N-Q 1 ncm.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:

September 30, 2011

Item 1. Schedule of Investments

Quarterly Holdings Report

for

The North Carolina Capital
Management Trust:
Term Portfolio

September 30, 2011 

1.807741.107

NCT-QTLY-1111

Investments September 30, 2011 (Unaudited)

Showing Percentage of Net Assets

Commercial Paper - 21.6%

 

Principal Amount

Value

Atlantic Asset Securitization Corp. 0.28% 10/11/11 (Liquidity Facility Credit Agricole CIB)

$ 3,000,000

$ 2,999,845

BP Capital Markets PLC yankee:

0.45% 11/22/11

1,100,000

1,099,741

0.6% 1/4/12

2,000,000

1,998,933

Commonwealth Bank of Australia yankee 0.5% 3/23/12

2,006,000

2,001,417

Groupe BPCE yankee 0.52% 10/20/11

1,800,000

1,799,812

Skandinaviska Enskilda Banken AB yankee 0.49% 11/1/11

1,000,000

999,778

Swedbank AB yankee 0.43% 10/17/11

2,000,000

1,999,827

TOTAL COMMERCIAL PAPER

(Cost $12,895,577)

12,899,353

Cash Equivalents - 78.4%

Maturity Amount

Value

Investments in repurchase agreements in a joint trading account at 0.03%, dated 9/30/11 due 10/3/11 (Collateralized by U.S. Treasury Obligations) #
(Cost $46,753,000)

$ 46,753,117

$ 46,753,000

TOTAL INVESTMENT PORTFOLIO - 100.0%

(Cost $59,648,577)

59,652,353

NET OTHER ASSETS (LIABILITIES) - 0.0%

(11,164)

NET ASSETS - 100%

$ 59,641,189

Legend

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

Repurchase Agreement / Counterparty

Value

$46,753,000 due 10/03/11 at 0.03%

BNP Paribas Securities Corp.

$ 46,753,000

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 September 30, 2011, the cost of investment securities for income tax purposes was $59,648,577. Net unrealized appreciation aggregated $3,776, all of which was related to appreciated 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. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

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

September 30, 2011 

1.807740.107

NCC-QTLY-1111

Investments September 30, 2011 (Unaudited)

Showing Percentage of Net Assets

Commercial Paper (f) - 48.5%

 

 

Yield (a)

Principal Amount

Value

ABN AMRO Funding USA LLC

 

10/5/11

0.25%

$ 29,000,000

$ 28,999,194

Amsterdam Funding Corp. (Royal Bank of Scotland PLC Guaranteed)

 

 

 

 

10/18/11

0.27

15,800,000

15,797,986

 

10/27/11

0.27

37,000,000

36,992,785

ASB Finance Ltd.

 

3/30/12

0.38 (d)

5,000,000

4,999,749

ASB Finance Ltd. (London)

 

3/23/12

0.44 (d)

43,700,000

43,699,213

Bank of Nova Scotia

 

11/9/11 to 12/23/11

0.25 to 0.28

185,000,000

184,929,215

Barclays Bank PLC/Barclays US CCP Funding LLC

 

10/4/11 to 10/31/11

0.27

49,000,000

48,993,318

BNP Paribas Finance, Inc.

 

12/12/11

0.38

40,000,000

39,969,600

Caisse d'Amort de la Dette Societe

 

10/11/11 to 5/25/12

0.24 to 0.31 (b)(d)

174,400,000

174,368,846

Commonwealth Bank of Australia

 

11/18/11 to 12/15/11

0.26 to 0.35 (d)

102,000,000

101,955,742

Credit Suisse New York Branch

 

10/25/11 to 12/28/11

0.24 to 0.37

140,000,000

139,930,044

Deutsche Bank Financial LLC

 

10/17/11

0.30

50,000,000

49,993,333

DnB NOR Bank ASA

 

11/8/11 to 12/5/11

0.30

149,000,000

148,931,583

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

 

 

 

 

10/12/11

0.26

4,000,000

3,999,682

 

10/14/11

0.23

14,000,000

13,998,837

 

10/18/11

0.25

3,000,000

2,999,646

 

10/24/11

0.25

35,000,000

34,994,410

 

10/4/11

0.25

25,000,000

24,999,479

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

 

 

 

 

10/4/11

0.30

31,000,000

30,999,225

 

10/5/11

0.30

31,000,000

30,998,967

National Australia Funding, Inc.

 

10/6/11 to 11/1/11

0.20 to 0.26

80,000,000

79,990,106

Nordea North America, Inc.

 

10/7/11 to 11/4/11

0.20 to 0.25

92,900,000

92,887,205

Northern Pines Funding LLC

 

12/1/11

0.37 (d)

6,000,000

6,000,000

 

 

 

Yield (a)

Principal Amount

Value

Northern Pines Funding LLC (Liquidity Facility Shanghai Bestway Marine Engineering Design Co. Ltd.)

 

 

 

 

10/17/11

0.30%

$ 26,000,000

$ 25,996,533

 

10/18/11

0.30

50,000,000

49,992,917

 

10/26/11

0.30

5,000,000

4,998,958

Rabobank USA Financial Corp.

 

10/11/11 to 1/12/12

0.19 to 0.32

155,000,000

154,952,378

Royal Bank of Canada

 

11/23/11

0.30

75,000,000

74,966,875

Salisbury Receivables Co. LLC (Barclays Bank PLC Guaranteed)

 

10/3/11

0.25

11,000,000

10,999,847

Skandinaviska Enskilda Banken AB

 

10/7/11

0.30

19,000,000

18,999,050

Svenska Handelsbanken, Inc.

 

11/3/11 to 12/28/11

0.30 to 0.33

43,000,000

42,981,422

Swedbank AB

 

10/24/11

0.38

15,000,000

14,996,358

Texas Instruments, Inc.

 

12/6/11 to 12/12/11

0.20

5,000,000

4,998,100

Total Capital Canada Ltd.

 

12/15/11

0.42

7,000,000

6,993,875

UBS Finance, Inc.

 

11/23/11

0.35

40,000,000

39,979,389

Westpac Banking Corp.

 

4/10/12

0.39 (d)

25,000,000

25,000,000

 

4/5/12

0.39 (d)

25,000,000

25,000,000

Westpac Banking Corp.

 

10/6/11 to 10/7/11

0.25 to 0.31 (d)

27,350,000

27,349,502

TOTAL COMMERCIAL PAPER


1,869,633,369

U.S. Government and Government Agency Obligations - 3.8%

 

Other Government Related - 3.8%

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

 

 

 

 

10/21/11

0.20 (c)

50,000,000

49,995,278

 

10/31/11

0.65 (c)

13,000,000

12,994,132

 

11/3/11

0.65 (c)

27,000,000

26,985,375

 

12/15/11

0.19 (c)

17,000,000

16,993,540

 

12/19/11

0.19 (c)

23,903,000

23,893,665

 

12/21/11

0.19 (c)

5,000,000

4,997,994

 

12/22/11

0.19 (c)

6,000,000

5,997,498

 

12/22/11

0.19 (c)

5,539,000

5,536,691

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS


147,394,173

Federal Agencies - 11.2%

 

 

Yield (a)

Principal Amount

Value

Fannie Mae - 3.5%

 

10/20/11 to 12/21/11

0.13 to 0.15%

$ 136,283,000

$ 136,261,544

Federal Home Loan Bank - 3.2%

 

12/16/11 to 10/10/12

0.21 to 0.41

121,000,000

120,990,339

Freddie Mac - 4.5%

 

3/20/12 to 8/10/12

0.15 to 0.19 (d)

175,000,000

174,900,733

TOTAL FEDERAL AGENCIES


432,152,616

U.S. Treasury Obligations - 11.5%

 

U.S. Treasury Bills - 4.4%

 

11/3/11 to 3/8/12

0.07 to 0.12

168,000,000

167,963,249

U.S. Treasury Notes - 7.1%

 

10/31/11 to 10/15/12

0.07 to 0.30

275,000,000

275,893,493

TOTAL U.S. TREASURY OBLIGATIONS


443,856,742

Municipal Securities - 10.9%

 

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

 10/7/11

0.19 (d)

9,895,000

9,895,000

Charlotte Wtr. & Swr. Sys. Rev. Series 2002 B, (Liquidity Facility Wells Fargo Bank NA), VRDN

 10/7/11

0.12 (d)

15,000,000

15,000,000

Charlotte Wtr. & Swr. Sys. Rev. Series 2006 B, (Liquidity Facility Wells Fargo Bank NA), VRDN

 10/7/11

0.12 (d)

35,200,000

35,200,000

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

 10/7/11

0.19 (d)

1,000,000

1,000,000

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

 10/7/11

0.16 (d)(e)

3,000,000

3,000,000

North Carolina Med. Care Commission Health Care Facilities Rev. (Cape Fear Valley Health Sys. Proj.) Series 2008 A1, LOC Branch Banking & Trust Co., VRDN

 10/7/11

0.14 (d)

45,125,000

45,125,000

North Carolina Med. Care Commission Health Care Facilities Rev. (Cape Fear Valley Health Sys. Proj.) Series 2008 A2, LOC Branch Banking & Trust Co., VRDN

 10/7/11

0.14 (d)

47,600,000

47,600,000

 

 

Yield (a)

Principal Amount

Value

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

 10/7/11

0.19% (d)

$ 9,080,000

$ 9,080,000

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

 10/7/11

0.17 (d)

50,625,000

50,625,000

North Carolina Med. Care Commission Health Care Facilities Rev. (Wake Forest Univ. Health Sciences Proj.) Series 2008 B, LOC Branch Banking & Trust Co., VRDN

 10/7/11

0.13 (d)

13,110,000

13,110,000

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

 10/7/11

0.21 (d)

10,500,000

10,500,000

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

 10/3/11

0.20 (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

 10/7/11

0.15 (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

 10/7/11

0.15 (d)

15,950,000

15,950,000

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

 10/7/11

0.19 (d)

39,750,000

39,750,000

Raleigh Durham Arpt. Auth. Arpt. Rev. Series 2008 C, LOC U.S. Bank NA, Minnesota, VRDN

 10/7/11

0.14 (d)

10,500,000

10,500,000

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

 10/7/11

0.17 (d)(e)

1,200,000

1,200,000

Wake County Gen. Oblig. Series 2003 B, (Liquidity Facility Wells Fargo Bank NA), VRDN

  

10/7/11

0.12 (d)

2,600,000

2,600,000

10/7/11

0.12 (d)

11,000,000

11,000,000

10/7/11

0.12 (d)

15,000,000

15,000,000

Wake County Gen. Oblig. Series 2003 C, (Liquidity Facility Wells Fargo Bank NA), VRDN

  

10/7/11

0.12 (d)

21,000,000

21,000,000

10/7/11

0.12 (d)

6,400,000

6,400,000

Winston-Salem Wtr. & Swr. Sys. Rev. Series 2002 C, (Liquidity Facility Branch Banking & Trust Co.), VRDN

 10/7/11

0.13 (d)

11,200,000

11,200,000

TOTAL MUNICIPAL SECURITIES


419,780,000

Repurchase Agreements - 15.6%

Maturity
Amount

Value

In a joint trading account at 0.03% dated 9/30/11 due 10/3/11 (Collateralized by (U.S. Treasury Obligations)) #

$ 600,294,501

$ 600,293,000

TOTAL INVESTMENT PORTFOLIO - 101.5%

(Cost $3,913,109,900)

3,913,109,900

NET OTHER ASSETS (LIABILITIES) - (1.5)%

(57,334,863)

NET ASSETS - 100%

$ 3,855,775,037

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 $174,368,846 or 4.5% 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 $147,394,173, or 3.8% 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

$600,293,000 due 10/03/11 at 0.03%

BNP Paribas Securities Corp.

$ 600,293,000

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 September 30, 2011, the cost of investment securities for income tax purposes was $3,913,109,900.

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, and are categorized as Level 2 in the hierarchy.

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 '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/John R. Hebble

 

John R. Hebble

 

President, Treasurer and Chief Financial Officer

 

 

Date:

November 29, 2011

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:

November 29, 2011