N-Q 1 main.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-3455

North Carolina Capital Management Trust
 (Exact name of registrant as specified in charter)

82 Devonshire St., Boston, Massachusetts 02109
 (Address of principal executive offices) (Zip code)

Eric D. Roiter, Secretary

82 Devonshire St.

Boston, Massachusetts 02109
(Name and address of agent for service)

Registrant's telephone number, including area code: 617-563-7000

Date of fiscal year end:

June 30

Date of reporting period:

March 31, 2006

Item 1. Schedule of Investments

Quarterly Holdings Report

for

The North Carolina Capital
Management Trust:
Cash Portfolio

March 31, 2006

1.814653.101

NCC-QTLY-0506

Investments March 31, 2006 (Unaudited)

Showing Percentage of Net Assets

Commercial Paper (c) - 99.0%

Due Date

Annualized Yield at Time of Purchase

Principal Amount

Value

Bank of America Corp.

8/3/06

4.80%

$ 40,000,000

$ 39,354,511

Bank of Ireland

7/19/06

4.02

75,000,000

74,123,828

Barclays U.S. Funding Corp.

5/10/06

4.79

150,000,000

149,225,687

Bavaria TRR Corp.

4/3/06

4.90

35,000,000

34,990,472

4/3/06

4.66

45,000,000

44,988,400

4/6/06

4.68

10,000,000

9,993,528

4/13/06

4.83

20,000,000

19,967,867

4/20/06

4.78

30,000,000

29,924,633

BNP Paribas Finance, Inc.

10/31/06

4.85

25,000,000

24,307,750

12/22/06

5.09

40,000,000

38,555,161

Charta LLC

4/19/06

4.66

50,000,000

49,884,500

CIT Group, Inc.

4/6/06

4.59

50,000,000

49,968,333

Citibank Credit Card Master Trust I (Dakota Certificate Program)

4/3/06

4.53

30,000,000

29,992,517

4/4/06

4.53

10,000,000

9,996,258

4/10/06

4.63

15,000,000

14,982,750

5/8/06

4.81

3,000,000

2,985,262

5/10/06

4.82

5,000,000

4,975,333

Citigroup Funding, Inc.

4/3/06

4.54

10,000,000

9,997,500

4/6/06

4.53

20,000,000

19,987,528

4/26/06

4.82

15,000,000

14,950,000

Credit Suisse First Boston New York Branch

4/3/06

4.61

60,000,000

59,984,683

Cullinan Finance Corp.

4/3/06

4.90 (a)

45,000,000

44,987,750

5/8/06

4.69 (a)

3,000,000

2,985,693

Danske Corp.

10/30/06

4.80

25,000,000

24,318,361

11/10/06

4.89

25,000,000

24,262,861

Deutsche Bank Financial LLC

2/9/07

5.01

25,000,000

23,960,311

Dresdner U.S. Finance, Inc.

4/24/06

4.78

100,000,000

99,695,889

Commercial Paper (c) - continued

Due Date

Annualized Yield at Time of Purchase

Principal Amount

Value

DZ Bank AG

4/3/06

4.90%

$ 50,000,000

$ 49,986,389

4/3/06

4.90

33,727,000

33,717,819

Emerald (MBNA Credit Card Master Note Trust)

4/5/06

4.60

10,000,000

9,994,933

4/28/06

4.79

25,000,000

24,910,563

5/1/06

4.81

10,000,000

9,960,083

5/2/06

4.69

8,000,000

7,968,036

5/8/06

4.78

10,000,000

9,951,181

5/9/06

4.83

10,000,000

9,949,333

FCAR Owner Trust

4/4/06

4.53

130,000,000

129,951,467

4/4/06

4.50

35,000,000

34,987,021

4/4/06

4.52

15,000,000

14,994,425

5/4/06

4.80

40,000,000

39,825,100

5/15/06

4.77

5,000,000

4,971,156

6/2/06

4.81

10,000,000

9,918,194

6/2/06

4.83

50,000,000

49,589,250

7/17/06

4.76

40,000,000

39,447,167

7/18/06

4.76

25,000,000

24,651,250

7/25/06

4.75

5,000,000

4,925,889

General Electric Capital Corp.

5/10/06

4.80

185,000,000

184,043,010

11/6/06

4.95

25,000,000

24,274,563

Giro Funding US Corp.

4/3/06

4.62

5,000,000

4,998,722

4/11/06

4.70

15,000,000

14,980,500

4/27/06

4.82

40,000,000

39,861,333

5/2/06

4.81

5,000,000

4,979,376

5/3/06

4.81

10,000,000

9,957,422

5/8/06

4.69

5,000,000

4,976,156

Goldman Sachs Group, Inc.

4/6/06

4.63 (a)(b)

50,000,000

50,000,000

4/19/06

4.81

63,000,000

62,848,800

5/24/06

4.80 (a)(b)

100,000,000

100,000,000

Grampian Funding LLC

5/2/06

4.82

25,000,000

24,896,667

5/19/06

4.54

35,000,000

34,792,567

Greenwich Capital Holdings, Inc.

4/5/06

4.62 (b)

100,000,000

100,000,000

HSBC Finance Corp.

5/15/06

4.52

75,000,000

74,594,833

Commercial Paper (c) - continued

Due Date

Annualized Yield at Time of Purchase

Principal Amount

Value

HVB U.S. Finance, Inc.

4/10/06

4.55%

$ 35,000,000

$ 34,960,625

Intesa Funding LLC

4/10/06

4.66

100,000,000

99,884,000

Jupiter Securitization Corp.

4/7/06

4.67

5,000,000

4,996,125

K2 (USA) LLC

7/3/06

4.89 (b)

75,000,000

74,979,589

Liberty Street Funding Corp.

4/18/06

4.74

40,000,000

39,910,844

Market Street Funding Corp.

4/18/06

4.72

75,340,000

75,172,787

5/4/06

4.76

110,000,000

109,523,058

Mont Blanc Capital Corp.

4/13/06

4.70

5,000,000

4,992,200

Monument Gardens Funding

4/3/06

4.90

50,000,000

49,986,389

4/3/06

4.90

4,750,000

4,748,707

5/22/06

4.81

5,000,000

4,966,283

Morgan Stanley

4/3/06

4.95 (b)

80,000,000

80,000,000

4/3/06

4.96 (b)

50,000,000

50,000,000

Motown Notes Program

4/7/06

4.64

15,000,000

14,988,500

4/10/06

4.56

5,000,000

4,994,363

4/10/06

4.69

10,000,000

9,988,325

5/2/06

4.68

3,000,000

2,988,065

5/3/06

4.70

10,000,000

9,958,711

5/8/06

4.84

5,000,000

4,975,282

5/17/06

4.85

5,000,000

4,969,269

Nordea North America, Inc.

4/5/06

4.64

100,343,000

100,291,491

Northern Rock PLC

4/3/06

4.63

45,500,000

45,488,347

Paradigm Funding LLC

4/4/06

4.64

10,000,000

9,996,150

4/5/06

4.67

16,000,000

15,991,733

4/18/06

4.75

85,000,000

84,810,143

4/28/06

4.81

25,000,000

24,910,188

Park Granada LLC

4/27/06

4.71

10,000,000

9,966,200

Commercial Paper (c) - continued

Due Date

Annualized Yield at Time of Purchase

Principal Amount

Value

Park Granada LLC - continued

4/27/06

4.72%

$ 50,000,000

$ 49,831,000

5/1/06

4.72

5,000,000

4,980,458

5/1/06

4.74

5,000,000

4,980,375

5/9/06

4.80

25,000,000

24,874,125

Park Sienna LLC

4/5/06

4.66

10,000,000

9,994,844

4/6/06

4.68

15,000,000

14,990,292

4/24/06

4.74

5,000,000

4,984,954

5/5/06

4.79

45,000,000

44,797,700

Ranger Funding Co. LLC

4/17/06

4.73

100,000,000

99,790,667

Santander Finance, Inc.

11/20/06

5.02

25,000,000

24,216,861

Sigma Finance, Inc.

4/18/06

4.70 (b)

50,000,000

49,996,118

Skandinaviska Enskilda Banken AB

4/12/06

4.68 (b)

75,000,000

75,000,000

4/24/06

4.77 (b)

75,000,000

75,000,000

4/28/06

4.79 (b)

75,000,000

75,000,000

Strand Capital LLC

4/10/06

4.57

5,000,000

4,994,350

4/28/06

4.65

4,000,000

3,986,200

5/3/06

4.75

5,000,000

4,979,022

5/10/06

4.71

5,000,000

4,974,813

5/15/06

4.73

5,000,000

4,971,461

9/25/06

5.09

25,000,000

24,390,333

Stratford Receivables Co. LLC

4/5/06

4.64

5,000,000

4,997,431

4/11/06

4.74

30,000,000

29,960,667

4/12/06

4.68

15,000,000

14,978,642

4/17/06

4.71

15,000,000

14,968,800

4/18/06

4.68

10,000,000

9,978,089

4/19/06

4.71

15,000,000

14,964,825

4/19/06

4.73

5,000,000

4,988,225

4/20/06

4.74

111,502,000

111,224,236

4/21/06

4.73

7,460,000

7,440,480

4/25/06

4.80

38,620,000

38,496,931

4/26/06

4.82

10,000,000

9,966,667

4/27/06

4.80

30,000,000

29,896,325

5/8/06

4.81

10,000,000

9,950,872

5/10/06

4.81

15,000,000

14,922,325

Commercial Paper (c) - continued

Due Date

Annualized Yield at Time of Purchase

Principal Amount

Value

Stratford Receivables Co. LLC - continued

5/12/06

4.80%

$ 72,115,000

$ 71,724,057

5/12/06

4.84

10,000,000

9,945,219

5/15/06

4.79

15,000,000

14,912,825

White Pine Finance LLC

4/21/06

4.73 (a)(b)

44,000,000

43,999,490

TOTAL COMMERCIAL PAPER

4,240,737,624

U.S. Treasury Obligations - 1.1%

U.S. Treasury Bills - 1.1%

8/3/06

4.53

50,000,000

49,237,056

TOTAL INVESTMENT PORTFOLIO - 100.1%
(Cost $4,289,974,680)

4,289,974,680

NET OTHER ASSETS - (0.1)%

(6,096,052)

NET ASSETS - 100%

$ 4,283,878,628

Legend

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $241,972,933 or 5.6% of net assets.

(b) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. The due dates on these types of securities reflect the next interest rate reset date or, when applicable, the final maturity date.

(c) Cash Portfolio only purchases commercial paper with the highest possible ratings 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 March 31, 2006, the aggregate cost of investment securities for income tax purposes was $4,289,974,680.

Investment Valuation

As permitted by compliance with certain conditions under Rule 2a-7 of the 1940 Act, securities are valued at amortized cost, which approximates value. Security transactions are accounted for as of trade date.

For additional information on the fund's policy regarding valuation of investments and other significant accounting policies, please refer to the fund's most recent semiannual or annual shareholder report.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR Corp. or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

The North Carolina Capital
Management Trust:
Term Portfolio

March 31, 2006

1.814654.101

NCT-QTLY-0506

Investments March 31, 2006 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 98.8%

Principal Amount

Value

U.S. Government Agency Obligations - 98.8%

Fannie Mae:

0% 12/1/06

$ 5,000,000

$ 4,830,935

0% 1/26/07

3,000,000

2,874,591

0% 2/23/07

16,800,000

16,055,883

Freddie Mac:

0% 8/15/06

247,000

242,523

0% 11/14/06

5,490,000

5,318,438

0% 1/9/07

3,705,000

3,558,956

0% 1/18/07

500,000

479,660

0% 3/6/07

15,700,000

14,973,090

3.625% 2/15/07

6,850,000

6,762,813

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $55,207,430)

55,096,889

Cash Equivalents - 1.3%

Maturity Amount

Investments in repurchase agreements (Collateralized by U.S. Treasury Obligations, in a joint trading account at 4.56%, dated 3/31/06 due 4/3/06)
(Cost $724,000)

$ 724,275

724,000

TOTAL INVESTMENT PORTFOLIO - 100.1%

(Cost $55,931,430)

55,820,889

NET OTHER ASSETS - (0.1)%

(61,107)

NET ASSETS - 100%

$ 55,759,782

Income Tax Information

At March 31, 2006, the aggregate cost of investment securities for income tax purposes was $55,904,220. Net unrealized depreciation aggregated $83,331, all of which was related to depreciated investment securities.

Investment Valuation

Investments are valued as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Security transactions are accounted for as of trade date. Wherever possible, the fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotes are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

For additional information on the fund's policy regarding valuation of investments and other significant accounting policies, please refer to the fund's most recent semiannual or annual shareholder report.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR Corp. or an affiliate.

Quarterly Report

Item 2. Controls and Procedures

(a)(i) The President and the Treasurer and Chief Financial Officer have concluded that the North Carolina Capital Management Trust's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the Trust's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 3. Exhibits

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

North Carolina Capital Management Trust

By:

/s/ Boyce I. Greer

Boyce I. Greer

President

Date:

May 19, 2006

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:

/s/Boyce I. Greer

Boyce I. Greer

President

Date:

May 19, 2006

By:

/s/Kenneth Robins

Kenneth Robins

Treasurer and Chief Financial Officer

Date:

May 19, 2006