THE
N
C
ORTH
AROLINA
CAPITAL MANAGEMENT TRUST
Cash Portfolio
Term Portfolio
Semiannual
Report
December 31, 1993
NORTH CAROLIN
A
CAPITAL
MANAGEMENT
TRUST
CASH PORTFOLIO
NORTH CAROLIN
A
CAPITAL
MANAGEMENT
TRUST
TERM PORTFOLIO
PERFORMANCE UPDATE
FOR THE PERIOD ENDED DECEMBER 31, 1993
Annualized net yield 2.94% 3.05%
(7 day)
(30 day)
Six-month dividends per share 1.43(cents) 15.78(cents)
Six-month annualized dividend rate* 2.85% 3.15%
Six-month cumulative total return** 1.44% 1.60%
Five-year cumulative total return** 33.28% 39.26%
Ten-year cumulative total return** 93.93% n/a
Life of fund cumulative total return** 117.32% 55.37%
One-year cumulative total return** 2.88% 4.06%
Five-year average annual total return** 5.91% 6.85%
Ten-year average annual total return** 6.85% n/a
Life of fund average annual total return** 7.08% 6.70%
* The dividend rate reflects actual dividends paid during the period. It
is based on an average share price of $9.95 for the Term Portfolio and a
$1.00 for the the Cash Portfolio.
** TOTAL RETURNS include changes in share price (except for the Cash
Portfolio) and reinvestment of dividends and capital gains, if any. AVERAGE
ANNUAL TOTAL RETURNS for more than one year assume a steady compounded rate
of return and are not the funds' year-by-year results, which fluctuated
over the periods shown. LIFE OF FUND figures are from commencement of
operations, September 2, 1982 for the Cash Portfolio and March 19, 1987 for
the Term Portfolio, to the period listed above. If the adviser had not
reimbursed certain fund expenses during the period shown, the life of fund
figures would have been lower.
ALL FUND PERFORMANCE NUMBERS ARE HISTORICAL; THE FUNDS' SHARE PRICE
(EXCEPT FOR THE CASH PORTFOLIO), YIELD AND RETURN WILL VARY AND YOU MAY
HAVE A GAIN OR LOSS WHEN YOU REDEEM OR SELL YOUR SHARES. AN INVESTMENT IN
THE CASH PORTFOLIO IS NOT INSURED OR GUARANTEED BY THE U.S. GOVERNMENT. THE
CASH PORTFOLIO CANNOT ASSURE THAT IT WILL MAINTAIN A STABLE $1.00 SHARE
PRICE.
$10,000 OVER LIFE OF FUND
NCCMT-Term Port. (620) SB 12mo tBill
03/31/87 10000.00 10000.00
04/30/87 9952.13 10026.00
05/31/87 9987.11 10060.09
06/30/87 10075.11 10130.51
07/31/87 10117.21 10173.06
08/31/87 10150.09 10206.63
09/30/87 10173.02 10204.59
10/31/87 10313.87 10367.86
11/30/87 10350.32 10395.85
12/31/87 10431.71 10449.91
01/31/88 10534.02 10553.37
02/29/88 10598.65 10614.58
03/31/88 10634.17 10657.03
04/30/88 10679.05 10686.87
05/31/88 10704.61 10711.45
06/30/88 10782.52 10790.72
07/31/88 10822.65 10833.88
08/31/88 10875.06 10866.38
09/30/88 10959.87 10950.05
10/31/88 11046.86 11031.08
11/30/88 11065.43 11047.63
12/31/88 11133.28 11087.40
01/31/89 11213.20 11176.10
02/28/89 11266.85 11221.92
03/31/89 11329.37 11290.38
04/30/89 11448.82 11416.83
05/31/89 11559.37 11541.27
06/30/89 11692.27 11690.16
07/31/89 11814.55 11814.07
08/31/89 11839.65 11828.25
09/30/89 11912.24 11898.03
10/31/89 12036.32 12038.43
11/30/89 12120.85 12135.94
12/31/89 12194.79 12203.90
01/31/90 12244.05 12245.40
02/28/90 12309.56 12318.87
03/31/90 12381.65 12381.70
04/30/90 12438.06 12444.84
05/31/90 12561.64 12569.29
06/30/90 12644.78 12674.87
07/31/90 12770.27 12795.28
08/31/90 12830.76 12868.22
09/30/90 12914.73 12957.01
10/31/90 13028.08 13074.92
11/30/90 13138.09 13161.21
12/31/90 13265.16 13292.82
01/31/91 13365.86 13403.15
02/28/91 13458.28 13479.55
03/31/91 13526.84 13576.60
04/30/91 13632.00 13675.71
05/31/91 13697.56 13737.25
06/30/91 13761.50 13793.58
07/31/91 13841.54 13884.61
08/31/91 13962.49 14009.58
09/30/91 14051.41 14107.64
10/31/91 14140.63 14216.27
11/30/91 14241.78 14327.16
12/31/91 14387.14 14454.67
01/31/92 14423.24 14492.25
02/29/92 14467.04 14531.38
03/31/92 14472.28 14563.35
04/30/92 14579.32 14649.28
05/31/92 14653.76 14721.06
06/30/92 14704.99 14794.66
07/31/92 14749.10 14902.66
08/31/92 14837.15 14977.18
09/30/92 14924.18 15074.53
10/31/92 14821.30 15059.45
11/30/92 14776.80 15068.49
12/31/92 14899.07 15152.87
01/31/93 15052.39 15233.18
02/28/93 15109.14 15286.50
03/31/93 15149.79 15333.89
04/30/93 15202.86 15387.56
05/31/93 15209.58 15387.56
06/30/93 15260.74 15458.34
07/31/93 15304.90 15500.08
08/31/93 15360.88 15569.83
09/30/93 15399.15 15614.98
10/31/93 15440.24 15649.33
11/30/93 15464.70 15677.50
12/31/93 15504.63 15732.37
$10,000 OVER LIFE OF FUND: Let's say you invested $10,000 in North Carolina
Term Portfolio on March 31, 1987, shortly after the fund started. As the
chart shows,by December 31, 1993, the value of your investment with
dividends and capital gain distributions reinvested, would have grown to
$15,505 - a 55.05% increase on your initial investment. For comparison,
look at how the Salomon Brothers 12-Month Treasury Bill Index did over the
same period. With dividends reinvested, the same $10,000 investment would
have grown to $15,732 - a 57.32% increase.
AN INTERVIEW WITH
ROBERT DUBY: PORTFOLIO MANAGER OF
NORTH CAROLINA CAPITAL MANAGEMENT TRUST:
TERM PORTFOLIO
&
BURNELL STEHMAN: PORTFOLIO MANAGER OF
NORTH CAROLINA CAPITAL MANAGEMENT TRUST:
CASH PORTFOLIO
INSERT
R. DUBY PHOTO
HERE
INSERT
B. STEHMAN PHOTO
HERE
Q: BOB, HOW HAS THE TERM PORTFOLIO PERFORMED?
A: The fund's total return for the six months through December 31, 1993 was
1.60%, compared to 1.89% for the one-year Treasury bill. Most of the
difference was accounted for by the fund's expenses. For the year, the fund
returned 4.06%, versus 4.05% for one-year Treasuries.
Q: WHAT HAPPENED TO SHORT-TERM INTEREST RATES DURING THE PAST
SIX MONTHS?
A: They were relatively stable, with some modest fluctuations due to
investors' uncertainty about the outlook for the economy and inflation. The
federal funds rate - the rate banks charge each other for overnight loans -
remained flat at 3%, and yields on 30-day commercial paper stayed in a
fairly narrow range between 2.95% and 3.20% during the period. Rates did
decline slightly during the first part of the summer, and they rebounded a
bit in the fall as investors worried that a stronger economy would increase
inflationary pressures.
Q: HOW DID YOU INVEST THE FUND'S ASSETS TO TAKE ADVANTAGE OF CHANGES IN
INTEREST RATES DURING THE PERIOD?
A: The fund's duration - a measure of interest rate sensitivity - varied
considerably, ranging from about 0.6 years to around 1.2 years during the
past year. But during the last six months, I kept the fund's duration
around 0.8 years, somewhat shorter than a neutral position and considerably
shorter than it was in early 1993. The shorter the fund's duration the less
its price should fall as rates rise (or rise as rates fall). In fact, if
rates fell
one percentage point, the fund's share price - $9.92 on December 31 -
would fall only about 0.8% - to roughly $9.84.
Q: WHAT PROMPTED YOU TO REDUCE THE FUND'S DURATION?
A: I lowered the fund's duration because I thought stronger consumer
spending and reduced unemployment would put upward pressure on short-term
interest
rates. That proved to be correct during
most of the period.
Q: HOW DID THAT AFFECT PERFORMANCE?
A: The decision to hold shorter
maturity issues helped the fund slightly.
But when rates fell during late December,
the fund didn't rise quite as much as the
one-year Treasury bill. As a result, the
fund just about matched the return on
the one-year Treasury bill before
deducting expenses.
"I THINK SHORT-TERM
RATES COULD RISE AS
MUCH AS .25% OVER
THE NEXT THREE
MONTHS, BUT I DON'T
EXPECT ANY SHARP
INCREASE IN RATES
BEFORE THE END OF
THE FIRST QUARTER.
THE NUMBERS ON
INFLATION HAVE BEEN
VERY GOOD ALL YEAR,
WITH THE CONSUMER
PRICE INDEX
REMAINING SLIGHTLY
UNDER 3%. AS A
RESULT, THE FEDERAL
RESERVE IS UNDER NO
IMMEDIATE PRESSURE
TO SHARPLY INCREASE
RATES."
- - BOB DUBY
Q: DO YOU THINK INTEREST RATES WILL
CONTINUE TO RISE?
A: I think short-term rates
could rise as much as .25% over the
next three months, but I don't expect
any sharp increase in rates before the
end of the first quarter. The numbers
on inflation have been very good all year,
with the consumer price index remaining
slightly under 3%. As a result, the Federal
Reserve is under no immediate pressure
to sharply increase rates. But if the economy
continues to gain strength during the next
several months, I'll probably shorten the fund's duration somewhat. For
now, I'm maintaining a roughly neutral stance, with a duration of around
0.9 years.
Q: LET'S TURN TO THE CASH PORTFOLIO. BURNIE, HOW HAS IT PERFORMED?
A: MR. STEHMAN: During the six- and 12-month periods that ended December
31, the fund's total return was 1.44% and 2.88%,
respectively. That compares to returns of 1.36% and 2.70% for the average
taxable money fund, according to IBC/Donoghue*. The fund's seven-day yield
on December 31, 1993 was 2.94%, compared to 2.79% six months ago.
Q: WHAT ACCOUNTED FOR THE FUND'S PERFORMANCE?
MR. STEHMAN: Six months ago, I thought short-term interest rates had hit
bottom, and that proved to be the case. By maintaining a relatively short
average maturity early in the summer, the fund avoided losses when rates
moved higher and was in a good position to lock in higher yields by
purchasing longer-term securities. In October, I extended the fund's
average maturity when rates rose on concerns that strong economic growth
would rekindle inflation, and I extended the fund's maturity to around 60
days to take advantage of those higher yields.
Q: BY THE END OF THE YEAR, THE FUND'S AVERAGE MATURITY HAD DECLINED AGAIN,
TO AROUND 44 DAYS. WHY?
MR. STEHMAN: I shortened the fund's average maturity to give me the
flexibility to shift assets to longer term maturities if rates increased.
This was the shortest the fund's maturity had been in almost a year. In
early 1993 - even six months ago - there was uncertainty about whether the
Federal Reserve would reduce interest rates or increase them. Now, the only
questions are when and by how much.
Q: WHAT'S YOUR OPINION ON WHERE RATES ARE HEADED - AND HOW WILL THAT AFFECT
YOUR STRATEGY?
MR. STEHMAN: I agree with Bob that the Fed is likely to increase rates by
as much as .25% or so during the first quarter, and we may see additional
increases later in the year. I want to avoid being locked into longer-term
securities if rates rise, so I'll maintain a fairly neutral average
maturity on the fund for now - probably between 45 and 50 days. That way,
I'll have the flexibility to make aggressive purchases of higher-yielding
longer-term securities as rates move higher.
* Source: IBC/Donoghue's MONEY FUND AVERAGES(trademark)/All Taxable.
THE NORTH CAROLINA CAPITAL MANAGEMENT TRUST -
CASH PORTFOLIO
INVESTMENTS/DECEMBER 31, 1993 (UNAUDITED)
(Showing Percentage of Total Value of Investments)
ANNUALIZED
DUE YIELD AT TIME PRINCIPAL VALUE
DATE OF PURCHASE AMOUNT (NOTE 1)
COMMERCIAL PAPER(dagger) - 83.3%
AIG Funding, Inc.
2/4/94 3.29% $ 4,000,000 $ 3,987,646
AVCO Financial Services, Inc.
1/21/94 3.36 15,000,000 14,972,167
1/24/94 3.36 10,000,000 9,978,661
2/3/94 3.36 10,000,000 9,969,383
2/10/94 3.37 10,000,000 9,962,778
2/16/94 3.22 5,000,000 4,979,555
2/16/94 3.36 10,000,000 9,957,322
2/24/94 3.26 5,000,000 4,975,700
American General Finance Corporation
2/15/94 3.21 5,000,000 4,980,000
American Telephone & Telegraph Company
1/28/94 3.26 20,000,000 19,951,850
2/15/94 3.27 10,000,000 9,959,750
Associates Corporation of North America
1/21/94 3.23 9,000,000 8,984,000
1/28/94 3.22 5,000,000 4,988,075
2/7/94 3.33 10,000,000 9,966,084
2/23/94 3.22 10,000,000 9,952,889
3/21/94 3.34 25,000,000 24,818,959
3/28/94 3.37 5,000,000 4,960,225
Banc One Diversified Services Corp.
2/3/94 3.31 5,000,000 4,984,875
2/8/94 3.31 8,000,000 7,972,133
Bankers Trust Corporation
1/10/94 3.29 15,000,000 14,987,813
2/17/94 3.37 10,000,000 9,956,786
Bear Stearns Companies, Inc.
1/5/94 3.32 5,000,000 4,998,166
1/11/94 3.26 10,000,000 9,991,027
1/14/94 3.39 5,000,000 4,993,907
1/19/94 3.29 15,000,000 14,975,475
3/1/94 3.23 10,000,000 9,947,392
CASH PORTFOLIO
INVESTMENTS/DECEMBER 31, 1993 (UNAUDITED) - CONTINUED
ANNUALIZED
DUE YIELD AT TIME PRINCIPAL VALUE
DATE OF PURCHASE AMOUNT (NOTE 1)
COMMERCIAL PAPER(dagger) - CONTINUED
Bear Stearns Companies, Inc. - CONTINUED
3/2/94 3.23% $ 10,000,000 $ 9,946,500
Bell Atlantic Financial Services
2/22/94 3.43 9,000,000 8,955,800
2/24/94 3.43 3,000,000 2,984,700
Beneficial Corporation
1/25/94 3.35 10,000,000 9,977,800
1/26/94 3.35 15,000,000 14,965,313
1/27/94 3.37 10,000,000 9,975,806
2/2/94 3.35 10,000,000 9,970,489
3/29/94 3.25 20,000,000 19,844,366
CIESCO, L.P.
2/10/94 3.31 3,000,000 2,989,000
3/9/94 3.33 3,500,000 3,478,504
3/10/94 3.37 4,100,000 4,074,133
CIT Group Holdings, Inc.
1/12/94 3.33 10,000,000 9,990,069
1/25/94 3.23 10,000,000 9,978,666
1/26/94 3.23 10,000,000 9,977,778
2/4/94 3.23 5,000,000 4,984,889
3/22/94 3.28 10,000,000 9,927,777
3/30/94 3.59 20,000,000 19,828,889
Commercial Credit Company
2/7/94 3.26 10,000,000 9,966,597
2/8/94 3.21 10,000,000 9,966,222
2/9/94 3.26 5,000,000 4,982,396
2/11/94 3.35 25,000,000 24,905,472
2/17/94 3.22 5,000,000 4,979,111
2/23/94 3.22 10,000,000 9,952,889
CoreStates Capital Corp.
4/8/94 3.36 (a) 5,000,000 5,000,000
Corporate Asset Funding Company, Inc.
2/1/94 3.23 2,920,000 2,911,904
2/18/94 3.22 8,020,000 7,985,781
ANNUALIZED
DUE YIELD AT TIME PRINCIPAL VALUE
DATE OF PURCHASE AMOUNT (NOTE 1)
COMMERCIAL PAPER(dagger) - CONTINUED
Dillard Investment Co., Inc.
1/13/94 3.16% $ 10,000,000 $ 9,989,500
Ford Motor Credit Corporation
2/1/94 3.35 5,000,000 4,985,663
2/16/94 3.36 5,000,000 4,978,725
3/4/94 3.33 25,000,000 24,857,917
3/23/94 3.24 15,000,000 14,892,000
General Electric Capital Corporation
1/20/94 3.30 25,000,000 24,957,118
1/24/94 3.30 5,000,000 4,989,618
3/3/94 3.25 5,000,000 4,972,889
4/6/94 3.27 15,000,000 14,872,542
General Electric Capital Services, Inc.
2/22/94 3.36 10,000,000 9,952,334
General Electric Corporation
1/31/94 3.25 20,000,000 19,946,666
Golden Peanut Company
2/14/94 3.22 3,550,000 3,536,116
3/7/94 3.37 3,460,000 3,439,134
3/9/94 3.33 4,000,000 3,975,434
3/14/94 3.22 2,000,000 1,987,200
3/16/94 3.22 5,000,000 4,967,111
3/25/94 3.37 4,000,000 3,969,198
Goldman Sachs Group, L.P. (The)
1/5/94 3.21 10,000,000 9,996,472
1/6/94 3.40 10,000,000 9,995,347
1/7/94 3.21 10,000,000 9,994,708
1/13/94 3.27 20,000,000 19,978,400
3/7/94 3.30 14,000,000 13,917,847
4/4/94 3.42 5,000,000 4,956,342
Household Finance Corporation
3/24/94 3.23 10,000,000 9,927,111
International Lease Finance Corporation
1/14/94 3.29 10,000,000 9,988,156
CASH PORTFOLIO
INVESTMENTS/DECEMBER 31, 1993 (UNAUDITED) - CONTINUED
ANNUALIZED
DUE YIELD AT TIME PRINCIPAL VALUE
DATE OF PURCHASE AMOUNT (NOTE 1)
COMMERCIAL PAPER(dagger) - CONTINUED
K-Mart Corporation
1/20/94 3.37% $ 4,500,000 $ 4,492,043
1/25/94 3.31 2,000,000 1,995,600
1/26/94 3.31 1,328,000 1,324,957
Merck & Company, Inc.
5/27/94 3.40 15,000,000 14,796,208
Merrill Lynch & Co., Inc.
1/11/94 3.29 10,000,000 9,990,916
1/12/94 3.32 10,000,000 9,989,917
2/9/94 3.31 7,850,000 7,821,936
2/28/94 3.16 (a) 35,000,000 35,000,000
Morgan Stanley Group, Inc.
1/24/94 3.40 15,000,000 14,967,608
1/25/94 3.37 10,000,000 9,977,667
1/27/94 3.39 10,000,000 9,975,661
1/31/94 3.39 25,000,000 24,929,791
2/25/94 3.38 10,000,000 9,948,820
NYNEX Corporation
2/18/94 3.40 9,000,000 8,959,560
New Center Asset Trust
1/18/94 3.28 20,000,000 19,969,306
2/18/94 3.38 10,000,000 9,955,333
2/28/94 3.40 5,000,000 4,972,772
3/7/94 3.41 20,000,000 19,877,944
Norwest Corporation
3/23/94 3.38 10,000,000 9,924,625
Preferred Receivables Funding Corporation
2/1/94 3.31 10,000,000 9,971,584
2/2/94 3.26 10,000,000 9,971,111
2/9/94 3.27 10,000,000 9,964,791
2/11/94 3.24 12,800,000 12,753,059
2/14/94 3.24 15,000,000 14,940,783
ANNUALIZED
DUE YIELD AT TIME PRINCIPAL VALUE
DATE OF PURCHASE AMOUNT (NOTE 1)
COMMERCIAL PAPER(dagger) - CONTINUED
Prudential Funding Corporation
1/10/94 3.41% $ 10,000,000 $ 9,991,625
2/14/94 3.36 25,000,000 24,899,167
Texaco Inc.
2/10/94 3.24 15,000,000 14,946,334
2/25/94 3.22 25,000,000 24,877,778
Transamerica Corporation
1/19/94 3.37 14,000,000 13,976,550
USAA Capital Corporation
2/24/94 3.27 4,000,000 3,980,500
U.S. Leasing International, Inc.
1/7/94 3.28 5,900,000 5,896,779
TOTAL COMMERCIAL PAPER 1,127,717,742
FEDERAL AGENCIES - 10.7%
Federal Farm Credit Bank - Discount Notes - 1.8%
1/4/94 3.14 10,000,000 9,997,399
2/3/94 3.17 5,000,000 4,985,655
3/7/94 3.20 9,760,000 9,703,962
24,687,016
Federal Home Loan Bank - Discount Notes - 2.0%
2/4/94 3.20 3,380,000 3,369,881
2/7/94 3.17 455,000 453,536
3/7/94 3.20 950,000 944,580
3/15/94 3.19 10,000,000 9,936,227
6/16/94 3.37 12,250,000 12,245,531
26,949,755
Federal Home Loan Mortgage Corp. - Discount Notes - 0.9%
1/4/94 3.16 10,145,000 10,142,345
1/14/94 3.22 2,000,000 1,997,688
12,140,033
Federal National Mortgage Assoc. - Discount Notes - 6.0%
1/10/94 3.29 950,000 949,231
CASH PORTFOLIO
INVESTMENTS/DECEMBER 31, 1993 (UNAUDITED) - CONTINUED
ANNUALIZED
DUE YIELD AT TIME PRINCIPAL VALUE
DATE OF PURCHASE AMOUNT (NOTE 1)
FEDERAL AGENCIES - CONTINUED
Federal National Mortgage Assoc. - Discount Notes - CONTINUED
1/14/94 3.28% $ 8,285,000 $ 8,275,336
1/21/94 3.17 5,000,000 4,991,278
1/27/94 3.20 8,000,000 7,981,771
2/1/94 3.20 3,000,000 2,991,811
2/8/94 3.17 9,665,000 9,633,068
3/23/94 3.17 8,750,000 8,688,378
3/31/94 3.19 10,000,000 9,922,373
4/5/94 3.21 2,490,000 2,469,455
4/13/94 3.18 25,000,000 24,778,293
80,680,994
TOTAL FEDERAL AGENCIES 144,457,798
U.S. TREASURY OBLIGATIONS - 1.4%
U.S. Treasury Bills
4/28/94 3.18 20,000,000 19,796,550
MATURITY
AMOUNT
REPURCHASE AGREEMENTS - 4.6%
In a joint trading account
(U.S. Treasury Obligations)
dated 12/31/93, due 1/3/94
(Note 2)
At 3.23% $ 61,819,638 61,803,000
TOTAL INVESTMENTS-100% $ 1,353,775,090
Total Cost for Income Tax Purposes - $1,353,775,090
(dagger) Cash Portfolio only purchases commercial paper with the highest
possible rating from at least one nationally recognized rating service. A
substantial portion of Cash Portfolio's investments are in commercial paper
of banks, finance companies and companies in the securities industry.
LEGEND:
(a) The coupon rate shown on floating or adjustable rate securities
represents the rate at period end.
INCOME TAX INFORMATION:
At June 30, 1993, Cash Portfolio had a capital loss carryforward of
approximately $43,000 which will expire on June 30, 2001.
THE NORTH CAROLINA CAPITAL MANAGEMENT TRUST -
CASH PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1993 (UNAUDITED)
<TABLE>
<CAPTION>
<S> <C> <C>
ASSETS:
Investment in securities, at value (including $ 1,353,775,090
repurchase agreements of $61,803,000)
(Notes 1 and 2) - See accompanying schedule
Cash 317,078
Interest receivable 133,663
TOTAL ASSETS 1,354,225,831
LIABILITIES
Dividends payable $ 385,652
Accrued management fee 441,228
TOTAL LIABILITIES 826,880
NET ASSETS $ 1,353,398,951
Net Assets consist of:
Paid in capital $ 1,353,404,944
Accumulated net realized gain (loss) on (5,993)
investments
NET ASSETS, for 1,353,404,944 shares $ 1,353,398,951
outstanding
NET ASSET VALUE, offering price and redemption $1.00
price per share ($1,353,398,951 (divided by) 1,353,404,94
4
shares)
</TABLE>
STATEMENT OF OPERATIONS
SIX MONTHS ENDED DECEMBER 31, 1993 (UNAUDITED)
INTEREST INCOME $ 21,811,784
EXPENSES
Management fee (Note 3) $ 2,576,176
Non-interested trustees' compensation 41,841
TOTAL EXPENSES 2,618,017
NET INTEREST INCOME 19,193,767
NET REALIZED GAIN (LOSS) ON INVESTMENTS 15,533
(NOTE 1)
NET INCREASE IN NET ASSETS RESULTING FROM $ 19,209,300
OPERATIONS
CASH PORTFOLIO
FINANCIAL STATEMENTS - CONTINUED
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
DECEMBER 31, 1993 YEAR ENDED
(UNAUDITED) JUNE 30, 1993
<TABLE>
<CAPTION>
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations $ 19,193,767 $ 46,169,925
Net interest income
Net realized gain (loss) on investments 15,533 (43,303)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING 19,209,300 46,126,622
FROM OPERATIONS
Dividends to shareholders from net interest (19,193,767) (46,169,925)
income
Share transactions at net asset value of $1.00 per sha 2,401,464,242 4,742,135,300
re
Proceeds from sales of shares
Reinvestment of dividends from net interest 16,651,065 40,277,956
income
Cost of shares redeemed (2,367,849,913) (5,130,329,612)
Net increase (decrease) in net assets and shares 50,265,394 (347,916,356)
resulting from share transactions
TOTAL INCREASE (DECREASE) IN NET ASSETS 50,280,927 (347,959,659)
NET ASSETS
Beginning of period 1,303,118,024 1,651,077,683
End of period $ 1,353,398,951 $ 1,303,118,024
</TABLE>
CASH PORTFOLIO - FINANCIAL HIGHLIGHTS
SIX MONTHS ENDED
DECEMBER 31, 1993 YEARS ENDED JUNE 30,
(UNAUDITED) 1993 1992 1991 1990 1989
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER-SHARE DATA
Net asset value, beginning of period $ 1.000 $ 1.000 1.000 $ 1.000 $ 1.000 $ 1.000
Income from Investment Operations .014 .030 .046 .070 .082 .085
Net interest income
Dividends from net interest income (.014) (.030) (.046) (.070) (.082) (.085)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN (dagger) 1.44% 3.04% 4.67% 7.23%(diamond) 8.55%(diamond) 8.83%(diamond)
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000 omitted) $ 1,353,399 $ 1,303,118 $ 1,651,078 $ 1,405,579 $ 1,080,055 $ 894,838
Ratio of expenses to average net assets .39%* .39% .39% .40% .42% .43%
Ratio of expenses to average net
assets before expense .39%* .39% .39% .41% .44% .46%
reductions
Ratio of net interest income to
average net assets 2.85%* 3.00% 4.47% 6.90% 8.20% 8.61%
</TABLE>
* ANNUALIZED
(dagger) TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT
ANNUALIZED.
(diamond) THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
THE NORTH CAROLINA CAPITAL MANAGEMENT TRUST -
TERM PORTFOLIO
INVESTMENTS/DECEMBER 31, 1993 (UNAUDITED)
(Showing Percentage of Total Value of Investments)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
U.S. TREASURY OBLIGATIONS - 85.4%
Bills, yields at date of purchase
3.31% to 3.63%, 9/22/94 to 12/15/94 $ 50,000,000 $ 48,480,300 912794L7
4 1/8%, 6/30/95 10,000,000 10,017,200 912827L3
3 7/8%, 10/31/95 5,000,000 4,976,550 912827M5
TOTAL U.S. TREASURY OBLIGATIONS (Cost $63,448,382) 63,474,050
COMMERCIAL PAPER - 8.7%
General Electric Capital Corp.
3 1/5%, 2/10/94 3,000,000 2,989,485 369998KL
Morgan Stanley Group, Inc.
3.35%, 2/10/94 3,500,000 3,487,734 61799EHU
TOTAL COMMERCIAL PAPER (Cost $6,477,490) 6,477,219
MATURITY
AMOUNT
REPURCHASE AGREEMENTS - 5.9%
Investments in repurchase agreements,
(U.S. Treasury obligations),
in a joint trading account at 3.23%
dated 12/31/93 due 1/3/94 (Note 2) $ 4,361,174 4,360,000
TOTAL INVESTMENTS - 100% (Cost $74,285,872) $ 74,311,269
OTHER INFORMATION:
Purchases and sales of long-term U.S. government and government agency
obligations aggregated $105,163,894 and $140,530,800, respectively.
INCOME TAX INFORMATION:
At December 31, 1993, the aggregate cost of investment securities for
income tax purposes was $74,285,872. Net unrealized appreciation aggregated
$25,397, of which $33,716 related to appreciated investment securities and
$8,319 related to depreciated investment securities.
At June 30, 1993, the fund had a capital loss carryforward of approximately
$12,500 which will expire on June 30, 1999.
THE NORTH CAROLINA CAPITAL MANAGEMENT TRUST -
TERM PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1993 (UNAUDITED)
<TABLE>
<CAPTION>
<S> <C> <C>
ASSETS
Investment in securities, at value (including $ 74,311,269
repurchase agreements of $4,360,000)
(cost $74,285,872) (Notes 1 and 2) -
See accompanying schedule
Cash 206,571
Interest receivable 33,070
TOTAL ASSETS 74,550,910
LIABILITIES
Dividends payable $ 109,557
Accrued management fee 18,866
Other payables and accrued expenses 8,486
TOTAL LIABILITIES 136,909
NET ASSETS $ 74,414,001
Net Assets consist of:
Paid in capital $ 74,285,065
Undistributed net investment income 172,468
Accumulated undistributed net realized gain (loss (68,929)
)
on investments
Net unrealized appreciation (depreciation) on 25,397
investment securities
NET ASSETS, for 7,498,222 shares outstanding $ 74,414,001
NET ASSET VALUE, offering price and redemption $9.92
price per share ($74,414,001 (divided by) 7,498,222
shares)
</TABLE>
TERM PORTFOLIO
FINANCIAL STATEMENTS - CONTINUED
STATEMENT OF OPERATIONS
SIX MONTHS ENDED DECEMBER 31, 1993 (UNAUDITED)
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME $ 1,353,877
EXPENSES
Management fee (Note 3) $ 154,981
Non-interested trustees' compensation 942
TOTAL EXPENSES 155,923
NET INVESTMENT INCOME 1,197,954
REALIZED AND UNREALIZED GAIN (LOSS) ON 94,797
INVESTMENTS (NOTE 1)
Net realized gain (loss) on investment securities
Change in net unrealized appreciation (depreciation) (29,550)
on investment securities
NET GAIN (LOSS) 65,247
NET INCREASE (DECREASE) IN NET ASSETS RESULTING $ 1,263,201
FROM OPERATIONS
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
DECEMBER 31, 1993 YEAR ENDED
(UNAUDITED) JUNE 30, 1993
<TABLE>
<CAPTION>
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations $ 1,197,954 $ 2,844,639
Net investment income
Net realized gain (loss) on investments 94,797 302,550
Change in net unrealized appreciation (29,550) 4,579
(depreciation) on investments
NET INCREASE (DECREASE) IN NET ASSETS RESULTING 1,263,201 3,151,768
FROM OPERATIONS
Distributions to shareholders from: (1,199,380) (2,844,163)
Net investment income
Net realized gain (150,872) -
TOTAL DISTRIBUTIONS (1,350,252) (2,844,163)
Share transactions 7,183,557 32,585,986
Net proceeds from sales of shares
Reinvestment of distributions from: 838,800 1,983,108
Net investment income
Net realized gain 105,781 -
Cost of shares redeemed (13,392,435) (44,414,054)
Net increase (decrease) in net assets resulting (5,264,297) (9,844,960)
from share transactions
TOTAL INCREASE (DECREASE) IN NET ASSETS (5,351,348) (9,537,355)
NET ASSETS
Beginning of period 79,765,349 89,302,704
End of period (including undistributed $ 74,414,001 $ 79,765,349
net investment income of $172,468
and ($60,863), respectively)
OTHER INFORMATION: Shares
Sold 722,167 3,288,533
Issued in reinvestment of distributions from: 84,373 200,034
Net investment income
Net realized gain 10,653 -
Redeemed (1,346,717) (4,469,229)
Net increase (decrease) (529,524) (980,662)
</TABLE>
TERM PORTFOLIO - FINANCIAL HIGHLIGHTS
SIX MONTHS ENDED
DECEMBER 31, 1993 YEARS ENDED JUNE 30,
(UNAUDITED) 1993 1992 1991 1990 1989
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER-SHARE DATA
Net asset value, beginning of period $ 9.940 $ 9.910 $ 9.820 $ 9.730 $ 9.780 $ 9.820
Income from Investment Operations .159 .337 .560 .741 .816 .832
Net investment income
Net realized and unrealized gain (loss) on
investments (.001) .031 .097 .090 (.050) (.040)
Total from investment operations .158 .368 .657 .831 .766 .792
Less Distributions (.158) (.338) (.567) (.741) (.816) (.832)
From net investment income
From net realized gain on investments (.020) - - - - -
Total distributions (.178) (.338) (.567) (.741) (.816) (.832)
Net asset value, end of period $ 9.920 $ 9.940 $ 9.910 $ 9.820 $ 9.730 $ 9.780
TOTAL RETURN (dagger) 1.60% 3.78% 6.86% 8.83%(diamond) 8.15%(diamond)8.44%(diamond)
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000 omitted) $ 74,414 $ 79,765 $ 89,303 $ 83,656 $ 83,412 $ 83,770
Ratio of expenses to average net assets .41%* .41% .41% .41% .40% .40%
Ratio of expenses to average net assets before .41%* .41% .41% .45% .50% .50%
expense reductions
Ratio of net investment income to average net assets3.14%* 3.41% 5.69% 7.56% 8.37% 8.52%
Portfolio turnover rate 594%* 612% 424% 78% 23% 14%
</TABLE>
* ANNUALIZED
(dagger) TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT
ANNUALIZED.
(diamond) THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
THE NORTH CAROLINA CAPITAL MANAGEMENT TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES. Cash Portfolio and Term Portfolio (the
funds) are funds of The North Carolina Capital Management Trust (the
trust), formerly The North Carolina Cash Management Trust. The trust is
registered under the Investment Company Act of 1940, as amended (the 1940
Act), as an open-end management investment company organized as a
Massachusetts business trust. Shares of the trust are offered exclusively
to local governments and public authorities of the State of North Carolina.
Each fund is authorized to issue an unlimited number of shares. The
following summarizes the significant accounting policies of the funds:
SECURITY VALUATION.
CASH PORTFOLIO. As permitted under Rule 2a-7 of the Act, and certain
conditions therein, securities are valued initially at cost and thereafter
assume a constant amortization to maturity of any discount or premium.
TERM PORTFOLIO. Securities are valued based upon a computerized matrix
system and/or appraisals by a pricing service, both of which consider
market transactions and dealer-supplied valuations. Short-term securities
maturing within sixty days are valued either at amortized cost or original
cost plus accrued interest, both of which approximate current value.
Securities for which quotations are not readily available through the
pricing service are valued at their fair value as determined in good faith
under consistently applied procedures under the general supervision of the
Board of Trustees.
INCOME TAXES. As a qualified regulated investment company under Subchapter
M of the Internal Revenue Code, each fund is not subject to income taxes to
the extent that it distributes all of its taxable income for the fiscal
year. The schedules of investments include information regarding income
taxes under the caption "Income Tax Information."
INTEREST INCOME.
CASH PORTFOLIO. Interest income, which includes amortization of premium and
accretion of original issue discount, is accrued as earned.
TERM PORTFOLIO. Interest income, which includes accretion of original issue
discount, is accrued as earned.
EXPENSES. Most expenses of the trust can be directly attributed to a fund.
Expenses which cannot be directly attributed are apportioned between the
funds in the trust.
DISTRIBUTIONS TO SHAREHOLDERS. Distributions to shareholders from realized
capital gains on investments, if any, are recorded on the ex-dividend date.
CASH PORTFOLIO. Dividends are declared daily and paid monthly from net
interest income.
TERM PORTFOLIO. Distributions are declared daily and paid monthly from net
investment income. Distributions from realized gains, if any, are recorded
on the ex-dividend date.
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - CONTINUED
1. SIGNIFICANT ACCOUNTING POLICIES - CONTINUED
Income and capital gain distributions are determined in accordance with
income tax regulations which may differ from generally accepted accounting
principles. These differences are primarily due to differing treatments for
market discount. Permanent book and tax differences relating to shareholder
distributions will result in reclassifications to paid in capital.
SECURITY TRANSACTIONS. Security transactions are accounted for as of trade
date. Gains and losses on securities sold are determined on the basis of
identified cost.
CHANGE IN ACCOUNTING FOR DISTRIBUTIONS TO SHAREHOLDERS. Effective July 1,
1993, the Term Portfolio adopted Statement of Position 93-2: Determination,
Disclosure, and Financial Statement Presentation of Income, Capital Gain,
and Return of Capital Distributions by Investment Companies. As a result,
the fund changed the classification of distributions to shareholders to
better disclose the differences between financial statement amounts and
distributions determined in accordance with income tax regulations.
Accordingly, amounts as of June 30, 1993 have been reclassified to reflect
a decrease in paid in capital of $185,331, a decrease in distributions in
excess of net investment income of $234,757 and an increase in accumulated
net realized loss on investments of $49,426.
2. OPERATING POLICIES.
REPURCHASE AGREEMENTS. The funds, through their custodian, receive delivery
of the underlying securities, whose market value is required to be at least
102% of the resale price at the time of purchase. The funds' investment
adviser, Fidelity Management & Research Company (FMR), is responsible
for determining that the value of these underlying securities remains at
least equal to the resale price.
JOINT TRADING ACCOUNT. Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, the funds, along with other registered
investment companies having management contracts with FMR, may transfer
uninvested cash balances into a joint trading account. These balances are
invested in one or more repurchase agreements that are collateralized by
U.S. Treasury obligations.
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
MANAGEMENT FEE. As each fund's investment adviser, FMR pays all expenses
except the compensation of any trustee or officer not employed by Fidelity
Investments and certain exceptions such as interest, taxes, brokerage
commissions and extraordinary expenses. FMR receives a fee that is based
upon a graduated series of rates ranging from .38% to .41% of each fund's
average net assets. The management fees paid to FMR were equivalent to a
annual rate of .39% and .41% for the Cash and Term Portfolios,
respectively.
SUB-ADVISER FEE. As Cash Portfolio's investment sub-adviser, FMR Texas
Inc., a wholly- owned subsidiary of FMR, receives a fee from FMR of 50% of
the management fee payable
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES - CONTINUED
to FMR. The fee is paid prior to any voluntary expense reimbursements which
may be in effect, and after reducing the fee for any payments by FMR
pursuant to the fund's Distribution and Service Plan.
DISTRIBUTION AND SERVICE PLAN. Pursuant to the Distribution and Service
Plans (the Plans), and in accordance with Rule 12b-1 of the Act, FMR pays
Fidelity Distributors Corporation (Distributors), an affiliate of FMR, a
distribution and service fee that is based on a graduated series of rates
ranging from .14% to .17% of each fund's average net assets. For the
period, FMR paid Distributors $1,087,165 and $52,932 on behalf of the Cash
and Term Portfolios, respectively, all of which was paid to Sterling
Capital Distributors, Inc., a wholly-owned subsidiary of Sterling Capital
Management Company.
THIS REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED FOR
THE GENERAL
INFORMATION OF THE SHAREHOLDERS OF THE FUNDS. THIS REPORT IS NOT AUTHORIZED
FOR
DISTRIBUTION TO PROSPECTIVE INVESTORS IN THE FUNDS UNLESS PRECEDED OR
ACCOMPANIED BY
AN EFFECTIVE PROSPECTUS. NEITHER THE FUNDS NOR FIDELITY DISTRIBUTORS
CORPORATION IS A
BANK AND MUTUAL FUND SHARES ARE NOT DEPOSITS OR OBLIGATIONS OF (OR ENDORSED
OR
GUARANTEED BY) ANY BANK, SAVINGS ASSOCIATION, INSURED DEPOSITORY
INSTITUTION OR
GOVERNMENTAL AGENCY, NOR ARE THEY FEDERALLY INSURED OR OTHERWISE PROTECTED
BY THE
FEDERAL DEPOSIT INSURANCE CORPORATION (FDIC), THE FEDERAL RESERVE BOARD OR
ANY
OTHER AGENCY. INVESTMENTS IN THE FUND INVOLVE INVESTMENT RISKS, INCLUDING
POSSIBLE LOSS
OF PRINCIPAL. THE VALUE OF THE INVESTMENT AND ITS RETURN WILL FLUCTUATE AND
ARE NOT
GUARANTEED. WHEN SOLD, THE VALUE OF THE INVESTMENT MAY BE HIGHER OR LOWER
THAN THE
AMOUNT ORIGINALLY INVESTED.
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Do NOT strip-in this type
TRUSTEES
WILLIAM L. BYRNES
JOHN DAVID FOUST
W. OLIN NISBET III
HELEN A. POWERS
OFFICERS
WILLIAM L. BYRNES, PRESIDENT
J. GARY BURKHEAD, SENIOR VICE PRESIDENT
W. OLIN NISBET III, VICE PRESIDENT
James Calvin Rivers Jr., VICE PRESIDENT
Robert K. Duby, VICE PRESIDENT
BURNELL R. STEHMAN, VICE PRESIDENT
THOMAS D. MAHER, ASSISTANT VICE PRESIDENT
GARY L. FRENCH, TREASURER
JOHN H. COSTELLO, ASSISTANT TREASURER
ARTHUR S. LORING, SECRETARY
DAVID H. POTEL, ASSISTANT SECRETARY
DISTRIBUTION AGENT
Sterling Capital Distributors, Inc.
Charlotte, NC
CUSTODIAN
First Union National Bank of North Carolina
Charlotte, NC
INVESTMENT ADVISER
Fidelity Management & Research Company
Boston, MA
SUB-ADVISER FOR CASH PORTFOLIO
FMR Texas Inc.
Irving, TX
TRANSFER AGENT
Fidelity Investments Institutional Operations Company
Boston, MA
NC-2-94S
