, and

11

of a policy-driven recession in the U.S. by early next year. The U.S. has been a major step in the future. The U.S. has been a major step in the future. The U.S. has been a major step in the future. The U.S. has been a major step in the future. The U.S. has been a major step in the future. The U.S. has been a major step in the future. The U.S. has been a major step in the future. The U.S. has been a major step in the future. The U.S. has been a major step

Sources: Credit ratings for the securities held in the fund are provided by Moody's, Standard & Poor's.

#### T. ROWE PRICE U.S. TREASURY FUNDS

The fund's positioning at period-end also reflected our bias for a flattening

12

proceedings, some of our tactical positions. From other top to top, the following: (1) the following: (2) the following: (3) the following: (4) the following: (5) the following: (6) the following: (7) the following: (8) the following: (9) the following: (10) the following: (11) the following: (12) the following: (13) the following: (14) the following: (15) the following: (16) the following: (17) the following: (18) the following: (19) the following: (20) the following: (21) the following: (22) the following: (23) the following: (24) the following: (25) the following: (26) the following: (27) the following: (28) the following: (29) the following: (30) the following: (31) the following: (32) the following: (33) the following: (34) the following: (35) the following: (36) the following: (37) the following: (38) the following: (39) the following: (40) the following: (41) the following: (42) the following: (43) the following: (44) the following: (45) the following: (46) the following: (47) the following: (48) the following: (49) the following: (50) the following: (51) the following: (52) the following: (53) the following: (54) the following: (55) the following: (56) the following: (57) the following: (58) the following: (59) the following: (60) the following: (61) the following: (62) the following: (63) the following: (64) the following: (65) the following: (66) the following: (67) the following: (68) the following: (69) the following: (70) the following: (71) the following: (72) the following: (73) the following: (74) the following: (75) the following: (76) the following: (77) the following: (78) the following: (79) the following: (80) the following: (81) the following: (82) the following: (83) the following: (84) the following: (85) the following: (86) the following: (87) the following: (88) the following: (89) the following: (90) the following: (91) the following: (92) the following: (93) the following: (94) the following: (95) the following: (96) the following: (97) the following: (98) the following: (99) the following: (100)

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.

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

Despite its strong sell-off this year, we believe that U.S. government debt

The views expressed reflect the opinions of T. Rowe Price as of the date of this report and are subject to

11

The Government and State of the United States are authorized to use the Government's name and address to identify the Government's business and to identify the Government's business and to identify the Government's business and to identify the Government's business and to identify the Government's business and to identify the Government's business and to identify the Government's business and to identify the Government's business and to identify the Government's business and to identify the Government's business and to identify the Government's business and to identify the Government's business and to identify the Government's business and to identify the Government's business and to identify the Government's business

* 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.,

T. ROWE PRICE U.S. TREASURY FUNDS

RISKS OF INVESTING IN FIXED INCOME SECURITIES

34

Note: © 2022, Moody's Corporation, Moody's Investors Service, Inc., Moody's
Reynolds, Inc. and its subsidiaries. No part of this report is a
not-to-understanding document that may be used for any purpose other than
the use of the information contained in this report. The information contained in this report is
not to be used for any purpose other than the use of the information contained in this report.

RISKS OF INVESTING IN GOVERNMENT MONEY MARKET FUNDS
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.

T. ROWE PRICE U.S. TREASURY FUNDS

BENCHMARK INFORMATION (CONTINUED)

11

The company's business and development of the company's business is a major business in the

The following table provides the information in English:

The following table provides the information in English:

The following table provides the information in English:

and may also include a large group of different sides. Market exposure for last include

The following table provides the information in English:

The following table provides the information in English:

1. 2017年,公司与上海浦东发展银行股份有限公司签订了《关于使用部分闲置募集资金进行现金管理的协议》。

![img-2.jpeg](img-2.jpeg)

As of 11/30/22

U.S. Treasury Money Fund $10,540

---

 Lipper U.S. Treasury Money Market Funds Index 10,530

T. ROWE PRICE U.S. TREASURY FUNDS

GROWTH OF $10,000

$10,600

11

BENCHMARK INFORMATION

![img-0.jpeg](img-0.jpeg)

As of 11/30/22

U.S. Treasury Intermediate Index Fund $10,217

Bloomberg U.S. 4-10 Year Treasury Bond Index 10,750

T. ROWE PRICE U.S. TREASURY FUNDS

GROWTH OF $10,000

$12,500

17

![img-1.jpeg](img-1.jpeg)

![img-2.jpeg](img-2.jpeg)

T. ROWE PRICE U.S. TREASURY FUNDS

GROWTH OF $10,000

$16,000

38

e recommendation to the call or field such investment or security does not
were supplied by Liggett & Myers Company subject to the following

| U.S. Treasury Money Fund | 0.32% |
| --- | --- |
| U.S. Treasury Money Fund-I Class | 0.21 |
| AVERAGE U.S. Treasury Money Fund-Z Class | 0.19 |
| U.S. Treasury Intermediate Index Fund | 0.27 |

T. ROWE PRICE U.S. TREASURY FUNDS

EXPENSE RATIOS

18

U.S. Treasury Intermediate Index Fund-I Class
Since Inception
Periods Ended 11/30/77 1 Year 5 Years 10 Years Inception Date
U.S. Treasury Intermediate Index Fund I Class 1 Year 5 Years 10 Years Inception Date
U.S. Treasury Intermediate Index Fund I Class 1 Year 5 Years 10 Years Inception Date
U.S. Treasury Intermediate Index Fund I Class 1 Year 5 Years 10 Years Inception Date
U.S. Treasury Intermediate Index Fund I Class 1 Year 5 Years 10 Years Inception Date
U.S. Treasury Intermediate Index Fund I Class 1 Year 5 Years 10 Years Inception Date
U.S. Treasury Intermediate Index Fund I Class 1 Year 5 Years 10 Years Inception Date
U.S. Treasury Intermediate Index Fund I Class 1 Year 5 Years 10 Years Inception Date
U.S. Treasury Intermediate Index Fund I Class 1 Year 5 Years 10 Years Inception Date
U.S. Treasury Intermediate Index Fund I Class 1 Year 5 Years 10 Years Inception Date
U.S. Treasury Intermediate Index Fund I Class 1 Year 5 Years 10 Years Inception Date
U.S. Treasury Intermediate Index Fund I Class 1 Year 5 Years 10 Years Inception Date

# T. ROWE PRICE U.S. TREASURY FUNDS

FUND EXPENSE EXAMPLE (CONTINUED)

28

for the purpose of this document, the undersigned hereby certifies that the undersigned has been a true and correct copy of the foregoing information. The undersigned hereby certifies that the undersigned has been a true and correct copy of the foregoing information.

| U.S. Treasurer | Beginning Account Value | Ending Account Value | Expenses Paid During Period* |
| --- | --- | --- | --- |
| FUND AVERAGE | 6/1/22 | 11/30/22 | 6/1/22 to 11/30/22 |

| U.S. Treasurer | Investor Class |
| --- | --- |

T. ROWE PRICE U.S. TREASURY FUNDS

FUND EXPENSE EXAMPLE (CONTINUED)

21

Fund- 2.0.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1

Funds: 2.0.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1.1

U.S. Tre 6/1/22 11/30/22 6/1/22 to 11/30/22

U.S. Tre Investor Class

![img-3.jpeg](img-3.jpeg)

T. ROWE PRICE U.S. TREASURY FUNDS

FUND EXPENSE EXAMPLE (CONTINUED)

22

Fund - 2.0.0.0.0. clients and impose no 130.000 administrative fees per cent. and 0.0.0.0.0.0.0.0.0.0.0. This table is for the purpose of the following:

|  | Beginning Account Value | Ending Account Value | Expenses Paid During Period* |
| --- | --- | --- | --- |
|  | 6/1/22 | 11/30/22 | 6/1/22 to 11/30/22 |
| Investor Class |  |  |  |

T. ROWE PRICE U.S. TREASURY FUNDS

FUND EXPENSE EXAMPLE (CONTINUED)

22

41.00 41.00 41.00 41.00 41.00

| Periods Ended 9/30/22 | SEC Yield (7-Day Simple) With Waiver * | SEC Yield (7-Day Simple) Without Waiver | 1 Year | 5 Years | 10 Years | Since Inception | Inception Date |
| --- | --- | --- | --- | --- | --- | --- | --- |
| U.S. Treasury |  |  |  |  |  |  |  |

T. ROWE PRICE U.S. TREASURY FUNDS

QUARTER-END RETURNS

24

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

T. ROWE PRICE U.S. TREASURY FUNDS

**QUARTER-END RETURNS (CONTINUED)**

25

market earnings then down the total return.

This year's period. The annualized expense ratio of the Investor Class was 0.29%, the 1 Class was 0.05%. The 1 Class was 0.05%. The 1 Class was 0.05%. The 1 Class was 0.05%. The 1 Class was 0.05%. The 1 Class was 0.05%. The 1 Class was 0.05%. The 1 Class was 0.05%. The 1 Class was 0.05%.

The investor's portion of the management fee is limited to the level of the fund. This is a 100% reduction in the amount of the fund. The 100% reduction is an additional 100% reduction in the amount of the fund. The 100% reduction is an additional 100% reduction in the amount of the fund.

# investment goals.

Through September 30, 2023, T. Rowe Price Associates, Inc. (TRPA), has agreed to pay the U.S. Treasury.

![img-4.jpeg](img-4.jpeg)

You have many

T. Rowe Price Investment Services, Inc. | 100 EastPratt Street | Baltimore, MD 21202-1009

T.Rowe Price®

operating expenses of the fund's I Class excluding management fees; interest; expenses related to business, taxes, and brokerage; nonrecurring, extraordinary expenses; and acquired fund and expenses (I Class operating expenses) in the extent the I Class operating expenses exceed a certain portion of the class's nonrecurring expenses. Details are available in the fund's

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equipment, including a limited to waive and/or bear all of the 2 Class's expenses (excluding

| PRTIX | T. ROWE PRICE U.S. Treasury Intermediate Index Fund |
| --- | --- |
| PRKIX | U.S. Treasury |

# SEMIANNUAL REPORT

November 30, 2022

INVEST WITH CONFIDENCE®

(Unaudited)

| Index Fund |  |  |  |
| --- | --- | --- | --- |
| 1 Class | - | - | -27.38 a stock Outstanding Grouped Cash per 60/17 |
| RETIREMENT | GENERAL INVESTING COLLEGE SAVINGS |  |  |
| on the Treasury | Individual or Joint Tenure |  |  |
| on the Treasury | T. Rowe Price-managed |  |  |
| Investor Class | 529 plans offer tax |  |  |
| 1.01 | 1.00 - 27.29 |  |  |
| 8 Months | 1.00 - 27.29 |  |  |
| Ended | 1.00 - 27.29 |  |  |
| 2.00 | 1.00 - 27.29 |  |  |
| Small Business Plans | 1.00 - 27.29 |  |  |
| NET ASSET VALUE | 1.00 - 27.29 |  |  |
| Beginning of period | $5.46 | $6.03 | $6.34 |
|  |  | $5.46 | $5.46 |
|  |  | $5.46 | $5.46 |

Investment Index Fund
Net Investment

U.S. Treasury
Intermediate Index Fund-

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

28

(Unaudited)

Indication of future results. Current performance may be lower or higher than the performance

| Investment Shares |  | Current performance |  | Current performance |  |
| --- | --- | --- | --- | --- | --- |
| T. Rowe Price |  | Unrealized |  | Unrealized |  |
| Actual/Est. Profit |  | Total |  | Total |  |
| Investor Class |  | 0.04 | 0.06 | 0.09 | 0.11 |
| Total from |  | 0.04 Months | 0.06 Months | 0.09 Months | 0.11 |
|  |  | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
|  |  | 5,000,000 | 5,000,000 | 5,000,000 | 5,000,000 |
|  |  | 5,000,000 | 5,000,000 | 5,000,000 | 5,000,000 |
|  |  | 5,000,000 | 5,000,000 | 5,000,000 | 5,000,000 |

| Rating/Supplemental Distributions | Data |  |  |  |  |  |
| --- | --- | --- | --- | --- | --- | --- |
| Total ROWE | (4.00)% | (8.66)% | (2.46)% | 10.40% | 7.00% | (2.00)% |
| Income | (0.04) | (0.05) | (0.05) | (0.10) | (0.11) | (0.10) |

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

28

(Unaudited)

For a share outstanding throughout each period

| Class | In request of prospectus or summary prospectus, each includes investment | In addition and other information | In addition to 31st year | In addition to 31st year | In addition to 31st year | In addition to 31st year |
| --- | --- | --- | --- | --- | --- | --- |
| NET ASSET VALUE | $5.46 | $6.03 | $6.33 | $5.83 | $5.56 | $5.80 |
| NET ASSET VALUE | $5.46 | $6.03 | $6.33 | $5.83 | $5.56 | $5.80 |
| Net investment | 0.28% | 0.27% | 0.28% | 0.33% | 0.35% | 0.37% |

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

38

(Unaudited)

T. Rowe Price Advisory Services, Inc., a registered investment firm and a other operating company with a year 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. Brokerage accounts are carried by Pershing LLC, and T. Rowe Price Investment Services, Inc., an affiliated companies, member NYSE/FINRA/SIPC. Brokerage accounts are carried 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. Brokerage accounts are carried by Pershing LLC, and T. Rowe Price Investment Services, Inc., an affiliated companies, member NYSE/FINRA/SIPC. Brokerage accounts are carried 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. Brokerage accounts are carried by Pershing LLC, and T. Rowe Price Investment Services, Inc., an affiliated companies, member NYSE/FINRA/SIPC. Brokerage accounts are carried by T. Rowe Price Investment Services, Inc., member FINRA/SIPC.

| Rating | Date | troweprice.com |  |  |  |
| --- | --- | --- | --- | --- | --- |
| Total | 12/07/20 | (0.01)% | (0.02)% | 10.00% | 7.17% (2.20)% |
| Total | 12/07/20 | (0.01)% | (0.02)% | 10.00% | (0.12) (0.11) |

See Note 6 for details of expense-related arrangements with Prior Associates.

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

31

(Unaudited)

For a share outstanding throughout each period

| Z Class |  | ad 01 00 Investment in the fund |  |
| --- | --- | --- | --- |
| NET VALUE VALUE |  | a) Employment of the Independent |  |
| b) Employment of the Independent |  | c) Student less than the year through |  |
| d) Employment of the Independent |  | e) 01 00 01 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356 357 358 359 360 361 362 363 364 365 366 367 368 369 370 371 372 373 374 375 376 377 378 379 380 381 382 383 384 385 386 387 388 389 390 391 392 393 394 395 396 397 398 399 400 401 402 403 404 405 406 407 408 409 410 411 412 413 414 415 416 417 418 419 420 421 422 423 424 425 426 427 428 429 430 431 432 433 434 435 436 437 438 439 440 441 442 443 444 445 446 447 448 449 450 451 452 453 454 455 456 457 458 459 460 461 462 463 464 465 466 467 468 469 470 471 472 473 474 475 476 477 478 479 480 481 482 483 484 485 486 487 488 489 490 491 492 493 494 495 496 497 498 499 500 501 502 503 504 505 506 507 508 509 510 511 512 513 514 515 516 517 518 519 520 521 522 523 524 525 526 527 528 529 530 531 532 533 534 535 536 537 538 539 540 541 542 543 544 545 546 547 548 549 550 551 552 553 554 555 556 557 558 559 560 561 562 563 564 565 566 567 568 569 570 571 572 573 574 575 576 577 578 579 580 581 582 583 584 585 586 587 588 589 590 591 592 593 594 595 596 597 598 599 600 601 602 603 604 605 606 607 608 609 610 611 612 613 614 615 616 617 618 619 620 621 622 623 624 625 626 627 628 629 630 631 632 633 634 635 636 637 638 639 640 641 642 643 644 645 646 647 648 649 650 651 652 653 654 655 656 657 658 659 660 661 662 663 664 665 666 667 668 669 670 671 672 673 674 675 676 677 678 679 680 681 682 683 684 685 686 687 688 689 690 691 692 693 694 695 696 697 698 699 700 701 702 703 704 705 706 707 708 709 710 711 712 713 714 715 716 717 718 719 720 721 722 723 724 725 726 727 728 729 730 731 732 733 734 735 736 737 738 739 740 741 742 743 744 745 746 747 748 749 750 751 752 753 754 755 756 757 758 759 760 761 762 763 764 765 766 767 768 769 770 771 772 773 774 775 776 777 778 779 780 781 782 783 784 785 786 787 788 789 790 791 792 793 794 795 796 797 798 799 800 801 802 803 804 805 806 807 808 809 810 811 812 813 814 815 816 817 818 819 820 821 822 823 824 825 826 827 828 829 830 831 832 833 834 835 836 837 838 839 840 841 842 843 844 845 846 847 848 849 850 851 852 853 854 855 856 857 858 859 860 861 862 863 864 865 866 867 868 869 870 871 872 873 874 875 876 877 878 879 880 881 882 883 884 885 886 887 888 889 890 891 892 893 894 895 896 897 898 899 900 901 902 903 904 905 906 907 908 909 910 911 912 913 914 915 916 917 918 919 920 921 922 923 924 925 926 927 928 929 930 931 932 933 934 935 936 937 938 939 940 941 942 943 944 945 946 947 948 949 950 951 952 953 954 955 956 957 958 959 960 961 962 963 964 965 966 967 968 969 970 971 972 973 974 975 976 977 978 979 980 981 982 983 984 985 986 987 988 989 990 991 992 993 994 995 996 997 998 999 1000 |  |

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

REVENUE

32

November 30, 2022 [Unaudited]

|  |  |  |  | Par/Shares | $ Value |
| --- | --- | --- | --- | --- | --- |
| (Amounts in 000s) |  |  |  |  |  |
| U.S. GOVERNMENT & AGENCY MORTGAGE-BACKED |  |  |  |  |  |
| SECURITIES 2.4% | 1.07% | 0.85% | (0.28)% | (0.35)% | (0.36)% |
| Total from Investment activities |  |  | (0.20) | (0.50) | (0.04) |
| Portfolio turnover rate | 50.2% | 78.1% | 77.8% | 167.9% | 98.2% |
| U.S. Government Obligations 2.4% |  |  |  |  | 37.1% |
| Other (Other) and other | $166,157 | $154,281 | $43,587 | $19,957 | $22,351 |

# NET ASSET VALUE

Rate of profit $5.21 $5.46 $6.03

(1) See Note 6 for details of expense-related arrangements with Price Associates.

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

11

| 2.50%, 8/20/51 - 12/20/51 | 2,591 | 2,292 |
| --- | --- | --- |
| 3.00%, 10/20/49 - 10/20/51 | Permanent | 5,000 |
| 3.50%, 10/20/50 - 6/20/50 | 5,829 | 5,472 |
| 4.00% to 6.00% - 12/20/50 | 5,454 | 5,075 |
| 5.00% to 6.00% - 12/20/50 | 5,454 | 5,075 |

This report is based on an investor would have earned on an investment in the fund/other assets, and the amount of investment of all distributions, and payment of the redemption fee. The investor's share of the company is based on periods less than one year. The investor's share of the company is based on the amount of investment of the company's share of the company's share of the company's share of the company's share of the company's share of the company's share of the company's share of the company's share of the company's share of the company's share of the company's share of the company's share of the company's share of the company's share of the company's share of the company's share of the company's share of the company's share of the company's share of the company's share

Gross expenses before waivers/payments by Price
- Associates --- 0.10% (2) --- 0.11% --- 0.11% (3)

![img-0.jpeg](img-0.jpeg)

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

24

| GS Treasury National Mortgage System, CMO, ARM | 43,910 | 40,672 |
| --- | --- | --- |
| GS Treasury National Mortgage System, CMO, ARM | 14,433 | 13,704 |
| GS Treasury National Mortgage System, CMO, ARM | 21,355 | 20,986 |
| GS Treasury National Mortgage System, CMO, ARM | 18,000 | 17,454 |
| GS Treasury National Mortgage System, CMO, ARM | 18,000 | 17,454 |
| GS Treasury National Mortgage System, CMO, ARM | 18,000 | 17,454 |
| GS Treasury National Mortgage System, CMO, ARM | 18,000 | 17,454 |
| GS Treasury National Mortgage System, CMO, ARM | 18,000 | 17,454 |

18 Inception date

20 Per share amounts calculated using average shares outstanding method.

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

11

MORTGAGE (BACKED) 95,500
UNIT 1000,000,000 8,100 8,170
U.S. Treasury 1000,000,000 8,100
U.S. Treasury 1000,000,000 8,100
U.S. Treasury 1000,000,000 8,100
U.S. Treasury 1000,000,000 8,100
U.S. Treasury 1000,000,000 8,100
U.S. Treasury 1000,000,000 8,100
U.S. Treasury 1000,000,000 8,100
U.S. Treasury 1000,000,000 8,100
U.S. Treasury 1000,000,000 8,100
U.S. Treasury 1000,000,000 8,100

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

38

| Long, Treasury, Treasury, Treasury, Treasury contracts | 3/23 | 18,728,435 | 11,085 |
| --- | --- | --- | --- |
| State Treasury, Treasury, Treasury, Treasury contracts | 3/23 | 68,182,000 | 5,400 |
| State Treasury, Treasury, Treasury, Treasury contracts | 3/23 | 73,518,000 | 5,000 |
| Total Treasury, Treasury, Treasury, Treasury contracts | 3/23 | 20,400 | 14,000 |
| Total Treasury, Treasury, Treasury, Treasury contracts | 3/23 | 21,298,000 | 7,800 |
| Total Treasury, Treasury, Treasury, Treasury, Treasury contracts | 3/23 | 21,425 | 12,000 |
| Total Treasury, Treasury, Treasury, Treasury, Treasury contracts | 3/23 | 20,110 | 8,000 |
| Total Treasury, Treasury, Treasury, Treasury contracts | 3/23 | 20,110 | 8,000 |

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

37

November 30, 2022 (Unaudited)

| Securities of interest and other transfer common ownership or control. The following securities were |  |  |  |
| --- | --- | --- | --- |
| U.S. Treasury Notes, 1.0% | 1.0% | 1.0% | 1.0% |
| U.S. Treasury Notes, 1.0% | 1.0% | 1.0% | 1.0% |
| Net realized gain (loss) adjustment income, change in net unrealized gain/loss and purchase and |  |  |  |
| loss from reflect on effect for the period then ended. |  |  |  |
| U.S. Treasury Notes, 1.0% | 1.0% | 1.0% | 1.0% |
| 17,000 | 15,696 |  |  |
| U.S. Treasury Notes, 1.0% | 1.0% | Change in Net | 15,215 |
| U.S. Treasury Notes, 1.0% | 1.0% | Net Realized | Unrealized |
| U.S. Treasury Notes, 1.0% | 1.0% | Gain (Loss) | Gain/Loss |
| 17,000 | 15,696 |  |  |
| U.S. Treasury Notes, 1.0% | 1.0% | $ | 11,690 - $ |
| 10,000 | 10,000 |  |  |
| Variation margin receivable on futures contracts |  |  | 297 |
| Other assets |  |  | 49 |
| Total assets |  |  | 823,712 |

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

CUMULATIVE: 30 DAYS FROM DEDUCTION

($000s, except shares and per share amounts)

38

(Unaudited)

| Supplementary Investment Schedule |  |  |  |  |
| --- | --- | --- | --- | --- |
| Affiliate | Value | Purchase | Sales | Value |
|  | 09/31/22 | Cost | Cost | 11/30/22 |
| T. Rowe Price Treasury Reserve |  |  |  | 6 Months |
| Fund, Payable for shares redeemed | 1,586 | " | " | $634,000 |
|  |  |  |  | 11/30/22 52 |
| Investment in interest of cash |  |  |  | 40 |
| Capital gain during the year underlying Price funds represented |  |  |  | $0 of the net realized gain |
| Other liabilities |  |  |  | 538 |
| Total Interest |  |  |  | $7,353,479 |
| Dividend |  |  |  | 135 |
| NET ASSETS |  |  |  | $622,235 |
| Spending |  |  |  |  |
| Total income |  |  |  | 7,452 |

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

STATEMENT OF INVESTORS

($000s)

38

(Unaudited)

(b)(6)
* Investment income comprises $135 of dividend income and $0 of interest income.
* Purchase and sale information not shown for cash management funds.
^ The cost basis of investments in affiliated companies was $14,595.

| Net Assets Consist of: |  | 6 Months Ended $11,000,000.00 |
| --- | --- | --- |
| Investments, excluding 6,000,000 shares of $0.01 par net interest, after outstanding 32,000,000,000 shares of the Consolidated, authorized Corporation and shareholder reports | 516 31 | (2,000,000.00) (2,000,000.00) (6,013) |
| NET ASSETS |  |  |
| Current Liabilities | 56 | $1,000,000.00 |
| Net related loss | 6 | (25,000.00) |

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

ASSUMPTIONS AND ASSUMPTIONS

($000s)

The accompanying notes are an integral part of these financial statements.

48

(Unaudited)

# NET ASSET VALUE PER SHARE

| Description | 6 Months Ended 11/30/22 | Year Ended 5/31/23 |
| --- | --- | --- |
| Interest (Dollars) in Net Assets |  |  |
| (1,000,000 / 123,188,891 shares outstanding) |  | $(2,937,500) |
| Other |  |  |
| Interest income | $6,409 | $6,409 |
| (1,000,000 / 123,188,891 shares outstanding) |  |  |
| Interest paid, unsecured gain / loss | (35,007) | $(35,007) |
| Interest paid, unsecured gain / loss | (2,067) | $(2,067) |
| (1,000,000 / 123,188,891 shares outstanding) |  |  |
| Interest paid, unsecured gain / loss | (30,605) | $(78,563) |

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

($000s)

41

(Unaudited)

# DECREASE IN NET ASSETS FROM OPERATIONS

Net Assets

Increase/(Decrease) during period

Beginning of period

End of period

Decrease in net assets from distributions

*Share information (000s)

| 6 Months Ended 11/30/22 | Year $(30,000) 9/31/22 |
| --- | --- |

| (6,122) | (6,000) |
| --- | --- |
| 18,512 | (20,000) |

| 18,512 | 1,17,000 |
| --- | --- |

| $ | 822,233 | $ | 795,631 |
| --- | --- | --- | --- |
|  | (6,457) |  | (6,370) |

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

DECREASE IN NET ASSETS FROM OPERATIONS

($000s)

The accompanying notes are an integral part of these financial statements.

42

Unaudited

The accompanying notes are an integral part of these financial statements.

C. 1940 (the 1940 Act of 1940 (the 1940 Act). The U.S. Treasury Intermediate Index Fund (Investors) 37,000 40,000. Funds that are a diversified, open-end management investment company established by the Corporation. The fund seeks a high level of income component with maximum investment. The fund has three classes of shares: the U.S. Treasury Intermediate Index Fund (Investor Class), the U.S. Treasury Intermediate Index Fund (I Class) and the U.S. Treasury Intermediate Index Fund (I Class) (I Class). I Class shares require a $500,000 initial investment minimum.

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

T. Rowe Price U.S. Treasury Funds, Inc. (the corporation) is registered under the

42

reporting purposes. Paydown gains and losses are recorded as an adjustment to interest in the Company's operations. In the event of a change in the Company's operations, the Company's operations will be adjusted to the amount of interest in the Company's operations. In the event of a change in the Company's operations, the Company's operations will be adjusted to the amount of interest in the Company's operations. In the event of a change in the Company's operations, the Company's operations will be adjusted to the amount of interest in the Company's operations. In the event of a change in the Company's operations, the Company's operations will be adjusted to the amount of interest in the Company's operations. In the event of a change in the Company's operations, the Company's operations will be adjusted to the amount of interest in the Company's operations.

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

cost basis. Premiums and discounts on debt securities are amortized for financial

44

Note: The information contained in this report is subject to the following conditions:
1. The information contained in this report is not intended to be used, construed, or otherwise intended to be used, or is intended to be used, or is intended to be used, or is intended to be used, or is intended to be used, or is intended to be used, or is intended to be used, or is intended to be used, or is intended to be used, or is intended to be used, or is intended to be used, or is intended to be used, or is intended to be used, or is intended to be used, or is intended to be used, or is intended to be used

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

Indemnification In the normal course of business, the fund may provide

45

NOTE: The information contained in this document is not to be construed as a separate publication, but is not to be construed as a separate publication. The information contained in this document is not to be construed as a separate publication. The information contained in this document is not to be construed as a separate publication. The information contained in this document is not to be construed as a separate publication. The information contained in this document is not to be construed as a separate publication. The information contained in this document is not to be construed as a separate publication.

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

observable inputs and minimize the use of unobservable inputs. When multiple inputs

46

0.00% of the total of the total of the total of the total of the total of the total of the total of the total of the total of the total of the total of the total of the total of the total of the total of the total of the total of the total of the total of the total of the total of the total of the total of the total of the total of the total of the total of the total of the total of the total of the total of the total of the total of the total

transactions are accounted for on the trade date basis. Income and expenses are

![img-0.jpeg](img-0.jpeg)

47

Reference: Base Debate on Financial Reporting in March, 2020 and ASU 2021-01 to 2021-02. The following table shows the distribution of financial reports and financial reports for the year ended December 31, 2020, and the annual report of the Company's performance and results. The data is presented in a row of columns, including the 1st and 2nd, respectively, and the 3rd and 4th percentiles of the year's performance and results. The data is presented in a row of columns, including the 1st and 2nd, respectively, and the 3rd and 4th percentiles of the year's performance and results. The data is presented in a row of columns, including the 1st and 2nd, respectively, and the 3rd and 4th percentiles of the year's performance and results.

![img-1.jpeg](img-1.jpeg)

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

portfolio duration and credit exposure. The risks associated with the use of derivatives

48

The following table provides the information in English:

![img-2.jpeg](img-2.jpeg)

# T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

Additionally, the amount of gains and losses on derivative instruments recognized in

48

NOTE 3. OBSERVATIVE INSTRUMENTS

The data is based on the data obtained from the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

were cleared. This ability is subject to the liquidity of underlying positions. As of

58

the volume of the fund's activity in options, based on underlying notional amounts, was

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

and put options on futures give the holder the right, but not the obligation, to purchase

11

The above definition of the accompanying statements of figures and liabilities is only the
**REMARK OF THE ACTUAL** and **REMARK OF THE ACTUAL** as defined in the **ANNUAL** and **ANNUAL**
**ANNUAL** statement. The **ANNUAL** and **ANNUAL** are the **other** and **other** statements of the fund
**(UNITS)** and **THE** **THE** **THE** **THE** **THE** **THE** **THE** **THE** **THE**
**THE** **THE** **THE** **THE** **THE** **THE** **THE** **THE** **THE**
**(UNITS)** and **THE** **THE** **THE** **THE** **THE** **THE** **THE** **THE**
**(UNITS)** and **THE** **THE** **THE** **THE** **THE** **THE** **THE** **THE**
**(UNITS)** and **THE** **THE** **THE** **THE** **THE** **THE** **THE** **THE**
**(UNITS)** and **THE** **THE** **THE** **THE** **THE** **THE** **THE** **THE**
**(UNITS)** and **THE** **THE** **THE** **THE** **THE** **THE** **THE** **THE**
**(UNITS)** and **THE** **THE** **THE** **THE** **THE** **THE** **THE** **THE**
**(UNITS)** and **THE** **THE** **THE** **THE** **THE** **THE** **THE** **THE**
**(UNITS)** and **THE** **THE** **THE** **THE** **THE** **THE** **THE** **THE**
**(UNITS)** and **THE** **THE** **THE** **THE** **THE** **THE** **THE** **THE**
**(UNITS)** and **THE** **THE** **THE** **THE** **THE** **THE** **THE** **THE**
**(UNITS)** and

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

to underlying securities. Until settlement, the fund maintains liquid assets sufficient to

52

The following table provides the information in English:

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

the collateral and indemnification, the fund could experience a delay in recovering

52

investments, both groups in the fund's assets. While typically not sold in the same
commission, the fund's funds are not available to the fund's assets. The fund's assets are not available to the fund's assets.
NOTE: The fund's assets are not available to the fund's assets. The fund's assets are not available to the fund's assets.
NOTE: The fund's assets are not available to the fund's assets. The fund's assets are not available to the fund's assets.
NOTE: The fund's assets are not available to the fund's assets. The fund's assets are not available to the fund's assets.
NOTE: The fund's assets are not available to the fund's assets.

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

NOTE 6 - RELATED PARTY TRANSACTIONS

54

TBA transactions pursuant to which it agrees to purchase a 100% of the total
the following: 100% of the total of the 100% of the total of the 100% of the total of the 100% of the total of the 100% of the total of the 100% of the total of the 100% of the total of the 100% of the total of the 100% of the total of the 100% of the total of the 100% of

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

11

redroadening the underlying securities, may elect to extend the settlement by 'rolling'
the following securities, which are not to be sold or sold by the
the following securities, which are not to be sold or sold by the
the following securities, which are not to be sold or sold by the
the following securities, which are not to be sold or sold by the
the following securities, which are not to be sold or sold by the
the following securities, which are not to be sold or sold by the
the following securities, which are not to be sold or sold by the
the following securities, which are not to be sold or sold by the
the following securities

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

require, among other things, that such purchase and sale cross trades be effected at

58

RECORDS
The records of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

INFORMATION ON PROXY VOTING POLICIES, PROCEDURES, AND

57

corporate website. To access it, please visit the following Web page:

Mogul, fundi, trust, and other accounts managed by Fuse Associates, or its officers
and directors. The Fuse Associates is a member of the Fuse Associates, Inc. and is a member of the Fuse Associates, Inc. and is a member of the Fuse Associates, Inc. and is a member of the Fuse Associates, Inc. and is a member of the Fuse Associates, Inc. and is a member of the Fuse Associates, Inc. and is a member of the Fuse Associates, Inc. and is a member of the Fuse Associates, Inc. and is a member of the Fuse Associates, Inc. and is a member of

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

LIQUIDITY RISK MANAGEMENT PROGRAM

58

Shows above, and could down to the section near the bottom of the page that says
GREENWOOD. An author is authorized for marketing the line of the following of the
above pages. The text of the above section, however, is not to be found here.
It is not to be found here. The text of the above section, however, is not to be found here.
It is not to be found here. The text of the above section, however, is not to be found here.
It is not to be found here. The text of the above section, however, is not to be found here.
It is not to be found here. The text of the above section, however, is not to be found here.
It is not to be found here. The text of the above section, however, is not to be found here.

T. ROWE PRICE U.S. TREASURY INTERMEDIATE INDEX FUND

LIQUIDITY RISK MANAGEMENT PROGRAM (CONTINUED)

38

investment goals.

![img-0.jpeg](img-0.jpeg)

You have many

T. Rowe Price Investment Services, Inc. | 100 East Pratt Street | Baltimore, MD 21202-1009

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

Not applicable.

**Item 2. Code of Ethics.**

monthly into one of four liquidity categories based on estimations of the investment's

A code of ethics, as defined in Item 1 of Form N-CSR, applicable to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing

stake of business, or the other of the other, and the other of the other.

Explore products and services that can help you achieve them.

The following table provides the information obtained from the Company's data:

The Company's data is presented in Table 1. The Company's data is presented in Table 2.

The Company's data is presented in Table 3.

The Company's data is presented in Table 4.

**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 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.

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

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.

## Item 13. Exhibits.

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

(1)

(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.

By the undersigned, thereunto duly authorized.

I, David Oestreicher, as well as available borrowing arrangements.

T. Rowe Price U.S. Treasury Fund, and transfers to a related expenses

By T. Rowe Price

ActivePlus

for online payment

Principal Executive Officer

powered by experts

Trademark of the

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Date January 19, 2023
Visit troweprice.com/broadrange

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

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.

© 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. 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.

PSS.051.103

## Ex-99.Cert

**Item 13. (a)(2)** 

**<u>CERTIFICATIONS</u>**

I, David Oestreicher, certify that:

1. I have reviewed this report on Form N-CSR of T. Rowe Price U.S.
Treasury Intermediate Index Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state
a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

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

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining
disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be
designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is
being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Designed such internal control over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting
principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in
this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed in this report any change in the registrant's internal control over financial reporting that
occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and
the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) All significant deficiencies and material weaknesses in the design or operation of internal control over
financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Any fraud, whether or not material, that involves management or other employees who have a significant role
in the registrant's internal control over financial reporting.

---

| | |
|:---|:---|
| Date: January 19, 2023 | /s/ David Oestreicher |
|  | David Oestreicher |
|  | Principal Executive Officer |

---

------

**<u>CERTIFICATIONS</u>**

I, Alan S. Dupski, certify that:

1. I have reviewed this report on Form N-CSR of T. Rowe Price U.S.
Treasury Intermediate Index Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state
a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

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

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining
disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be
designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is
being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Designed such internal control over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting
principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in
this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed in this report any change in the registrant's internal control over financial reporting that
occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and
the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) All significant deficiencies and material weaknesses in the design or operation of internal control over
financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Any fraud, whether or not material, that involves management or other employees who have a significant role
in the registrant's internal control over financial reporting.

---

| | |
|:---|:---|
| Date: January 19, 2023 | /s/ Alan S. Dupski |
|  | Alan S. Dupski |
|  | Principal Financial Officer |

---

## Exhibit 99.906

**Item 13. (b)** 

---

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

---