THE
N
C
ORTH
AROLINA
CAPITAL MANAGEMENT TRUST
CASH PORTFOLIO
TERM PORTFOLIO
SEMIANNUAL REPORT
DECEMBER 31, 1996
NCCMT-SANN-0297
26509
CHECK PAGE NUMBERS !!!
CONTENTS
<TABLE>
<CAPTION>
<S> <C> <C>
THE NORTH CAROLINA CAPITAL MANAGEMENT TRUST:
CASH PORTFOLIO:
PERFORMANCE 3 How the fund has done over time.
FUND TALK 5 The manager's review of the fund's performance,
strategy, and outlook.
INVESTMENTS 7 A complete list of the fund's investments with
their market values.
FINANCIAL STATEMENTS 10 Statements of assets and liabilities, operations,
and changes in net assets, as well as financial
highlights.
TERM PORTFOLIO:
PERFORMANCE 14 How the fund has done over time.
FUND TALK 17 The manager's review of the fund's performance,
strategy, and outlook.
INVESTMENTS 18 A complete list of the fund's investments with
their market values.
FINANCIAL STATEMENTS 19 Statements of assets and liabilities, operations,
and changes in net assets, as well as financial
highlights.
NOTES 23 Notes to the financial statements.
</TABLE>
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.
MUTUAL FUND SHARES ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED BY,
ANY DEPOSITORY INSTITUTION.
SHARES ARE NOT INSURED BY THE FDIC, FEDERAL RESERVE BOARD OR ANY OTHER
AGENCY, AND ARE SUBJECT TO
INVESTMENT RISKS, INCLUDING POSSIBLE LOSS OF PRINCIPAL AMOUNT INVESTED.
NEITHER THE FUNDS NOR FIDELITY DISTRIBUTORS CORPORATION NOR STERLING
CAPITAL DISTRIBUTORS, INC. IS A BANK.
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 the value of an
investment assuming reinvestment of the fund's dividend 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 DECEMBER 31, 1996 PAST 6 PAST 1 PAST 5 PAST 10
MONTHS YEAR YEARS YEARS
Cash Portfolio 2.60% 5.22% 23.31% 76.58%
All Taxable Money Market Funds Average 2.46% 4.93% 21.96% 71.99%
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage terms
over a set period - in this case, six months, 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 812 taxable money market funds with similar objectives
tracked by IBC Financial Data, Inc. over the past six months.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1996 PAST 1 PAST 5 PAST 10
YEAR YEARS YEARS
Cash Portfolio 5.22% 4.28% 5.85%
All Taxable Money Market Funds Average 4.93% 4.05% 5.57%
AVERAGE ANNUAL TOTAL RETURNS take the fund's cumulative return and show you
what would have happened if
the fund had performed at a constant rate each year.
YIELDS
1/2/96 4/2/96 7/2/96 10/1/96 12/31/96
5.44% 4.97% 5.06% 5.12% 5.13%
Cash Portfolio
All Taxable Money 5.15% 4.79% 4.81% 4.86% 4.90%
Market Funds Average
12/27/95 4/3/96 6/26/96 10/2/96 12/30/96
2.83% 2.71% 2.66% 2.67% 2.64%
MMDA
Row: 1, Col: 1, Value: 5.44
Row: 1, Col: 2, Value: 5.149999999999999
Row: 1, Col: 3, Value: 2.83
Row: 2, Col: 1, Value: 4.970000000000001
Row: 2, Col: 2, Value: 4.79
Row: 2, Col: 3, Value: 2.71
Row: 3, Col: 1, Value: 5.06
Row: 3, Col: 2, Value: 4.81
Row: 3, Col: 3, Value: 2.66
Row: 4, Col: 1, Value: 5.119999999999999
Row: 4, Col: 2, Value: 4.859999999999999
Row: 4, Col: 3, Value: 2.67
Row: 5, Col: 1, Value: 5.13
Row: 5, Col: 2, Value: 4.9
Row: 5, Col: 3, Value: 2.64
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. WHAT HAS THE INTEREST RATE ENVIRONMENT BEEN LIKE OVER THE PAST SIX
MONTHS, BURNIE?
A. It has been an interesting period, one that showed some volatility early
on but subsided into a stable, steady market as participants became
convinced there would not be a shift in Federal Reserve monetary policy.
Six months ago, the combination of strong economic growth and a tight labor
market stirred inflation fears. Like many market participants, I fully
expected the Fed to raise the rate banks charge each other for overnight
loans - known as the federal funds rate - to slow growth and prevent
inflationary pressures from erupting. Through the summer and into October,
the markets were very sensitive to emerging economic news, reacting
negatively in anticipation of new data that might show economic strength,
then rallying when other releases came out indicating no significant
increase in inflation. A slowdown in third quarter economic growth to a
2.1% annual rate convinced the market that the Fed probably would stand pat
through the end of 1996 as long as the economy continued to post moderate
growth with benign inflation. Concerns we had through the end of the year
were the same ones we've had for the past six months: a low unemployment
rate and tight labor markets might lead to wage and price pressures that
could spark inflation given increases in consumer confidence and
consumption of goods and services. Early December proved to be relatively
quiet, with stable markets as we entered the holiday sales season. However,
at month's end, the market again showed volatility as there was a pickup in
manufacturing, housing, and retail sales, and consumer confidence was
reported at its highest level in seven years. Minutes from the Fed's
November meeting also implied that Fed policy remains skewed toward
tightening because of its fears that inflation might once again rear its
ugly head with a bounce back in the economy in the first and second
quarters of 1997.
Q. WHAT WAS YOUR STRATEGY THROUGH THIS PERIOD?
A. I tended to adjust the fund's average maturity in response to changing
conditions, essentially letting the fund roll with the market. The fund's
average maturity at the beginning of the six-month period was down to about
36 days, given my concerns about Fed tightening. With no Fed action in July
and August, I moved the fund's maturity out to about 46 or 47 days. In
September, when there was some uncertainty caused by statistics indicating
an economic pick-up, I brought the maturity back in to the 38- to 40-day
range. In October and November, I became more convinced that the Fed
probably wouldn't adjust rates until at least the first quarter of 1997.
Therefore, I extended the fund's maturity back out to 61 days in November,
the longest the fund's maturity has been in some time. Given my outlook
since then and through the end of the period, the average maturity has come
back to about 45 days, which I consider to be a more neutral posture.
Q. HOW DID THE FUND PERFORM, BURNIE?
A. The fund's seven-day yield on December 31, 1996, was 5.13%, compared to
5.06% six months ago. For the six months that ended December 31, 1996, the
fund's total return was 2.60%. That compares favorably with the total
return of 2.46% during the same period for the all taxable money market
funds average, according to IBC Financial Data, Inc.
Q. WHAT IS YOUR OUTLOOK FOR THE NEXT FEW MONTHS?
A. The consensus at this point is that there will be modest growth and
subdued inflation, at least into the first quarter of 1997. Since the Fed
has fears about wage and price pressures, participants will be monitoring
employment numbers and other emerging data quite carefully. There also is
consensus among economists that the economy will pick up in 1997, and that
the Fed will tighten the funds rate at some juncture. However, in my
opinion, any tightening move would be modest and not the beginning of a
protracted long-term rise in rates. Instead, it would be an action to put
the brakes on the economy before runaway inflation can set in. With all of
these factors in mind, I'd like to keep the fund in the 45- to 50-day
range, so that I can lock in current longer-term yields and, at the same
time, maintain ample liquidity to permit participation in the markets
should the Fed tighten monetary policy.
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
FUND NUMBER: 047
START DATE: September 2, 1982
SIZE: as of December 31, 1996, more than
$2.1 billion
MANAGER: Burnell Stehman, since 1982;
manager, Fidelity Money Market Trust - Rated
Money Market, since 1992; Fidelity Institutional
Cash Portfolio - Domestic, since 1991; Fidelity
Daily Income Trust, since 1986; joined Fidelity in
1979
(checkmark)
WORDS TO KNOW
BANKERS' ACCEPTANCE (BA): A short-term note
whose payment is guaranteed by a bank.
CERTIFICATE OF DEPOSIT (CD): An interest-bearing
deposit with a specific maturity. Large denomination
CDs, like those the fund buys, have negotiable
interest rates and can be sold in the secondary
market.
COMMERCIAL PAPER: A short-term note from a
bank or corporation.
FEDERAL FUNDS RATE: The interest rate banks
charge each other for overnight loans.
MATURITY: The time remaining before an issuer is
scheduled to repay the principal amount on a debt
security. When the fund's average maturity,
weighted by dollar amount, is short, the fund
manager is expecting rates to rise. When the
average maturity is neutral, the manager wants
the flexibility to respond to rising rates, while still
capturing a portion of the higher yields available
from issues with longer maturities. When the
average maturity is long, the manager is
expecting interest rates to fall.
TIME DEPOSIT (TD): An interest-bearing deposit
with a specific maturity. Large denomination
TDs, like those the fund buys, differ from CDs in
that they can't be sold in the secondary market.
THE NORTH CAROLINA CAPITAL MANAGEMENT TRUST - CASH PORTFOLIO
INVESTMENTS DECEMBER 31, 1996 (UNAUDITED)
Showing Percentage of Total Value of Investments in Securities
COMMERCIAL PAPER (DAGGER) - 66.7%
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
AVCO Financial Services
1/7/97 5.39% $ 15,000,000 $ 14,986,700
2/10/97 5.39 10,000,000 9,941,000
2/12/97 5.38 12,000,000 11,925,800
3/4/97 5.38 5,000,000 4,954,275
3/6/97 5.40 10,000,000 9,905,778
3/19/97 5.40 14,500,000 14,335,626
American Brands, Inc.
2/18/97 5.38 3,200,000 3,177,387
2/28/97 5.51 20,000,000 19,824,389
American General Finance Corp.
1/10/97 5.49 10,000,000 9,986,475
Asset Securitization Coop. Corp.
2/18/97 5.43 3,000,000 2,978,520
2/18/97 5.44 3,000,000 2,978,440
2/25/97 5.56 10,000,000 9,915,972
2/26/97 5.44 2,000,000 1,983,262
Associates Corp. of North America
1/8/97= 5.41 10,000,000 9,989,617
1/27/97 5.36 20,000,000 19,923,300
2/18/97 5.42 15,000,000 14,893,400
2/19/97 5.37 20,000,000 19,855,723
2/20/97 5.38 9,000,000 8,933,688
2/27/97 5.41 25,000,000 24,789,812
Bank of New York Company, Inc.
1/2/97 5.51 10,000,000 9,998,492
Bank One Corporation
1/29/97 5.36 20,000,000 19,917,556
1/31/97 5.36 30,000,000 29,867,500
Bear Stearns Cos., Inc.
1/24/97 5.40 13,000,000 12,955,814
2/7/97 5.37 15,000,000 14,918,137
Beneficial Corp.
3/6/97 5.43 40,000,000 39,618,133
CIESCO, LP
1/9/97 5.39 10,000,000 9,988,178
1/13/97 5.39 5,000,000 4,991,133
2/7/97 5.37 15,000,000 14,918,292
2/7/97 5.58 20,000,000 19,885,917
2/25/97 5.37 15,000,000 14,878,771
CIT Group Holdings, Inc.
1/23/97 5.37 15,000,000 14,951,325
3/17/97 5.48 14,000,000 13,842,208
CPC International Inc.
1/16/97 5.40 18,500,000 18,458,915
Citibank Credit Card Master Trust I (Dakota Certificate Program)
1/23/97 5.43 5,000,000 4,983,622
2/19/97 5.41 2,000,000 1,985,463
2/21/97 5.40 5,000,000 4,962,246
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
Commercial Credit Co.
2/26/97 5.52% $ 15,000,000 $ 14,872,367
3/5/97 5.50 20,000,000 19,809,600
Corporate Asset Funding Co., Inc.
1/15/97 5.40 12,600,000 12,573,883
1/27/97 5.78 7,300,000 7,269,685
2/26/97 5.38 26,900,000 26,678,224
Dean Witter, Discover & Co.
1/31/97 5.51 10,000,000 9,955,166
Delaware Funding Corporation
1/24/97 5.68 8,016,000 7,987,064
2/25/97 5.51 6,266,000 6,213,826
du Pont (E.I.) de Nemours & Co.
3/6/97 5.69 5,000,000 4,950,756
3/14/97 5.60 10,000,000 9,890,800
5/22/97 5.39 15,000,000 14,691,562
Enterprise Funding Corp.
1/29/97 5.41 10,752,000 10,707,092
1/31/97 5.61 5,000,000 4,976,791
2/19/97 5.43 2,000,000 1,985,382
2/20/97 5.49 5,000,000 4,962,292
2/25/97 5.49 1,000,000 991,704
2/26/97 5.56 10,606,000 10,515,260
2/27/97 5.51 5,000,000 4,956,854
Fleet Funding Corporation
1/24/97 5.51 22,000,000 21,923,116
Ford Motor Credit Corp.
1/6/97 5.44 15,000,000 14,988,833
1/14/97 5.36 20,000,000 19,961,650
2/10/97 5.37 20,000,000 19,882,444
General Electric Capital Corp.
2/20/97 5.42 15,000,000 14,889,167
3/4/97 5.38 25,000,000 24,772,236
3/5/97 5.76 5,000,000 4,951,000
3/6/97 5.53 6,000,000 5,941,653
3/18/97 5.39 30,000,000 29,664,967
General Electric Capital Services Inc.
2/25/97 5.42 20,000,000 19,837,444
General Electric Co.
3/3/97 5.37 5,000,000 4,955,097
Georgia Power Co.
2/18/97 5.47 6,000,000 5,956,640
Goldman Sachs Group, L.P. (The)
4/23/97 5.50 10,000,000 9,833,556
4/29/97 5.50 30,000,000 29,473,917
5/12/97 5.45 12,000,000 11,768,567
H.J. Heinz Co.
1/22/97 5.41 12,000,000 11,962,410
1/22/97 5.44 12,000,000 11,962,200
COMMERCIAL PAPER (DAGGER) - CONTINUED
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
Household Finance Corp.
1/10/97 5.41% $ 25,000,000 $ 24,966,656
2/5/97 5.37 35,000,000 34,819,653
3/5/97 5.50 20,000,000 19,809,600
IBM Corp.
2/24/97 5.42 25,000,000 24,800,500
IBM Credit Corp.
2/28/97 5.40 20,000,000 19,828,900
3/10/97 5.38 5,000,000 4,949,945
3/17/97 5.46 25,000,000 24,719,271
J.C. Penney Funding Corp.
2/10/97 5.50 3,000,000 2,981,833
2/13/97 5.50 2,000,000 1,986,981
MCI Communications Corp.
1/7/97 5.37 5,000,000 4,995,567
Mc Graw Hill Companies, Inc.
3/20/97 5.43 15,000,000 14,826,125
Merrill Lynch & Co., Inc.
2/4/97 5.63 17,000,000 16,912,176
3/11/97 5.76 5,000,000 4,946,333
3/12/97 5.68 2,000,000 1,978,514
Monsanto Co.
2/19/97 5.50 5,900,000 5,856,234
2/20/97 5.50 3,600,000 3,572,750
Morgan (J.P.) & Co.
3/17/97 5.47 3,660,000 3,618,825
6/18/97 5.45 20,000,000 19,504,400
Morgan Stanley Group, Inc.
2/4/97 5.40 5,000,000 4,974,878
2/6/97 5.40 15,000,000 14,920,200
2/10/97 5.40 13,000,000 12,923,155
National Rural Util. Coop. Fin. Corp.
2/20/97 5.38 20,000,000 19,852,778
NationsBank Corp.
2/13/97 5.37 15,000,000 14,905,221
New Center Asset Trust
2/13/97 5.58 5,000,000 4,967,571
2/19/97 5.42 15,000,000 14,891,383
3/17/97 5.39 5,000,000 4,944,792
6/17/97 5.51 15,000,000 14,627,033
Norfolk Southern Corp.
2/5/97 5.40 10,000,000 9,948,181
Norwest Financial
2/10/97 5.38 20,000,000 19,882,000
PHH Corp.
1/21/97 5.45 3,170,000 3,160,490
1/31/97 5.45 2,000,000 1,991,000
2/7/97 5.43 2,000,000 1,988,962
2/12/97 5.44 2,000,000 1,987,470
2/14/97 5.52 2,000,000 1,986,629
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
PPG Industries
3/31/97 5.45% $ 30,000,000 $ 29,600,983
Pfizer Inc.
3/12/97 5.38 5,000,000 4,948,472
Preferred Receivables Funding Corp.
1/16/97 5.39 5,000,000 4,988,854
1/23/97 5.48 2,000,000 1,993,339
1/23/97 5.65 6,000,000 5,979,393
1/24/97 5.40 2,000,000 1,993,164
1/27/97 5.40 2,000,000 1,992,272
1/30/97 5.56 10,000,000 9,955,533
2/25/97 5.53 4,000,000 3,966,572
Southern California Edison
1/10/97 5.42 3,000,000 2,995,995
Student Loan Corporation
1/22/97 5.38 15,000,000 14,953,537
2/21/97 5.37 25,000,000 24,812,292
Transamerica Financial Corp.
2/21/97 5.36 12,100,000 12,009,321
3/26/97 5.46 11,400,000 11,256,892
USAA Capital Corp.
1/14/97 5.34 10,000,000 9,980,861
TOTAL COMMERCIAL PAPER 1,427,567,557
FEDERAL AGENCIES - 31.3%
FEDERAL FARM CREDIT BANK - DISCOUNT NOTES - 1.8%
1/24/97 5.40 25,000,000 24,914,229
3/3/97 5.42 13,450,000 13,329,212
38,243,441
FEDERAL HOME LOAN BANK - DISCOUNT NOTES - 1.8%
2/6/97 5.29 30,000,000 29,843,400
2/26/97 5.34 9,200,000 9,124,867
38,968,267
FEDERAL HOME LOAN MORTGAGE CORP. - DISCOUNT NOTES - 20.3%
1/3/97 5.30 20,000,000 19,994,189
1/3/97 5.31 20,420,000 20,414,056
1/14/97 5.33 10,000,000 9,980,771
1/14/97 5.36 50,000,000 49,903,854
1/23/97 5.34 30,000,000 29,902,650
1/23/97 5.41 32,200,000 32,094,134
2/3/97 5.34 50,000,000 49,759,375
2/6/97 5.29 20,000,000 19,895,600
2/13/97 5.29 40,000,000 39,750,361
2/14/97 5.30 65,000,000 64,584,506
2/14/97 5.33 48,645,000 48,333,456
FEDERAL AGENCIES - CONTINUED
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
FEDERAL HOME LOAN MORTGAGE CORP. - DISCOUNT NOTES - CONTINUED
2/18/97 5.33% $ 10,000,000 $ 9,930,133
2/28/97 5.33 25,000,000 24,788,944
3/7/97 5.31 15,000,000 14,858,625
434,190,654
FEDERAL NATIONAL MORTGAGE ASSOC. - DISCOUNT NOTES - 7.4%
1/3/97 5.56 25,000,000 24,992,458
1/21/97 5.65 20,000,000 19,938,888
1/28/97 5.30 15,000,000 14,941,163
2/3/97 5.62 15,000,000 14,924,925
2/11/97 5.41 20,000,000 19,880,189
3/13/97 5.63 25,000,000 24,730,298
3/17/97 5.65 10,000,000 9,885,417
3/25/97 5.45 5,000,000 4,938,788
4/21/97 5.34 25,000,000 24,602,014
158,834,140
TOTAL FEDERAL AGENCIES 670,236,502
REPURCHASE AGREEMENTS - 2.0%
MATURITY
AMOUNT
In a joint trading account
dated 12/31/96 due 1/2/97:
(U.S. Treasury Obligations)
At 6.82% $ 43,636,519 43,620,000
TOTAL INVESTMENTS - 100% $ 2,141,424,059
Total Cost for Income Tax Purposes $ 2,141,424,059
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>
DECEMBER 31, 1996 (UNAUDITED)
1.ASSETS 2. 3.
4.Investment in securities, at value (including repurchase agreements of $43,620,000) - 5. $ 2,141,424,059
See accompanying schedule
6.Cash 7. 41,331
8. 9.TOTAL ASSETS 10. 2,141,465,390
11.LIABILITIES 12. 13.
14.Distributions payable $ 1,121,936 15.
16.Accrued management fee 603,992 17.
18. 19.TOTAL LIABILITIES 20. 1,725,928
21.22.NET ASSETS 23. $ 2,139,739,462
24.Net Assets consist of: 25. 26.
27.Paid in capital 28. $ 2,139,776,956
29.Accumulated net realized gain (loss) on investments 30. (37,494)
31.32.NET ASSETS, for 2,139,776,956 shares outstanding 33. $ 2,139,739,462
34.35.NET ASSET VALUE, offering price and redemption price per share 36. $1.00
($2,139,739,462 (divided by) 2,139,776,956 shares)
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
SIX MONTHS ENDED DECEMBER 31, 1996 (UNAUDITED)
37.38.INTEREST INCOME 39. $ 51,816,480
40.EXPENSES 41. 42.
43.Management fee $ 3,313,722 44.
45.Non-interested trustees' compensation 53,964 46.
47. Total expenses before reductions 3,367,686 48.
49. Expense reductions (375) 3,367,311
50.51.NET INTEREST INCOME 52. 48,449,169
53.54.NET REALIZED GAIN (LOSS) ON INVESTMENTS 55. 119
56.57.NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 58. $ 48,449,288
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED YEAR ENDED
DECEMBER 31, 1996 JUNE 30,
(UNAUDITED) 1996
<TABLE>
<CAPTION>
<S> <C> <C>
59.INCREASE (DECREASE) IN NET ASSETS
60.Operations $ 48,449,169 $ 96,047,770
Net interest income
61. Net realized gain (loss) 119 (5,469)
62. 63.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 48,449,288 96,042,301
64.Distributions to shareholders from net interest income (48,449,169) (96,047,770)
65.Share transactions at net asset value of $1.00 per share 3,391,382,612 6,541,563,200
Proceeds from sales of shares
66. Reinvestment of distributions from net interest income 42,718,856 84,803,378
67. Cost of shares redeemed (3,034,682,520) (6,475,141,780)
68.69. 399,418,948 151,224,798
NET INCREASE (DECREASE) IN NET ASSETS AND SHARES RESULTING FROM SHARE TRANSACTIONS
70. 71.TOTAL INCREASE (DECREASE) IN NET ASSETS 399,419,067 151,219,329
72.NET ASSETS 73. 74.
75. Beginning of period 1,740,320,395 1,589,101,066
76. End of period $ 2,139,739,462 $ 1,740,320,395
</TABLE>
FINANCIAL HIGHLIGHTS
77. SIX MONTHS ENDED YEARS ENDED JUNE 30,
DECEMBER 31,
1996
78. (UNAUDITED) 1996 1995 1994 1993 1992
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
79.SELECTED PER-SHARE DATA
80.Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
81.Income from Investment Operations .026 .053 .052 .031 .030 .046
Net interest income
82.Less Distributions
83. From net interest income (.026) (.053) (.052) (.031) (.030) (.046)
84.Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
85.TOTAL RETURN B 2.60% 5.43% 5.28% 3.10% 3.04% 4.67%
86.RATIOS AND SUPPLEMENTAL DATA
87.Net assets, end of period (000 omitted) $ 2,139,739 $ 1,740,320 $ 1,589,101 $ 1,221,447 $ 1,303,118 $ 1,651,078
88.Ratio of expenses to average net assets .36% A .36% .39% .39% .39% .39%
89.Ratio of net interest income to average net 5.10% A 5.27% 5.22% 3.05% 3.00% 4.47%
assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
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. Total return
reflects the change in value of an investment assuming reinvestment of
dividend 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, as
reflected in the fund's yield, 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> <C>
PERIODS ENDED DECEMBER 31, 1996 PAST 6 PAST 1 PAST 5 LIFE OF
MONTHS YEAR YEARS FUND
Term Portfolio 2.99% 5.16% 24.73% 79.83%
Salomon Brothers 1-Year U.S. Treasury Benchmark 3.19% 5.68% 27.59% n/a
Short U.S. Government Bond Funds Average 3.30% 4.35% 25.98% n/a
</TABLE>
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage terms
over a set period - in this case, six months, 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 1-Year U.S. Treasury Benchmark -a
one-security total return index which at the beginning of every month
selects the Treasury maturing closest to but not beyond one year from that
date. 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 60 mutual funds with similar objectives tracked
by Lipper Analytical Services, Inc. over the past six months. These
benchmarks include reinvested dividends and capital gains, if any and
exclude the effect of sales charges.
AVERAGE ANNUAL TOTAL RETURNS
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
PERIODS ENDED DECEMBER 31, 1996 PAST 1 PAST 5 LIFE OF
YEAR YEARS FUND
Term Portfolio 5.16% 4.52% 6.17%
Salomon Brothers 1-Year U.S. Treasury Benchmark 5.68% 4.99% n/a
Short U.S. Government Bond Funds Average 4.35% 4.72% n/a
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS take the fund's cumulative return and show you
what would have happened if the fund had performed at a constant rate each
year. (Note: Lipper calculates average annual total returns by annualizing
each fund's total return, then taking the
arithmetic average. This may produce a slightly different figure than that
obtained by averaging the cumulative total returns and annualizing the
results.)
$10,000 OVER LIFE OF FUND
IMAHDR PRASUN SHR__CHT 19960930 19961009 151627 S00000000000001
NCCMT:Portfolio SB 12-Month Treasury
00620 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
1996/07/31 17489.49 17941.70
1996/08/31 17561.17 18027.82
1996/09/30 17688.19 18148.61
1996/10/31 17800.35 18286.54
1996/11/30 17890.91 18379.80
1996/12/31 17945.19 18442.29
IMATRL PRASUN SHR__CHT 19960930 19961009 151629 R00000000000123
$10,000 OVER LIFE OF FUND: Let's say hypothetically that $10,000 was
invested in Term Portfolio on March 31, 1987, shortly after the fund
started. As the chart shows, by December 31, 1996, the value of the
investment would have grown to $17,945 - a 79.45% increase on the initial
investment. For comparison, look at how the Salomon Brothers 1-Year U.S.
Treasury Benchmark did over the same period. With dividends reinvested, the
same $10,000 investment would have grown to $18,442 - an 84.42% 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> <C>
SIX MONTHS YEARS ENDED JUNE 30,
ENDED
DECEMBER 31,
1996 1996 1995 1994 1993 1992
Dividend return 3.70% 6.16% 5.26% 3.17% 3.48% 5.94%
Capital appreciation return -0.71% -0.91% 0.61% -0.70% 0.30% 0.92%
Total return 2.99% 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 DECEMBER 31, 1996 PAST PAST 6 PAST 1
MONTH MONTHS YEAR
Dividends per share 5.97(cents) 35.88(cents) 68.53(cents)
Annualized dividend rate 7.20% 7.27% 6.97%
30-day annualized yield 5.18% - -
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 $9.77 over
the past month, $9.79 over the past six months and $9.83 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. CURT, HOW DID THE FUND PERFORM?
A. For the six months ended December 31, 1996, the fund had a total return
of 2.99%. The Salomon Brothers 1-Year U.S. Treasury Benchmark, which most
closely resembles the securities held in the fund, returned 3.19% over the
same timeframe. As an aside, if you take into account the fund's 0.36%
expense ratio, the fund performed reasonably well. For the year ended
December 31, 1996, the fund provided a return of 5.16%, while the Salomon
Brothers 1-Year U.S. Treasury Benchmark had a 12-month return of 5.68%.
Q. HOW WOULD YOU DESCRIBE BOND MARKET SENTIMENT OVER THE PAST SIX MONTHS?
A. Market sentiment covered both ends of the spectrum. As the period began,
back in June, there was still the overall feeling that the Federal Reserve
Board would hike short-term interest rates. However, the Fed met in the
fall and determined that a hike was unnecessary. This non-action sent
positive vibes throughout the bond market and short-term issues staged a
nice rally from September through November.
Q. WAS THIS RALLY SUSTAINED THROUGH DECEMBER?
A. Actually, as the period wound down and it became evident there would be
no tightening in 1996, the market began to think about early 1997.
Investors felt the chances of an early 1997 Fed tightening were good, so
some of the rally was given back. The low yield on the one-year Treasury
bill was 5.35%, which came in late November. As of December 31, however,
the yield inched up to 5.49%.
Q. HOW DID YOU STRUCTURE THE PORTFOLIO DURING THE PERIOD AND WHAT WAS
BEHIND YOUR STRATEGY?
A. The fund was invested entirely in Treasury securities, due in large part
to the fact that U.S. government agencies weren't offering enough yield for
the additional risks they carry. I selected Treasury issues with maturities
above and below the one-year bill, a strategy called "barbelling."
Throughout the past six months, I tried to contract this barbell position
so that the fund's holdings more closely replicated the characteristics of
a one-year Treasury bill. This gave the fund the benefit of picking up more
yield on securities below one year in maturity while simultaneously
reducing the volatility from securities with longer maturities.
Q. WHAT'S YOUR OUTLOOK?
A. With this fund, I'm normally going to maintain a cautious perspective.
It's very hard to be contrarian when participating in the short-term bond
market. If the market is anticipating a tightening and we get one, then
one-year yields will most likely go up. Now we're in a position where
thoughts on a tightening aren't in the forefront of the market's mind.
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
FUND NUMBER: 047
START DATE: September 2, 1982
SIZE: as of December 31, 1996, more than
$2.1 billion
MANAGER: Burnell Stehman, since 1982;
manager, Fidelity Money Market Trust - Rated
Money Market, since 1992; Fidelity Institutional
Cash Portfolio - Domestic, since 1991; Fidelity
Daily Income Trust, since 1986; joined Fidelity in
1979
(checkmark)
WORDS TO KNOW
BANKERS' ACCEPTANCE (BA): A short-term note
whose payment is guaranteed by a bank.
CERTIFICATE OF DEPOSIT (CD): An interest-bearing
deposit with a specific maturity. Large denomination
CDs, like those the fund buys, have negotiable
interest rates and can be sold in the secondary
market.
COMMERCIAL PAPER: A short-term note from a
bank or corporation.
FEDERAL FUNDS RATE: The interest rate banks
charge each other for overnight loans.
MATURITY: The time remaining before an issuer is
scheduled to repay the principal amount on a debt
security. When the fund's average maturity,
weighted by dollar amount, is short, the fund
manager is expecting rates to rise. When the
average maturity is neutral, the manager wants
the flexibility to respond to rising rates, while still
capturing a portion of the higher yields available
from issues with longer maturities. When the
average maturity is long, the manager is
expecting interest rates to fall.
TIME DEPOSIT (TD): An interest-bearing deposit
with a specific maturity. Large denomination
TDs, like those the fund buys, differ from CDs in
that they can't be sold in the secondary market.
THE NORTH CAROLINA CAPITAL MANAGEMENT TRUST - TERM PORTFOLIO
INVESTMENTS DECEMBER 31, 1996 (UNAUDITED)
Showing Percentage of Total Value of Investments in Securities
U.S. TREASURY OBLIGATIONS - 97.2%
PRINCIPAL VALUE
AMOUNT (NOTE 1)
NOTES, YIELDS AT DATE OF PURCHASE
8.75%, 10/15/97 $ 18,920,000 $ 19,372,377
7.375%, 11/15/97 11,670,000 11,837,698
7.875%, 1/15/98 32,500,000 33,221,175
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $64,812,975) 64,431,250
REPURCHASE AGREEMENTS - 2.8%
MATURITY
AMOUNT
In a joint trading account
dated 12/31/96 due 1/2/97:
(U.S. Treasury Obligations)
At 6.75% $ 1,831,687 1,831,000
TOTAL INVESTMENTS - 100%
(Cost $66,643,975) $66,262,250
INCOME TAX INFORMATION
At December 31, 1996, the aggregate cost of investment securities for
income tax purposes was $66,643,975. Net unrealized depreciation aggregated
$381,725, which was 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>
DECEMBER 31, 1996 (UNAUDITED)
90.ASSETS 91. 92.
93.Investment in securities, at value (including repurchase agreements of $1,831,000) 94. $ 66,262,250
(cost $66,643,975) - See accompanying schedule
95.Cash 96. 331
97.Interest receivable 98. 1,634,933
99. 100.TOTAL ASSETS 101. 67,897,514
102.LIABILITIES 103. 104.
105.Payable for fund shares redeemed $ 249,983 106.
107.Distributions payable 151,290 108.
109.Accrued management fee 20,609 110.
111. 112.TOTAL LIABILITIES 113. 421,882
114.115.NET ASSETS 116. $ 67,475,632
117.Net Assets consist of: 118. 119.
120.Paid in capital 121. $ 68,696,964
122.Undistributed net investment income 123. 22,727
124.Accumulated undistributed net realized gain (loss) 125. (862,334)
126.Net unrealized appreciation (depreciation) on investments 127. (381,725)
128.129.NET ASSETS, for 6,919,282 shares outstanding 130. $ 67,475,632
131.132.NET ASSET VALUE, offering price and redemption price per share ($67,475,632
(divided by) 6,919,282 133. $9.75
shares)
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
SIX MONTHS ENDED DECEMBER 31, 1996 (UNAUDITED)
134.INVESTMENT INCOME 136. $ 2,522,962
135.Interest
137.EXPENSES 138. 139.
140.Management fee $ 117,427 141.
142.Non-interested trustees' compensation 1,820 143.
144. 145.TOTAL EXPENSES 146. 119,247
147.148.NET INVESTMENT INCOME 149. 2,403,715
150.REALIZED AND UNREALIZED GAIN (LOSS) 152. (344,362)
151.Net realized gain (loss) on investment securities
153.Change in net unrealized appreciation (depreciation) on investment securities 154. (111,672)
155.156.NET GAIN (LOSS) 157. (456,034)
158.159.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 160. $ 1,947,681
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED YEAR ENDED
DECEMBER 31, 1996 JUNE 30,
(UNAUDITED) 1996
<TABLE>
<CAPTION>
<S> <C> <C>
161.INCREASE (DECREASE) IN NET ASSETS
162.Operations $ 2,403,715 $ 3,852,873
Net investment income
163. Net realized gain (loss) (344,362) (217,118)
164. Change in net unrealized appreciation (depreciation) (111,672) (395,983)
165. 1,947,681 3,239,772
166.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
167.Distributions to shareholders from net investment income (2,396,002) (3,832,180)
168.Share transactions 4,894,080 5,689,831
Net proceeds from sales of shares
169. Reinvestment of distributions 1,625,646 2,590,848
170. Cost of shares redeemed (2,950,578) (13,683,979)
171.172. 3,569,148 (5,403,300)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS
173. 3,120,827 (5,995,708)
174.TOTAL INCREASE (DECREASE) IN NET ASSETS
175.NET ASSETS 176. 177.
178. Beginning of period 64,354,805 70,350,513
179. $ 67,475,632 $ 64,354,805
End of period (including undistributed net investment income of $22,727 and $15,014,
respectively)
180.OTHER INFORMATION 182. 183.
181.Shares
184. Sold 499,862 575,503
185. Issued in reinvestment of distributions 166,199 262,093
186. Redeemed (301,527) (1,381,008)
187. Net increase (decrease) 364,534 (543,412)
</TABLE>
FINANCIAL HIGHLIGHTS
188. SIX MONTHS ENDED YEARS ENDED JUNE 30,
DECEMBER 31, 1996
189. (UNAUDITED) 1996 1995 1994 C 1993 1992
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
190.SELECTED PER-SHARE DATA
191.Net asset value, beginning of period $ 9.820 $ 9.910 $ 9.850 $ 9.940 $ 9.910 $ 9.820
192.Income from Investment Operations .360 .601 .505 .288 .337 .560
Net investment income
193. Net realized and unrealized gain (.071) (.093) .059 (.046) .031 .097
(loss)
194. Total from investment operations .289 .508 .564 .242 .368 .657
195.Less Distributions
196. From net investment income (.359) (.598) (.504) (.312) (.338) (.567)
197. In excess of net realized gain - - - (.020) - -
198. Total distributions (.359) (.598) (.504) (.332) (.338) (.567)
199.Net asset value, end of period $ 9.750 $ 9.820 $ 9.910 $ 9.850 $ 9.940 $ 9.910
200.TOTAL RETURN B 2.99% 5.25% 5.87% 2.47% 3.78% 6.86%
201.RATIOS AND SUPPLEMENTAL DATA
202.Net assets, end of period (000 $ 67,476 $ 64,355 $ 70,351 $ 66,495 $ 79,765 $ 89,303
omitted)
203.Ratio of expenses to average net .36% A .38% .41% .41% .41% .41%
assets
204.Ratio of net investment income to 7.30% A 6.06% 5.12% 3.14% 3.41% 5.69%
average net assets
205.Portfolio turnover rate 210% A 89% 519% 494% 612% 424%
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
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.
NOTES TO FINANCIAL STATEMENTS
For the period ended December 31, 1996 (Unaudited)
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
investment 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 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 $69,846,728 and $66,831,430, 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.
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. For the period, the
management fees paid to FMR were equivalent to an annualized rate of .35%
and .36% 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 $1,511,855 and $52,272 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.
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
Fred L. Henning, Jr., VICE PRESIDENT, TERM PORTFOLIO
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, CASH PORTFOLIO
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
