CMA
CMA TAX-EXEMPT FUND
Semi-Annual Report
September 30, 1999
MERRILL LYNCH BULL LOGO
This report is not authorized for use as an offer of sale or a
solicitation of an offer to buy shares of the Fund unless
accompanied or preceded by the Fund's current prospectus. An
investment in the Fund is not insured or guaranteed by the Federal
Deposit Insurance Corporation or any other Government agency.
Although the Fund seeks to preserve the value of your investment at
$1.00 per share, it is possible to lose money by investing in the
Fund. Past performance results shown in this report should not be
considered a representation of future performance, which will
fluctuate. Statements and other information herein are as dated and
are subject to change.
CMA Tax-Exempt Fund
Box 9011
Princeton, NJ 08543-9011
Printed on post-consumer recycled paper
TO OUR SHAREHOLDERS:
For the six-month period ended September 30, 1999, CMA Tax-Exempt
Fund paid shareholders a net annualized yield of 2.71%*. As of
September 30, 1999, the Fund's 7-day yield was 3.22%.
Investment Environment
The six-month period ended September 30, 1999 was characterized by
dramatically higher interest rates across the entire yield curve.
The continued strength of the US economy coupled with rising
commodity prices caused investors to push interest rates higher in
anticipation of a tighter Federal Reserve Board monetary policy.
Although inflation remained benign, Federal Reserve Board officials
have often expressed concerns that a strong economy and a tight
labor market could be maintained without igniting inflation. In an
effort to be preemptive with regard to inflation, the Federal
Reserve Board raised the Federal Funds rate 50 basis points (0.50%)
over the course of the six-month period. As a result, yields on one-
year US Treasury bills rose by approximately 60 basis points to
close the six-month period at approximately 5.21%.
Yields on short-term municipal bonds also rose during the period,
affected by both the rise of yields in the US Treasury market as
well as supply and demand imbalances in the tax-exempt market. These
imbalances created volatility in short-term tax-exempt bonds,
especially on yields of variable demand securities. For the first
week of April, the market was characterized by low supply and strong
demand, which kept interest rates artificially low. However, as
money market investors began to pay their tax bills in mid-April,
money market funds saw larger redemptions than usual, thus forcing
interest rates higher. Additionally, this period is traditionally
one of the heaviest in terms of new-issue supply as states, cities
and local governments undertake their yearly financing to match
expenditures with revenues. Municipal notes are issued at this time
in anticipation of paying off these obligations from the revenues
received later in the fiscal year. New-issue supply for the period
was $26.7 billion, a 64% increase from the $16.3 billion issued in
the six-month period ended March 31, 1999. These longer-term notes
with maturities of nine months--one year started the period trading
in the 3.05% range. However, as supply became heavy in June and July
and as the backup in US Treasury yields continued, higher yields
were needed to attract investors.
[FN]
*Based on a constant investment throughout the period, with
dividends compounded daily, and reflecting a net return to the
investor after all expenses.
Investment Strategy
During the six-month period ended September 30, 1999, assets of CMA
Tax-Exempt Fund fell from their all-time highest level reached
during the last fiscal year. Assets closed the period at $9.2
billion, still making CMA Tax-Exempt Fund the largest tax-exempt
money fund in the industry. We held the Fund's average portfolio
maturity in the 35-day range for the first three months of the
period. We maintained this relatively conservative investment stance
as the yield curve for short-term tax-exempt issues continued to
remain flat to inverted, especially in late April and May when tax-
related redemptions forced variable rate demand notes higher. In a
flat or inverted yield curve environment, there is little or no
yield advantage for purchasing longer-dated securities.
As new-issue supply came to market and yields began to rise both on
fixed-rate notes and tax-exempt commercial paper, we began to
gradually increase the Fund's average portfolio maturity. By the end
of the six-month period, mostly with the purchase of Texas tax
revenue anticipation notes, the average maturity stood at 59 days.
This strategy was both timely and beneficial, since we were able to
lock in higher yields at opportune times, thus enabling the Fund to
outperform its peer group for the period, as measured by Lipper
Analytical Services.
We expect to maintain this longer range in the coming months, which
traditionally witness very low new-issue volume. We plan to continue
to utilize tax-exempt commercial paper as a vehicle for managing the
portfolio's average life as well as for diversification purposes.
Additionally, we must assess our liquidity needs for year-end as we
enter November and December.
In Conclusion
We thank you for your continued support of CMA Tax-Exempt Fund, and
we look forward to serving your investment needs in the months and
years ahead.
Sincerely,
(Terry K. Glenn)
Terry K. Glenn
President
(Vincent R. Giordano)
Vincent R. Giordano
Senior Vice President
(Peter J. Hayes)
Peter J. Hayes
Vice President and Portfolio Manager
November 11, 1999
Portfolio Abbreviations for CMA Tax-Exempt Fund
ACES SM Adjustable Convertible Extendible Securities
AMT Alternative Minimum Tax (subject to)
BAN Bond Anticipation Notes
COP Certificates of Participation
CP Commercial Paper
DATES Daily Adjustable Tax-Exempt Securities
EDA Economic Development Authority
FLOATS Floating Rate Securities
GO General Obligation Bonds
HFA Housing Finance Agency
IDA Industrial Development Authority
IDB Industrial Development Board
IDR Industrial Development Revenue Bonds
M/F Multi-Family
MSTR Municipal Securities Trust Receipts
PCR Pollution Control Revenue Bonds
RAN Revenue Anticipation Notes
S/F Single-Family
TAN Tax Anticipation Notes
TRAN Tax Revenue Anticipation Notes
UPDATES Unit Price Demand Adjustable Tax-Exempt Securities
VRDN Variable Rate Demand Notes
<TABLE>
CMA TAX-EXEMPT FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 (IN THOUSANDS)
<CAPTION>
Face Value
State Amount Issue (Note 1a)
<S> <C> <S> <C>
Alabama-- $ 9,435 Alabama Special Care Facilities Financing Authority, Montgomery Health
2.5% Care Facilities Revenue Bonds (Saint Margaret's Hospital), VRDN,
3.85% due 11/01/2013 (i) $ 9,435
67,500 Birmingham, Alabama, Medical Clinic Board, Revenue Refunding Bonds
(U.A.H.S.F.), VRDN, 3.65% due 12/01/2026 (i) 67,500
Columbia, Alabama, IDB, PCR, Refunding (Alabama Power Company
Project), VRDN (i):
13,650 Series A, 3.95% due 5/01/2022 13,650
10,300 Series C, 4% due 10/01/2022 10,300
7,900 Series E, 3.95% due 10/01/2022 7,900
14,700 Mobile, Alabama, IDB, PCR, Refunding (Alabama Power Company Project),
VRDN, 4% due 6/01/2015 (i) 14,700
25,050 Parrish, Alabama, IDB, PCR, Refunding (Alabama Power Company Project),
VRDN, 3.95% due 6/01/2015 (i) 25,050
24,000 Stevenson, Alabama, IDB, Environmental Improvement Revenue Bonds
(Mead Corporation Project), VRDN, AMT, 4.10% due 1/01/2031 (i) 24,000
57,100 West Jefferson, Alabama, IDB, PCR, Refunding (Alabama Power Company
Project), VRDN, 4% due 6/01/2028 (i) 57,100
Alaska--0.2% 17,000 Anchorage, Alaska, GO, TAN, 3.75% due 1/04/2000 17,035
Arizona--2.1% 26,300 Apache County, Arizona, IDA, IDR (Tucson Electric), VRDN, Series 83B,
3.85% due 12/15/2018 (i) 26,300
10,200 Arizona Educational Loan Marketing Corporation, Educational Loan Revenue
Bonds, VRDN, AMT, Series A, 3.85% due 3/01/2015 (g)(i) 10,200
36,000 Arizona School District, TAN, Financing Program, COP, Series A, 4.05%
due 7/31/2000 36,136
16,900 Maricopa County, Arizona, IDA, Hospital Facility Revenue Refunding Bonds
(Samaritan Health Service Hospital), VRDN, Series B2, 3.95% due
12/01/2008 (g)(i) 16,900
Maricopa County, Arizona, Pollution Control Corporation, PCR, Refunding,
VRDN (i):
10,780 (Arizona Public Service Company), Series F, 3.95% due 5/01/2029 10,780
11,100 (El Paso Electric Company Project), Series A, 3.57% due 7/01/2014 11,100
25,000 (El Paso Electric Company Project), Series A, 3.75% due 8/01/2015 25,000
Salt River Project, Arizona, Agriculture Improvement and Power District,
Electric System Revenue Bonds, CP:
21,581 3.65% due 2/15/2000 21,581
10,985 3.60% due 3/08/2000 10,985
7,600 Tempe, Arizona, Excise Tax Revenue Bonds, VRDN, 3.95% due 7/01/2023 (i) 7,600
15,000 University of Arizona, COP (Student Union Bookstore), CP, Series B, 3.55%
due 3/08/2000 (a) 15,000
</TABLE>
<TABLE>
CMA TAX-EXEMPT FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 (CONTINUED) (IN THOUSANDS)
<CAPTION>
Face Value
State Amount Issue (Note 1a)
<S> <C> <S> <C>
Arkansas-- $ 7,645 Arkansas State Development Finance Authority, S/F Mortgage Revenue
0.5% Bonds (Mortgage Backed Securities Program), AMT, Series C, 3% due
3/01/2000 (d) $ 7,645
42,300 North Little Rock, Arkansas, Health Facilities Board, Health Care
Revenue Bonds (Baptist Health), VRDN, Series B, 3.80% due
12/01/2021 (g)(i) 42,300
California-- 42,850 California Higher Education Loan Authority Inc., Student Loan Revenue
0.9% Refunding Bonds, Senior Lien, VRDN, Series A-1, 3.50% due 7/01/2000 (i) 42,850
40,000 Los Angeles County, California, Metropolitan Transportation Authority,
Revenue Refunding Bonds, MSTR, VRDN, Series SGB 1, 3.63% due
7/01/2025 (e)(i) 40,000
Colorado-- 29,000 Colorado Health Facilities Authority, Revenue Refunding Bonds (Catholic
1.0% Health), VRDN, Series B, 3.85% due 12/01/2025 (i) 29,000
10,500 Denver, Colorado, City and County Airport Revenue Bonds, VRDN, AMT,
Series F, 3.85% due 11/15/2025 (i) 10,500
14,955 Moffat County, Colorado, PCR, Refunding (Pacificorp Projects), VRDN, 4%
due 5/01/2013 (a)(i) 14,955
14,755 Palomino Park, Colorado, Public Improvements Corporation, Assessment
Lien Revenue Bonds, VRDN, 3.85% due 12/01/2035 (i) 14,755
Pitkin County, Colorado, IDR, Refunding (Aspen Skiing Company Project),
VRDN (i):
6,500 AMT, Series B, 4.05% due 4/01/2014 6,500
5,010 Series A, 3.95% due 4/01/2016 5,010
8,000 Westminster, Colorado, IDR, Refunding (Ball Corporation Project), VRDN,
3.80% due 6/01/2005 (i) 8,000
Connecticut-- 14,600 Bridgeport, Connecticut, GO, BAN, 3.95% due 1/18/2000 14,600
1.5% 28,000 Bridgeport, Connecticut, GO, Refunding, BAN, 3.50% due 1/18/2000 28,020
20,000 Connecticut State Special Assignment, Unemployment Compensation Revenue
Bonds (Connecticut Unemployment), Series C, 3.38% due 7/01/2000 (c) 20,000
15,000 Connecticut State Special Tax Obligation Revenue Bonds (Transportation
Infrastructure), VRDN, Second Lien, Series 1, 3.75% due 12/01/2010 (i) 15,000
Eagle Tax-Exempt Trust, Connecticut, VRDN, Class 0701 (i):
13,200 Series 94, 3.47% due 8/15/2012 13,200
24,750 Series 96, 3.84% due 11/15/2004 24,750
20,000 New Haven, Connecticut, GO, BAN, 4% due 7/12/2000 20,067
Delaware-- ABN-Amro Munitops Certificates Trust:
1.2% 15,750 AMT, CP, Series 1998-15, 3.35% due 2/16/2000 15,750
18,000 CP, Series 1998-27, 3.40% due 11/17/1999 18,000
20,000 VRDN, Series 1998-16, 3.93% due 10/04/2006 (i) 20,000
13,500 VRDN, Series 1998-22, 3.93% due 1/03/2007 (i) 13,500
34,000 Delaware State, EDA, IDR (Star Enterprise Project), VRDN, AMT, Series B,
3.85% due 8/01/2029 (i) 34,000
6,930 Delaware State, EDA Revenue Bonds, FLOATS, Series PMD-1, 4.02% due
3/01/2020 (i) 6,930
District of 17,350 District of Columbia, GO, Refunding, MSTR, VRDN, Series SGA-62, 4.05%
Columbia-- due 6/01/2017 (a)(i) 17,350
0.7% 16,800 District of Columbia, Hospital Revenue Bonds (Providence Hospital),
FLOATS, Series A, 3.85% due 12/01/2019 (i) 16,800
26,700 Eagle Tax-Exempt Trust, Washington D.C., GO, VRDN, Series 94-A, 3.84% due
6/01/2005 (i) 26,700
</TABLE>
<TABLE>
CMA TAX-EXEMPT FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 (CONTINUED) (IN THOUSANDS)
<CAPTION>
Face Value
State Amount Issue (Note 1a)
<S> <C> <S> <C>
Florida-- $13,885 Broward County, Florida, Professional Sports Facilities, Tax Revenue
2.7% Bonds, MSTR, VRDN, Series SGA-38, 3.82% due 9/01/2021 (g)(i) $ 13,885
Capital Projects Finance Authority, Florida, Revenue Bonds,
Series A (e):
24,880 (Capital Projects Loan Program), 3.80% due 8/01/2017 24,880
12,000 (Florida Hospital Association-Capital Projects Loan), VRDN, 3.75% due
6/01/2028 (i) 12,000
14,240 Dade County, Florida, Water and Sewer System Revenue Bonds, VRDN, 3.65%
due 10/05/2022 (c)(i) 14,240
24,750 Eagle Tax-Exempt Trust, Florida Turnpike, VRDN, Series 96C, Class 0903,
3.15% due 7/01/2025 (i) 24,750
20,000 Escambia County, Florida, PCR, Refunding (Gulf Power Company Project),
VRDN, 3.95% due 7/01/2022 (i) 20,000
24,195 Florida State Municipal Power Agency, Revenue Refunding Bonds (Stanton
Project), VRDN, 3.70% due 10/01/2019 (g)(i) 24,195
16,500 Gainesville, Florida, Utilities System Revenue Bonds, CP, Series C,
3.55% due 10/27/1999 16,500
12,500 Hillsborough County, Florida, IDA, PCR, Refunding (Tampa Electric Company-
Gannon), VRDN, 3.95% due 5/15/2018 (i) 12,500
10,000 Hillsborough County, Florida, IDA, PCR (Tampa Electric Company Project),
VRDN, 3.95% due 9/01/2025 (i) 10,000
34,455 Jacksonville, Florida, Health Facilities Authority, Hospital Revenue
Refunding Bonds (Charity Obligation Group), VRDN, Series C, 3.70% due
8/15/2019 (i) 34,455
10,000 Jacksonville, Florida, PCR, Refunding (Florida Power & Light Co. Project),
VRDN, 3.95% due 5/01/2029 (i) 10,000
4,830 Jacksonville, Florida, Revenue Bonds (YMCA Florida First Coast Project),
VRDN, 3.80% due 3/01/2018 (i) 4,830
11,000 Pinellas County, Florida, HFA, S/F Housing Revenue Bonds, Multi-County,
AMT, Series A-4, 3.05% due 10/01/1999 (d) 11,000
7,400 Saint Lucie County, Florida, PCR, Refunding (Florida Power & Light Co.
Project), VRDN, 3.95% due 3/01/2027 (i) 7,400
6,360 Volusia County, Florida, Health Facilities Authority Revenue Bonds
(Pooled Hospital Loan Program), ACES, 3.75% due 11/01/2015 (c)(i) 6,360
Georgia-- 24,945 Bartow County, Georgia, Development Authority, PCR (Georgia Power
2.3% Company-Bowen Project), CP, First Series, 3.70% due 2/08/2000 24,945
22,000 Burke County, Georgia, Development Authority, PCR (Georgia Power Company
Plant-Vogtle Project), VRDN, Third Series, 3.90% due 7/01/2024 (i) 22,000
24,450 Burke County, Georgia, Development Authority, PCR, Refunding (Oglethorpe
Power Corporation), VRDN, Series A, 3.80% due 1/01/2016 (c)(i) 24,450
8,000 Cobb County, Georgia, GO, TAN, 3.25% due 12/31/1999 8,002
12,475 Coweta County, Georgia, Development Authority, PCR (Georgia Power Company
Plant-Yates Project), CP, 3.70% due 2/15/2000 12,475
29,083 Georgia Municipal Association, Pooled Bonds, COP, VRDN, 3.80% due
12/15/2020 (g)(i) 29,083
24,300 Heard County, Georgia, Development Authority, PCR (Georgia Power Company
Plant-Wansley), CP, 3.70% due 2/09/2000 24,300
17,500 Monroe County, Georgia, Development Authority, PCR (Georgia Power Company
Plant-Scherer), CP, 3.70% due 2/10/2000 17,500
5,400 Municipal Electric Authority, Georgia, Revenue Refunding Bonds (Project
One), VRDN, Series B, 3.85% due 1/01/2016 (i) 5,400
Putnam County, Georgia, Development Authority, PCR (Georgia Power Company
Plant Project), CP:
13,725 3.70% due 2/14/2000 13,725
26,400 First Series, 3.70% due 2/11/2000 26,400
</TABLE>
<TABLE>
CMA TAX-EXEMPT FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 (CONTINUED) (IN THOUSANDS)
<CAPTION>
Face Value
State Amount Issue (Note 1a)
<S> <C> <S> <C>
Idaho--0.2% $ 22,600 Idaho Health Facilities Authority Revenue Bonds, Pooled Financing
Program, ACES, 3.80% due 10/01/2010 (i) $ 22,600
Illinois-- 16,650 Chicago, Illinois, GO, VRDN, Series B, 3.80% due 1/01/2012 (i) 16,650
9.2% 7,000 Chicago, Illinois, IDR (Enterprise Center VIII Project), VRDN, AMT,
3.84% due 6/01/2022 (i) 7,000
26,000 Chicago, Illinois, Midway Airport Revenue Bonds, Second Lien, VRDN, AMT,
Series A, 4.15% due 1/01/2029 (g)(i) 26,000
Chicago, Illinois, O'Hare International Airport Revenue Bonds (American
Airlines), DATES (i):
20,200 Series A, 4% due 12/01/2017 20,200
32,700 Series B, 4% due 12/01/2017 32,700
23,500 Series C, 4% due 12/01/2017 23,500
18,200 Series D, 4% due 12/01/2017 18,200
6,230 Chicago, Illinois, O'Hare International Airport Revenue Bonds (General
Airport Second Lien), VRDN, Series B, 3.77% due 1/01/2015 (i) 6,230
14,800 Chicago, Illinois, O'Hare International Airport, Special Facilities
Revenue Bonds (Compagnie Nationale-Air France), VRDN, AMT, 3.85% due
5/01/2018 (i) 14,800
125,000 Chicago, Illinois, Tender Notes, GO, CP, 2.95% due 1/27/2000 125,000
Eagle Tax-Exempt Trust, Chicago, Illinois, VRDN (i):
19,800 (Emergency Phone), Series 96C, Class 1302, 3.50% due 1/01/2012 19,800
14,380 GO, Series 95, Class 1301, 3.84% due 1/01/2024 14,380
9,900 (Sales Tax), 3.84% due 1/01/2017 9,900
14,355 Eagle Tax-Exempt Trust, Illinois, Metropolitan Expo Center, VRDN,
Series 98, Class 1306, 3.50% due 6/15/2029 (i) 14,355
9,900 Eagle Tax-Exempt Trust, Illinois State, GO, VRDN, Series 96C, Class 1302,
3.15% due 7/01/2020 (i) 9,900
12,200 Illinois Development Finance Authority, PCR, Refunding (Commonwealth
Edison Company Project), VRDN, Series B, 3.75% due 10/15/2014 (i) 12,200
Illinois Development Finance Authority, Revenue Refunding Bonds, VRDN (i):
6,000 (Olin Corporation Project), Series A, 4% due 6/01/2004 6,000
32,000 (Provena Health), Series B, 3.95% due 5/01/2028 (g) 32,000
Illinois Educational Facilities Authority Revenue Bonds, VRDN (i):
20,000 (The Adler Planetarium), 3.80% due 4/01/2031 20,000
5,000 (Chicago Historical Society), 3.80% due 12/01/2025 5,000
Illinois Educational Facilities Authority, Revenue Refunding Bonds,
VRDN (i):
16,300 (Art Institute of Chicago), 3.85% due 3/01/2027 16,300
17,800 (Northwestern University), 3.85% due 12/01/2025 17,800
Illinois Health Facilities Authority Revenue Bonds (Evanston Hospital
Corporation Project), CP:
22,000 3.10% due 11/01/1999 22,000
10,000 Series B, 2.95% due 11/30/1999 10,000
10,000 Series C, 2.95% due 11/30/1999 10,000
10,000 Series D, 2.95% due 11/30/1999 10,000
Illinois Health Facilities Authority Revenue Bonds, VRDN (i):
40,100 (Northwest Community Hospital), 3.80% due 7/01/2025 40,100
7,000 (Revolving Fund Pooled), Series F, 3.75% due 8/01/2015 7,000
Illinois Health Facilities Authority, Revenue Refunding Bonds, VRDN (i):
59,485 (Advocate Health Care), Series B, 3.75% due 8/15/2022 59,485
19,400 (The Carle Foundation), Series B, 3.75% due 7/01/2028 (a) 19,400
19,555 (Little Company of Mary Hospital), Series A, 3.85% due 8/15/2021 (g) 19,555
29,600 (Resurrection Health), Series A, 4% due 5/01/2029 (e) 29,600
41,805 (University of Chicago Hospitals), 4% due 8/01/2026 (g) 41,805
</TABLE>
<TABLE>
CMA TAX-EXEMPT FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 (CONTINUED) (IN THOUSANDS)
<CAPTION>
Face Value
State Amount Issue (Note 1a)
<S> <C> <S> <C>
Illinois $18,815 Illinois State, FLOATS, Series SG-60, 3.86% due 8/01/2019 (i) $ 18,815
(concluded) 6,000 Illinois State, GO, 3.50% due 3/01/2000 6,009
27,000 Illinois State Toll Highway Authority, Toll Highway Revenue Refunding
Bonds, VRDN, Series B, 3.90% due 1/01/2016 (i) 27,000
4,900 Illinois Student Assistance Commission, Student Loan Revenue Bonds,
VRDN, AMT, Series A, 3.85% due 3/01/2006 (i) 4,900
21,350 Regional Transportation Authority, Illinois, FLOATS, Series SG-82, 3.86%
due 6/01/2025 (i) 21,350
Southwestern Illinois Development Authority, Solid Waste Disposal
Revenue Bonds (Shell Oil Company-Wood River Project), VRDN, AMT (i):
11,100 4% due 8/01/2021 11,100
10,600 4% due 4/01/2022 10,600
7,000 Will County, Illinois, Exempt Facilities Revenue Bonds (Amoco Chemical
Company Project), VRDN, AMT, 4% due 3/01/2028 (i) 7,000
Indiana-- 3,050 Elkhart County, Indiana, Mortgage Revenue Bonds (Hubbard Hill Estates),
3.2% VRDN, Series A, 4% due 7/01/2027 (i) 3,050
Fort Wayne, Indiana, Hospital Authority, Hospital Revenue Bonds (Parkview
Memorial Hospital), VRDN (i):
1,645 Series B, 3.80% due 1/01/2016 1,645
2,700 Series B, 3.85% due 1/01/2020 2,700
3,505 Series C, 3.80% due 1/01/2016 3,505
5,670 Series D, 3.80% due 1/01/2016 5,670
5,800 Hammond, Indiana, PCR, Refunding (Amoco Oil Company Project), VRDN, 3.90%
due 2/01/2022 (i) 5,800
71,000 Indiana Bond Bank Revenue Notes (Advance Funding Program Note), Series A-2,
3.50% due 1/19/2000 71,100
Indiana Health Facilities Financing Authority, Hospital Revenue Bonds,
VRDN (i):
8,050 (Capital Access Designated Pool), 3.75% due 1/01/2012 8,050
15,000 (Community Hospitals Project), Series A, 3.86% due 7/01/2027 15,000
Indiana Health Facilities Financing Authority, Hospital Revenue Refunding
Bonds, VRDN (i):
14,730 (Charity Obligation Group), Series E, 3.70% due 11/01/2026 14,730
20,700 (Clarian Health Partners), Series B, 3.70% due 2/15/2026 20,700
18,200 (Clarian Health Partners), Series C, 3.70% due 2/15/2026 18,200
22,500 Indiana Secondary Market Educational Loans Inc., Educational Loan Revenue
Bonds, VRDN, AMT, Series B, 3.90% due 12/01/2014 (a)(i) 22,500
16,300 Indiana State Development Finance Authority, Environmental Revenue Refunding
Bonds (USX Corporation Project), CP, 3.45% due 3/02/2000 16,300
Jasper County, Indiana, PCR, Refunding (Northern Indiana Public Service),
VRDN (i):
9,800 Series A, 4% due 8/01/2010 9,800
9,500 Series B, 4% due 6/01/2013 9,500
16,000 Series C, 4% due 4/01/2019 16,000
9,400 Princeton, Indiana, PCR, Refunding (PSI Energy Incorporated Project),
VRDN, 3.95% due 4/01/2022 (i) 9,400
9,000 Purdue University, Indiana, University Revenue Bonds (Student Fee), VRDN,
Series O, 3.65% due 7/01/2019 (i) 9,000
Rockport, Indiana, PCR, Refunding (AEP Generating Company Project),
VRDN (a)(i):
14,200 Series A, 3.95% due 7/01/2025 14,200
7,900 Series B, 4% due 7/01/2025 7,900
7,600 Whiting, Indiana, Industrial Sewer and Solid Waste Disposal, Revenue
Refunding Bonds (Amoco Oil Company Project), VRDN, AMT, 4% due
1/01/2026 (i) 7,600
</TABLE>
<TABLE>
CMA TAX-EXEMPT FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 (CONTINUED) (IN THOUSANDS)
<CAPTION>
Face Value
State Amount Issue (Note 1a)
<S> <C> <S> <C>
Iowa--1.6% Iowa Finance Authority, Solid Waste Disposal Revenue Bonds (Cedar River
Paper Company Project), VRDN, AMT (i):
$ 4,730 4.10% due 3/01/2033 $ 4,730
66,400 Series A, 4.10% due 7/01/2023 66,400
42,000 Series A, 4.10% due 6/01/2024 42,000
14,500 Iowa Student Loan Liquidity Corporation, Student Loan Revenue Bonds, VRDN,
AMT, Series B, 3.75% due 12/01/2013 (a)(i) 14,500
18,300 Polk County, Iowa, Revenue Refunding Bonds (Catholic Health), VRDN,
Series B, 3.85% due 12/01/2015 (i) 18,300
Kansas-- 9,100 Butler County, Kansas, Solid Waste Disposal Facilities Revenue Bonds
0.3% (Texaco Refining and Marketing), VRDN, AMT, Series A, 4.05% due
8/01/2024 (i) 9,100
17,500 Kansas State Development Finance Authority, Health Facilities Revenue
Bonds (Stormont-Vail), VRDN, Series M, 3.95% due 11/15/2023 (g)(i) 17,500
Kentucky-- 5,100 Ashland, Kentucky, PCR, Refunding (Calgon Carbon Corporation Project),
4.2% FLOATS, Series A, 4% due 10/01/2006 (i) 5,100
22,700 Carroll County, Kentucky, Collateralized Solid Waste Disposal Facilities
Revenue Bonds (Kentucky Utilities Company Project), VRDN, AMT, Series A,
4% due 11/01/2024 (i) 22,700
7,400 Clark County, Kentucky, PCR (East Kentucky Power Natural Rural), Series J-1,
3.10% due 10/15/1999 7,400
Daviess County, Kentucky, Solid Waste Disposal Facility Revenue Bonds
(Scott Paper Company Project), VRDN, AMT (i):
44,100 Series A, 3.90% due 12/01/2023 44,100
16,300 Series A, 3.90% due 5/01/2024 16,300
26,200 Series B, 3.90% due 12/01/2023 26,200
21,700 Series B, 3.90% due 5/01/2024 21,700
Kentucky Asset/Liability Commission, General Fund:
25,000 Project Notes, Security Series, 3.50% due 11/01/1999 (b) 25,012
75,000 TRAN, Series A, 4.25% due 6/28/2000 75,472
27,500 Kentucky Association of Counties, Advance Revenue/Cash Flow Borrowing,
TRAN, 4% due 6/30/2000 27,609
19,920 Kentucky Economic Development Finance Authority, Hospital Facilities
Revenue Refunding Bonds (Baptist Healthcare), VRDN, Series C, 3.95%
due 8/15/2031 (g)(i) 19,920
14,000 Kentucky Economic Development Finance Authority Revenue Bonds (Pooled
Hospital Loan Program), VRDN, 3.85% due 8/01/2018 (i) 14,000
38,300 Kentucky State Pollution Abatement and Water Resource Finance Authority
Revenue Bonds (Toyota Motors), VRDN, AMT, 5% due 8/13/2006 (i) 38,300
36,000 Ohio County, Kentucky, PCR, Refunding (Big Rivers Electric Corporation),
VRDN, 3.80% due 10/01/2015 (a)(i) 36,000
Louisiana-- 5,100 Ascension Parish, Louisiana, PCR, Refunding (Shell Oil Company Project),
3.2% VRDN, 4% due 9/01/2023 (i) 5,100
17,700 Ascension Parish, Louisiana, Revenue Bonds (BASF Corporation Project),
VRDN, AMT, 4.10% due 3/01/2025 (i) 17,700
31,500 Calcasieu Parish, Louisiana, IDB, Environmental Revenue Refunding Bonds
(Citgo Petroleum Corp.), VRDN, AMT, 4.05% due 3/01/2025 (i) 31,500
9,760 Eagle Tax-Exempt Trust, Louisiana, VRDN, Series 94, Class 1803, 3.84% due
5/01/2008 (i) 9,760
19,800 East Baton Rouge Parish, Louisiana, PCR, Refunding (Exxon Project), VRDN,
3.90% due 11/01/2019 (i) 19,800
Louisiana Public Facilities Authority, Hospital Revenue Bonds (Willis-
Knighton Medical Center Project), VRDN (a)(i):
50,800 4% due 9/01/2025 50,800
30,500 4% due 9/01/2027 30,500
</TABLE>
<TABLE>
CMA TAX-EXEMPT FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 (CONTINUED) (IN THOUSANDS)
<CAPTION>
Face Value
State Amount Issue (Note 1a)
<S> <C> <S> <C>
Louisiana $12,800 Louisiana State Offshore Terminal Authority, Deepwater Port Revenue
(concluded) Refunding Bonds (First Stage A-Loop Inc.), ACES, 3.75% due
9/01/2006 (i) $ 12,800
24,200 Plaquemines Parish, Louisiana, Environmental Revenue Bonds (BP
Exploration & Oil), VRDN, AMT, 4% due 10/01/2024 (i) 24,200
4,400 Saint Charles Parish, Louisiana, PCR, Refunding (Shell Oil Company
Project), VRDN, 3.75% due 6/01/2005 (i) 4,400
Saint Charles Parish, Louisiana, PCR, VRDN, AMT (i):
24,400 (Shell Oil Company-Norco Project), 4% due 11/01/2021 24,400
21,000 (Shell Oil Company Project), Series A, 4% due 10/01/2022 21,000
Saint James Parish, Louisiana, PCR, Refunding (Texaco Project), CP:
24,030 Series A, 3.50% due 1/19/2000 24,030
15,000 Series B, 3.50% due 1/19/2000 15,000
4,400 South Louisiana Port Commission, Port Revenue Refunding Bonds
(Occidental Petroleum), VRDN, 3.80% due 7/01/2018 (i) 4,400
Maryland-- 30,000 Anne Arundel County, Maryland, BAN, CP, Series B, 3.50% due 2/09/2000 30,000
2.0% 35,700 Baltimore, Maryland, Port Facilities Revenue Bonds (Occidental
Petroleum), FLOATS, 3.35% due 10/14/2011 (i) 35,700
21,585 Maryland State Community Development Administration, Department of
Housing and Community Development, Revenue Refunding Bonds
(Residential), AMT, Series G, 3.65% due 8/30/2000 (j) 21,585
20,200 Maryland State Health and Higher Educational Facilities Authority
Revenue Bonds (University of Maryland Medical System), VRDN, 3.80%
due 7/01/2024 (i) 20,200
52,400 Maryland State Health and Higher Educational Facilities Authority,
Revenue Refunding Bonds (Pooled Loan Program), VRDN, Series A, 3.75%
due 4/01/2035 (i) 52,400
24,000 Montgomery County, Maryland, BAN, CP, 3.30% due 10/07/1999 24,000
Massachusetts-- 20,900 Eagle Tax-Exempt Trust, Massachusetts, GO, VRDN, Series 1993-J, 3.55% due
2.3% 8/01/2005 (i) 20,900
30,000 Everett, Massachusetts, GO, BAN, 3.25% due 12/17/1999 30,008
37,000 Massachusetts State, GO, Refunding, VRDN, Series B, 3.80% due 8/01/2015 (i) 37,000
5,300 Massachusetts State, HFA, S/F Housing Revenue Bonds, AMT, Series B-2,
3.05% due 11/15/1999 5,300
11,400 Massachusetts State Health and Educational Facilities Authority Revenue
Bonds (Partners Healthcare System), VRDN, Series P-1, 3.70% due
7/01/2027 (e)(i) 11,400
42,300 Massachusetts State Health and Educational Facilities Authority, Revenue
Refunding Bonds (Harvard University), VRDN, 3.80% due 2/01/2016 (i) 42,300
60,200 Massachusetts State Water Resources Authority, Revenue Refunding Bonds,
VRDN, Sub-Series D, 3.70% due 11/01/2026 (c)(i) 60,200
Michigan-- 17,000 Grand Rapids, Michigan, Water Supply Revenue Refunding Bonds, VRDN, 3.80%
3.3% due 1/01/2020 (c)(i) 17,000
8,460 Holly, Michigan, Area School District, FLOATS, Series SG-50, 3.86% due
5/01/2020 (i) 8,460
Kent Hospital Finance Authority, Michigan, Revenue Refunding Bonds
(Spectrum Health), VRDN (g)(i):
24,200 Series B, 3.65% due 1/15/2026 24,200
26,800 Series C, 3.65% due 1/15/2026 26,800
Michigan Municipal Bond Authority Revenue Notes:
22,500 Series B-1, 4.25% due 8/25/2000 22,627
13,460 Series B-2, 4.25% due 8/25/2000 13,540
18,200 Michigan State Hospital Finance Authority Revenue Bonds (Saint Mary
Hospital of Livonia), VRDN, Series A, 3.75% due 7/01/2017 (i) 18,200
9,450 Michigan State Strategic Fund Limited Obligation Revenue Bonds, VRDN,
Reserve 1, 3.95% due 9/01/2030 (i) 9,450
</TABLE>
<TABLE>
CMA TAX-EXEMPT FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 (CONTINUED) (IN THOUSANDS)
<CAPTION>
Face Value
State Amount Issue (Note 1a)
<S> <C> <S> <C>
Michigan Michigan State Strategic Fund Limited Obligation, Revenue Refunding Bonds,
(concluded) VRDN (i):
$11,600 (Consumers Power Company Project), Series A, 3.95% due 6/15/2010 (a) $ 11,600
6,150 (Detroit Edison Company), Series CC, 3.95% due 9/01/2030 6,150
17,300 Monroe County, Michigan, Economic Development Corporation, Limited
Obligation Revenue Refunding Bonds (Detroit Edison), VRDN, Series CC,
3.95% due 10/01/2024 (i) 17,300
16,505 Municipal Securities Trust Certificates, Revenue Refunding Bonds
(Michigan State Hospital), VRDN, Series 1997-24, Class A, 3.82% due
12/01/2005 (e)(i) 16,505
Royal Oak, Michigan, Hospital Finance Authority, Hospital Revenue Bonds
(William Beaumont Hospital), VRDN (i):
14,800 Series J, 3.95% due 1/01/2003 14,800
11,900 Series L, 3.95% due 1/01/2027 (g) 11,900
43,800 University of Michigan, University Hospital Revenue Bonds, VRDN,
Series A, 4% due 12/01/2027 (i) 43,800
20,400 University of Michigan, University Hospital Revenue Refunding Bonds,
VRDN, Series A, 4% due 12/01/2019 (i) 20,400
15,800 University of Michigan, University Revenue Bonds (Medical Service Plan),
VRDN, Series A, 4% due 12/01/2027 (i) 15,800
Minnesota-- Eagle Tax-Exempt Trust, Minnesota, VRDN (i):
1.4% 46,825 Series 1993-A, 3.55% due 8/01/2004 46,825
24,885 Series 1993-G, 3.50% due 8/01/2007 24,885
24,765 Minnesota School Districts, Tax and Aid Anticipation Borrowing Program
Certificates, Aid Anticipation Certificates Indebitures, Series B, 4%
due 8/23/2000 24,866
12,250 Minnesota State, GO, 4.50% due 8/01/2000 12,347
22,000 University of Minnesota Revenue Bonds, GO, VRDN, Series A, 3.80% due
1/01/2034 (i) 22,000
Mississippi-- 17,600 Harrison County, Mississippi, PCR, Refunding (E.I. du Pont de Nemours),
0.3% VRDN, 4% due 9/01/2010 (i) 17,600
7,000 Jackson County, Mississippi, Industrial Sewer Facilities Revenue Bonds
(Chevron U.S.A. Inc. Project), VRDN, AMT, 4% due 12/15/2024 (i) 7,000
1,300 Jackson County, Mississippi, PCR, Refunding (Chevron U.S.A. Inc. Project),
VRDN, 3.90% due 12/01/2016 (i) 1,300
3,000 Mississippi Hospital Equipment and Facilities Authority Revenue Bonds
(Mississippi Baptist Medical Center), VRDN, 3.80% due 7/01/2012 (i) 3,000
Missouri-- 30,000 Eagle Tax-Exempt Trust, Missouri, VRDN, Series 1993-E, 3.84% due
0.6% 8/01/2006 (i) 30,000
Missouri Higher Education Loan Authority, Student Loan Revenue Bonds,
VRDN, AMT (i):
7,800 Series A, 3.90% due 6/01/2017 7,800
11,700 Series B, 3.90% due 6/01/2020 11,700
5,000 Missouri State Health and Educational Facilities Authority, Health
Facilities Revenue Bonds (Sisters of Mercy Health System), VRDN, Series A,
3.75% due 6/01/2019 (i) 5,000
Nebraska-- NebHelp Inc., Nebraska, Revenue Bonds (Student Loan Program), VRDN (i):
0.1% 3,550 AMT, Series A, 3.90% due 12/01/2016 3,550
3,100 Series C, 3.80% due 12/01/2015 3,100
Nevada--1.0% 83,215 Clark County, Nevada, Airport Improvement Revenue Refunding Bonds, VRDN,
Series A, 3.65% due 7/01/2012 (g)(i) 83,215
7,030 Nevada Housing Division Revenue Bonds (Multi-Unit Housing-Mesquite), VRDN,
AMT, Series B, 3.90% due 5/01/2028 (i) 7,030
</TABLE>
<TABLE>
CMA TAX-EXEMPT FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 (CONTINUED) (IN THOUSANDS)
<CAPTION>
Face Value
State Amount Issue (Note 1a)
<S> <C> <S> <C>
New $ 7,415 New Hampshire State Business Finance Authority, Resource Recovery Revenue
Hampshire-- Refunding Bonds (Wheelabrator), VRDN, Series A, 3.75% due 1/01/2018 (i) $ 7,415
0.1% 5,700 New Hampshire State, HFA, M/F Housing Revenue Bonds (P.R.A. Properties-
Pheasant Run Project), VRDN, AMT, 3.80% due 5/01/2025 (i) 5,700
New Jersey-- 27,300 Eagle Tax-Exempt Trust, New Jersey, VRDN, Series 96, Class 3001, 3.44%
1.1% due 2/15/2007 (i) 27,300
22,500 Essex County, New Jersey, Improvement Authority, BAN, 3.50% due 3/31/2000 22,538
New Jersey State, CP, Series 1999A:
25,000 3.55% due 2/10/2000 25,000
25,000 3.55% due 3/09/2000 25,000
New Mexico-- 27,600 Farmington, New Mexico, PCR (Arizona Public Service Company), VRDN, AMT,
0.8% Series C, 4% due 9/01/2024 (i) 27,600
4,600 Farmington, New Mexico, PCR, Refunding (Arizona Public Service Company),
VRDN, Series B, 3.75% due 9/01/2024 (i) 4,600
8,600 Hurley, New Mexico, PCR (Kennecott Santa Fe), UPDATES, 3.90% due
12/01/2015 (i) 8,600
32,200 New Mexico State Hospital Equipment Loan, Council Revenue Refunding Bonds
(Catholic Health), VRDN, Series B, 3.85% due 12/01/2022 (i) 32,200
New York-- 10,000 Alexander, New York, Central School District, GO, BAN, 4% due 7/20/2000 10,028
6.6% 8,000 Central Islip, New York, Unified Free School District, GO, TAN, 4% due
6/30/2000 8,022
24,700 Eagle Tax-Exempt Trust, New York State Memorial (Sloan), VRDN, Series 96,
Class 3202, 3.70% due 7/01/2023 (i) 24,700
79,300 Long Island Power Authority, New York, Electric System Revenue Bonds, VRDN,
Sub-Series 2, 3.75% due 5/01/2033 (i) 79,300
20,000 Long Island Power Authority, New York, Electric System Revenue Refunding
Bonds, Series A, 4.50% due 12/01/1999 20,041
25,000 Monroe County, New York, CP, 3.65% due 11/01/1999 25,000
3,700 New York City, New York, City Municipal Water Finance Authority, Water and
Sewer System Revenue Bonds, VRDN, Series C, 3.95% due 6/15/2022 (c)(i) 3,700
21,500 New York City, New York, City Municipal Water Finance Authority, Water and
Sewer System Revenue Refunding Bonds, MSTR, VRDN, Series SGB-27, 3.83% due
6/15/2024 (e)(i) 21,500
New York City, New York, GO, VRDN (i):
14,000 Series B, Sub-Series B-2, 3.95% due 8/15/2003 (g) 14,000
5,000 Series B, Sub-Series B-3, 3.95% due 8/15/2004 (g) 5,000
1,610 Series B, Sub-Series B-5, 3.95% due 8/15/2022 (g) 1,610
10,400 Series F-5, 3.65% due 2/15/2016 10,400
8,800 Series J, Sub-Series J-3, 3.65% due 2/15/2016 8,800
3,000 Sub-Series A-7, 4.05% due 8/01/2019 3,000
New York State Dormitory Authority Revenue Bonds (Memorial Sloan-
Kettering), VRDN (i):
15,800 3.70% due 7/01/2026 15,800
46,650 Series C, 3.70% due 7/01/2019 46,650
New York State Dormitory Authority, Revenue Refunding Bonds (New York
Public Library), VRDN (g)(i):
30,000 Series A, 3.60% due 7/01/2028 30,000
16,960 Series B, 3.60% due 7/01/2028 16,960
New York State, HFA, Revenue Bonds, VRDN (i):
20,290 (Normandie Court-I Project), 3.70% due 5/15/2015 20,290
12,500 (Tribeca Park Housing ), AMT, Series A, 3.70% due 11/01/2030 12,500
New York State Local Assistance Corporation Revenue Bonds, VRDN (i):
47,400 Series A, 3.65% due 4/01/2022 47,400
33,500 Series B, 3.65% due 4/01/2023 33,500
</TABLE>
<TABLE>
CMA TAX-EXEMPT FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 (CONTINUED) (IN THOUSANDS)
<CAPTION>
Face Value
State Amount Issue (Note 1a)
<S> <C> <S> <C>
New York New York State Local Government Assistance Corporation, VRDN (i):
(concluded) $12,900 Series D, 3.65% due 4/01/2025 $ 12,900
31,480 Series F, 3.65% due 4/01/2025 31,480
53,340 New York State Power Authority Revenue and General Purpose Bonds, CP,
3.55% due 3/01/2000 53,340
7,000 New York State Thruway Authority, General Revenue Bonds, VRDN, 3.90% due
1/01/2024 (c)(i) 7,000
Port Authority of New York and New Jersey, Special Obligation Revenue
Refunding Bonds (Versatile Structure Obligation), VRDN (i):
14,600 Series 3, 3.90% due 6/01/2020 14,600
6,500 Series 5, 3.90% due 8/01/2024 6,500
15,000 Rochester, New York, GO, BAN, Series II, 3.10% due 10/28/1999 15,000
9,000 Saint Johnsville, New York, Central School District, GO, BAN, 4% due 7/27/2000 9,026
North 2,440 Craven County, North Carolina, Industrial Facilities and Pollution Control
Carolina-- Financing Authority, Resource Revenue Bonds (Craven Wood Energy Project),
0.5% VRDN, AMT, Series C, 4.15% due 5/01/2011 (i) 2,440
16,075 North Carolina Medical Care Commission, Health Care Facilities Revenue
Bonds (Cabarrus Memorial Hospital Project), VRDN, 3.80% due 3/01/2012 (i) 16,075
North Carolina Medical Care Commission, Hospital Revenue Bonds (i):
1,700 (Duke University Hospital Project), VRDN, Series B, 3.65% due 6/01/2015 1,700
2,000 (Duke University Hospital Project), VRDN, Series C, 3.65% due 6/01/2015 2,000
2,300 (Pooled Financing Project), ACES, Series A, 3.90% due 10/01/2020 2,300
8,700 North Carolina Medical Care Commission Revenue Bonds (Carol Woods Project),
VRDN, 4% due 4/01/2021 (i) 8,700
Raleigh Durham, North Carolina, Airport Authority, Special Facility
Revenue Refunding Bonds (American Airlines Inc.), VRDN (i):
8,300 Series A, 3.95% due 11/01/2015 8,300
2,000 Series B, 3.95% due 11/01/2015 2,000
North Dakota-- 12,700 Grand Forks, North Dakota, Health Care Facilities Revenue Bonds (The United
0.3% Hospital Obligation Group), VRDN, Series A, 3.90% due 12/01/2025 (i) 12,700
15,000 North Dakota State, HFA, Home Mortgage Revenue Bonds (Housing Finance
Program), AMT, Series C, 3.20% due 4/01/2000 15,000
Ohio--2.2% 15,000 Avon Lake, Ohio, City School District, BAN, 3.90% due 12/21/1999 (b) 15,011
18,300 Cuyahoga County, Ohio, Hospital Revenue Bonds (The Cleveland Clinic), VRDN,
Series D, 4% due 1/01/2026 (i) 18,300
18,125 Cuyahoga County, Ohio, Hospital Revenue Refunding Bonds, VRDN, Series A,
3.80% due 1/01/2016 (a)(i) 18,125
22,275 Eagle Tax-Exempt Trust, Ohio State Turnpike, VRDN, Series 98, Class 3503,
3.50% due 2/15/2026 (i) 22,275
10,500 Eagle Tax-Exempt Trust, Ohio, VRDN, Series 95, Class 3502, 3.84% due
7/01/2015 (i) 10,500
17,935 Franklin County, Ohio, Hospital Revenue Refunding and Improvement Bonds
(U.S. Health Corporation), VRDN, Series A, 3.80% due 12/01/2021 (i) 17,935
10,000 Hamilton, Ohio, City School District, GO, BAN, 4.20% due 12/22/1999 10,016
46,700 Montgomery County, Ohio, Revenue Refunding Bonds (Miami Valley Hospital),
VRDN, Series A, 3.95% due 11/15/2022 (i) 46,700
1,865 Ohio HFA, M/F Housing Revenue Bonds (Kenwood Congregate-Retire), VRDN,
3.35% due 12/01/2015 (i) 1,865
12,500 Ohio HFA, Residential Mortgage Revenue Bonds, AMT, Series A-2, 3.05% due
3/01/2000 (f) 12,500
8,100 Ohio State Air Quality Development Authority, Revenue Refunding Bonds
(Cincinnati Gas and Electric), VRDN, Series B, 3.90% due 9/01/2030 (i) 8,100
</TABLE>
<TABLE>
CMA TAX-EXEMPT FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 (CONTINUED) (IN THOUSANDS)
<CAPTION>
Face Value
State Amount Issue (Note 1a)
<S> <C> <S> <C>
Ohio $17,900 Ohio State University, General Receipts, Revenue Refunding Bonds, VRDN,
(concluded) 3.75% due 12/01/2007 (i) $ 17,900
4,200 Paudling County, Ohio, Solid Waste Disposal Revenue Bonds (Lafarge
Corporation Project), VRDN, AMT, 3.85% due 8/01/2026 (i) 4,200
Oklahoma-- 10,250 Grand River Dam Authority, Oklahoma, Revenue Bonds, FLOATS, Series SG-42,
0.1% 3.86% due 6/01/2009 (i) 10,250
Oregon--0.2% 10,700 Oregon State Health, Housing, Educational and Cultural Facilities Authority
Revenue Bonds (Sacred Heart Medical Center), VRDN, Series A, 3.85% due
11/01/2028 (i) 10,700
4,510 Oregon State Housing and Community Services Department, Mortgage Revenue
Refunding Bonds, S/F Mortgage Program, Series I, 3.15% due 12/01/1999 4,510
Pennsylvania-- 36,700 Allegheny County, Pennsylvania, Higher Education Building Authority,
3.4% University Revenue Bonds (Carnegie Mellon University), VRDN, 3.95% due
12/01/2033 (i) 36,700
Allegheny County, Pennsylvania, Hospital Development Authority Revenue
Bonds (Presbyterian Health Center), VRDN (g)(i):
4,800 Series A, 3.85% due 3/01/2020 4,800
6,100 Series C, 3.85% due 3/01/2020 6,100
23,500 Allegheny County, Pennsylvania, IDA, Revenue Bonds, CP, 3.50% due 10/28/1999 23,500
19,000 Berks County, Pennsylvania, IDA, Revenue Bonds (Healthcare-Lutheran
Services), VRDN, Series A, 3.80% due 1/01/2028 (a)(i) 19,000
2,500 Butler County, Pennsylvania, IDA, IDR, Refunding (Wetterau Finance Co.
Project), VRDN, 3.85% due 12/01/2014 (i) 2,500
11,100 Delaware County, Pennsylvania, IDA, PCR (BP Oil Inc. Project), UPDATES,
4% due 12/01/2009 (i) 11,100
15,700 Delaware County, Pennsylvania, IDA, PCR, Refunding (Philadelphia Electric
Company), VRDN, Series A, 3.90% due 8/01/2016 (i) 15,700
Eagle Tax-Exempt Trust, Pennsylvania, GO, VRDN (i):
18,735 Series 94, Class 3803, 3.50% due 5/01/2008 18,735
12,870 Series 96C, Class 4301, 3.84% due 5/01/2015 12,870
35,000 Emmaus, Pennsylvania, General Authority Revenue Bonds, VRDN, 3.80% due
12/01/2028 (e)(i) 35,000
12,000 Lackawanna County, Pennsylvania, GO, MSTR, VRDN, Series SGB-38, 3.88% due
9/15/2020 (i) 12,000
Pennsylvania State Higher Education Assistance Agency, Student Loan Revenue
Bonds, VRDN, AMT (i):
11,200 Series A, 3.90% due 1/01/2018 11,200
5,000 Series B, 3.90% due 7/01/2018 5,000
18,010 Pennsylvania State Higher Educational Facilities Authority, College and
University Revenue Bonds (Temple University), FLOATS, 3.85% due
10/01/2009 (b)(i) 18,010
2,300 Pennsylvania State Higher Educational Facilities Authority, Revenue
Refunding Bonds (Carnegie Mellon University), VRDN, Series A, 3.90%
due 11/01/2025 (i) 2,300
25,000 Philadelphia, Pennsylvania, Gas Works, Revenue Bonds, CP, Series C,
3.50% due 1/26/2000 25,000
Philadelphia, Pennsylvania, School District, GO, TRAN:
15,000 Series B, 4% due 6/30/2000 15,060
16,000 Series C, 4% due 6/30/2000 16,064
5,200 Schuylkill County, Pennsylvania, IDA, Resource Recovery Revenue Refunding
Bonds (Northeastern Power Company), VRDN, Series A, 3.95% due
12/01/2022 (i) 5,200
14,850 York, Pennsylvania, General Authority, Pooled Financing Revenue Bonds,
VRDN, Sub Series 96-B, 3.80% due 9/01/2026 (a)(i) 14,850
</TABLE>
<TABLE>
CMA TAX-EXEMPT FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 (CONTINUED) (IN THOUSANDS)
<CAPTION>
Face Value
State Amount Issue (Note 1a)
<S> <C> <S> <C>
South Carolina-- Berkeley County, South Carolina, Exempt Facilities, Industrial Revenue Bonds
2.1% (Amoco Chemical Company Project), VRDN, AMT (i):
$ 15,300 4% due 4/01/2027 $ 15,300
5,700 4% due 4/01/2028 5,700
9,350 Berkeley County, South Carolina, Pollution Control Facilities, Revenue
Refunding Bonds (Amoco Chemical Company Project), VRDN, 3.90% due 7/01/2012 (i) 9,350
17,150 Charleston County, South Carolina, School District, GO, Refunding, 3.50% due
2/01/2000 17,174
13,500 Charleston, South Carolina, GO, TAN, 3.50% due 3/15/2000 13,530
14,850 Eagle Tax-Exempt Trust, South Carolina Public Works, VRDN, Series 96A,
3.84% due 1/01/2022 (i) 14,850
Florence County, South Carolina, Solid Waste Disposal and Wastewater
Treatment Revenue Bonds (Roche Carolina Inc. Project), VRDN, AMT (i):
35,000 4% due 4/01/2026 35,000
19,200 4% due 4/01/2027 19,200
40,000 Greenville County, South Carolina, School District, GO, BAN, 4% due 5/01/2000 40,147
South Carolina Jobs EDA, Economic Development Revenue Bonds, VRDN (i):
4,360 (Saint Francis Hospital), 3.90% due 7/01/2022 4,360
5,400 (Wellman Inc. Project), AMT, 4.15% due 12/01/2010 5,400
12,095 (Wellman Inc. Project), AMT, 4.15% due 12/01/2012 12,095
South Dakota-- 13,300 Lawrence County, South Dakota, Solid Waste Disposal Revenue Bonds
0.1% (Homestake Mining), VRDN, AMT, Series A, 4.05% due 7/01/2032 (i) 13,300
Tennessee-- Clarksville, Tennessee, Public Building Authority Revenue Bonds, Pooled
2.0% Financing (Tennessee Municipal Bond Fund), VRDN (i):
24,410 3.85% due 11/01/2027 24,410
38,500 3.85% due 6/01/2029 38,500
9,400 Cleveland, Tennessee, IDB, Revenue Bonds (Newly Weds Project), VRDN, AMT,
3.95% due 1/01/2012 (i) 9,400
8,100 Loudon, Tennessee, IDB, Revenue Refunding Bonds (A.E. Staley Manufacturing
Co. Project), VRDN, 3.85% due 9/01/2001 (i) 8,100
13,000 Montgomery County, Tennessee, Public Building Authority, Pooled Financing
Revenue Bonds (Montgomery County Loan), VRDN, 3.85% due 7/01/2019 (i) 13,000
14,955 Morristown, Tennessee, IDB, PCR, Refunding (Akzo Chemicals, Inc. Project),
VRDN, 3.85% due 8/01/2001 (i) 14,955
8,000 Sevier County, Tennessee, Public Building Authority Revenue Bonds, Local
Government Public Improvement II, VRDN, Series F-3, 3.80% due
6/01/2005 (a)(i) 8,000
Sevier County, Tennessee, Public Building Authority Revenue Bonds, Local
Government Public Improvement III, VRDN (i):
26,500 AMT, Series B-1, 3.85% due 6/01/2021 (a) 26,500
10,000 Series D-2, 3.80% due 6/01/2017 (a) 10,000
15,930 Series E-1, 3.80% due 6/01/2025 15,930
10,000 Series E-4, 3.80% due 6/01/2025 10,000
Texas--19.9% 10,000 Brazos River Authority, Texas, Harbor Navigational District, Brazoria
County Revenue Bonds (BASF Corp.), VRDN, AMT, 4.10% due 4/01/2032 (i) 10,000
Brazos River Authority, Texas, PCR, Refunding (Texas Utilities Electric
Company), VRDN, AMT (i):
8,400 Series A, 4% due 3/01/2026 (a) 8,400
15,600 Series A, 4% due 4/01/2030 15,600
9,700 Series A, 4.10% due 2/01/2032 (g) 9,700
24,005 Series B, 4.10% due 2/01/2032 (g) 24,005
15,800 Series C, 4% due 6/01/2030 (a) 15,800
8,400 Series C, 4% due 2/01/2032 (g) 8,400
</TABLE>
<TABLE>
CMA TAX-EXEMPT FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 (CONTINUED) (IN THOUSANDS)
<CAPTION>
Face Value
State Amount Issue (Note 1a)
<S> <C> <S> <C>
Texas $20,100 Coastal Bend Health Facilities Development Corp., Texas, Revenue Bonds
(continued) (Incarnate World Health System), UPDATES, Series B, 3.80% due
8/15/2028 (a)(i) $ 20,100
4,000 Corpus Christi, Texas, Industrial Development Corp, IDR (Dedietrich
USA Incorporated Project), VRDN, AMT 3.90% due 11/01/2008 (i) 4,000
Dallas-Fort Worth, Texas, Regional Airport Revenue Bonds, MSTR, VRDN,
AMT (g)(i):
15,785 Series SGB-46, 3.85% due 11/01/2020 15,785
25,300 Series SGB-49, 4.05% due 11/01/2023 25,300
9,495 Series SGB-52, 3.85% due 11/01/2017 9,495
6,600 Dallas-Fort Worth, Texas, Regional Airport Revenue Refunding Bonds, MSTR,
VRDN, Series SGB-5, 3.88% due 11/01/2015 (c)(i) 6,600
9,900 Eagle Tax-Exempt Trust, Dallas-Fort Worth, Texas, VRDN, Series 96C, Class
4301, 3.40% due 11/01/2005 (i) 9,900
5,300 Grapevine, Texas, Industrial Development Corporation, Airport Revenue
Refunding Bonds (Southern Air Transport), VRDN, 3.90% due 3/01/2010 (i) 5,300
7,300 Gulf Coast IDA, Texas, Marine Terminal Revenue Bonds (Amoco Oil Company
Project), VRDN, AMT, 4% due 4/01/2028 (i) 7,300
Gulf Coast IDA, Texas, Solid Waste Disposal Revenue Bonds (Citgo Petroleum
Corporation Project), VRDN, AMT (i):
25,200 4.05% due 5/01/2026 25,200
7,400 4.05% due 4/01/2026 7,400
28,500 Gulf Coast Waste Disposal Authority, Texas, Environmental Facilities
Revenue Refunding Bonds (Amoco Oil Company Project), VRDN, AMT, 4% due
1/01/2026 (i) 28,500
Gulf Coast Waste Disposal Authority, Texas, PCR (Amoco Oil Company Project),
VRDN, AMT (i):
42,200 4% due 5/01/2023 42,200
36,300 4% due 6/01/2024 36,300
Gulf Coast Waste Disposal Authority, Texas, PCR, Refunding, VRDN (i):
10,000 (Amoco Oil Company Project), 3.95% due 10/01/2017 10,000
9,400 (Exxon Project), 3.90% due 6/01/2020 9,400
17,710 Harris County, Texas, FLOATS, Series SG-45, 3.86% due 8/15/2016 (i) 17,710
10,000 Harris County, Texas, GO, Refunding, 3% due 10/01/1999 (g) 9,999
Harris County, Texas, GO, Refunding, Toll Road, Sub-Lien, VRDN (i):
31,100 Series B, 3.75% due 8/01/2015 31,100
20,370 Series D, 3.75% due 8/01/2015 20,370
4,900 Series E, 3.75% due 8/01/2015 4,900
25,000 Series H, 3.75% due 8/01/2020 25,000
98,000 Harris County, Texas, GO, TAN, 4% due 2/29/2000 98,208
Harris County, Texas, Health Facilities Development Corporation, Hospital
Revenue Refunding Bonds (Methodist Hospital), VRDN (i):
97,440 3.95% due 12/01/2025 97,440
64,340 4% due 12/01/2026 64,340
Harris County, Texas, Health Facilities Development Corporation, Hospital
Revenue Refunding Bonds, Series B:
37,100 (Memorial Hospital System Project), CP, 3.70% due 3/01/2000 37,100
12,400 (Saint Luke's Episcopal Hospital), VRDN, 3.90% due 2/15/2027 (i) 12,400
Harris County, Texas, Industrial Development Corporation, PCR (Exxon
Project), VRDN (i):
23,600 3.95% due 3/01/2024 23,600
8,100 AMT, 4.05% due 8/15/2027 8,100
</TABLE>
<TABLE>
CMA TAX-EXEMPT FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 (CONTINUED) (IN THOUSANDS)
<CAPTION>
Face Value
State Amount Issue (Note 1a)
<S> <C> <S> <C>
Texas Harris County, Texas, Industrial Development Corporation, Solid Waste
(continued) Disposal Revenue Bonds, VRDN, AMT (i):
$46,100 (Deer Park Limited Partnership), Series A, 4.05% due 2/01/2023 $ 46,100
18,550 (Exxon Project), 4% due 4/01/2032 18,550
43,450 Hockley County, Texas, Industrial Development Corporation, PCR (Amoco
Project-Standard Oil Company), CP, 3.60% due 3/01/2000 43,450
12,430 Lower Colorado River Authority, Texas, Revenue Refunding Bonds,
Junior Lien, VRDN, Third Supplemental Series, 3.65% due
1/01/2013 (g)(i) 12,430
21,100 Lubbock, Texas, Health Facilities Development Corporation, Revenue
Refunding Bonds (Saint Joseph Health System), VRDN, 3.95% due 7/01/2013 (i) 21,100
17,200 North Central Texas Health Facility Development Corporation Revenue Bonds
(Methodist Hospitals Dallas), VRDN, Series B, 4% due 10/01/2015 (g)(i) 17,200
North Texas Higher Education Authority Inc., Student Loan Revenue Bonds,
VRDN, AMT (a)(i):
12,800 Series C, 3.90% due 4/01/2020 12,800
13,700 Series F, 3.90% due 4/01/2020 13,700
North Texas Higher Education Authority Inc., Student Loan Revenue
Refunding Bonds, VRDN, AMT (i):
27,900 3.90% due 3/01/2005 27,900
26,000 3.85% due 12/01/2032 26,000
29,000 Series A, 3.90% due 4/01/2005 29,000
5,000 Series A, 3.90% due 4/01/2020 (a) 5,000
Panhandle-Plains, Texas, Higher Education Authority Incorporated, Student
Loan Revenue Bonds, VRDN, AMT, Series A (i):
4,700 3.75% due 6/01/2008 4,700
13,700 3.75% due 6/01/2025 13,700
9,000 Panhandle-Plains, Texas, Higher Education Authority Incorporated, Student
Loan Revenue Refunding Bonds, VRDN, AMT, Series A, 3.57% due 6/01/2021 (i) 9,000
20,000 Port Arthur, Texas, Navigation District Revenue Bonds (BASF Corporation
Project), VRDN, AMT, 4.10% due 4/01/2033 (i) 20,000
14,400 Port Arthur, Texas, Navigation District Revenue Refunding Bonds (Texaco
Inc. Project), VRDN, 3.95% due 10/01/2024 (i) 14,400
18,800 Port Corpus Christi, Texas, Industrial Development Corporation, Sewer
and Solid Waste Revenue Bonds (Citgo Petroleum Corporation Project),
VRDN, AMT, 4.05% due 4/01/2026 (i) 18,800
20,600 Sabine River Authority, Texas, PCR, Refunding (Texas Utilities Electric
Company Project), VRDN, Series A, 4% due 3/01/2026 (a)(i) 20,600
15,900 Sabine River Authority, Texas, PCR (Texas Utilities Electric Company
Project), VRDN, AMT, Series B, 4.05% due 3/01/2026 (a)(i) 15,900
11,600 San Antonio, Texas, Higher Education Authority, Revenue Refunding Bonds
(Trinity University Project), VRDN, 3.70% due 4/01/2004 (i) 11,600
10,000 San Antonio, Texas, Hotel Occupancy Revenue Bonds, FLOATS, Series SG-51,
3.86% due 8/15/2019 (i) 10,000
12,500 San Antonio, Texas, Water System, CP, Series 1995, 3.65% due 3/06/2000 12,500
2,200 South Texas Higher Education Authority Incorporated Revenue Bonds, VRDN,
AMT, 3.80% due 12/01/2027 (g)(i) 2,200
16,300 Southwest Texas, Higher Education Authority Incorporated, Revenue
Refunding Bonds (Southern Methodist University), VRDN, 3.95% due
7/01/2015 (i) 16,300
10,000 Texas State, CP, Series 1993 A, 3.50% due 3/08/2000 10,000
11,300 Texas State, GO, Series B, 5% due 10/01/1999 11,301
</TABLE>
<TABLE>
CMA TAX-EXEMPT FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 (CONTINUED) (IN THOUSANDS)
<CAPTION>
Face Value
State Amount Issue (Note 1a)
<S> <C> <S> <C>
Texas Texas State Public Finance Authority Revenue Bonds, GO, CP, Series A:
(concluded) $ 11,000 3.45% due 2/17/2000 $ 11,000
39,800 3.50% due 3/07/2000 39,800
383,000 Texas State, TRAN, Series A, 4.50% due 8/31/2000 385,736
28,400 Texas State, Water Development Board, VRDN, Series A, 4% due 3/01/2015 (i) 28,400
21,200 Trinity River Authority, Texas, PCR, Refunding (Utilities Electric
Company Project), VRDN, AMT, Series A, 4% due 3/01/2026 (a)(i) 21,200
34,487 University of Texas, University Revenue Bonds, CP, Series A, 3.50%
due 2/11/2000 34,487
28,600 West Side Calhoun County, Texas, Development Revenue Bonds (Sohio Chemical
Company Project), UPDATES, 4% due 12/01/2015 (i) 28,600
4,200 West Side Calhoun County, Texas, Navigation District Sewer and Solid Waste
District Revenue Bonds (BP Chemicals Inc. Project), VRDN, AMT, 4% due
4/01/2031 (i) 4,200
Utah--3.8% 97,000 Emery County, Utah, PCR, Refunding (Pacificorp Projects), VRDN, 4% due
11/01/2024 (a)(i) 97,000
Intermountain Power Agency, Utah, Power Supply Revenue Bonds, CP:
25,000 Series B-2, 3.50% due 1/27/2000 25,000
15,000 Series B-2, 3.60% due 3/07/2000 15,000
12,000 Series B-2, 3.60% due 3/08/2000 12,000
25,000 Series B-4, 3.65% due 3/06/2000 25,000
10,000 Salt Lake City, Utah, Revenue Bonds, Pooled, VRDN, Class A, 3.75% due
1/01/2020 (i) 10,000
15,000 Salt Lake County, Utah, GO, TRAN, 4% due 12/29/1999 15,020
Salt Lake County, Utah, PCR, Refunding (Service Station Holdings Project),
VRDN (i):
36,900 3.90% due 2/01/2008 36,900
43,115 Series B, 4% due 8/01/2007 43,115
6,000 Utah State Board of Regents, Student Loan Revenue Bonds, VRDN, AMT,
Series C, 3.90% due 11/01/2013 (a)(i) 6,000
33,500 Utah State Board of Regents, Student Loan Revenue Refunding Bonds, VRDN,
AMT, Series L, 3.90% due 11/01/2025 (a)(i) 33,500
Utah State, GO, Refunding:
11,000 Series A, 3.65% due 7/01/2016 11,000
18,000 Series D, 3.80% due 7/01/2016 18,000
Vermont-- 25,775 Vermont State Student Assistance Corporation, Student Loan Revenue Bonds,
0.3% FLOATS, 3.40% due 1/01/2004 (i) 25,775
Virginia-- 8,885 Eagle Tax-Exempt Trust, Virginia, VRDN, Series 95, Class 4602, 3.84% due
1.0% 1/15/2013 (i) 8,885
7,720 Fairfax County, Virginia, Sewer Revenue Bonds, 7% due 11/15/1999 (a)(h) 7,910
Norfolk, Virginia, IDA Revenue Bonds, CP, Series 1990A:
30,600 3.50% due 1/28/2000 30,600
30,000 3.65% due 3/10/2000 30,000
16,000 Rockingham County, Virginia, IDA, PCR (Merck & Co., Inc. Project), FLOATS,
Series A, 4% due 10/01/2020 (i) 16,000
</TABLE>
<TABLE>
CMA TAX-EXEMPT FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 (CONTINUED) (IN THOUSANDS)
<CAPTION>
Face Value
State Amount Issue (Note 1a)
<S> <C> <S> <C>
Washington-- $ 17,025 Eagle Tax-Exempt Trust, Washington, GO, VRDN, Series 96C, Class
4.0% 4704, 3.15% due 4/01/2011 (i) $ 17,025
40,200 King County, Washington, Sewer System, CP, Series A, 3.55% due 11/09/1999 40,200
30,200 Snohomish County, Washington, Public Utility District Number 001,
Electric Revenue Bonds (Generation System), VRDN, 3.65% due 1/01/2025 (g)(i) 30,200
Washington State Housing Finance Commission, M/F Housing Revenue Bonds,
VRDN, AMT (i):
6,400 (Arbors on the Park Project), 3.95% due 10/01/2024 6,400
10,335 (Courtside Apartments Project), 3.95% due 1/01/2026 10,335
3,880 Washington State Housing Finance Commission Revenue Bonds, S/F Program
Notes, AMT, Series 1A-S, 3% due 2/01/2000 (d) 3,880
6,000 Washington State Housing Finance Commission Revenue Refunding Bonds, S/F
Program Notes, Series 1N-S, 2.95% due 2/01/2000 (d) 6,000
Washington State Public Power Supply Systems, Electric Revenue Refunding
Bonds, VRDN (g)(i):
25,000 (Project Number 2), Series 2A-1, 3.65% due 7/01/2012 25,000
58,430 (Project Number 2), Series 2A-2, 3.65% due 7/01/2012 58,430
120,000 (Project Number 3), Series 3A, 3% due 10/06/1999 120,000
9,950 Washington State Public Power Supply Systems Revenue Bonds (Nuclear
Project Number 2), FLOATS, Series PMD-3, 3.92% due 7/01/2012 (i) 9,950
Washington State Public Power Supply Systems, Revenue Refunding Bonds
(Nuclear Project Number 1), VRDN (i):
5,520 Series 1A-1, 3.75% due 7/01/2017 5,520
22,750 Series 1A-2, 3.70% due 7/01/2017 22,750
8,000 Yakima County, Washington, Public Corporation Revenue Bonds (Macro
Plastics Inc. Project), VRDN, AMT, 3.90% due 12/01/2026 (i) 8,000
West Virginia-- 11,220 Hancock County, West Virginia, County Commission, IDR, Refunding
0.3% (The Boc Group Inc. Project), VRDN, 3.85% due 8/01/2005 (i) 11,220
13,600 Marshall County, West Virginia, PCR (Mountaineer Carbon Co.), UPDATES, 4%
due 12/01/2020 (i) 13,600
Wisconsin-- 14,850 Eagle Tax-Exempt Trust, Wisconsin Ball Park, VRDN, Series 98, Class
1.7% 4901, 3.50% due 12/15/2026 (i) 14,850
1,385 Eagle Tax-Exempt Trust, Wisconsin Housing and Economy, VRDN, Series 94C,
Class 4901, 3.84% due 9/01/2015 (i) 1,385
5,660 Hartland, Wisconsin, IDR (Commercial Communications Inc. Project), VRDN,
AMT, 3.97% due 8/01/2009 (i) 5,660
45,000 Milwaukee, Wisconsin, RAN, Series A, 3.50% due 2/24/2000 45,098
19,000 Pleasant Prairie, Wisconsin, Pollution Revenue Refunding Bonds
(Wisconsin Electric Power Company), VRDN, Series C, 3.90% due 9/01/2030 (i) 19,000
7,500 Racine, Wisconsin, Unified School District, TRAN, 3.75% due 7/06/2000 7,508
16,000 Sheboygan, Wisconsin, PCR, Refunding (Wisconsin Power and Light Company
Project), VRDN, Series A, 3.95% due 9/01/2015 (i) 16,000
22,000 Waukesha, Wisconsin, School District, GO, TRAN, 4.10% due 8/22/2000 22,100
10,072 Wisconsin State Department of Transportation, CP, 3.40% due 1/20/2000 10,072
14,500 Wisconsin State Health and Educational Facilities Authority Revenue Bonds
(Wheaton Franciscan Services), VRDN, 3.77% due 8/15/2016 (i) 14,500
</TABLE>
<TABLE>
CMA TAX-EXEMPT FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 (CONCLUDED) (IN THOUSANDS)
<CAPTION>
Face Value
State Amount Issue (Note 1a)
<S> <C> <S> <C>
Wyoming-- $13,000 Lincoln County, Wyoming, PCR (Exxon Project), DATES, Series A, 3.85% due
1.1% 11/01/2014 (i) $ 13,000
10,960 Lincoln County, Wyoming, PCR, Refunding (Pacificorp Projects), VRDN,
Series A, 4% due 11/01/2024 (a)(i) 10,960
17,150 Sublette County, Wyoming, PCR (Exxon Project), DATES, 3.90% due
11/01/2014 (i) 17,150
Sweetwater County, Wyoming, PCR, Refunding, VRDN (i):
13,900 (Idaho Power Company Project), Series C, 4% due 7/15/2026 13,900
12,000 (Pacificorp Project), 4% due 11/01/2024 (a) 12,000
18,000 (Pacificorp Project), Series A, 3.65% due 7/01/2015 18,000
Uinta County, Wyoming, PCR, Refunding (Chevron USA Inc. Project),
VRDN (i):
12,000 3.75% due 8/15/2020 12,000
500 3.90% due 12/01/2022 500
Total Investments (Cost--$9,147,265++)--100.1% 9,147,265
Liabilities in Excess of Other Assets--(0.1%) (11,144)
----------
Net Assets--100.0% $9,136,121
==========
<FN>
(a)AMBAC Insured.
(b)Escrowed to maturity.
(c)FGIC Insured.
(d)FNMA/GNMA Collateralized.
(e)FSA Insured.
(f)GNMA Collateralized.
(g)MBIA Insured.
(h)Prerefunded.
(i)The interest rate is subject to change periodically based upon
prevailing market rates. The interest rate shown is the rate in
effect at September 30, 1999.
(j)FHA Insured.
++Cost for Federal income tax purposes.
See Notes to Financial Statements.
</TABLE>
<TABLE>
CMA TAX-EXEMPT FUND
STATEMENT OF ASSETS AND LIABILITIES AS OF SEPTEMBER 30, 1999
<S> <C> <C>
Assets:
Investments, at value (identified cost--$9,147,265,396)(Note 1a) $ 9,147,265,396
Cash 60,100
Interest receivables 47,794,868
Prepaid registration fees and other assets (Note 1d) 231,824
---------------
Total assets 9,195,352,188
---------------
Liabilities:
Payables:
Securities purchased $ 54,936,928
Distributor (Note 2) 2,315,997
Investment adviser (Note 2) 582,342
Beneficial interest redeemed 1,365 57,836,632
---------------
Accrued expenses and other liabilities 1,394,057
---------------
Total liabilities 59,230,689
---------------
Net Assets $ 9,136,121,499
===============
Net Assets Consist of:
Shares of beneficial interest, $.10 par value, unlimited number of shares
authorized $ 913,783,966
Paid-in capital in excess of par 8,223,090,918
Accumulated realized capital losses--net (Note 4) (753,385)
---------------
Net Assets--Equivalent to $1.00 per share based on 9,137,839,657 shares of
beneficial interest outstanding $ 9,136,121,499
===============
See Notes to Financial Statements.
</TABLE>
<TABLE>
CMA TAX-EXEMPT FUND
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1999
<S> <C> <C>
Investment Income (Note 1c):
Interest and amortization of premium and discount earned $ 154,406,035
Expenses:
Investment advisory fees (Note 2) $ 18,302,059
Distribution fees (Note 2) 5,875,573
Transfer agent fees (Note 2) 707,016
Registration fees (Note 1d) 386,241
Accounting services (Note 2) 235,763
Custodian fees 137,645
Printing and shareholder reports 59,371
Professional fees 44,846
Pricing fees 30,482
Trustees' fees and expenses 23,844
Other 49,407
---------------
Total expenses 25,852,247
---------------
Investment income--net 128,553,788
Realized Loss on Investments--Net (Note 1c) (176,338)
---------------
Net Increase in Net Assets Resulting from Operations $ 128,377,450
===============
See Notes to Financial Statements.
</TABLE>
<TABLE>
CMA TAX-EXEMPT FUND
STATEMENTS OF CHANGES IN NET ASSETS
<CAPTION>
For the Six For the
Months Ended Year Ended
September 30, 1999 March 31, 1999
Increase (Decrease) in Net Assets:
<S> <C> <C>
Operations:
Investment income--net $ 128,553,788 $ 263,902,068
Realized gain (loss) on investments--net (176,338) 323,017
--------------- ---------------
Net increase in net assets resulting from operations 128,377,450 264,225,085
--------------- ---------------
Dividends to Shareholders (Note 1e):
Investment income--net (128,553,788) (263,902,068)
--------------- ---------------
Net decrease in net assets resulting from dividends to shareholders (128,553,788) (263,902,068)
--------------- ---------------
Beneficial Interest Transactions (Note 3):
Net proceeds from sale of shares 16,086,013,149 33,522,924,440
Net asset value of shares issued to shareholders in reinvestment of
dividends (Note 1e) 128,557,383 263,901,186
--------------- ---------------
16,214,570,532 33,786,825,626
Cost of shares redeemed (16,808,404,151) (33,413,722,416)
--------------- ---------------
Net increase (decrease) in net assets derived from beneficial interest
transactions (593,833,619) 373,103,210
--------------- ---------------
Net Assets:
Total increase (decrease) in net assets (594,009,957) 373,426,227
Beginning of period 9,730,131,456 9,356,705,229
--------------- ---------------
End of period $ 9,136,121,499 $ 9,730,131,456
=============== ===============
See Notes to Financial Statements.
</TABLE>
<TABLE>
CMA TAX-EXEMPT FUND
FINANCIAL HIGHLIGHTS
<CAPTION>
The following per share data and ratios have been derived For the Six
from information provided in the financial statements. Months Ended
September 30, For the Year Ended March 31,
Increase (Decrease) in Net Asset Value: 1999 1999 1998 1997 1996
<S> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ---------- ---------- ---------- ----------
Investment income--net .01 .03 .03 .03 .03
Realized gain (loss) on investments--net --++ --++ --++ --++ --++
---------- ---------- ---------- ---------- ----------
Total from investment operations .01 .03 .03 .03 .03
---------- ---------- ---------- ---------- ----------
Less dividends from investment income--net (.01) (.03) (.03) (.03) (.03)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ==========
Total Investment Return 2.71%* 2.87% 3.16% 3.00% 3.31%
========== ========== ========== ========== ==========
Ratios to Average Net Assets:
Expenses .54%* .55% .55% .55% .55%
========== ========== ========== ========== ==========
Investment income--net 2.70%* 2.83% 3.11% 2.94% 3.26%
========== ========== ========== ========== ==========
Supplemental Data:
Net assets, end of period (in thousands) $9,136,121 $9,730,131 $9,356,705 $8,347,278 $8,164,160
========== ========== ========== ========== ==========
<FN>
*Annualized.
++Amount is less than $.01 per share.
See Notes to Financial Statements.
</TABLE>
CMA TAX-EXEMPT FUND
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies:
CMA Tax-Exempt Fund (the "Fund") is registered under the Investment
Company Act of 1940 as a no-load, diversified, open-end management
investment company. The Fund's financial statements are prepared in
accordance with generally accepted accounting principles, which may
require the use of management accruals and estimates. These
unaudited financial statements reflect all adjustments, which are,
in the opinion of management, necessary to a fair statement of the
results for the interim period presented. All such adjustments are
of a normal recurring nature. The following is a summary of
significant accounting policies followed by the Fund.
(a) Valuation of investments--Investments are valued at amortized
cost, which approximates market value. For the purpose of valuation,
the maturity of a variable rate demand instrument is deemed to be
the next coupon date on which the interest rate is to be adjusted.
In the case of a floating rate instrument, the remaining maturity is
the demand notice payment period.
(b) Income taxes--It is the Fund's policy to comply with the
requirements of the Internal Revenue Code applicable to regulated
investment companies and to distribute all of its taxable income to
its shareholders. Therefore, no Federal income tax provision is
required.
(c) Security transactions and investment income--Security
transactions are recorded on the dates the transactions are entered
into (the trade dates). Interest income (including amortization of
premium and discount) is recognized on the accrual basis. Realized
gains and losses on security transactions are determined on the
identified cost basis.
(d) Prepaid registration fees--Prepaid registration fees are charged
to expense as the related shares are issued.
(e) Dividends and distributions to shareholders--The Fund declares
dividends daily and reinvests daily such dividends (net of non-
resident alien tax and back-up withholding tax withheld) in
additional fund shares at net asset value. Dividends are declared
from the total of net investment income, excluding discounts earned
other than original issue discounts. Net realized capital gains, if
any, are normally distributed annually after deducting prior years'
loss carryforward. The Fund may distribute capital gains more
frequently than annually in order to maintain the Fund's net asset
value at $1.00 per share.
2. Investment Advisory Agreement and
Transactions with Affiliates:
The Fund has entered into an Investment Advisory Agreement with Fund
Asset Management, L.P. ("FAM"). The general partner of FAM is
Princeton Services, Inc. ("PSI"), an indirect wholly-owned
subsidiary of Merrill Lynch & Co., Inc. ("ML & Co."), which is the
limited partner.
FAM is responsible for the management of the Fund's portfolio and
provides the necessary personnel, facilities, equipment and certain
other services necessary to the operations of the Fund. For such
services, the Fund pays a monthly fee based upon the average daily
value of the Fund's net assets at the following annual rates: .50%
of the Fund's average daily net assets not exceeding $500 million;
.425% of the average daily net assets in excess of $500 million but
not exceeding $1 billion; and .375% of the average daily net assets
in excess of $1 billion.
CMA TAX-EXEMPT FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
Pursuant to the Distribution and Shareholder Servicing Plan in
compliance with Rule 12b-1 under the Investment Company Act of 1940,
Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S")
receives a distribution fee from the Fund at the end of each month
at the annual rate of .125% of the average daily net assets of the
Fund. The distribution fee is to compensate MLPF&S financial
consultants and other directly involved branch office personnel for
selling shares of the Fund and for providing direct personal
services to shareholders. The distribution fee is not compensation
for the administrative and operational services rendered to the Fund
by MLPF&S in processing share orders and administering shareholder
accounts.
Financial Data Services, Inc. ("FDS"), a wholly-owned subsidiary of
ML & Co., is the Fund's transfer agent.
Accounting services are provided to the Fund by FAM at cost.
Certain officers and/or trustees of the Fund are officers and/or
directors of FAM, PSI, FDS, and/or ML & Co.
3. Shares of Beneficial Interest:
The number of shares purchased, reinvested and redeemed during the
periods corresponds to the amounts included in the Statements of
Changes in Net Assets for net proceeds from sale of shares, value of
shares reinvested and cost of shares redeemed, respectively, since
shares are recorded at $1.00 per share.
4. Capital Loss Carryforward:
At March 31, 1999, the Fund had a net capital loss carryforward of
approximately $629,000, all of which expires in 2003. This amount
will be available to offset like amounts of any future taxable
gains.
CMA TAX-EXEMPT FUND
OFFICERS AND TRUSTEES
Terry K. Glenn--President and Trustee
Ronald W. Forbes--Trustee
Cynthia A. Montgomery--Trustee
Charles C. Reilly--Trustee
Kevin A. Ryan--Trustee
Richard R. West--Trustee
Arthur Zeikel--Trustee
Vincent R. Giordano--Senior Vice President
Peter J. Hayes--Vice President
Kenneth A. Jacob--Vice President
Helen Marie Sheehan--Vice President
Donald C. Burke--Vice President and Treasurer
Ira P. Shapiro--Secretary
Custodian
State Street Bank and Trust Company
P.O. Box 1713
Boston, MA 02101
Transfer Agent
Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
(800) 221-7210*
[FN]
*For inquiries regarding your CMA account, call (800) CMA-INFO
[(800) 262-4636].
