N-Q 1 nccmt.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)

Scott C. Goebel, 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, 2012

Item 1. Schedule of Investments

Quarterly Holdings Report

for

The North Carolina Capital
Management Trust:
Term Portfolio

March 31, 2012 

1.814654.107

NCT-QTLY-0512

Investments March 31, 2012 (Unaudited)

Showing Percentage of Net Assets

Commercial Paper - 97.8%

 

Principal Amount

Value

Amsterdam Funding Corp. yankee:

0.38% 5/9/12 (a)

$ 3,000,000

$ 2,999,177

0.47% 5/9/12 (a)

9,000,000

8,997,530

0.53% 5/14/12 (a)

5,000,000

4,998,438

ASB Finance Ltd. (London) yankee:

0.45% 9/14/12

2,000,000

1,993,691

0.52% 8/20/12

4,000,000

3,990,562

Atlantic Asset Securitization Corp.:

0.42% 4/27/12 (Liquidity Facility Credit Agricole CIB)

5,000,000

4,999,172

0.42% 4/27/12 (Liquidity Facility Credit Agricole CIB)

10,000,000

9,996,733

Australia & New Zealand Banking Group Ltd. yankee 0.5% 4/26/12

2,500,000

2,499,831

Autobahn Funding Co. LLC:

0.56% 6/12/12 (Liquidity Facility DZ BANK AG)

7,000,000

6,995,784

0.56% 6/12/12 (Liquidity Facility DZ BANK AG)

10,000,000

9,997,472

Barclays Bank PLC/Barclays U.S. CCP Funding LLC yankee 0.54% 5/14/12

10,000,000

9,996,250

BNP Paribas Finance, Inc. yankee:

0.33% 4/4/12

5,000,000

4,999,917

0.37% 5/2/12

10,000,000

9,997,892

BP Capital Markets PLC yankee:

0.25% 6/5/12

2,200,000

2,199,542

0.25% 6/8/12

1,000,000

999,773

0.35% 4/13/12

1,000,000

999,969

0.5% 8/6/12

6,000,000

5,995,937

0.53% 8/7/12

1,000,000

999,314

0.63% 11/27/12

4,000,000

3,992,713

0.67% 10/22/12

2,200,000

2,197,243

Ciesco LP:

0.27% 4/10/12

5,800,000

5,799,770

0.4% 5/17/12

10,000,000

9,998,000

0.4% 5/17/12

3,000,000

2,999,400

Commonwealth Bank of Australia yankee:

0.44% 6/15/12

1,000,000

999,662

0.62% 6/8/12

1,000,000

999,714

0.62% 6/15/12

1,000,000

999,662

Credit Suisse New York Branch yankee:

0.33% 6/15/12

6,500,000

6,494,272

0.64% 5/18/12

2,500,000

2,498,935

Danske Corp. yankee:

0.32% 4/12/12

3,500,000

3,499,762

0.34% 4/12/12

3,000,000

2,999,796

0.35% 4/12/12

2,000,000

1,999,864

0.35% 4/12/12

10,000,000

9,999,321

DNB Bank ASA yankee:

0.3% 6/25/12

3,000,000

2,997,934

0.38% 6/11/12

5,000,000

4,997,344

 

 

Principal Amount

Value

0.4% 6/29/12

$ 3,000,000

$ 2,997,778

0.4% 7/16/12

2,000,000

1,997,972

0.55% 8/9/12

5,000,000

4,992,484

Gotham Funding Corp. yankee:

0.27% 4/10/12 (Liquidity Facility Bank of Tokyo-Mitsubishi UFJ Ltd.)

3,000,000

2,999,826

0.28% 4/10/12 (Liquidity Facility Bank of Tokyo-Mitsubishi UFJ Ltd.)

1,500,000

1,499,913

0.29% 4/13/12 (Liquidity Facility Bank of Tokyo-Mitsubishi UFJ Ltd.)

4,000,000

3,999,704

Govco, Inc.:

0.27% 4/3/12 (Liquidity Facility Citibank NA)

2,000,000

1,999,958

0.27% 4/5/12 (Liquidity Facility Citibank NA)

5,000,000

4,999,842

0.3% 4/30/12 (Liquidity Facility Citibank NA)

4,000,000

3,999,170

0.3% 4/30/12 (Liquidity Facility Citibank NA)

1,361,000

1,360,718

0.38% 5/10/12 (Liquidity Facility Citibank NA)

2,000,000

1,999,437

0.39% 4/24/12 (Liquidity Facility Citibank NA)

1,000,000

999,845

0.5% 4/24/12 (Liquidity Facility Citibank NA)

1,000,000

999,845

ING U.S. Funding LLC yankee:

0.22% 4/24/12

2,000,000

1,999,668

0.5% 4/30/12

10,000,000

9,997,821

0.5% 5/14/12

3,000,000

2,998,875

Landesbank Hessen-Thuringen yankee 0.7% 5/10/12

5,000,000

4,998,366

Manhattan Asset Funding Co. LLC:

0.22% 4/2/12 (Liquidity Facility Sumitomo Mitsui Banking Corp.)

4,000,000

3,999,937

0.22% 4/9/12 (Liquidity Facility Sumitomo Mitsui Banking Corp.)

8,000,000

7,999,578

Market Street Funding LLC:

0.26% 5/2/12 (Liquidity Facility PNC Bank NA)

2,000,000

1,999,754

0.26% 5/7/12 (Liquidity Facility PNC Bank NA)

3,000,000

2,999,554

National Australia Funding, Inc. yankee:

0.3% 4/2/12

1,970,000

1,969,994

0.4% 7/9/12

1,500,000

1,499,314

Nationwide Building Society yankee:

0.62% 4/25/12

4,000,000

3,999,304

0.7% 6/12/12

2,000,000

1,998,351

Nordea North America, Inc. yankee:

0.38% 5/7/12

3,000,000

2,999,332

Commercial Paper - continued

 

Principal Amount

Value

Nordea North America, Inc. yankee: - continued

0.4% 5/23/12

$ 2,000,000

$ 1,999,286

0.4% 5/23/12

2,000,000

1,999,286

0.5% 4/20/12

2,000,000

1,999,778

0.56% 4/13/12

1,000,000

999,943

0.6% 8/15/12

3,000,000

2,995,009

PB Finance (Delaware), Inc.:

0.69% 4/27/12

3,000,000

2,999,426

0.72% 4/18/12

5,000,000

4,999,420

0.72% 4/18/12

3,000,000

2,999,652

0.77% 4/23/12

5,000,000

4,999,210

0.9% 5/9/12

3,000,000

2,999,057

Rabobank USA Financial Corp. yankee:

0.36% 6/22/12

4,000,000

3,997,013

0.4% 5/18/12

2,000,000

1,999,407

0.4% 5/18/12

2,000,000

1,999,407

0.42% 4/13/12

1,000,000

999,942

0.45% 4/16/12

1,000,000

999,926

0.48% 4/23/12

1,000,000

999,880

Salisbury Receivables Co. LLC:

0.27% 4/26/12

4,000,000

3,999,310

0.33% 4/26/12

1,110,000

1,109,809

0.4% 5/8/12

3,000,000

2,999,201

Sheffield Receivables Corp. yankee:

0.27% 5/11/12 (Liquidity Facility Barclays Bank PLC)

6,000,000

5,998,404

0.32% 4/24/12 (Liquidity Facility Barclays Bank PLC)

5,500,000

5,499,225

0.45% 4/24/12 (Liquidity Facility Barclays Bank PLC)

1,000,000

999,859

Skandinaviska Enskilda Banken AB yankee:

0.4% 5/15/12

2,000,000

1,999,226

0.54% 5/8/12

2,000,000

1,999,393

0.55% 5/7/12

1,000,000

999,708

0.55% 5/8/12

4,000,000

3,998,787

0.55% 5/8/12

3,000,000

2,999,090

0.6% 4/11/12

1,000,000

999,940

0.605% 4/16/12

1,000,000

999,901

0.63% 4/2/12

1,000,000

999,988

0.63% 4/3/12

1,000,000

999,983

Societe Generale North America, Inc. yankee:

0.5% 5/2/12

5,000,000

4,998,809

0.5% 5/2/12

15,000,000

14,996,416

Sumitomo Mitsui Banking Corp. yankee 0.56% 5/7/12

2,500,000

2,499,269

Svenska Handelsbanken, Inc. yankee:

0.3% 5/10/12

2,000,000

1,999,533

0.3% 5/17/12

2,000,000

1,999,435

 

 

Principal Amount

Value

0.38% 6/4/12

$ 1,000,000

$ 999,578

0.39% 6/4/12

2,000,000

1,999,157

0.45% 5/17/12

2,000,000

1,999,435

0.57% 8/27/12

4,000,000

3,993,000

Swedbank AB yankee:

0.31% 4/2/12

2,000,000

1,999,975

0.4% 4/2/12

2,000,000

1,999,975

0.4% 4/20/12

2,000,000

1,999,732

0.4% 4/20/12

1,260,000

1,259,831

0.425% 5/1/12

4,000,000

3,999,086

0.43% 4/20/12

2,000,000

1,999,732

0.55% 5/23/12

5,000,000

4,997,525

Toronto Dominion Holdings (USA) yankee:

0.28% 7/31/12

4,000,000

3,997,800

0.57% 8/10/12

2,000,000

1,998,788

Toyota Motor Credit Corp.:

0.42% 8/14/12

7,000,000

6,991,902

0.5% 6/18/12

4,000,000

3,998,427

UBS Finance, Inc. yankee:

0.32% 5/11/12

3,000,000

2,999,237

0.36% 6/4/12

6,000,000

5,996,568

0.42% 5/23/12

2,000,000

1,999,202

0.42% 6/4/12

3,000,000

2,998,284

0.43% 5/29/12

2,000,000

1,999,033

0.5% 5/11/12

1,000,000

999,746

0.53% 5/3/12

1,000,000

999,825

Westpac Banking Corp. yankee:

0.4% 8/3/12

3,000,000

2,995,569

0.4% 8/3/12

1,806,000

1,803,333

0.41% 7/9/12

1,000,000

999,056

0.5% 5/3/12

2,650,000

2,649,430

0.5% 7/2/12

2,000,000

1,998,362

0.57% 8/1/12

1,000,000

998,571

Windmill Funding Corp. yankee:

0.28% 4/19/12 (a)

11,000,000

10,998,625

0.55% 4/16/12 (a)

3,000,000

2,999,702

TOTAL INVESTMENT PORTFOLIO - 97.8%

(Cost $432,076,634)

432,186,130

NET OTHER ASSETS (LIABILITIES) - 2.2%

9,608,810

NET ASSETS - 100%

$ 441,794,940

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 end of the period, the value of these securities amounted to $30,993,472 or 7.0% of net assets.

Other Information

All investments are categorized as Level 2 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs please refer to the Investment Valuation section at the end of this listing.

Income Tax Information

At March 31, 2012, the cost of investment securities for income tax purposes was $432,076,634. Net unrealized appreciation aggregated $109,496, of which $114,539 related to appreciated investment securities and $5,043 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value calculation under these procedures may differ from published prices for the same securities. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments. Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.). Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows.

Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For commercial paper, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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 LLC or an affiliate.

Quarterly Report

Quarterly Holdings Report

for

The North Carolina Capital
Management Trust:
Cash Portfolio

March 31, 2012 

1.814653.107

NCC-QTLY-0512

Investments March 31, 2012 (Unaudited)

Showing Percentage of Net Assets

Commercial Paper (f) - 55.3%

 

 

Yield (a)

Principal
Amount

Value

ASB Finance Ltd. (London)

 

4/11/12 to 9/14/12

0.45 to 0.68%

$ 121,000,000

$ 120,815,895

Australia & New Zealand Banking Group Ltd.

 

4/26/12

0.50

19,000,000

18,993,403

Autobahn Funding Co. LLC (Liquidity Facility DZ BANK AG)

 

5/11/12 to 5/18/12

0.48

12,000,000

11,993,414

Bank of Nova Scotia

 

7/5/12

0.46

50,000,000

49,939,306

Barclays Bank PLC/Barclays U.S. CCP Funding LLC

 

5/2/12 to 5/21/12

0.37 to 0.38

57,000,000

56,974,343

Barclays U.S. Funding Corp.

 

4/16/12

0.31

34,000,000

33,995,608

BNP Paribas Finance, Inc.

 

5/2/12

0.37

47,000,000

46,985,025

BP Capital Markets PLC

 

6/8/12

0.25

8,000,000

7,996,222

Caisse d'Amort de la Dette Sociale

 

5/25/12

0.54 (b)(d)

14,000,000

13,999,777

Commonwealth Bank of Australia

 

4/10/12 to 6/15/12

0.50 to 0.62

62,000,000

61,952,656

Credit Suisse New York Branch

 

4/30/12 to 6/22/12

0.30 to 0.35

225,000,000

224,883,243

DNB Bank ASA

 

6/11/12 to 7/2/12

0.30 to 0.40

62,000,000

61,948,633

General Electric Capital Corp.

 

7/9/12 to 7/16/12

0.31

200,000,000

199,823,472

Gotham Funding Corp. (Liquidity Facility Bank of Tokyo-Mitsubishi UFJ Ltd.)

 

4/12/12 to 4/13/12

0.26 to 0.30

72,325,000

72,318,041

JPMorgan Chase & Co.

 

8/1/12 to 9/12/12

0.29 to 0.30 (d)

213,000,000

212,916,133

Liberty Street Funding LLC (Bank of Nova Scotia Guaranteed)

 

4/5/12 to 5/29/12

0.22 to 0.24

209,000,000

208,957,929

Manhattan Asset Funding Co. LLC (Liquidity Facility Sumitomo Mitsui Banking Corp.)

 

4/18/12

0.23

37,000,000

36,995,981

Market Street Funding LLC (Liquidity Facility PNC Bank NA)

 

4/17/12 to 5/2/12

0.24 to 0.26

86,037,000

86,025,361

Mitsubishi UFJ Trust & Banking Corp.

 

5/2/12 to 6/1/12

0.35 to 0.46

161,000,000

160,912,262

National Australia Funding, Inc.

 

4/17/12 to 5/1/12

0.20 to 0.54

218,650,000

218,623,830

National Bank Canada

 

7/10/12

0.47

20,000,000

19,973,889

Nationwide Building Society

 

4/5/12 to 4/16/12

0.44

19,000,000

18,997,311

Rabobank USA Financial Corp.

 

4/20/12 to 6/13/12

0.36 to 0.57

150,000,000

149,922,767

 

 

 

Yield (a)

Principal
Amount

Value

Salisbury Receivables Co. LLC (Barclays Bank PLC Guaranteed)

 

4/19/12

0.27%

$ 3,000,000

$ 2,999,595

Skandinaviska Enskilda Banken AB

 

5/7/12 to 5/16/12

0.40

50,000,000

49,978,411

Societe Generale North America, Inc.

 

4/4/12

0.35

32,000,000

31,999,067

Sumitomo Mitsui Banking Corp.

 

5/14/12

0.38

25,000,000

24,988,653

Svenska Handelsbanken, Inc.

 

4/3/12 to 6/15/12

0.32 to 0.52

28,000,000

27,997,278

Swedbank AB

 

5/1/12

0.43

5,000,000

4,998,229

Texas Instruments International Management Co. S.a.r.L.

 

7/9/12

0.43

1,000,000

998,831

Toronto Dominion Holdings (USA)

 

8/10/12

0.57

25,000,000

24,948,146

Toyota Motor Credit Corp.

 

4/17/12 to 6/29/12

0.31 to 0.32

53,000,000

52,965,258

UBS Finance, Inc.

 

4/23/12 to 5/4/12

0.50 to 0.54

109,000,000

108,956,458

Westpac Banking Corp.

 

4/5/12 to 5/9/12

0.50 to 0.60 (d)

70,000,000

69,989,444

TOTAL COMMERCIAL PAPER

2,496,763,871

U.S. Government and Government Agency Obligations - 4.2%

 

Other Government Related - 4.2%

Straight-A Funding LLC (Liquidity Facility Federal Financing Bank)

 

 

 

 

4/5/12

0.19 (c)

7,000,000

6,999,963

 

4/9/12

0.19 (c)

10,000,000

9,999,894

 

4/9/12

0.19 (c)

6,000,000

5,999,905

 

4/9/12

0.19 (c)

17,000,000

16,999,731

 

4/10/12

0.19 (c)

12,000,000

11,999,747

 

4/12/12

0.19 (c)

5,000,000

4,999,789

 

4/13/12

0.19 (c)

24,000,000

23,998,860

 

4/16/12

0.19 (c)

23,000,000

22,998,786

 

4/17/12

0.19 (c)

8,000,000

7,999,536

 

4/19/12

0.19 (c)

19,000,000

18,998,496

 

4/20/12

0.19 (c)

13,000,000

12,998,902

 

4/23/12

0.19 (c)

7,000,000

6,999,372

 

4/24/12

0.19 (c)

10,000,000

9,999,050

 

4/24/12

0.19 (c)

13,000,000

12,998,765

 

5/1/12

0.19 (c)

14,000,000

13,998,153

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

187,988,949

Federal Agencies - 8.2%

 

 

Yield (a)

Principal Amount

Value

Federal Home Loan Bank - 5.2%

 

4/18/12 to 2/15/13

0.15 to 0.41%

$ 232,666,667

$ 232,646,901

Freddie Mac - 3.0%

 

4/3/12 to 8/10/12

0.15 to 0.20 (d)

135,000,000

134,981,192

TOTAL FEDERAL AGENCIES

367,628,093

U.S. Treasury Obligations - 10.7%

 

U.S. Treasury Bills - 3.7%

 

5/24/12 to 2/7/13

0.09 to 0.15

167,000,000

166,924,286

U.S. Treasury Notes - 7.0%

 

5/15/12 to 11/30/12

0.07 to 0.19

313,000,000

314,227,337

TOTAL U.S. TREASURY OBLIGATIONS

481,151,623

Municipal Securities - 5.1%

 

Charlotte Int'l. Arpt. Rev. (Charlotte Douglas Int'l. Arpt. Proj.) Series 2008 D, LOC Bank of America NA, VRDN

 4/6/12

0.22 (d)

9,895,000

9,895,000

Lower Cape Fear Wtr. & Swr. Auth. Rev. (Bladen Bluffs Proj.) Series 2010, LOC Rabobank Nederland New York Branch, VRDN

 4/6/12

0.18 (d)

12,335,000

12,335,000

North Carolina Cap. Facilities Fin. Agcy. Edl. Facilities Rev. (Campbell Univ. Proj.) Series 2009, LOC Branch Banking & Trust Co., VRDN

 4/6/12

0.18 (d)

6,990,000

6,990,000

North Carolina Cap. Facilities Fin. Agcy. Rev. (Elon Univ. Proj.) Series 2010, LOC Bank of America NA, VRDN

 4/6/12

0.26 (d)

1,000,000

1,000,000

North Carolina Cap. Facilities Fin. Agcy. Rev. Participating VRDN Series Putters 3649, (Liquidity Facility JPMorgan Chase Bank)

 4/6/12

0.19 (d)(e)

3,000,000

3,000,000

North Carolina Med. Care Commission Health Care Facilities Rev. (Univ. Health Systems of Eastern Carolina Proj.) Series 2008 A2, LOC Bank of America NA, VRDN

 4/6/12

0.24 (d)

8,780,000

8,780,000

North Carolina Med. Care Commission Health Care Facilities Rev. (Univ. Health Systems of Eastern Carolina) Series 2008 A1, LOC Bank of America NA, VRDN

 4/6/12

0.22 (d)

50,385,000

50,385,000

North Carolina Med. Care Commission Health Care Facilities Rev. (Univ. Health Systems of Eastern Carolina) Series 2008 B, LOC Branch Banking & Trust Co., VRDN

 4/6/12

0.17 (d)

1,750,000

1,750,000

North Carolina Med. Care Commission Health Care Facilities Rev. (Wake Forest Univ. Proj.) Series 2008 C, LOC Bank of America NA, VRDN

 4/6/12

0.27 (d)

10,500,000

10,500,000

 

 

Yield (a)

Principal Amount

Value

North Carolina Med. Care Commission Health Care Facilities Rev. (Wake Forest Univ. Proj.) Series 2008 D, LOC Bank of America NA, VRDN

 4/2/12

0.23% (d)

$ 26,245,000

$ 26,245,000

North Carolina Med. Care Commission Health Care Facilities Rev. (WakeMed Proj.) Series 2009 B, LOC Wells Fargo Bank NA, VRDN

 4/6/12

0.20 (d)

18,800,000

18,800,000

North Carolina Med. Care Commission Health Care Facilities Rev. (WakeMed Proj.) Series 2009 C, LOC Wells Fargo Bank NA, VRDN

 4/6/12

0.20 (d)

21,645,000

21,645,000

North Carolina Med. Care Commission Hosp. Rev. (CaroMont Health Proj.) Series 2003 B, LOC Bank of America NA, VRDN

 4/6/12

0.24 (d)

59,300,000

59,300,000

Sampson County Gen. Oblig. Participating VRDN Series Solar 06 0160, (Liquidity Facility U.S. Bank NA, Cincinnati)

 4/6/12

0.17 (d)(e)

1,200,000

1,200,000

TOTAL MUNICIPAL SECURITIES

231,825,000

Repurchase Agreements - 16.5%

Maturity Amount

 

In a joint trading account at 0.06% dated 3/30/12 due 4/2/12 (Collateralized by U.S. Treasury Obligations) #

$ 746,581,733

746,578,000

TOTAL INVESTMENT PORTFOLIO - 100.0%

(Cost 4,511,935,536)

4,511,935,536

NET OTHER ASSETS (LIABILITIES) - 0.0%

279,001

NET ASSETS - 100%

$ 4,512,214,537

Security Type Abbreviations

VRDN

-

VARIABLE RATE DEMAND NOTE (A debt instrument that is payable upon demand, either daily, weekly or monthly)

Legend

(a) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(b) 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 end of the period, the value of these securities amounted to $13,999,777 or 0.3% of net assets.

(c) The Federal Financing Bank, an instrumentality of the U.S. Government acting under the supervision of the Secretary of the Treasury (FFB), has entered into a Liquidity Loan Agreement with Straight-A Funding LLC (Issuer), pursuant to which the FFB has committed, subject to certain conditions, to provide financing to the Issuer to cover any payment deficiencies in respect of notes on their legal final maturity dates. At the end of the period, these securities amounted to $187,988,949, or 4.2% of net assets.

(d) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(e) Provides evidence of ownership in one or more underlying municipal bonds.

(f) 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.

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty

Value

$746,578,000 due 4/02/12 at 0.06%

BNP Paribas Securities Corp.

$ 746,578,000

 

 

Other Information

The date shown for securities represents the date when principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets.

All investments are categorized as Level 2 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs please refer to the Investment Valuation section at the end of this listing.

Income Tax Information

At March 31, 2012, the cost of investment securities for income tax purposes was $4,511,935,536.

Investment Valuation

Security transactions are accounted for as of trade date. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments. Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.). Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available).

As permitted by compliance with certain conditions under Rule 2a-7 of the 1940 Act, securities are valued at amortized cost, which approximates fair value. The amortized cost of an instrument is determined by valuing it at its original cost and thereafter amortizing any discount or premium from its face value at a constant rate until maturity. Securities held by a money market fund are generally high quality and liquid; however, they are reflected as Level 2 because the inputs used to determine fair value are not quoted prices in an active market.

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 LLC or an affiliate.

Quarterly Report

Item 2. Controls and Procedures

(a)(i) The President, Treasurer and the Chief Financial Officer have concluded that the North Carolina Capital Management Trust (The)'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 (The)

By:

/s/John R. Hebble

 

John R. Hebble

 

President, Treasurer and Chief Financial Officer

 

 

Date:

May 30, 2012

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/John R. Hebble

 

John R. Hebble

 

President, Treasurer and Chief Financial Officer

 

 

Date:

May 30, 2012