Quarterly Holdings Report
for
The North Carolina Capital Management Trust:
Term Portfolio
September 30, 2020
NCT-QTLY-1120
1.807741.116
Schedule of Investments September 30, 2020 (Unaudited)
Showing Percentage of Net Assets
| U.S. Government and Government Agency Obligations - 34.0% | |||
| Principal Amount | Value | ||
| U.S. Government Agency Obligations - 6.1% | |||
| Federal Home Loan Bank: | |||
| 3 month U.S. LIBOR - 0.170% 0.072% 10/28/20 (a)(b) | $61,100,000 | $61,099,084 | |
| 0% 10/14/20 | 14,792,000 | 14,791,679 | |
| 0% 10/16/20 | 2,400,000 | 2,399,940 | |
| 0% 10/23/20 | 110,488,000 | 110,483,948 | |
| 0% 10/28/20 | 78,000,000 | 77,996,490 | |
| 0% 10/30/20 | 1,270,000 | 1,269,939 | |
| 0% 11/4/20 | 2,475,000 | 2,474,836 | |
| 270,515,916 | |||
| U.S. Treasury Obligations - 27.9% | |||
| U.S. Treasury Bills, yield at date of purchase 0%: | |||
| 10/1/20 | 84,600,000 | 84,600,000 | |
| 10/8/20 | 95,000,000 | 94,998,799 | |
| 10/13/20 | 40,000,000 | 39,999,083 | |
| 10/15/20 | 85,000,000 | 84,997,273 | |
| 10/20/20 | 40,000,000 | 39,998,232 | |
| 10/27/20 | 85,000,000 | 84,995,089 | |
| 11/3/20 | 45,000,000 | 44,996,172 | |
| 11/10/20 | 50,000,000 | 49,995,417 | |
| 11/12/20 | 122,200,000 | 122,186,096 | |
| 11/24/20 | 105,274,000 | 105,259,393 | |
| 12/3/20 | 68,300,000 | 68,288,048 | |
| 12/15/20 | 45,000,000 | 44,990,156 | |
| 12/22/20 | 45,000,000 | 44,991,288 | |
| 12/29/20 | 90,000,000 | 89,979,975 | |
| 12/31/20 | 10,000,000 | 9,997,346 | |
| 1/5/21 | 45,000,000 | 44,988,600 | |
| 1/19/21 | 45,000,000 | 44,985,563 | |
| 2/9/21 | 45,000,000 | 44,981,169 | |
| 2/16/21 | 45,000,000 | 44,981,888 | |
| 2/23/21 | 45,000,000 | 44,981,875 | |
| 1,235,191,462 | |||
| TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
| (Cost $1,505,657,250) | 1,505,707,378 | ||
| Commercial Paper - 68.3% | |||
| ASB Finance Ltd. (London) yankee 0.2% 3/3/21 | 39,000,000 | 38,973,141 | |
| Atlantic Asset Securitization Corp.: | |||
| 0.22% 11/3/20 (Liquidity Facility Credit Agricole CIB) | 30,000,000 | 29,995,437 | |
| 0.27% 10/7/20 (Liquidity Facility Credit Agricole CIB) | 49,150,000 | 49,149,233 | |
| 0.27% 10/9/20 (Liquidity Facility Credit Agricole CIB) | 41,000,000 | 40,997,901 | |
| 0.28% 10/21/20 (Liquidity Facility Credit Agricole CIB) | 50,000,000 | 49,995,510 | |
| Bank of Montreal yankee 0.17% 11/30/20 | 14,000,000 | 13,996,014 | |
| Bank of Nova Scotia: | |||
| 3 month U.S. LIBOR + 0.020% 0.2735% 11/13/20 (a)(b) | 15,000,000 | 15,001,049 | |
| yankee 0.25% 2/19/21 | 11,000,000 | 10,991,061 | |
| Barclays Bank PLC/Barclays U.S. CCP Funding LLC yankee: | |||
| 0.23% 11/19/20 (c) | 57,000,000 | 56,985,989 | |
| 0.32% 10/7/20 (c) | 33,000,000 | 32,998,845 | |
| BPCE SA yankee: | |||
| 0.2% 10/26/20 | 18,000,000 | 17,998,790 | |
| 0.2% 10/26/20 | 9,000,000 | 8,999,395 | |
| 0.2% 10/28/20 | 9,000,000 | 8,999,335 | |
| 0.2% 10/29/20 | 35,000,000 | 34,997,323 | |
| 0.2% 11/19/20 | 18,000,000 | 17,997,224 | |
| 0.2% 12/2/20 | 18,000,000 | 17,995,779 | |
| 0.2% 12/14/20 | 36,000,000 | 35,988,750 | |
| Caisse d'Amort de la Dette Sociale yankee: | |||
| 0.2% 3/4/21 (c) | 31,000,000 | 30,975,708 | |
| 0.21% 1/7/21 (c) | 90,000,000 | 89,961,642 | |
| 0.21% 1/19/21 (c) | 50,000,000 | 49,975,335 | |
| 0.3% 11/27/20 (c) | 50,000,000 | 49,990,415 | |
| Canadian Imperial Bank of Commerce yankee 0.21% 3/10/21 | 18,000,000 | 17,985,510 | |
| Citigroup Global Markets, Inc.: | |||
| 0.2% 12/4/20 | 9,000,000 | 8,997,969 | |
| 0.2% 12/10/20 | 9,000,000 | 8,997,674 | |
| 0.2% 2/4/21 | 18,000,000 | 17,989,331 | |
| 0.2% 2/8/21 | 18,000,000 | 17,988,865 | |
| 0.2% 2/12/21 | 14,000,000 | 13,990,918 | |
| DNB Bank ASA yankee 0.21% 12/29/20 | 71,500,000 | 71,474,975 | |
| DZ BANK AG 0.22% 10/14/20 | 100,000,000 | 99,997,280 | |
| Federation des caisses Desjardin yankee: | |||
| 0.09% 10/5/20 | 50,000,000 | 49,999,375 | |
| 0.1% 10/5/20 | 2,250,000 | 2,249,972 | |
| 0.11% 10/7/20 | 6,000,000 | 5,999,895 | |
| 0.2% 2/26/21 | 3,000,000 | 2,997,765 | |
| 0.2% 2/26/21 | 3,000,000 | 2,997,765 | |
| 0.2% 3/1/21 | 4,000,000 | 3,996,977 | |
| 0.2% 3/1/21 | 4,000,000 | 3,996,977 | |
| 0.2% 3/5/21 | 7,000,000 | 6,994,661 | |
| 0.2% 3/18/21 | 9,000,000 | 8,992,944 | |
| 0.3% 12/21/20 | 3,000,000 | 2,999,030 | |
| 0.3% 12/22/20 | 1,000,000 | 999,670 | |
| 0.3% 12/23/20 | 1,000,000 | 999,664 | |
| 0.3% 12/23/20 | 3,000,000 | 2,998,992 | |
| 0.3% 1/11/21 | 7,000,000 | 6,996,856 | |
| 0.3% 1/15/21 | 7,000,000 | 6,996,713 | |
| Landesbank Baden-Wurttemberg yankee 0.21% 11/2/20 | 50,000,000 | 49,991,660 | |
| Landesbank Hessen-Thuringen yankee 0.22% 10/14/20 | 100,000,000 | 99,995,450 | |
| Liberty Street Funding LLC: | |||
| 0.2% 12/2/20 (Liquidity Facility Bank of Nova Scotia) | 33,425,000 | 33,413,402 | |
| 0.22% 10/13/20 (Liquidity Facility Bank of Nova Scotia) | 27,000,000 | 26,998,761 | |
| 0.22% 10/13/20 (Liquidity Facility Bank of Nova Scotia) | 44,000,000 | 43,997,980 | |
| 0.22% 10/13/20 (Liquidity Facility Bank of Nova Scotia) | 50,000,000 | 49,997,705 | |
| 0.22% 10/16/20 (Liquidity Facility Bank of Nova Scotia) | 20,000,000 | 19,998,808 | |
| Lloyds Bank PLC yankee: | |||
| 0.22% 10/16/20 | 31,850,000 | 31,848,286 | |
| 0.22% 10/16/20 | 50,000,000 | 49,997,311 | |
| 0.23% 11/16/20 | 7,000,000 | 6,998,666 | |
| 0.23% 11/20/20 | 13,000,000 | 12,997,293 | |
| 0.23% 11/23/20 | 9,000,000 | 8,998,002 | |
| 0.23% 11/23/20 | 4,000,000 | 3,999,112 | |
| 0.23% 11/24/20 | 13,000,000 | 12,997,061 | |
| 0.23% 11/25/20 | 9,000,000 | 8,997,914 | |
| 0.23% 11/25/20 | 3,000,000 | 2,999,305 | |
| 0.23% 11/27/20 | 6,000,000 | 5,998,559 | |
| Manhattan Asset Funding Co. LLC: | |||
| 0.2% 11/24/20 (Liquidity Facility Sumitomo Mitsui Banking Corp.) | 29,000,000 | 28,992,556 | |
| 0.2% 11/30/20 (Liquidity Facility Sumitomo Mitsui Banking Corp.) | 4,000,000 | 3,998,841 | |
| 0.25% 10/13/20 (Liquidity Facility Sumitomo Mitsui Banking Corp.) | 25,000,000 | 24,999,531 | |
| 0.26% 10/13/20 (Liquidity Facility Sumitomo Mitsui Banking Corp.) | 28,000,000 | 27,999,474 | |
| 0.3% 10/6/20 (Liquidity Facility Sumitomo Mitsui Banking Corp.) | 45,809,000 | 45,808,084 | |
| Mitsubishi UFJ Trust & Banking Corp. yankee: | |||
| 0.18% 12/16/20 | 5,000,000 | 4,998,225 | |
| 0.2% 12/15/20 | 67,000,000 | 66,976,664 | |
| 0.21% 12/10/20 | 7,000,000 | 6,997,736 | |
| 0.21% 12/11/20 | 6,000,000 | 5,998,032 | |
| 0.23% 11/2/20 | 4,000,000 | 3,999,710 | |
| 0.25% 10/14/20 | 6,900,000 | 6,899,774 | |
| 0.25% 10/15/20 | 20,000,000 | 19,999,308 | |
| 0.26% 10/15/20 | 50,000,000 | 49,998,270 | |
| 0.32% 10/23/20 | 40,000,000 | 39,998,056 | |
| Mizuho Bank Ltd. Singapore Branch yankee: | |||
| 0.215% 11/10/20 | 9,000,000 | 8,998,509 | |
| 0.215% 11/24/20 | 9,000,000 | 8,998,377 | |
| 0.215% 11/25/20 | 4,000,000 | 3,999,260 | |
| 0.225% 11/12/20 | 4,000,000 | 3,999,455 | |
| 0.245% 11/4/20 | 5,000,000 | 4,999,456 | |
| 0.26% 10/6/20 | 24,000,000 | 23,999,640 | |
| Mizuho Corporate Bank Ltd. 0.215% 12/8/20 | 70,000,000 | 69,978,531 | |
| National Australia Bank Ltd. yankee 0.2% 3/1/21 | 23,000,000 | 22,986,501 | |
| National Bank of Canada yankee: | |||
| 0.19% 2/9/21 | 9,000,000 | 8,994,357 | |
| 0.2% 3/1/21 | 25,500,000 | 25,480,513 | |
| 0.2% 3/2/21 | 18,000,000 | 17,986,154 | |
| 0.2% 3/9/21 | 9,000,000 | 8,992,680 | |
| OMERS Finance Trust: | |||
| 0.21% 2/2/21 (c) | 25,000,000 | 24,985,503 | |
| 0.22% 1/19/21 (c) | 25,000,000 | 24,987,668 | |
| 0.22% 1/25/21 (c) | 50,000,000 | 49,973,515 | |
| Ontario Teachers' Finance Trust yankee 0.2% 3/23/21 (c) | 15,000,000 | 14,988,401 | |
| PSP Capital, Inc. yankee: | |||
| 0.2% 3/1/21 (c) | 7,000,000 | 6,995,862 | |
| 0.22% 1/20/21 (c) | 75,000,000 | 74,967,098 | |
| Sheffield Receivables Corp. yankee: | |||
| 0.17% 10/7/20 (Liquidity Facility Barclays Bank PLC) | 25,000,000 | 24,999,418 | |
| 0.3% 10/21/20 (Liquidity Facility Barclays Bank PLC) | 50,000,000 | 49,995,510 | |
| Skandinaviska Enskilda Banken AB yankee: | |||
| 0.215% 11/9/20 | 67,225,000 | 67,215,810 | |
| 0.23% 10/13/20 | 43,750,000 | 43,748,342 | |
| Sumitomo Mitsui Banking Corp. yankee: | |||
| 0.215% 10/29/20 | 90,090,000 | 90,083,468 | |
| 0.29% 10/8/20 | 35,000,000 | 34,999,223 | |
| Sumitomo Mitsui Trust Bank Ltd. yankee: | |||
| 0.2% 12/10/20 | 2,000,000 | 1,999,420 | |
| 0.2% 12/16/20 | 14,000,000 | 13,995,478 | |
| 0.2% 12/17/20 | 5,003,000 | 5,001,353 | |
| 0.21% 11/25/20 | 7,000,000 | 6,998,552 | |
| 0.21% 12/1/20 | 1,000,000 | 999,757 | |
| 0.21% 12/3/20 | 5,000,000 | 4,998,729 | |
| 0.21% 12/15/20 | 2,000,000 | 1,999,362 | |
| 0.21% 12/21/20 | 4,000,000 | 3,998,588 | |
| 0.22% 11/25/20 | 7,000,000 | 6,998,552 | |
| 0.24% 11/5/20 | 28,000,000 | 27,997,200 | |
| 0.35% 10/19/20 | 50,000,000 | 49,996,600 | |
| Sumitomo Trust & Banking Co. Ltd. yankee 0.24% 11/20/20 | 70,000,000 | 69,987,603 | |
| Svenska Handelsbanken AB yankee: | |||
| 0.2% 3/9/21 | 24,000,000 | 23,980,481 | |
| 0.2% 3/16/21 | 17,000,000 | 16,985,332 | |
| Swedbank AB yankee 0.17% 11/2/20 | 6,000,000 | 5,999,439 | |
| The Toronto-Dominion Bank: | |||
| 3 month U.S. LIBOR + 0.020% 0.2633% 11/10/20 (a)(b) | 16,000,000 | 16,000,346 | |
| yankee: | |||
| 0.2% 3/12/21 | 18,000,000 | 17,984,189 | |
| 0.21% 2/24/21 | 23,000,000 | 22,982,343 | |
| 0.21% 3/4/21 | 35,000,000 | 34,971,066 | |
| 0.21% 3/15/21 | 16,000,000 | 15,985,613 | |
| 0.25% 2/9/21 | 21,000,000 | 20,986,293 | |
| 0.25% 2/16/21 | 23,000,000 | 22,983,748 | |
| UBS AG London Branch 3 month U.S. LIBOR + 0.070% 0.2879% 12/29/20 (a)(b) | 32,000,000 | 32,005,472 | |
| TOTAL COMMERCIAL PAPER | |||
| (Cost $3,021,397,406) | 3,021,681,957 | ||
| TOTAL INVESTMENT IN SECURITIES - 102.3% | |||
| (Cost $4,527,054,656) | 4,527,389,335 | ||
| NET OTHER ASSETS (LIABILITIES) - (2.3)% | (103,343,197) | ||
| NET ASSETS - 100% | $4,424,046,138 |
Legend
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(b) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(c) 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 $507,785,981 or 11.5% of net assets.
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 Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment 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 Committee oversees the Fund’s valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee. 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 third party pricing vendors or from brokers who make markets in such securities. U.S. Government and Government Agency obligations and commercial paper are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices.
When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities 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 significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder 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.
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