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 and capital
gains (the profits earned upon the sale of securities that have grown in
value). 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, 1997 PAST 1 PAST 5 PAST 10
YEAR YEARS YEARS
Cash Portfolio 5.25% 24.10% 75.88%
All Taxable Money Market Funds Average 4.99% 22.61% 71.00%
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 had 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
846 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, 1997 PAST 1 PAST 5 PAST 10
YEAR YEARS YEARS
Cash Portfolio 5.25% 4.41% 5.81%
All Taxable Money Market Funds Average 4.99% 4.16% 5.50%
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
7/1/97 4/1/97 12/31/96 10/1/96 7/2/96
5.35% 5.09% 5.13% 5.12% 5.06%
Cash Portfolio
All Taxable Money 5.04% 4.96% 4.90% 4.86% 4.81%
Market Funds Average
7/2/97 4/2/97 12/30/96 10/2/96 6/26/96
2.65% 2.63% 2.64% 2.67% 2.66%
MMDA
Row: 1, Col: 1, Value: 5.35
Row: 1, Col: 2, Value: 5.04
Row: 1, Col: 3, Value: 2.65
Row: 2, Col: 1, Value: 5.09
Row: 2, Col: 2, Value: 4.96
Row: 2, Col: 3, Value: 2.63
Row: 3, Col: 1, Value: 5.13
Row: 3, Col: 2, Value: 4.9
Row: 3, Col: 3, Value: 2.64
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: 5.06
Row: 5, Col: 2, Value: 4.81
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. WHAT WAS THE INVESTING ENVIRONMENT LIKE OVER THE PAST YEAR, BURNIE?
A. At the beginning of the period, most market participants expected the
Federal Reserve Board 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 1996, the markets fluctuated, reacting negatively in anticipation
of emerging data that might show economic strength, then rallying when
other releases came out indicating no significant increase in inflation.
When growth in the third quarter slowed, most market participants became
convinced that the Fed would stand pat through the end of 1996 as long as
inflation remained benign, which it did. Nevertheless, there was an
undercurrent of concern as many felt low unemployment 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. At the end of 1996, market volatility increased because consumer
confidence reached its highest level in seven years and data showed
rekindled growth in manufacturing, housing and retail sales activity.
Q. WHAT'S HAPPENED SO FAR IN 1997?
A. The late fourth-quarter 1996 momentum carried robustly into the first
quarter of 1997, when gross domestic product was reported at a much
higher-than-anticipated annual rate of 5.9%. On top of that, Fed Chairman
Alan Greenspan, in his Humphrey-Hawkins testimony before Congress in
February, hinted that the Fed might act pre-emptively by raising rates to
head off inflation pressures that might be developing as a result of the
tight labor markets and strong demand. The Fed followed through in March,
increasing the fed funds rate by 0.25% to 5.50%. From that point, however,
evidence pointed to a slowdown in economic growth in the second quarter.
That moderation, combined with continuing favorable inflation data, a
balanced budget agreement and political pressure, led the Fed to keep rates
steady at its May meeting.
Q. WHAT WAS YOUR STRATEGY?
A. At the beginning of the 12-month period, I kept the fund's average
maturity fairly short because of the expectation that the Fed would raise
rates. When nothing of that sort materialized and it appeared we would see
a steady Fed policy through the end of 1996, I extended the maturity to the
60-day range, about as long an average maturity as the fund historically
has maintained. I kept the maturity at that level - which was a bit longer
than the fund's peers - to pick up added yield, until Greenspan's testimony
in February. At that point, I shortened the fund to inside of 40 days in
March in order to have purchasing power in anticipation of a Fed rate hike.
Following that move in March, I've kept the maturity at a neutral level of
about 40-45 days so that the fund could take advantage of buying
opportunities across the yield curve.
Q. HOW DID THE FUND PERFORM?
A. The fund's seven-day yield on June 30, 1997, was 5.35%, compared to
5.06% 12 months ago. For the 12 months that ended June 30, 1997, the fund's
total return was 5.25%. That compares favorably with the total return of
4.99% during the same period for the all taxable money market funds
average, according to IBC Financial Data, Inc.
Q. WHAT'S YOUR OUTLOOK?
A. The markets revolve around the fed funds rate. At this point, it appears
that the Fed has shifted to a more reactive stance - choosing to change
rates in reaction to any shift in inflationary and growth data - rather
than the pre-emptive mode it had adopted earlier in 1997. Like many in the
market, I believe it is likely that the Fed will continue to raise interest
rates modestly through the end of the year. The degree of the Fed's
activity will depend on how strongly growth recovers from the
second-quarter slowdown. The Fed is focusing on potential wage and price
pressures, consumer demand and retail sales. Thus far, it has been willing
to maintain a relatively stable posture, raising rates only modestly. I
believe that stance will continue as long as inflation remains dormant. But
factors such as those I just mentioned can generate inflationary pressures.
I believe the Fed will be looking to "pull the trigger" - raise rates -
quickly and modestly, if growth and demand erupt in the coming months. Only
time will tell.
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, 1997, more than
$1.9 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.
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 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 JUNE 30, 1997
Showing Percentage of Total Value of Investments in Securities
DOMESTIC BANKERS' ACCEPTANCES - 2.6%
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
First Union National Bank of North Carolina
8/12/97 5.70% $ 10,000,000 $ 9,934,433
8/19/97 5.40 10,000,000 9,928,406
9/2/97 5.59 14,000,000 13,864,515
11/3/97 5.89 17,000,000 16,662,361
TOTAL DOMESTIC
BANKERS' ACCEPTANCES 50,389,715
COMMERCIAL PAPER (A) - 89.8%
American General Finance Corp.
7/22/97 5.60 30,000,000 29,902,875
8/26/97 5.61 20,000,000 19,827,333
Asset Securitization Coop. Corp.
7/21/97 5.63 20,000,000 19,937,778
8/13/97 5.71 10,000,000 9,932,753
Associates Corp. of North America
7/15/97 5.67 10,000,000 9,978,164
7/17/97 5.61 10,000,000 9,975,244
8/25/97 5.61 14,000,000 13,881,078
9/16/97 5.65 10,000,000 9,880,864
AVCO Financial Services
8/7/97 5.71 15,000,000 14,913,204
9/11/97 5.64 21,500,000 21,260,920
9/16/97 5.65 13,000,000 12,845,123
Bear Stearns Cos., Inc.
7/9/97 5.60 7,000,000 6,991,351
7/10/97 5.61 4,000,000 3,994,430
7/14/97 5.62 10,000,000 9,979,886
7/14/97 5.62 2,000,000 1,995,977
7/28/97 5.63 40,000,000 39,832,900
8/15/97 5.71 15,000,000 14,894,437
8/25/97 5.73 15,000,000 14,870,750
Beneficial Corp.
7/28/97 5.60 5,000,000 4,979,188
7/31/97 5.62 19,000,000 18,911,808
8/8/97 5.62 30,000,000 29,823,617
Campbell Soup Co.
9/23/97 5.44 10,000,000 9,877,033
Chase Manhattan Corp.
12/1/97 5.85 10,000,000 9,758,600
CIESCO, L.P.
7/17/97 5.70 12,000,000 11,970,027
8/5/97 5.70 25,000,000 24,863,403
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
CIESCO, L.P. - continued
8/11/97 5.62% $ 10,000,000 $ 9,936,564
8/14/97 5.70 20,000,000 19,862,622
CIT Group Holdings, Inc.
7/14/97 5.59 11,000,000 10,977,954
7/24/97 5.62 50,000,000 49,822,389
7/24/97 5.62 2,000,000 1,992,896
Citibank Credit Card Master Trust I (Dakota Certificate Program)
7/14/97 5.74 10,000,000 9,979,525
7/24/97 5.75 3,000,000 2,989,133
8/22/97 5.64 2,000,000 1,983,866
Commercial Credit Co.
7/10/97 5.59 28,000,000 27,961,150
7/11/97 5.59 50,000,000 49,922,917
7/21/97 5.58 5,000,000 4,984,583
Dean Witter, Discover & Co.
7/11/97 5.70 18,200,000 18,171,537
Delaware Funding Corporation
8/20/97 5.61 25,000,000 24,806,944
Electronic Data Systems
7/9/97 5.59 10,000,000 9,987,667
Enterprise Funding Corp.
7/8/97 5.57 10,000,000 9,989,208
7/2/97 5.58 11,000,000 10,998,304
7/7/97 5.63 5,000,000 4,995,333
7/11/97 5.58 4,272,000 4,265,414
7/16/97 5.63 3,000,000 2,993,025
7/22/97 5.63 4,647,000 4,631,874
7/22/97 5.76 4,000,000 3,986,747
7/23/97 5.60 4,296,000 4,281,377
7/31/97 5.61 8,079,000 8,041,500
8/4/97 5.59 5,035,000 5,008,608
8/6/97 5.60 13,568,000 13,492,562
8/8/97 5.63 2,007,000 1,995,179
8/19/97 5.61 10,000,000 9,924,322
Ford Motor Credit Corp.
7/21/97 5.50 25,000,000 24,925,694
7/21/97 5.62 15,000,000 14,953,583
7/28/97 5.51 15,000,000 14,939,700
11/5/97 5.87 10,000,000 9,798,917
General Electric Capital Corp.
7/2/97 5.47 15,000,000 14,997,763
7/7/97 5.50 20,000,000 19,982,000
7/29/97 5.62 25,000,000 24,891,694
9/22/97 5.80 15,000,000 14,804,950
COMMERCIAL PAPER (A) - CONTINUED
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
General Electric Capital Corp. - continued
9/23/97 5.80% $ 10,000,000 $ 9,868,400
10/6/97 5.81 5,000,000 4,923,613
General Electric Co.
8/20/97 5.62 15,000,000 14,884,167
General Electric Capital Services Inc.
7/9/97 5.59 10,000,000 9,987,644
7/29/97 5.62 25,000,000 24,891,694
9/17/97 5.64 25,000,000 24,698,833
Goldman Sachs Group, L.P. (The)
7/2/97 5.57 25,000,000 24,996,146
11/12/97 5.87 25,000,000 24,469,583
1/26/98 6.10 20,000,000 19,323,072
Household Finance Corp.
7/21/97 5.63 10,000,000 9,969,000
7/21/97 5.63 20,000,000 19,938,000
IBM Credit Corp.
7/21/97 5.60 5,000,000 4,984,556
7/30/97 5.60 13,000,000 12,941,879
8/20/97 5.61 8,000,000 7,938,222
John Deere Capital Corp.
7/18/97 5.60 23,000,000 22,939,612
7/29/97 5.60 20,000,000 19,913,667
7/31/97 5.62 30,000,000 29,860,750
J.C. Penny Funding Corp.
8/22/97 5.61 30,000,000 29,759,500
Lucent Technologies, Inc.
7/14/97 5.60 4,050,000 4,041,883
Merrill Lynch & Co., Inc.
7/9/97 5.61 3,000,000 2,996,280
7/28/97 5.54 8,000,000 7,967,660
7/28/97 5.61 20,000,000 19,916,450
8/12/97 5.62 5,000,000 4,967,508
8/18/97 5.79 6,000,000 5,954,400
8/20/97 5.62 4,000,000 3,969,083
Monsanto Co.
7/14/97 5.41 5,000,000 4,990,449
8/4/97 5.71 4,500,000 4,476,073
9/9/97 5.76 37,700,000 37,285,824
Morgan Stanley Group, Inc.
7/14/97 5.69 23,000,000 22,953,240
7/23/97 5.64 12,000,000 11,959,080
Morgan (J.P.) & Co.
9/24/97 5.64 20,000,000 19,737,444
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
MS Dean Witter Discover
7/21/97 5.58% $ 25,000,000 $ 24,922,917
9/18/97 5.65 25,000,000 24,694,424
National Rural Util. Coop. Fin. Corp.
7/18/97 5.60 2,000,000 1,994,758
7/29/97 5.72 15,000,000 14,934,200
New Center Asset Trust
8/4/97 5.70 10,000,000 9,946,969
7/21/97 5.61 20,000,000 19,938,111
11/7/97 5.89 3,000,000 2,938,510
Norwest Financial
7/29/97 5.72 5,000,000 4,978,067
7/31/97 5.62 25,000,000 24,883,958
9/16/97 5.63 20,000,000 19,762,583
Pepsico Inc.
7/3/97 5.58 13,000,000 12,995,992
8/1/97 5.59 9,000,000 8,956,988
Pacific Gas & Electric Co.
7/24/97 5.61 3,300,000 3,288,278
8/8/97 5.62 9,671,000 9,614,140
8/19/97 5.63 28,550,000 28,333,551
8/21/97 5.63 23,000,000 22,818,511
PHH Corp.
7/8/97 5.68 10,000,000 9,989,053
7/14/97 5.63 5,000,000 4,989,907
8/13/97 5.61 5,000,000 4,966,794
8/19/97 5.62 25,000,000 24,810,465
Preferred Receivables Funding Corp.
7/9/97 5.59 5,600,000 5,593,093
7/8/97 5.59 3,000,000 2,996,763
7/15/97 5.58 20,225,000 20,181,348
7/16/97 5.58 3,800,000 3,791,213
7/30/97 5.60 5,000,000 4,977,565
8/12/97 5.61 4,000,000 3,974,053
8/12/97 5.62 21,950,000 21,807,362
8/19/97 5.61 10,000,000 9,924,322
8/21/97 5.61 11,000,000 10,913,357
8/21/97 5.63 3,000,000 2,976,328
Smith Barney Inc.
7/8/97 5.59 25,000,000 24,973,021
Southern Company Group
7/17/97 5.62 10,000,000 9,975,200
8/1/97 5.64 5,000,000 4,975,932
8/4/97 5.65 10,000,000 9,947,111
8/18/97 5.61 32,500,000 32,259,067
COMMERCIAL PAPER (A) - CONTINUED
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
Triple A One Funding Corp.
7/7/97 5.60 $ 7,000,000 $ 6,993,513
8/8/97 5.64% 3,000,000 2,982,298
8/11/97 5.73 8,000,000 7,948,522
9/11/97 5.68 3,000,000 2,966,400
USAA Capital Corp.
9/12/97 5.62 3,481,000 3,441,824
TOTAL COMMERCIAL PAPER 1,783,216,424
FEDERAL AGENCIES - 7.5%
FEDERAL HOME LOAN BANK - DISCOUNT NOTES - 2.5%
8/14/97 5.61 50,000,000 49,661,750
FEDERAL HOME LOAN MORTGAGE CORP. - DISCOUNT NOTES - 1.2%
8/14/97 5.61 25,000,000 24,830,875
FEDERAL NATIONAL MORTGAGE ASSOC. - DISCOUNT NOTES - 3.8%
8/12/97 5.62 20,000,000 19,870,850
8/26/97 5.48 18,335,000 18,180,130
8/27/97 5.49 16,835,000 16,690,261
4/15/98 6.06 20,000,000 19,981,852
74,723,093
TOTAL FEDERAL AGENCIES 149,215,718
REPURCHASE AGREEMENTS - 0.1%
MATURITY
AMOUNT
In a joint trading account
dated 6/30/97 due 7/1/97:
(U.S. Treasury Obligations)
At 5.99% $ 2,310,384 2,310,000
TOTAL INVESTMENTS - 100% $ 1,985,131,857
Total Cost for Income Tax Purposes $ 1,985,131,857
LEGEND
1. 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, 1997, the fund had a capital loss carryforward of approximately
$58,500 of which $53,000 and $5,500 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, 1997
2.ASSETS 3. 4.
5.Investment in securities, at value (including repurchase agreements of $2,310,000) - 6. $ 1,985,131,857
See accompanying schedule
7.Cash 8. 500,497
9.Interest receivable 10. 253,685
11. 12.TOTAL ASSETS 13. 1,985,886,039
14.LIABILITIES 15. 16.
17.Share transactions in process $ 257,197 18.
19.Distributions payable 1,076,248 20.
21.Accrued management fee 340,164 22.
23.Deferred trustees' compensation 287,746 24.
25. 26.TOTAL LIABILITIES 27. 1,961,355
28.29.NET ASSETS 30. $ 1,983,924,684
31.Net Assets consist of: 32. 33.
34.Paid in capital 35. $ 1,983,983,207
36.Accumulated net realized gain (loss) on investments 37. (58,523)
38.39.NET ASSETS, for 1,983,957,243 shares outstanding 40. $ 1,983,924,684
41.42.NET ASSET VALUE, offering price and redemption price per share 43. $1.00
($1,983,924,684 (divided by) 1,983,957,243 shares)
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR ENDED JUNE 30, 1997
44.45.INTEREST INCOME 46. $ 113,381,667
47.EXPENSES 48. 49.
50.Management fee $ 7,210,106 51.
52.Non-interested trustees' compensation 88,362 53.
54. Total expenses before reductions 7,298,468 55.
56. Expense reductions (1,021) 7,297,447
57.58.NET INTEREST INCOME 59. 106,084,220
60.61.NET REALIZED GAIN (LOSS) ON INVESTMENTS 62. 5,054
63.64.NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 65. $ 106,089,274
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR ENDED YEAR ENDED
JUNE 30, JUNE 30,
1997 1996
66.INCREASE (DECREASE) IN NET ASSETS
67.Operations $ 106,084,220 $ 96,047,770
Net interest income
68. Net realized gain (loss) 5,054 (5,469)
69. 70.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 106,089,274 96,042,301
71.Distributions to shareholders from net interest income (106,084,220) (96,047,770)
72.Share transactions at net asset value of $1.00 per share 6,770,047,301 6,541,563,200
Proceeds from sales of shares
73. Reinvestment of distributions from net interest income 93,293,085 84,803,378
74. Cost of shares redeemed (6,619,741,151) (6,475,141,780)
75.76. 243,599,235 151,224,798
NET INCREASE (DECREASE) IN NET ASSETS AND SHARES RESULTING FROM SHARE TRANSACTIONS
77. 78.TOTAL INCREASE (DECREASE) IN NET ASSETS 243,604,289 151,219,329
79.NET ASSETS 80. 81.
82. Beginning of period 1,740,320,395 1,589,101,066
83. End of period $ 1,983,924,684 $ 1,740,320,395
</TABLE>
FINANCIAL HIGHLIGHTS
84. YEARS ENDED JUNE 30,
85. 1997 1996 1995 1994 1993
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
86.SELECTED PER-SHARE DATA
87.Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
88.Income from Investment Operations .051 .053 .052 .031 .030
Net interest income
89.Less Distributions
90. From net interest income (.051) (.053) (.052) (.031) (.030)
91.Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
92.TOTAL RETURN 5.25 5.43 5.28 3.10 3.04
% % % % %
93.RATIOS AND SUPPLEMENTAL DATA
94.Net assets, end of period (in millions) $ 1,984 $ 1,740 $ 1,589 $ 1,221 $ 1,303
95.Ratio of expenses to average net assets .35 .36 .39 .39 .39
% % % % %
96.Ratio of net interest income to average net assets 5.13 5.27 5.22 3.05 3.00
% % % % %
</TABLE>
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 the value of an investment, assuming reinvestment of
the fund's dividend income and capital gains (the profits earned upon the
sale of securities 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 past 10 year total
returns would have been lower.
CUMULATIVE TOTAL RETURNS
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
PERIODS ENDED JUNE 30, 1997 PAST 1 PAST 5 PAST 10
YEAR YEARS YEARS
Term Portfolio 5.89% 25.47% 83.13%
Salomon Brothers 1-Year U.S. Treasury Benchmark 6.28% 28.39% 87.50%
Short U.S. Government Bond Funds Average 6.04% 26.10% 86.44%
</TABLE>
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 had 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 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 mutual funds with similar
objectives tracked by Lipper Analytical Services, Inc. The past 12 months
average represents a peer group of 59 mutual funds. 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 JUNE 30, 1997 PAST 1 PAST 5 PAST 10
YEAR YEARS YEARS
Term Portfolio 5.89% 4.64% 6.24%
Salomon Brothers 1-Year U.S. Treasury Benchmark 6.28% 5.13% 6.49%
Short U.S. Government Bond Funds Average 6.04% 4.74% 6.40%
</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.
$10,000 OVER 10 YEARS
1987/06/30 10000.00 10000.00
1987/07/31 10041.79 10042.00
1987/08/31 10074.42 10075.14
1987/09/30 10097.17 10073.12
1987/10/31 10236.97 10234.29
1987/11/30 10273.15 10261.93
1987/12/31 10353.93 10315.29
1988/01/31 10455.48 10417.41
1988/02/29 10519.63 10477.83
1988/03/31 10554.88 10519.74
1988/04/30 10599.43 10549.20
1988/05/31 10624.80 10573.46
1988/06/30 10702.12 10651.70
1988/07/31 10741.95 10694.31
1988/08/31 10793.97 10726.39
1988/09/30 10878.14 10808.99
1988/10/31 10964.49 10888.97
1988/11/30 10982.92 10905.31
1988/12/31 11050.27 10944.57
1989/01/31 11129.60 11032.12
1989/02/28 11182.85 11077.35
1989/03/31 11244.90 11144.93
1989/04/30 11363.46 11269.75
1989/05/31 11473.19 11392.59
1989/06/30 11605.10 11539.55
1989/07/31 11726.46 11661.87
1989/08/31 11751.38 11675.87
1989/09/30 11823.42 11744.75
1989/10/31 11946.58 11883.34
1989/11/30 12030.48 11979.60
1989/12/31 12103.87 12046.68
1990/01/31 12152.77 12087.64
1990/02/28 12217.79 12160.17
1990/03/31 12289.34 12222.19
1990/04/30 12345.33 12284.52
1990/05/31 12467.99 12407.36
1990/06/30 12550.51 12511.59
1990/07/31 12675.07 12630.45
1990/08/31 12735.12 12702.44
1990/09/30 12818.47 12790.09
1990/10/31 12930.96 12906.48
1990/11/30 13040.16 12991.66
1990/12/31 13166.28 13121.58
1991/01/31 13266.23 13230.48
1991/02/28 13357.96 13305.90
1991/03/31 13426.01 13401.70
1991/04/30 13530.38 13499.53
1991/05/31 13595.46 13560.28
1991/06/30 13658.91 13615.88
1991/07/31 13738.35 13705.74
1991/08/31 13858.41 13829.09
1991/09/30 13946.66 13925.90
1991/10/31 14035.23 14033.13
1991/11/30 14135.62 14142.59
1991/12/31 14279.89 14268.45
1992/01/31 14315.73 14305.55
1992/02/29 14359.20 14344.18
1992/03/31 14364.40 14375.73
1992/04/30 14470.64 14460.55
1992/05/31 14544.52 14531.41
1992/06/30 14595.37 14604.07
1992/07/31 14639.15 14710.68
1992/08/31 14726.55 14784.23
1992/09/30 14812.93 14880.33
1992/10/31 14710.81 14865.45
1992/11/30 14666.65 14874.36
1992/12/31 14788.01 14957.66
1993/01/31 14940.18 15036.94
1993/02/28 14996.51 15089.57
1993/03/31 15036.86 15136.34
1993/04/30 15089.53 15189.32
1993/05/31 15096.21 15189.32
1993/06/30 15146.98 15259.19
1993/07/31 15190.80 15300.39
1993/08/31 15246.37 15369.24
1993/09/30 15284.35 15413.81
1993/10/31 15325.14 15447.72
1993/11/30 15349.41 15475.53
1993/12/31 15389.04 15529.70
1994/01/31 15444.37 15593.37
1994/02/28 15418.93 15577.77
1994/03/31 15429.32 15577.77
1994/04/30 15422.65 15563.75
1994/05/31 15464.42 15594.88
1994/06/30 15521.01 15649.46
1994/07/31 15593.98 15748.05
1994/08/31 15638.61 15801.60
1994/09/30 15688.28 15826.88
1994/10/31 15740.43 15891.77
1994/11/30 15747.39 15882.24
1994/12/31 15808.41 15939.41
1995/01/31 15952.02 16100.40
1995/02/28 16037.98 16242.08
1995/03/31 16134.78 16337.91
1995/04/30 16227.17 16450.64
1995/05/31 16340.64 16597.05
1995/06/30 16432.31 16693.32
1995/07/31 16492.91 16775.11
1995/08/31 16569.06 16857.31
1995/09/30 16642.47 16931.48
1995/10/31 16734.60 17026.30
1995/11/30 16841.52 17128.46
1995/12/31 16937.89 17229.52
1996/01/31 17031.08 17339.79
1996/02/29 17053.53 17360.59
1996/03/31 17081.79 17416.15
1996/04/30 17142.55 17475.36
1996/05/31 17202.19 17547.01
1996/06/30 17295.11 17643.52
1996/07/31 17359.10 17710.56
1996/08/31 17430.25 17795.58
1996/09/30 17556.33 17914.81
1996/10/31 17667.64 18050.96
1996/11/30 17757.53 18143.02
1996/12/31 17811.41 18204.70
1997/01/31 17886.37 18295.73
1997/02/28 17966.80 18361.59
1997/03/31 17989.31 18411.17
1997/04/30 18104.33 18523.48
1997/05/31 18208.21 18640.18
1997/06/30 18313.17 18750.15
$10,000 OVER 10 YEARS: Let's say hypothetically that $10,000 was invested
in North Carolina Term Portfolio on June 30, 1987. As the chart shows, by
June 30, 1997, the value of the investment would have grown to $18,313 - a
83.13% 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
$18,750 - a 87.50% 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,
1997 1996 1995 1994 1993
Dividend return 7.62% 6.16% 5.26% 3.17% 3.48%
Capital appreciation return -1.73% -0.91% 0.61% -0.70% 0.30%
Total return 5.89% 5.25% 5.87% 2.47% 3.78%
</TABLE>
TOTAL RETURN COMPONENTS include both dividend returns and capital
appreciation returns. 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 capital gains paid
by the fund are reinvested, if any.
DIVIDENDS AND YIELD
PERIODS ENDED JUNE 30, 1997 PAST PAST 6 PAST 1
MONTH MONTHS YEAR
Dividends per share 6.57(cents) 37.00(cents) 72.88(cents)
Annualized dividend rate 8.27% 7.70% 7.48%
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 $9.66 over
the past month, $9.69 over the past six months and $9.74 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 12 months that ended June 30, 1997, the fund had a total return
of 5.89%, compared to the 6.04% return of the short U.S. government bond
funds average for the same one-year period, according to Lipper Analytical
Services. The Salomon Brothers 1-Year U.S. Treasury Benchmark, which most
closely resembles the securities held in the fund, returned 6.28% over the
same time-period. If you take into account the fund's 0.37% expense ratio,
the fund performed reasonably well.
Q. WHAT WAS THE INVESTMENT ENVIRONMENT LIKE DURING THE PAST YEAR?
A. It was mixed. A year ago, market sentiment was somewhat negative with
investors fearing that the Federal Reserve Board would hike short-term
interest rates. But short-term bonds staged a rally from September through
November after the Fed met and determined that a hike was unnecessary. In
fact, the yield on a one-year Treasury hit 5.35% on November 29, 1996, its
low for the most recent 12-month period. The fall rally was cut short in
December when bond prices began to come under pressure as evidence mounted
that the economy was growing at a stronger-than-expected rate and inflation
fears grew.
Q. WHAT DID THE NEW YEAR BRING?
A. During January and February, bonds remained in a narrow trading range in
the absence of any conclusive data about the direction of the economy,
inflation and interest rates. In March, the Fed boosted its target rate for
federal funds - or overnight loans between banks - one quarter of a
percentage point to 5.50%. The bond market experienced a brief sell-off,
and the yield on the one-year Treasury peaked at 6.07% on April 25. The
fact that the Fed took no further steps to raise interest rates in April,
May and June helped bonds stage yet another rally. After all was said and
done, the yield on a one-year Treasury ended the period at 5.66%, almost
exactly where it had begun 12 months earlier.
Q. HOW DID YOU STRUCTURE THE PORTFOLIO DURING THE PERIOD?
A. Throughout the period, I kept the fund almost exclusively invested in
Treasury securities. I did that because I felt that U.S. government agency
securities weren't offering enough yield for the additional risks they
carry. I selected Treasury issues with maturities close to a one-year
Treasury bill so that the fund's holdings closely replicated the
characteristics of that security.
Q. WHAT'S YOUR OUTLOOK?
A. The prospects of further Fed moves to either raise or lower interest
rates don't appear to be in the forefront of the market's mind right now.
But looking ahead, investors will likely continue to closely scrutinize
every new piece of economic data, looking for clues as to what the Fed's
stance will be.
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
START DATE: March 19, 1987
SIZE: as of June 30, 1997, more than
$68 million
MANAGER: Curtis Hollingsworth, since 1995;
manager, various Fidelity taxable bond funds;
joined Fidelity in 1983
(checkmark)
THE NORTH CAROLINA CAPITAL MANAGEMENT TRUST: TERM PORTFOLIO
INVESTMENTS JUNE 30, 1997
Showing Percentage of Total Value of Investments in Securities
U.S. TREASURY OBLIGATIONS - 99.9%
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
NOTES, YIELDS AT DATE OF PURCHASE
9%, 5/15/98 $ 50,235,000 $ 51,592,852
9.25%, 8/15/98 15,675,000 16,235,852
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $68,115,523) 67,828,704
CASH EQUIVALENTS - 0.1%
MATURITY
AMOUNT
In a joint trading account
dated 6/30/97 due 7/1/97:
(U.S. Treasury Obligations)
At 5.93% $ 100,016 100,000
TOTAL INVESTMENTS - 100.%
(Cost $68,215,523) $ 67,928,704
INCOME TAX INFORMATION
At June 30, 1997, the aggregate cost of investment securities for income
tax purposes was $68,215,523. Net unrealized depreciation aggregated
$286,819, all of which related to depreciated investment securities.
At June 30, 1997, the fund had a capital loss carryforward of approximately
$694,300 of which $244,200 and $450,100 will expire on June 30, 2003, and
2004, respectively.
The fund intends to elect to defer to its fiscal year ending June 30, 1998
approximately $1,001,200 of losses recognized during the period November 1,
1996 to June 30, 1997.
THE NORTH CAROLINA CAPITAL MANAGEMENT TRUST: TERM PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
<S> <C> <C>
JUNE 30, 1997
97.ASSETS 98. 99.
100.Investment in securities, at value (including repurchase agreements of $100,000) (cost 101. $ 67,928,704
$68,215,523) - See accompanying schedule
102.Cash 103. 939
104.Interest receivable 105. 1,105,866
106. 107.TOTAL ASSETS 108. 69,035,509
109.LIABILITIES 110. 111.
112.Payable for fund shares redeemed $ 115,982 113.
114.Distributions payable 171,890 115.
116.Accrued management fee 8,382 117.
118.Deferred trustees' compensation 12,222 119.
120. 121.TOTAL LIABILITIES 122. 308,476
123.124.NET ASSETS 125. $ 68,727,033
126.Net Assets consist of: 127. 128.
129.Paid in capital 130. $ 70,698,140
131.Undistributed net investment income 132. 12,966
133.Accumulated undistributed net realized gain (loss) on investments 134. (1,697,254)
135.Net unrealized appreciation (depreciation) on investments 136. (286,819)
137.138.NET ASSETS, for 7,125,195 shares outstanding 139. $ 68,727,033
140.141.NET ASSET VALUE, offering price and redemption price per share ($68,727,033 (divided by) 7,125,195 142. $9.65
shares)
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR ENDED JUNE 30, 1997
143.INVESTMENT INCOME 145. $ 5,222,473
144.Interest
146.EXPENSES 147. 148.
149.Management fee $ 239,396 150.
151.Non-interested trustees' compensation 3,542 152.
153. Total expenses before reductions 242,938 154.
155. Expense reductions (61) 242,877
156.157.NET INVESTMENT INCOME 158. 4,979,596
159.REALIZED AND UNREALIZED GAIN (LOSS) 161. (1,179,282)
160.Net realized gain (loss) on investment securities
162.Change in net unrealized appreciation (depreciation) on investment securities 163. (16,766)
164.165.NET GAIN (LOSS) 166. (1,196,048)
167.168.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 169. $ 3,783,548
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR ENDED YEAR ENDED
JUNE 30, JUNE 30,
1997 1996
170.INCREASE (DECREASE) IN NET ASSETS
171.Operations $ 4,979,596 $ 3,852,873
Net investment income
172. Net realized gain (loss) (1,179,282) (217,118)
173. Change in net unrealized appreciation (depreciation) (16,766) (395,983)
174. 3,783,548 3,239,772
175.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
176.Distributions to shareholders from net investment income (4,981,644) (3,832,180)
177.Share transactions 11,213,091 5,689,831
Net proceeds from sales of shares
178. Reinvestment of distributions 3,349,754 2,590,848
179. Cost of shares redeemed (8,992,521) (13,683,979)
180.181. 5,570,324 (5,403,300)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS
182. 4,372,228 (5,995,708)
183.TOTAL INCREASE (DECREASE) IN NET ASSETS
184.NET ASSETS 185. 186.
187. Beginning of period 64,354,805 70,350,513
188. $ 68,727,033 $ 64,354,805
End of period (including undistributed net investment income of $12,966 and $15,014,
respectively)
189.OTHER INFORMATION 191. 192.
190.Shares
193. Sold 1,151,372 575,503
194. Issued in reinvestment of distributions 344,271 262,093
195. Redeemed (925,196) (1,381,008)
196. Net increase (decrease) 570,447 (543,412)
</TABLE>
FINANCIAL HIGHLIGHTS
197. YEARS ENDED JUNE 30,
198. 1997 1996 1995 1994 B 1993
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
199.SELECTED PER-SHARE DATA
200.Net asset value, beginning of period $ 9.820 $ 9.910 $ 9.850 $ 9.940 $ 9.910
201.Income from Investment Operations .729 A .601 .505 .288 .337
Net investment income
202. Net realized and unrealized gain (loss) (.170) (.093) .059 (.046) .031
203. Total from investment operations .559 .508 .564 .242 .368
204.Less Distributions
205. From net investment income (.729) (.598) (.504) (.312) (.338)
206. In excess of net realized gain - - - (.020) -
207. Total distributions (.729) (.598) (.504) (.332) (.338)
208.Net asset value, end of period $ 9.650 $ 9.820 $ 9.910 $ 9.850 $ 9.940
209.TOTAL RETURN 5.89% 5.25% 5.87% 2.47% 3.78%
210.RATIOS AND SUPPLEMENTAL DATA
211.Net assets, end of period (in millions) $ 69 $ 64 $ 70 $ 66 $ 80
212.Ratio of expenses to average net assets .37% .38% .41% .41% .41%
213.Ratio of net investment income to average net assets 7.48% 6.06% 5.12% 3.14% 3.41%
214.Portfolio turnover rate 232% 89% 519% 494% 612%
</TABLE>
A NET INVESTMENT INCOME PER SHARE HAS BEEN CALCULATED BASED ON AVERAGE
SHARES OUTSTANDING DURING THE PERIOD.
B 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 June 30, 1997
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. Securities for which
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. Short-term securities with
remaining maturities of sixty days or less for which quotations are not
readily available are valued at amortized cost or original cost plus
accrued interest, both of which approximate current value.
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 original issue discount, is accrued as earned.
TERM PORTFOLIO. Interest income, which includes accretion of original issue
discount, is accrued as earned.
EXPENSES. Most expenses of the trust can be directly attributed to a fund.
Expenses which cannot be directly attributed are apportioned between the
funds in the trust.
DISTRIBUTIONS TO SHAREHOLDERS.
CASH PORTFOLIO. Dividends are declared daily and paid monthly from net
interest income.
TERM PORTFOLIO. Distributions are declared daily and paid monthly from net
investment income. Distributions from realized gains, if any, are recorded
on the ex-dividend date.
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.
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.
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 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 $156,119,447 and $148,966,681, 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. The management fee paid to FMR by each fund is reduced by an
amount equal to the fees and expenses paid by the fund to the
non-interested Trustees. 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 annual rate of .35% and .36% for the Cash and Term Portfolios,
respectively. Effective January 1, 1998, FMR will receive a fee that is
based upon a graduated series of rates ranging from .290% to .350% of each
fund's average net assets.
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, and after reducing the fee
for any payments by FMR pursuant to Cash Portfolio's Distribution and
Service Plan.
DISTRIBUTION AND SERVICE PLAN. Pursuant to the Distribution and Service
Plans (the Plans), and in accordance with Rule 12b-1 of the 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 $3,280,384 and $106,505 on behalf of the Cash and Term
Portfolios, respectively, all of which FDC paid to Sterling Capital
Distributors, Inc., a wholly-owned subsidiary of Sterling Capital
Management Company. Effective January 1, 1998, FMR will pay FDC a
distribution and service fee that is based on a graduated series of rates
ranging from .14% to .15% of each fund's average net assets.
5. EXPENSE REDUCTIONS.
FMR has entered into arrangements on behalf of each fund with its custodian
and transfer agent whereby credits realized as a result of uninvested cash
balances were used to reduce a portion of the fund's expenses. During the
period, Cash and Term Portfolio's expenses were reduced by $1,021 and $61,
respectively, under these arrangements.
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of The North Carolina Capital Management Trust and the
Shareholders of Cash Portfolio and Term Portfolio:
We have audited the accompanying statements of assets and liabilities of
The North Carolina Capital Management Trust: Cash Portfolio and Term
Portfolio, including the schedules of portfolio investments, as of June 30,
1997, 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 five years in the
period then ended. These financial statements and financial highlights are
the responsibility of the funds' 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, 1997 by correspondence with the custodian.
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 North Carolina Capital Management Trust: Cash Portfolio and Term
Portfolio, as of June 30, 1997, 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 for each of the five years
in the period then ended, in conformity with generally accepted accounting
principles.
/s/COOPERS & LYBRAND L.L.P
COOPERS & LYBRAND L.L.P.
Boston, Massachusetts
August 12, 1997
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TRUSTEES
William L. Byrnes
John David "J.D." Foust *
W. Olin Nisbet III
Helen A. Powers *
Bertram H. Witham *
OFFICERS
William L. Byrnes, PRESIDENT
Robert C. Pozen, SENIOR VICE PRESIDENT
W. Olin Nisbet III, VICE PRESIDENT
J. Calvin Rivers, Jr., VICE PRESIDENT
Fred L. Henning, Jr., VICE PRESIDENT
Dwight D. Churchill, VICE PRESIDENT, TERM PORTFOLIO
Curtis Hollingsworth, VICE PRESIDENT, TERM PORTFOLIO
Boyce Greer, VICE PRESIDENT, CASH PORTFOLIO
Burnell R. Stehman, VICE PRESIDENT, CASH PORTFOLIO
Arthur S. Loring, SECRETARY
Richard A. Silver, 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, Inc.
Boston, MA
