THE NORTH CAROLINA CAPITAL MANAGEMENT TRUST - CASH PORTFOLIO
PERFORMANCE: THE BOTTOM LINE
To measure a money market fund's performance, you can look at either total
return or yield. Total return reflects the change in a fund's share price
over a given period, and reinvestment of its dividends (or income). Yield
measures the income paid by a fund. Since a money market fund tries to
maintain a $1 share price, yield is an important measure of performance. If
Fidelity had not reimbursed certain expenses, the past 10 year total
returns would have been lower.
CUMULATIVE TOTAL RETURNS
PERIODS ENDED JUNE 30, 1996 PAST 1 PAST 5 PAST 10
YEAR YEARS YEARS
Cash Portfolio 5.43% 23.42% 77.19%
All Taxable Money Market Funds Average 5.17% 22.01% 72.57%
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage terms
over a set period - in this case, one year, five years or 10 years. For
example, if you invested $1,000 in a fund that had a 5% return over the
past year, the value of your investment would be $1,050. To measure how the
fund's performance stacked up against its peers, you can compare it to the
all taxable money market funds average, which reflects the performance of
814 taxable money market funds with similar objectives tracked by IBC
Financial Data, Inc. over the past 12 months.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED JUNE 30, 1996 PAST 1 PAST 5 PAST 10
YEAR YEARS YEARS
Cash Portfolio 5.43% 4.30% 5.89%
All Taxable Money Market Funds Average 5.17% 4.05% 5.60%
AVERAGE ANNUAL TOTAL RETURNS take the fund's actual (or cumulative) return
and show you what would have happened if the fund had performed at a
constant rate each year.
YIELDS
6/27/95 10/3/95 1/2/96 4/2/96 7/2/96
5.70% 5.44% 5.44% 4.97% 5.06%
Cash Portfolio
All Taxable Money 5.46% 5.29% 5.15% 4.79% 4.81%
Market Funds Average
6/28/95 9/27/95 12/27/95 4/3/96 6/26/96
2.87% 2.86% 2.83% 2.71% 2.66%
MMDA
Row: 1, Col: 1, Value: 5.7
Row: 1, Col: 2, Value: 5.46
Row: 1, Col: 3, Value: 2.87
Row: 2, Col: 1, Value: 5.44
Row: 2, Col: 2, Value: 5.29
Row: 2, Col: 3, Value: 2.86
Row: 3, Col: 1, Value: 5.44
Row: 3, Col: 2, Value: 5.149999999999999
Row: 3, Col: 3, Value: 2.83
Row: 4, Col: 1, Value: 4.98
Row: 4, Col: 2, Value: 4.74
Row: 4, Col: 3, Value: 2.71
Row: 5, Col: 1, Value: 5.04
Row: 5, Col: 2, Value: 4.78
Row: 5, Col: 3, Value: 2.66
6% -
5% -
4% -
3% -
2% -
1% -
0%
Cash Portfolio
All Taxable Money
Market Funds Average
MMDA
YIELD refers to the income paid by the fund over a given period. Yields for
money market funds are usually for seven-day periods, expressed as annual
percentage rates. A yield that assumes income earned is reinvested or
compounded is called an effective yield. The chart above shows the fund's
current seven-day yield at quarterly intervals over the past year. You can
compare these yields to the all taxable money market funds average and the
average bank money market deposit account (MMDA). Figures for the all
taxable money market funds average
are from IBC Financial Data, Inc. The MMDA average is supplied by BANK RATE
MONITOR.(Trademark)
A MONEY MARKET FUND'S TOTAL RETURNS AND YIELDS
WILL VARY, AND REFLECT PAST RESULTS RATHER THAN
PREDICT FUTURE PERFORMANCE.
COMPARING
PERFORMANCE
There are some important differences between
a bank money market deposit account (MMDA)
and a money market fund. First, the U.S.
government neither insures nor guarantees a
money market fund. In fact, there is no
assurance that a money market fund will
maintain a $1 share price. Second, a money
market fund returns to its shareholders income
earned by the fund's investments after
expenses. This is in contrast to banks, which
set their MMDA rates periodically based on
current interest rates, competitors' rates, and
internal criteria.
(checkmark)
THE NORTH CAROLINA CAPITAL MANAGEMENT TRUST - CASH PORTFOLIO
FUND TALK: THE MANAGER'S OVERVIEW
An interview with
Burnell Stehman,
Portfolio Manager of
The North Carolina
Capital
Management Trust:
Cash Portfolio
Q. BURNIE, HOW HAS THE INTEREST RATE ENVIRONMENT CHANGED OVER THE PAST
YEAR?
A. There's been a complete turnaround. The economy was very sluggish for
much of the period, as evidenced by the Federal Reserve's decision to lower
rates in July and December, and then again in January of 1996. The outlook
began to change when Fed Chairman Alan Greenspan testified before Congress
in mid-February, suggesting that the economy was fundamentally sound and in
little danger of falling into recession. The clincher came several weeks
later with the release of the February employment report, which far
exceeded expectations and prompted a dramatic sell-off in all securities
markets. Since then, we've seen convincing evidence in economic reports
that confirms the economy has strengthened appreciably. During the first
quarter, the economy grew at an annual rate of 2.2% - close to the Fed's
target rate for sustainable, non-inflationary long-term growth. However,
given the resiliency of the economy, growth during the second quarter was
projected to be significantly higher. Today, most market participants
assume we've passed the low point in the current cycle. Rising wages and
commodity prices, combined with higher consumer confidence and consumer
spending, have contributed to increased inflationary expectations, leading
most analysts to predict that the Fed may raise the federal funds rate
before the end of summer.
Q. HOW DID YOU RESPOND TO CHANGING CONDITIONS?
A. When the period began, the fund's average maturity was around 40 days,
which I consider neutral. As rates fell, I gradually extended the fund's
average maturity, reaching a high of 49 days near year-end and holding it
there until early spring. Since then, as rates have stabilized and begun to
head back up, I've brought the fund's average maturity back down to around
40 days. That puts the fund in a better position to take advantage of
changing market conditions.
Q. HOW DID THE FUND PERFORM?
A. The fund's seven-day yield on June 30, 1996 was 5.06%, compared to 5.70%
a year ago. For the year ended June 30, 1996, the fund's total return was
5.43%. That compares favorably with the average total return of 5.17%
during the same period for the all taxable money market funds average,
according to IBC Financial Data, Inc.
Q. WHAT'S YOUR OUTLOOK?
A. Given the vibrant state of the economy and the buildup in inflationary
pressures, it seems likely the Fed will act to raise rates during the third
quarter. My goal going forward will be to maintain flexibility and build up
liquidity so that I can respond to a rate increase when and if it occurs.
That probably means keeping the fund's average maturity around 40 days or
shorter.
THE VIEWS EXPRESSED IN THIS REPORT REFLECT THOSE OF THE PORTFOLIO MANAGER
ONLY THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON THE COVER.
THE MANAGER'S VIEWS ARE SUBJECT TO CHANGE AT ANY TIME BASED ON MARKET AND
OTHER CONDITIONS.
FUND FACTS
GOAL: seeks to obtain as high a level of current
income as is consistent with the preservation of
capital and liquidity, and to maintain a constant
net asset value per share of $1.00
START DATE: September 2, 1982
SIZE: as of June 30, 1996, more than
$1.7 billion
MANAGER: Burnell Stehman, since 1982; also
manager, Fidelity Money Market Trust - Rated
Money Market, formerly Domestic, since 1992;
Fidelity Institutional Cash Portfolio - Domestic,
since 1991; Fidelity Daily Income Trust, since
1986; joined Fidelity in 1979
(checkmark)
THE NORTH CAROLINA CAPITAL MANAGEMENT TRUST - CASH PORTFOLIO
INVESTMENTS JUNE 30, 1996
Showing Percentage of Total Value of Investments
COMMERCIAL PAPER (DAGGER) - 81.2%
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
American Express Credit Corp.
8/14/96 5.35% $ 15,000,000 $ 14,903,200
American General Finance Corp.
7/25/96 5.37 20,000,000 19,929,200
Asset Securitization Cooperative Corporation
7/18/96 5.35 6,000,000 5,984,983
7/22/96 5.35 2,000,000 1,993,817
7/24/96 5.38 6,000,000 5,979,683
8/19/96 5.44 2,000,000 1,985,300
Associates Corp. of North America
7/9/96 5.35 15,000,000 14,982,267
7/25/96 5.36 6,000,000 5,978,800
8/12/96 5.44 6,000,000 5,962,200
8/19/96 5.45 5,000,000 4,963,250
8/22/96 5.37 4,000,000 3,969,378
8/22/96 5.45 5,000,000 4,961,000
AVCO Financial Services, Inc.
7/17/96 5.33 10,000,000 9,976,533
7/22/96 5.33 11,653,000 11,617,109
7/26/96 5.41 15,000,000 14,943,958
8/5/96 5.39 5,000,000 4,974,188
8/9/96 5.37 7,400,000 7,357,512
Banc One Corp.
8/1/96 5.43 12,000,000 11,944,200
Bank of New York Company, Inc.
8/26/96 5.45 12,000,000 11,899,200
9/4/96 5.40 15,000,000 14,855,646
Bear Stearns Cos., Inc.
8/16/96 5.39 20,000,000 19,863,789
Beneficial Corp.
7/1/96 5.31 20,000,000 20,000,000
8/19/96 5.37 5,000,000 4,963,931
8/19/96 5.45 8,000,000 7,941,200
CIESCO, L.P.
7/12/96 5.37 11,000,000 10,982,186
7/16/96 5.36 6,000,000 5,986,750
7/19/96 5.35 5,000,000 4,986,750
8/21/96 5.44 20,000,000 19,847,283
9/5/96 5.45 15,000,000 14,851,775
9/12/96 5.48 5,000,000 4,945,047
CIT Group Holdings, Inc.
7/8/96 5.42 2,000,000 1,997,900
7/26/96 5.37 10,000,000 9,963,194
8/12/96 5.38 4,000,000 3,975,220
8/12/96 5.44 5,000,000 4,968,500
8/27/96 5.45 20,000,000 19,829,000
Citibank Credit Card Master Trust I (Dakota Certificate Program)
7/25/96 5.36 2,000,000 1,992,920
Citizens Utility Company
7/29/96 5.43 2,700,000 2,688,660
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
Clorox Co. (The)
7/2/96 5.31% $ 5,172,000 $ 5,171,241
Commercial Credit Co.
7/3/96 5.31 20,000,000 19,994,133
Corporate Asset Funding Co., Inc.
7/11/96 5.33 25,000,000 24,963,403
7/17/96 5.33 45,000,000 44,894,400
8/5/96 5.40 5,000,000 4,974,115
8/22/96 5.44 8,125,000 8,061,625
8/26/96 5.45 2,400,000 2,379,840
11/8/96 5.44 8,000,000 7,847,178
CPC International Inc.
9/10/96 5.38 18,000,000 17,812,205
9/16/96 5.48 15,000,000 14,826,429
Dean Witter, Discover & Co.
8/12/96 5.37 15,000,000 14,907,250
Deere & Co.
7/26/96 5.42 20,000,000 19,925,139
Delaware Funding Corporation
7/22/96 5.35 5,173,000 5,157,007
7/26/96 5.42 15,069,000 15,012,491
du Pont (E.I.) de Nemours & Co.
7/18/96 5.33 15,000,000 14,962,742
7/19/96 5.18 20,000,000 19,949,500
Electronic Data Systems Corp.
8/8/96 5.43 20,000,000 19,886,000
8/29/96 5.40 5,000,000 4,956,324
Enterprise Funding Corp.
7/16/96 5.40 1,000,000 997,763
7/26/96 5.47 6,032,000 6,009,171
7/29/96 5.43 10,000,000 9,958,000
8/20/96 5.45 3,000,000 2,977,500
Ford Motor Credit Corp.
7/23/96 5.34 5,000,000 4,983,806
7/26/96 5.42 2,400,000 2,391,000
7/30/96 5.40 20,000,000 19,913,644
7/31/96 5.40 20,000,000 19,910,667
8/1/96 5.37 5,000,000 4,977,094
8/2/96 5.43 5,000,000 4,976,000
9/3/96 5.46 25,000,000 24,760,000
General Electric Capital Corp.
7/15/96 5.20 15,000,000 14,970,250
7/16/96 5.37 20,000,000 19,955,833
7/24/96 5.41 15,000,000 14,948,442
11/4/96 5.48 25,000,000 24,533,625
11/5/96 5.45 10,000,000 9,812,675
General Electric Capital Services Inc.
7/15/96 5.00 20,000,000 19,961,889
Goldman Sachs Group, L.P. (The)
8/19/96 5.40 9,000,000 8,934,585
8/21/96 5.40 19,000,000 18,857,342
COMMERCIAL PAPER (DAGGER) - CONTINUED
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
Household Finance Corp.
8/8/96 5.37% $ 5,000,000 $ 4,972,028
IBM Corp.
7/23/96 5.41 25,000,000 24,917,806
7/26/96 5.33 20,000,000 19,926,667
7/31/96 5.43 3,000,000 2,986,500
IBM Credit Corp.
7/8/96 5.30 20,000,000 19,979,506
7/31/96 5.41 14,850,000 14,783,423
Illinois Tool Works, Inc.
9/3/96 5.48 7,000,000 6,932,551
Lilly (Eli) & Co.
7/12/96 5.08 10,000,000 9,984,783
Mc Graw Hill Companies, Inc.
9/16/96 5.41 5,000,000 4,942,999
Merrill Lynch & Co., Inc.
8/9/96 5.38 17,000,000 16,901,839
9/11/96 5.47 25,000,000 24,730,000
MetLife Funding, Inc.
7/18/96 5.33 3,257,000 3,248,879
Monsanto Co.
7/9/96 5.37 9,100,000 9,089,282
7/12/96 5.35 10,000,000 9,983,806
8/9/96 5.37 10,000,000 9,942,692
8/21/96 5.37 10,000,000 9,924,917
8/21/96 5.45 5,000,000 4,961,750
Morgan Stanley Group, Inc.
7/11/96 5.35 4,000,000 3,994,111
7/15/96 5.35 10,000,000 9,979,389
7/17/96 5.38 5,000,000 4,988,156
7/22/96 5.12 1,000,000 997,083
7/23/96 5.39 25,000,000 24,918,111
Morgan (J.P.) & Co.
9/5/96 5.11 15,000,000 14,863,050
10/22/96 5.44 2,000,000 1,966,728
National Rural Util. Coop. Fin. Corp.
7/8/96 5.37 15,000,000 14,984,541
7/11/96 5.33 4,000,000 3,994,122
NationsBank Corp.
8/7/96 5.38 10,000,000 9,945,425
New Center Asset Trust
8/5/96 5.40 4,000,000 3,979,272
8/12/96 5.43 11,000,000 10,931,342
8/20/96 5.41 7,000,000 6,947,986
9/30/96 5.43 10,000,000 9,866,281
New England Power Company
7/12/96 5.42 5,300,000 5,291,255
7/16/96 5.42 9,400,000 9,378,850
8/8/96 5.45 5,675,000 5,642,533
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
Norfolk Southern Corp.
7/9/96 5.38% $ 3,889,000 $ 3,884,420
PHH Corp.
7/19/96 5.32 25,000,000 24,934,000
7/30/96 5.43 10,000,000 9,956,500
8/5/96 5.43 10,000,000 9,947,500
Philip Morris Cos., Inc.
7/12/96 5.36 10,000,000 9,983,775
Preferred Receivables Funding Corp.
7/2/96 5.35 1,000,000 999,852
7/24/96 5.35 5,000,000 4,983,069
7/25/96 5.32 22,325,000 22,246,416
8/5/96 5.45 5,050,000 5,023,389
8/7/96 5.43 14,550,000 14,469,248
8/15/96 5.42 10,000,000 9,932,875
Prudential Funding Corp.
7/3/96 5.32 20,000,000 19,994,122
7/10/96 5.32 10,000,000 9,986,800
8/2/96 5.37 15,000,000 14,929,067
Smith Barney, Inc.
8/1/96 5.43 10,000,000 9,953,500
Student Loan Corporation
8/20/96 5.34 15,000,000 14,890,208
USAA Capital Corp.
7/9/96 5.30 13,437,000 13,421,279
U.S.L. Capital, Inc.
7/1/96 5.65 6,160,000 6,160,000
7/8/96 5.33 21,000,000 20,978,351
7/11/96 5.34 6,000,000 5,991,167
TOTAL COMMERCIAL PAPER 1,411,999,038
FEDERAL AGENCIES - 18.3%
FEDERAL HOME LOAN BANK - DISCOUNT NOTES - 2.9%
7/10/96 5.13 25,000,000 24,968,688
8/7/96 5.32 25,000,000 24,865,104
49,833,792
FEDERAL HOME LOAN MORTGAGE CORP. - DISCOUNT NOTES - 3.1%
7/29/96 5.27 25,000,000 24,898,889
8/15/96 5.31 15,000,000 14,901,750
9/17/96 5.43 15,000,000 14,826,125
54,626,764
FEDERAL AGENCIES - CONTINUED
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
FEDERAL NATIONAL MORTGAGE ASSOC. - DISCOUNT NOTES - 12.3%
7/24/96 5.26% $ 37,245,000 $ 37,121,264
7/24/96 5.27 16,300,000 16,245,848
8/6/96 5.31 25,000,000 24,869,000
8/6/96 5.32 29,700,000 29,544,075
8/9/96 5.32 30,010,000 29,839,318
8/13/96 5.32 15,000,000 14,905,938
9/6/96 5.34 25,000,000 24,754,799
9/9/96 5.34 25,000,000 24,744,063
9/12/96 5.34 13,000,000 12,861,209
214,885,514
TOTAL FEDERAL AGENCIES 319,346,070
U.S. TREASURY OBLIGATIONS - 0.5%
U.S. TREASURY BILLS
5/29/97 5.74 10,000,000 9,499,233
REPURCHASE AGREEMENTS - 0.0%
MATURITY
AMOUNT
In a joint trading account
(U.S. Treasury Obligations)
dated 6/28/96 due 7/1/96:
At 5.50% $ 743,341 743,000
TOTAL INVESTMENTS - 100% $ 1,741,587,341
Total Cost for Income Tax Purposes $ 1,741,587,341
LEGEND
(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.
INCOME TAX INFORMATION
At June 30, 1996, the fund had a capital loss carryforward of approximately
$59,000 of which $54,000 and $5,000 will expire on June 30, 2002 and 2004,
respectively.
THE NORTH CAROLINA CAPITAL MANAGEMENT TRUST - CASH PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
<S> <C> <C>
JUNE 30, 1996
1.ASSETS 2. 3.
4.Investment in securities, at value (including repurchase agreements of $743,000) - 5. $ 1,741,587,341
See accompanying schedule
6.Cash 7. 40,704
8.Interest receivable 9. 341
10. 11.TOTAL ASSETS 12. 1,741,628,386
13.LIABILITIES 14. 15.
16.Distributions payable $ 765,459 17.
18.Accrued management fee 542,532 19.
20. 21.TOTAL LIABILITIES 22. 1,307,991
23.24.NET ASSETS 25. $ 1,740,320,395
26.Net Assets consist of: 27. 28.
29.Paid in capital 30. $ 1,740,358,008
31.Accumulated net realized gain (loss) 32. (37,613)
33.34.NET ASSETS, for 1,740,358,008 shares outstanding 35. $ 1,740,320,395
36.37.NET ASSET VALUE, offering price and redemption price per share 38. $1.00
($1,740,320,395 (divided by) 1,740,358,008 shares)
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR ENDED JUNE 30, 1996
39.40.INTEREST INCOME 41. $ 102,692,065
42.EXPENSES 43. 44.
45.Management fee $ 6,553,221 46.
47.Non-interested trustees' compensation 91,074 48.
49. 50.TOTAL EXPENSES 51. 6,644,295
52.53.NET INTEREST INCOME 54. 96,047,770
55.56.NET REALIZED GAIN (LOSS) ON INVESTMENTS 57. (5,469)
58.59.NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 60. $ 96,042,301
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR ENDED YEAR ENDED
JUNE 30, JUNE 30,
1996 1995
61.INCREASE (DECREASE) IN NET ASSETS
62.Operations $ 96,047,770 $ 75,888,233
Net interest income
63. Net realized gain (loss) (5,469) 49,400
64. 65.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 96,042,301 75,937,633
66.Distributions to shareholders from net interest income (96,047,770) (75,888,233)
67.Share transactions at net asset value of $1.00 per share 6,541,563,200 5,637,903,067
Proceeds from sales of shares
68. Reinvestment of distributions from net interest income 84,803,378 67,002,434
69. Cost of shares redeemed (6,475,141,780) (5,337,300,557)
70.71. 151,224,798 367,604,944
NET INCREASE (DECREASE) IN NET ASSETS AND SHARES RESULTING FROM SHARE TRANSACTIONS
72. 73.TOTAL INCREASE (DECREASE) IN NET ASSETS 151,219,329 367,654,344
74.NET ASSETS 75. 76.
77. Beginning of period 1,589,101,066 1,221,446,722
78. End of period $ 1,740,320,395 $ 1,589,101,066
</TABLE>
FINANCIAL HIGHLIGHTS
CASH PORTFOLIO
<TABLE>
<CAPTION>
<S>
<C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
79.Selected Per-Share
Data and Ratios
80.Years ended June 30
1996 1995 1994 1993 1992 1991 1990 1989 1988 1987
81.Net asset value,
$ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
beginning of period
82.Income from Investment
.053 .052 .031 .030 .046 .070 .082 .085 .067 .059
Operations
Net interest income
83.Less Distributions
(.053) (.052) (.031) (.030) (.046) (.070) (.082) (.085) (.067) (.059)
From net interest income
84.Net asset value, end of
$ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
85.Total return A
5.43% 5.28% 3.10% 3.04% 4.67% 7.23% 8.55% 8.83% 6.88% 6.03%
86.Net assets, end of
$ 1,740,3 $ 1,589,1 $ 1,221,4 $ 1,303,1 $ 1,651,0 $ 1,405,5 $ 1,080,0 $ 894,83 $ 653,14 $ 406,56
period (000 omitted)
20 01 47 18 78 79 55 8 8 7
87.Ratio of expenses to
.36% .39% .39% .39% .39% .40% B .42% B .43% B .43% B .44% B
average net assets
88.Ratio of net interest
5.27% 5.22% 3.05% 3.00% 4.47% 6.90% 8.20% 8.61% 6.68% 5.85%
income to average
net assets
</TABLE>
A TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN
REDUCED DURING THE PERIODS SHOWN.
B FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD HAVE
BEEN HIGHER.
THE NORTH CAROLINA CAPITAL MANAGEMENT TRUST - TERM PORTFOLIO
PERFORMANCE: THE BOTTOM LINE
There are several ways to evaluate a fund's historical performance. You can
look at the total percentage change in value, the average annual percentage
change, or the growth of a hypothetical $10,000 investment. Each figure
includes changes in a fund's share price, plus reinvestment of any
dividends (or income) and capital gains (the profits the fund earns when it
sells bonds that have grown in value). You can also look at the fund's
income to measure performance. If Fidelity had not reimbursed certain
expenses, the life of fund total returns would have been lower.
CUMULATIVE TOTAL RETURNS
<TABLE>
<CAPTION>
<S> <C> <C> <C>
PERIODS ENDED JUNE 30, 1996 PAST 1 PAST 5 LIFE OF
YEAR YEARS FUND
Term Portfolio 5.25% 26.62% 74.61%
Salomon Brothers 12-Month Treasury Bill Index 5.70% 29.58% n/a
Short U.S. Government Bond Funds Average 4.72% 30.92% n/a
</TABLE>
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage terms
over a set period - in this case, one year, five years, or since the fund
started on March 19, 1987. For example, if you invested $1,000 in a fund
that had a 5% return over the past year, the value of your investment would
be $1,050. You can compare the fund's returns to the performance of the
Salomon Brothers 12-Month Treasury Bill Index - a broad measure of the
performance of short-term treasury bills. To measure how the fund's
performance stacked up against its peers, you can compare it to the short
U. S. government bond funds average, which reflects the performance of 57
funds with similar objectives tracked by Lipper Analytical Services, Inc.
over the past 12 months. These benchmarks include reinvested dividends and
capital gains, if any.
AVERAGE ANNUAL TOTAL RETURNS
<TABLE>
<CAPTION>
<S> <C> <C> <C>
PERIODS ENDED JUNE 30, 1996 PAST 1 PAST 5 LIFE OF
YEAR YEARS FUND
Term Portfolio 5.25% 4.83% 6.18%
Salomon Brothers 12-Month Treasury Bill Index 5.70% 5.32% n/a
Short U.S. Government Bond Funds Average 4.72% 5.52% n/a
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS take the fund's actual (or cumulative) return
and show you what would have happened if the fund had performed at a
constant rate each year.
$10,000 OVER LIFE OF FUND
IMAHDR PRASUN SHR__CHT 19960630 19960718 105437 S00000000000001
NCCMT Term Port. SB 1 Year Treas.
00036 SB010
1987/03/31 10000.00 10000.00
1987/04/30 9952.14 10026.00
1987/05/31 9987.11 10060.09
1987/06/30 10075.11 10130.51
1987/07/31 10117.21 10173.06
1987/08/31 10150.09 10206.63
1987/09/30 10173.02 10204.59
1987/10/31 10313.86 10367.86
1987/11/30 10350.31 10395.85
1987/12/31 10431.70 10449.91
1988/01/31 10534.01 10553.37
1988/02/29 10598.64 10614.58
1988/03/31 10634.15 10657.03
1988/04/30 10679.05 10686.87
1988/05/31 10704.60 10711.45
1988/06/30 10782.51 10790.72
1988/07/31 10822.64 10833.88
1988/08/31 10875.04 10866.38
1988/09/30 10959.85 10950.05
1988/10/31 11046.84 11031.08
1988/11/30 11065.42 11047.63
1988/12/31 11133.27 11087.40
1989/01/31 11213.19 11176.10
1989/02/28 11266.85 11221.92
1989/03/31 11329.36 11290.38
1989/04/30 11448.81 11416.83
1989/05/31 11559.37 11541.27
1989/06/30 11692.27 11690.16
1989/07/31 11814.54 11814.07
1989/08/31 11839.64 11828.25
1989/09/30 11912.23 11898.03
1989/10/31 12036.31 12038.43
1989/11/30 12120.85 12135.94
1989/12/31 12194.78 12203.90
1990/01/31 12244.05 12245.40
1990/02/28 12309.56 12318.87
1990/03/31 12381.65 12381.70
1990/04/30 12438.06 12444.84
1990/05/31 12561.64 12569.29
1990/06/30 12644.78 12674.87
1990/07/31 12770.27 12795.28
1990/08/31 12830.77 12868.22
1990/09/30 12914.75 12957.01
1990/10/31 13028.09 13074.92
1990/11/30 13138.10 13161.21
1990/12/31 13265.17 13292.82
1991/01/31 13365.88 13403.15
1991/02/28 13458.29 13479.55
1991/03/31 13526.85 13576.60
1991/04/30 13632.01 13675.71
1991/05/31 13697.57 13737.25
1991/06/30 13761.51 13793.58
1991/07/31 13841.54 13884.61
1991/08/31 13962.50 14009.58
1991/09/30 14051.42 14107.64
1991/10/31 14140.65 14216.27
1991/11/30 14241.79 14327.16
1991/12/31 14387.15 14454.67
1992/01/31 14423.26 14492.25
1992/02/29 14467.05 14531.38
1992/03/31 14472.29 14563.35
1992/04/30 14579.33 14649.28
1992/05/31 14653.77 14721.06
1992/06/30 14705.00 14794.66
1992/07/31 14749.11 14902.66
1992/08/31 14837.16 14977.18
1992/09/30 14924.19 15074.53
1992/10/31 14821.30 15059.45
1992/11/30 14776.81 15068.49
1992/12/31 14899.08 15152.87
1993/01/31 15052.40 15233.18
1993/02/28 15109.15 15286.50
1993/03/31 15149.80 15333.89
1993/04/30 15202.87 15387.56
1993/05/31 15209.59 15387.56
1993/06/30 15260.75 15458.34
1993/07/31 15304.90 15500.08
1993/08/31 15360.89 15569.83
1993/09/30 15399.16 15614.98
1993/10/31 15440.25 15649.33
1993/11/30 15464.70 15677.50
1993/12/31 15504.63 15732.37
1994/01/31 15560.38 15796.87
1994/02/28 15534.74 15781.08
1994/03/31 15545.21 15781.08
1994/04/30 15538.49 15766.87
1994/05/31 15580.58 15798.41
1994/06/30 15637.59 15853.70
1994/07/31 15711.11 15953.58
1994/08/31 15756.07 16007.82
1994/09/30 15806.12 16033.44
1994/10/31 15858.66 16099.17
1994/11/30 15865.67 16089.51
1994/12/31 15927.15 16147.44
1995/01/31 16071.84 16310.52
1995/02/28 16158.44 16454.06
1995/03/31 16255.97 16551.14
1995/04/30 16349.05 16665.34
1995/05/31 16463.38 16813.66
1995/06/30 16555.73 16911.18
1995/07/31 16616.79 16994.04
1995/08/31 16693.51 17077.32
1995/09/30 16767.48 17152.46
1995/10/31 16860.29 17248.51
1995/11/30 16968.02 17352.00
1995/12/31 17065.11 17454.38
1996/01/31 17159.00 17566.09
1996/02/29 17181.62 17587.16
1996/03/31 17210.09 17643.44
1996/04/30 17271.31 17703.43
1996/05/31 17331.39 17776.02
1996/06/30 17425.01 17873.78
IMATRL PRASUN SHR__CHT 19960630 19960718 105442 R00000000000123
$10,000 OVER LIFE OF FUND: Let's say hypothetically that $10,000 was
invested in North Carolina Term Portfolio on March 31, 1987, shortly after
the fund started. As the chart shows, by June 30, 1996, the value of the
investment would have grown to $17,425 - a 74.25% 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 $17,874 - a 78.74%
increase.
UNDERSTANDING
PERFORMANCE
How a fund did yesterday is no guarantee of
how it will do tomorrow. Bond prices, for
example, generally move in the opposite
direction of interest rates. In turn, the share
price, return, and yield of a fund that invests in
bonds will vary. That means if you sell your
shares during a market downturn, you might
lose money. But if you can ride out the
market's ups and downs, you may have a gain.
(checkmark)
TOTAL RETURN COMPONENTS
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
YEARS ENDED JUNE 30,
1996 1995 1994 1993 1992
Dividend return 6.16% 5.26% 3.17% 3.48% 5.94%
Capital appreciation return -0.91% 0.61% -0.70% 0.30% 0.92%
Total return 5.25% 5.87% 2.47% 3.78% 6.86%
</TABLE>
DIVIDEND returns and capital appreciation returns are both part of a bond
fund's total return. A dividend return reflects the actual dividends paid
by the fund. A capital appreciation return reflects both the amount paid by
the fund to shareholders as capital gain distributions and changes in the
fund's share price. Both returns assume the dividends or gains are
reinvested.
DIVIDENDS AND YIELD
PERIODS ENDED JUNE 30, 1996 PAST PAST 6 PAST 1
MONTH MONTHS YEAR
Dividends per share 5.30(cents) 32.65(cents) 59.76(cents)
Annualized dividend rate 6.57% 6.63% 6.04%
30-day annualized yield 5.59% - -
DIVIDENDS per share show the income paid by the fund for a set period. If
you annualize this number, based on an average share price of $9.81 over
the past month, $9.87 over the past six months and $9.89 over the past
year, you can compare the fund's income over these three periods. The
30-day annualized YIELD is a standard formula for all
funds based on the yields of the bonds in the fund, averaged over the past
30 days. This figure shows you the yield characteristics of the fund's
investments at the end of the period. It also helps you compare funds from
different companies on an equal basis.
THE NORTH CAROLINA CAPITAL MANAGEMENT TRUST - TERM PORTFOLIO
FUND TALK: THE MANAGER'S OVERVIEW
An interview with
Curtis
Hollingsworth,
Portfolio
Manager of The
North Carolina
Capital
Management
Trust:
Term Portfolio
Q. HOW DID THE FUND PERFORM, CURT?
A. For the 12 months ended June 30, 1996, the fund had a total return of
5.25%. For the same period, the Salomon Brothers 12-Month Treasury Bill
Index returned 5.70%. If one takes into account the fund's 0.38% expense
ratio, the fund performed nearly in line with the index.
Q. HOW WOULD YOU CHARACTERIZE YOUR SEGMENT OF THE BOND MARKET OVER THE PAST
YEAR?
A. If you represent the fund's segment of the bond market by the one-year
Treasury bill, the market was pretty much unchanged over the year in that
the one-year yield was 5.63% at the end of June 1995 and 5.68% at the end
of the period. However, within the past year, we've seen a bull market in
the first half of the period and a bear market in the second half.
Q. . . . AND WHAT WAS BEHIND THIS DICHOTOMY?
A. Bond prices fell and yields rose when economic data announced in the
winter of 1996 indicated the economy was stronger than expected. Of course,
a stronger economy indicates the potential for inflation, and inflation
erodes the value of fixed-income investments. In essence, the bond market
went from anticipating further interest-rate cuts by the Federal Reserve
Board to anticipating interest-rate increases. This anticipation of rising
interest rates in the second half of the period was reflected in the
steepening of the short-term yield curve - that is, one-, two- and
three-year Treasury securities rising more in yield than three-month bills.
Q. WHAT WAS YOUR STRATEGY DURING THE PERIOD?
A. Well, first of all, the fund is entirely invested in Treasury
securities. This was because I believed U.S. Government agency securities
did not offer enough yield for their additional risks. I selected Treasury
securities in maturities above and below the one-year bill - in what is
known as a barbell strategy. During the period, I attempted to contract
this barbell position so that the fund's holdings more closely resembled
the characteristics of a one-year bill. This gave the fund the advantage of
picking up more yield on securities below one year in maturity while at the
same time reducing the volatility from securities with greater than one
year in maturity.
Q. WERE THERE ANY DISAPPOINTMENTS?
A. In retrospect, I wish I had been able to find more undervalued Treasury
and agency securities.
Q. WHAT'S YOUR OUTLOOK?
A. I'd say I have a cautious outlook. The bond market is heavily
discounting a Fed tightening of interest rates, based on the spread between
the overnight federal funds rate and two-year Treasury yields. For example,
two-year Treasury notes are yielding 1.17% more than federal funds today,
which is roughly double the average spread of 0.62% over the past 10 years.
FUND FACTS
GOAL: Term Portfolio seeks to obtain as high a
level of current income as is consistent with the
preservation of capital
START DATE: March 19, 1987
SIZE: as of June 30, 1996, more than $64 million
MANAGER: Curtis Hollingsworth, since October
1995; also manager, Spartan
Short-Intermediate Government Fund,
since 1992; Fidelity Short-Intermediate
Government Fund, since 1991; Spartan Limited
Maturity Government Fund, since 1988;
Fidelity Institutional Short-Intermediate
Government Fund, since 1987; joined Fidelity
in 1983
(checkmark)
THE VIEWS EXPRESSED IN THIS REPORT REFLECT THOSE OF THE PORTFOLIO MANAGER
ONLY THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON THE COVER.
THE MANAGER'S VIEWS ARE SUBJECT TO CHANGE AT ANY TIME BASED ON MARKET AND
OTHER CONDITIONS.
THE NORTH CAROLINA CAPITAL MANAGEMENT TRUST - TERM PORTFOLIO
INVESTMENTS JUNE 30, 1996
Showing Percentage of Total Value of Investments
U.S. TREASURY OBLIGATIONS - 99.3%
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
NOTES, YIELDS AT DATE OF PURCHASE
8.00%, 1/15/97 $ 11,780,000 $ 11,929,135
8.50%, 7/15/97 19,650,000 20,162,669
8.75%, 10/15/97 6,300,000 6,516,531
5.63%, 6/30/97 23,300,000 23,263,651
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $62,142,039) 61,871,986
REPURCHASE AGREEMENTS - 0.7%
MATURITY
AMOUNT
In a joint trading account
(U.S. Treasury Obligations)
dated 6/28/96 due 7/1/96:
At 5.46% $ 451,205 451,000
TOTAL INVESTMENT IN SECURITIES - 100%
(Cost $62,593,039) $ 62,322,986
INCOME TAX INFORMATION
At June 30, 1996, the aggregate cost of investment securities for income
tax purposes was $62,593,039. Net unrealized depreciation aggregated
$270,053, of which $6,646 related to appreciated investment securities and
$276,699 related to depreciated investment securities.
At June 30, 1996, Term Portfolio had a capital loss carryforward of
approximately $244,200 which will expire on June 30, 2003.
The fund intends to elect to defer to its fiscal year ending June 30, 1997
approximately $273,800 of losses recognized during the period November 1,
1995 to June 30, 1996.
THE NORTH CAROLINA CAPITAL MANAGEMENT TRUST - TERM PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
<S> <C> <C>
JUNE 30, 1996
89.ASSETS 90. 91.
92.Investment in securities, at value (including repurchase agreements of $451,000) (cost 93. $ 62,322,986
$62,593,039) - See accompanying schedule
94.Cash 95. 208,118
96.Interest receivable 97. 1,968,441
98. 99.TOTAL ASSETS 100. 64,499,545
101.LIABILITIES 102. 103.
104.Distributions payable $ 125,320 105.
106.Accrued management fee 19,420 107.
108. 109.TOTAL LIABILITIES 110. 144,740
111.112.NET ASSETS 113. $ 64,354,805
114.Net Assets consist of: 115. 116.
117.Paid in capital 118. $ 65,127,816
119.Undistributed net investment income 120. 15,014
121.Accumulated undistributed net realized gain (loss) 122. (517,972)
123.Net unrealized appreciation (depreciation) on investments 124. (270,053)
125.126.NET ASSETS, for 6,554,748 shares outstanding 127. $ 64,354,805
128.129.NET ASSET VALUE, offering price and redemption price per share 130. $9.82
($64,354,805 (divided by) 6,554,748 shares)
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME YEAR ENDED JUNE 30, 1996
131.Interest 132. $ 4,094,782
133.EXPENSES 134. 135.
136.Management fee $ 238,697 137.
138.Non-interested trustees' compensation 3,212 139.
140. 141.TOTAL EXPENSES 142. 241,909
143.144.NET INVESTMENT INCOME 145. 3,852,873
146.REALIZED AND UNREALIZED GAIN (LOSS) 148. (217,118)
147.Net realized gain (loss) on investment securities
149.Change in net unrealized appreciation (depreciation) on investment securities 150. (395,983)
151.152.NET GAIN (LOSS) 153. (613,101)
154.155.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 156. $ 3,239,772
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
157.INCREASE (DECREASE) IN NET ASSETS YEAR ENDED YEAR ENDED
JUNE 30, JUNE 30,
1996 1995
158.Operations $ 3,852,873 $ 3,347,525
Net investment income
159. Net realized gain (loss) (217,118) (82,924)
160. Change in net unrealized appreciation (depreciation) (395,983) 494,133
161. 3,239,772 3,758,734
162.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
163.Distributions to shareholders from net investment income (3,832,180) (3,346,756)
164.Share transactions 5,689,831 7,077,317
Net proceeds from sales of shares
165. Reinvestment of distributions 2,590,848 2,267,207
166. Cost of shares redeemed (13,683,979) (5,900,951)
167.168. (5,403,300) 3,443,573
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS
169. (5,995,708) 3,855,551
170.TOTAL INCREASE (DECREASE) IN NET ASSETS
171.NET ASSETS 172. 173.
174. Beginning of period 70,350,513 66,494,962
175. $ 64,354,805 $ 70,350,513
End of period (including undistributed net investment income of $15,014 and $(5,679), respectively)
176.OTHER INFORMATION 178. 179.
177.Shares
180. Sold 575,503 717,405
181. Issued in reinvestment of distributions 262,093 229,823
182. Redeemed (1,381,008) (597,979)
183. Net increase (decrease) (543,412) 349,249
</TABLE>
FINANCIAL HIGHLIGHTS
TERM PORTFOLIO
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
184.Selected Per-Share
Data and Ratios
185.Years
ended June
30 1996 1995 1994C 1993 1992 1991 1990 1989 1988 1987186.
D
187.Net
asset
value, $ 9.910 $ 9.850 $ 9.940 $ 9.910 $ 9.820 $ 9.730 $ 9.780 $ 9.820 $ 9.910 $ 10.000
beginning of period
188.Income
from .601 .505 .288 .337 .560 .741 .816 .832 .762 .185
Investment Operations
Net investment income
189. Net realized
and (.093) .059 (.046) .031 .097 .090 (.050) (.040) (.090) (.090)
unrealized gain (loss)
190. Total from
investment .508 .564 .242 .368 .657 .831 .766 .792 .672 .095
operations
191.Less Distri
butions (.598) (.504) (.312) (.338) (.567) (.741) (.816) (.832) (.762) (.185)
From net investment
income
192. In excess
of net -- -- (.020) -- -- -- -- -- -- --
realized gain
193. Total distri
butions (.598) (.504) (.332) (.338) (.567) (.741) (.816) (.832) (.762) (.185)
194.Net asset
value, end $ 9.820 $ 9.910 $ 9.850 $ 9.940 $ 9.910 $ 9.820 $ 9.730 $ 9.780 $ 9.820 $ 9.910
of period
195.Total
returnB 5.25 5.87 2.47 3.78 6.86 8.83 8.15 8.44 7.02 .96%
% % % % % % % % %
196.Net assets,
end of $ 64,355 $ 70,351 $ 66,495 $ 79,765 $ 89,303 $ 83,656 $ 83,412 $ 83,770 $ 116,556 $ 45,215
period (000 omitted)
197.Ratio of expenses
to .38 .41 .41 .41 .41 .41% .40% .40% .27% .14%
average net
assets % % % % % E E E E 198.A ,E
199.Ratio of
net 6.06 5.12 3.14 3.41 5.69 7.56 8.37 8.52 7.75 6.63%
investment income
to % % % % % % % % % 200.A
average net assets
201.Portfolio turnover
rate 89 519 494 612 424 78 23 14 30 407%
% % % % % % % % % 202.A
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
T OTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN
REDUCED DURING THE PERIODS SHOWN .
C EFFECTIVE JULY 1, 1994 , THE FUND 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, NET INVESTMENT INCOME PER SHARE MAY REFLECT CERTAIN
RECLASSIFICATIONS RELATED TO BOOK TO TAX DIFFERENCES.
D MARCH 19, 1987 (COMMENCEMENT OF OPERATIONS) TO JUNE 30, 1987
E FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD HAVE
BEEN HIGHER.
NOTES TO FINANCIAL STATEMENTS
For the period ended June 30, 1996
1. SIGNIFICANT ACCOUNTING POLICIES.
Cash Portfolio and Term Portfolio (the funds) are funds of The North
Carolina Capital Management Trust (the 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 financial
statements have been prepared in conformity with generally accepted
accounting principles which permit management to make certain estimates
and assumptions at the date of the financial statements. The following
summarizes the significant accounting policies of the funds:
SECURITY VALUATION.
CASH PORTFOLIO. As permitted under Rule 2a-7 of the 1940 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 of their purchase date are valued either at
amortized cost or original cost plus accrued interest, both of which
approximate current value. Securities for which market quotations are not
readily available 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 substantially all of its taxable income for
the fiscal year. The schedules of investments include information regarding
income taxes under the caption "Income Tax Information."
INVESTMENT INCOME.
CASH PORTFOLIO. Interest income, which includes amortization of premium and
accretion of 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.
CASH PORTFOLIO. Dividends are declared daily and paid monthly from net
interest income.
TERM PORTFOLIO. Distributions are declared daily and
paid monthly from net interest income. Distributions
to shareholders from realized gains on investments,
if any, are recorded on the ex-dividend date.
Income and capital gain distributions are determined in accordance with
income tax regulations which may differ from generally accepted accounting
principles. These differences, which may result in distribution
reclassifications, are primarily due to differing treatments for capital
loss carryforwards and losses deferred due to excise tax regulations.
Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications to paid in capital and may
affect the per-share allocation between net investment income and realized
and unrealized gain (loss). Undistributed net investment income and
accumulated undistributed net realized gain (loss) on investments may
include temporary book and tax basis differences which will reverse in a
subsequent period. Distributions in excess of net investment income and
accumulated undistributed net realized gain (loss) on investments may
include temporary book and tax basis differences that will reverse in a
subsequent period. Any taxable income or gain remaining at fiscal year end
is distributed in the following year.
1. SIGNIFICANT ACCOUNTING POLICIES - CONTINUED
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.
2. OPERATING POLICIES.
JOINT TRADING ACCOUNT. Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission (the SEC), the funds, along with other
affiliated entities of Fidelity Management & Research Company (FMR), may
transfer uninvested cash balances into one or more joint trading accounts.
These balances are invested in one or more repurchase agreements that
mature in 60 days or less from the date of purchase for U.S. Treasury or
Federal Agency obligations.
REPURCHASE AGREEMENTS. The underlying U.S. Treasury or Federal Agency
Securities are transferred to an account of the funds, or to the Joint
Trading Account, at a bank custodian. The securities are marked-to-market
daily and maintained at a value at least equal to the principal amount of
the repurchase agreement (including accrued interest). FMR, the funds'
investment adviser, is responsible for determining that the value of the
underlying securities remains in accordance with the market value
requirements stated above.
3. PURCHASES AND SALES OF INVESTMENTS.
TERM PORTFOLIO. Purchases and sales of securities, other than short-term
securities, aggregated $91,172,290 and $28,666,573, respectively.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
MANAGEMENT FEE. As each fund's investment adviser,
FMR pays most expenses, except the compensation of the non-interested
Trustees and certain exceptions such as interest, taxes, brokerage
commissions and extraordinary expenses.
Effective February 1, 1996, FMR receives a fee that is based upon a
graduated series of rates ranging from .330% to .365% of each fund's
average net assets. From November 1, 1995, to February 1, 1996, FMR
voluntarily implemented this fee schedule as it results in the same or a
lower management fee. From July 1, 1995 to November 1, 1995, FMR received a
fee based upon a graduated series of rates ranging from .38% to .41% of
each fund's average net assets. For the period, the management fees paid
to FMR were equivalent to an annual rate of .36% and .38% 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 to FMR. The fee is paid prior to any voluntary
expense reimbursements which may be in effect.
DISTRIBUTION AND SERVICE PLAN. Pursuant to the Distribution and Service
Plans (the Plans), and in accordance with Rule 12b-1 of the 1940 Act, FMR
pays Fidelity Distributors Corporation (FDC), an affiliate of FMR, a
distribution and service fee that is based on a graduated series of rates
ranging from .15% to .16% of each fund's average net assets. For the
period, FMR paid FDC $2,945,998 and $94,164 on behalf of the Cash and the
Term Portfolios, respectively, all of which FDC paid to Sterling Capital
Distributors, Inc., a wholly-owned subsidiary of Sterling Capital
Management Company.
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Shareholders of The North Carolina Capital Management
Trust: Cash Portfolio and Term Portfolio:
We have audited the accompanying statements of assets and liabilities of
The North Carolina Capital Management Trust (comprised of the Cash
Portfolio and the Term Portfolio), including the schedules of portfolio
investments, as of June 30, 1996, and the related statements of operations
for the year then ended, the statements of changes in net assets for each
of the two years in the period then ended, and the financial highlights for
each of the ten years in the period ended June 30, 1996 of the Cash
Portfolio, and for each of the nine years in the period ended June 30, 1996
and for the period March 19, 1987 (commencement of operations) to June 30,
1987 of the Term Portfolio. These financial statements and financial
highlights are the responsibility of the Trust's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements. Our procedures included confirmation of
securities owned as of June 30, 1996 by correspondence with the custodian
and
brokers. An audit also includes assessing the accounting principles used
and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits
provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position
of the respective aforementioned Portfolios comprising The North Carolina
Capital Management Trust as of June 30, 1996, the results of their
operations for the year then ended, the changes in their net assets for
each of the two years in the period then ended, and the financial
highlights on pages P-5 and P-6 for the periods set forth above, in
conformity with generally accepted accounting principles.
COOPERS & LYBRAND L.L.P.
Dallas, Texas
August 2, 1996
PROXY VOTING RESULTS
A special meeting of the shareholders of The North Carolina Capital
Management Trust: Cash Portfolio was held on January 22, 1996. The
results of votes taken among shareholders on the proposals before them are
listed below.
PROPOSAL 1.
To approve amendments to the fee schedule of the fund's Management
Contract. Approval of Proposal 1 is contingent upon approval of Proposal 2.
# OF % OF
SHARES VOTED SHARES VOTED
Affirmative 920,715,233.230 99.446
Against 2,713,109.090 .293
Abstain 2,415,744.120 .261
TOTAL 925,844,086.440 100.00
PROPOSAL 2.
To approve amendments to the fee schedule of the fund's Distribution and
Service Plan. Approval of Proposal 2 is contingent upon approval of
Proposal 1.
# OF % OF
SHARES VOTED SHARES VOTED
Affirmative 920,715,233.230 99.446
Against 2,713,109.090 .293
Abstain 2,415,744.120 .261
TOTAL 925,844,086.440 100.00
PROPOSAL 3.
To ratify the selection of Coopers & Lybrand L.L.P. as independent
accountants of the Trust.
# OF % OF
SHARES VOTED SHARES VOTED
Affirmative 925,197,034.060 99.930
Against .000 .000
Abstain 647,052.380 .070
TOTAL 925,844,086.440 100.00
PROXY VOTING RESULTS
A special meeting of the shareholders of The North Carolina Capital
Management Trust: Term Portfolio was held on January 22, 1996. The results
of votes taken among shareholders on the proposals before them are listed
below.
PROPOSAL 1.
To approve amendments to the fee schedule of the fund's Management
Contract. Approval of Proposal 1 is contingent upon approval of Proposal 2.
# OF % OF
SHARES VOTED SHARES VOTED
Affirmative 4,009,071.904 99.728
Against 10,919.205 .272
Abstain .000 .000
TOTAL 4,019,991.109 100.00
PROPOSAL 2.
To approve amendments to the fee schedule of the fund's Distribution and
Service Plan. Approval of Proposal 2 is contingent upon approval of
Proposal 1.
# OF % OF
SHARES VOTED SHARES VOTED
Affirmative 4,009,071.904 99.728
Against 10,919.205 .272
Abstain .000 .000
TOTAL 4,019,991.109 100.00
PROPOSAL 3.
To ratify the selection of Coopers & Lybrand L.L.P. as independent
accountants of the Trust.
# OF % OF
SHARES VOTED SHARES VOTED
Affirmative 4,019,991.109 100.00
Against .000 .000
Abstain .000 .000
TOTAL 4,019,991.109 100.00
TRUSTEES
William L. Byrnes
John David "J.D." Foust
W. Olin Nisbet III
Helen A. Powers
Bertram H. Witham
OFFICERS
William L. Byrnes, PRESIDENT
J. Gary Burkhead, SENIOR VICE PRESIDENT
W. Olin Nisbet III, VICE PRESIDENT
J. Calvin Rivers, Jr., VICE PRESIDENT
Curtis Hollingsworth, VICE PRESIDENT, TERM PORTFOLIO
Burnell R. Stehman, VICE PRESIDENT, CASH PORTFOLIO
Arthur S. Loring, SECRETARY
Kenneth A. Rathgeber, TREASURER
Thomas D. Maher, ASSISTANT VICE PRESIDENT, CASH PORTFOLIO
John H. Costello, ASSISTANT TREASURER
Leonard M. Rush, ASSISTANT TREASURER
Thomas J. Simpson, ASSISTANT TREASURER
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
