CMA
CMA MASSACHUSETTS
MUNICIPAL MONEY FUND
Semi-Annual Report
September 30, 1996
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. Past
performance results shown in this report should not be considered a
representation of future performance, which will fluctuate. The Fund
seeks to maintain a consistent $1.00 net asset value per share,
although this cannot be assured. An investment in the Fund is
neither insured nor guaranteed by the US Government. Statements and
other information herein are as dated and are subject to change.
<PAGE>
CMA Massachusetts
Municipal Money Fund
Box 9011
Princeton, NJ 08543-9011
Printed on post-consumer recycled paper
TO OUR SHAREHOLDERS:
For the six-month period ended September 30, 1996, CMA Massachusetts
Municipal Money Fund paid shareholders a net annualized yield of
2.77%*. As of September 30, 1996, the Fund's 7-day yield was 3.00%.
The Environment
Although the US stock and bond markets rallied late in the six-month
period ended September 30, 1996, much of the period was marked by
volatility in the capital markets. The US economy demonstrated
surprising resilience during the first half of the year. As a
result, when economic data releases appeared to indicate that the US
economy was expanding at a stronger-than-expected (and potentially
inflationary) rate, investors focused on the increasing possibility
of monetary policy tightening by the Federal Reserve Board. During
these periods, stock prices declined and long-term interest rates
moved higher. However, with inflationary pressures still under
control, the US central bank did not tighten monetary policy at its
September 24 meeting. This development, coupled with several
economic data releases that showed growth was at or below
expectations, helped to assuage investors' concerns about an
overheating economy. Stock and bond prices improved, with stock
market averages reaching historic high levels.
<PAGE>
The shifts in perceptions were exemplified by investors' reactions
to the release of recent employment reports. Inflationary concerns
were heightened in early July with the release of a stronger-than-
expected employment report for June. However, more subdued job
growth and decelerating hourly wage gains were subsequently reported
for the month of July. Although the employment report for August
showed that unemployment had dropped to its lowest level since 1989,
these results were generally in line with expectations, and were
received favorably by investors. The greatest boost in investor
confidence occurred in early October with the release of September's
employment report, which showed a slight increase in unemployment.
[FN]
*Based on a constant investment throughout the period, with
dividends compounded daily, and reflecting a net return to the
investor after all expenses.
Investors will continue to monitor economic data releases to
determine the probable direction of the US economy. The outcome of
the upcoming November election will also increasingly influence
investor psychology in the weeks ahead.
Investment Outlook and Strategy
During the six-month period ended September 30, 1996, economic
activity in the Commonwealth of Massachusetts began to improve as
weather conditions got better and investor confidence increased from
the March period. Strong growth became apparent in both business and
health services, helping push forward improvements in the housing
sector. In addition, the prolonged slowdown in the manufacturing
industry abated, contributing to the Commonwealth's solid economic
base. The Commonwealth's economy continued to retain diverse sources
of strength and generate high personal incomes. These economic
conditions allowed Massachusetts to maintain seasonally adjusted
unemployment rates below the national average during the September
period.
Positive economic growth during fiscal year 1996 enabled
Massachusetts to end its fiscal year on a solid note, with
preliminary tax revenue collections totaling $12 billion, or 4.7%
above estimates, and 8% above the previous fiscal year. These
impressive results allowed Governor Weld to top off the
Commonwealth's "rainy-day" fund at $543 million and provide a $234
million tax cut in the form of a 52% increase in the personal
exemption on taxpayers' 1996 tax returns.
In addition, Massachusetts continued its steady stream of revenues
into fiscal year 1997. Total revenues for the first three months
amounted to $2.9 billion, or 2.6% above the comparable period for
fiscal year 1996, which is on target with budget estimates. This
strong tax revenue stream allowed Massachusetts to avoid borrowing
additional money in the short-term municipal market to finance daily
operations. Its only issue during the period was the reissuance of
its annual temporary notes of $240 million in June. The increase of
sales tax revenue assisted the Commonwealth in supporting its
various municipalities and allowed them to maintain moderate
borrowing levels totaling $855 million for the September period.
<PAGE>
CMA Massachusetts Municipal Money Fund began the six-month period
ended September 30, 1996 with an average portfolio maturity in the
55-day range, while preparing to meet tax-related redemptions in
April. Once these redemptions ended, we selectively began to
purchase attractively priced, longer-term municipal notes extending
the average portfolio maturity to the 65-day range. This extension
helped to stabilize the Fund's yield as supply imbalances in the
months of June and July adversely affected yields on variable rate
demand notes, especially in Massachusetts where yields are usually
below national levels. This strategy benefited the Fund since we
were selective in our purchases which prevented an adverse effect on
the Fund's yield as market interest rates rose. Despite strong
employment data reports, inflationary data remained favorable during
the September period. As it became clearer during the period that
the Federal Reserve Board might hold interest rates steady with the
Federal Funds rate at 5.25%, and other economic data started to
suggest a slower pattern of growth, we began taking advantage of an
increase in yields and extended the average portfolio maturity into
the 70-day range. This strategy should benefit the Fund as other
investors scramble to avoid a sharp decline in yields on variable
rate notes in the upcoming period.
In the months ahead, we will continue to monitor economic data as
well as the Federal Reserve Board's intentions regarding monetary
policy. As conditions warrant, we will continue to use an aggressive
approach as the market prepares for a period of technical strength
in the early part of 1997. The Fund's average portfolio maturity is
expected to be maintained in the 70-day range unless economic data
suggests that inflation is about to increase or the Federal Reserve
Board changes its monetary stance to a bias toward tightening. We
continue to look for opportunities to diversify and closely monitor
credit quality, while seeking to offer an attractive tax-exempt
yield for shareholders.
In Conclusion
We thank you for your support of CMA Massachusetts Municipal Money
Fund, and we look forward to serving your investment needs in the
future.
Sincerely,
(Arthur Zeikel)
Arthur Zeikel
President
<PAGE>
(Vincent R. Giordano)
Vincent R. Giordano
Senior Vice President
(Kevin A. Schiatta)
Kevin A. Schiatta
Vice President and Portfolio Manager
October 29, 1996
Portfolio Abbreviations for CMA Massachusetts Municipal Money Fund
AMT Alternative Minimum Tax (subject to)
BAN Bond Anticipation Notes
CP Commercial Paper
GO General Obligation Bonds
HFA Housing Finance Agency
M/F Multi-Family
PCR Pollution Control Revenue Bonds
RAN Revenue Anticipation Notes
SAAN Student Aid Anticipation Notes
UT Unlimited Tax
VRDN Variable Rate Demand Notes
<TABLE>
CMA MASSACHUSETTS MUNICIPAL MONEY FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1996 (IN THOUSANDS)
<CAPTION>
Face Value
State Amount Issue (Note 1a)
<S> <C> <S> <C>
Massachusetts-- $ 3,046 Bellingham, Massachusetts, BAN, 4% due 12/17/1996 (d) $ 3,048
102.3% 5,000 Boston, Massachusetts, Water and Sewer Commission Revenue Bonds, VRDN,
3.90% due 11/01/2019 (a) (c) 5,000
2,000 Bridgewater, Massachusetts, BAN, Series B, 4% due 11/19/1996 2,001
2,000 Clipper Tax-Exempt Trust 1994-2, Massachusetts, VRDN, Class A, 3.79%
due 10/17/2002 (a) 2,000
<PAGE> 2,050 Danvers, Massachusetts, BAN, 4% due 7/18/1997 (d) 2,050
6,000 East Bridgewater, Massachusetts, BAN, UT, 3.80% due 12/20/1996 6,001
3,800 Fitchburg, Massachusetts, RAN, 4.50% due 6/30/1997 3,811
1,025 Greater Attleboro--Taunton Regional Transportation Authority,
Massachusetts, RAN, 4.50% due 8/15/1997 (d) 1,029
Haverhill, Massachusetts, BAN (d):
3,285 4.11% due 4/25/1997 3,286
6,000 4.50% due 4/25/1997 6,015
9,000 Lowell, Massachusetts, BAN, 4% due 2/28/1997 9,011
6,750 Lynn, Massachusetts, Water and Sewer Commission, BAN, Series A, 4.50%
due 10/11/1996 6,750
5,000 Malden, Massachusetts, BAN, 4% due 6/03/1997 (d) 5,008
Massachusetts State, GO, VRDN (a):
9,700 3.95% due 2/01/2011 9,700
5,000 3.90% due 8/01/2014 (c) 5,000
2,000 Refunding, Series A, 3.96% due 2/01/2006 (b) 2,000
3,000 Massachusetts State, HFA, Housing Revenue Bonds, Series 50, 3.70%
due 6/02/1997 3,000
4,000 Massachusetts State, HFA, M/F Housing Project, Refunding, VRDN, Series A,
3.70% due 1/15/2010 (a) (e) 4,000
Massachusetts State Health and Educational Facilities Authority Revenue Bonds:
9,000 (Boston University), CP, Series H, 3.50% due 10/17/1996 9,000
400 (Capital Asset Program), VRDN, Series B, 3.90% due 7/01/2005 (a) 400
5,200 (Capital Asset Program), VRDN, Series D, 3.90% due 1/01/2035 (a) (c) 5,200
1,300 Massachusetts State Industrial Finance Agency, Cultural, Health and
Educational Revenue Bonds (Berkshire Project), VRDN, 3.60% due 9/01/2020 (a) 1,300
3,900 Massachusetts State Industrial Finance Agency, Health Care Facility
Revenue Bonds (Beverly Enterprises, Inc.), VRDN, 3.90% due 4/01/2009 (a) 3,900
Massachusetts State Industrial Finance Agency, Industrial Revenue Bonds,
VRDN (a):
3,570 (AFC Cable Systems Inc.), AMT, 3.70% due 7/01/2016 3,570
4,100 (Foilmark Manufacturing), AMT, Series A, 3.75% due 6/01/2010 4,100
4,200 (Gem Group Inc.), AMT, 3.60% due 7/01/2016 4,200
2,500 (KMS Companies), AMT, 3.85% due 5/01/2016 2,500
1,100 (Nutramax Products Inc.), AMT, Series A, 3.85% due 5/01/2016 1,100
1,000 (Nutramax Products Inc.), AMT, Series B, 3.85% due 5/01/2016 1,000
1,615 Refunding (Easy Day Realty Trust Project), Series A, 3.50% due 7/01/2006 1,615
3,350 (Telcom USA Inc.), AMT, 3.70% due 8/01/2016 3,350
5,205 (ZBR Limited Partnership), AMT, 3.70% due 4/15/2015 5,205
</TABLE>
<PAGE>
<TABLE>
CMA MASSACHUSETTS MUNICIPAL MONEY FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1996 (CONCLUDED) (IN THOUSANDS)
<CAPTION>
Face Value
State Amount Issue (Note 1a)
<S> <C> <S> <C>
Massachusetts Massachusetts State Industrial Finance Agency, PCR:
(concluded) $ 4,000 (Holyoke Water & Power Company Project), VRDN, AMT, 3.80% due
12/01/2020 (a) $ 4,000
4,800 Refunding (New England Power Company Project), CP, 3.45% due
10/02/1996 4,800
Massachusetts State Industrial Finance Agency Revenue Bonds, VRDN (a):
5,000 (Edgewood Retirement Community Project), Series C, 3.85% due 11/15/2025 5,000
5,600 (Whitehead Institute--Biomedical Research), 3.25% due 7/01/2026 5,600
4,500 (Williston Northampton Project), Series B, 3.65% due 4/01/2024 4,500
1,500 Massachusetts State Industrial Finance Agency, Solid Waste Disposal
Revenue Bonds (E.L. Harvey and Sons), VRDN, AMT, 3.70% due 1/01/2011 (a) 1,500
8,300 Massachusetts State Port Authority, Revenue Refunding Bonds, VRDN, AMT,
Series B, 4% due 7/01/2018 (a) 8,300
2,555 Massachusetts State Water Resources Authority, VRDN, Series SG-63,
3.90% due 8/01/2024 (a) 2,555
5,600 New Bedford, Massachusetts, RAN, 4.50% due 6/30/1997 5,622
4,900 North Andover, Massachusetts, BAN, UT, 4% due 1/10/1997 4,903
608 North Andover, Massachusetts, SAAN, 4.19% due 1/23/1997 609
4,000 Southeastern Regional Transportation Authority, Massachusetts, RAN,
4.50% due 9/19/1997 (d) 4,017
1,800 Springfield, Massachusetts, BAN, 4.25% due 2/14/1997 1,803
2,080 Webster, Massachusetts, SAAN, 3.75% due 12/06/1996 (d) 2,081
Total Investments (Cost--$180,440*)--102.3% 180,440
Liabilities in Excess of Other Assets--(2.3%) (4,005)
--------
Net Assets--100.0% $176,435
========
<FN>
(a)The interest rate is subject to change periodically based on
certain indexes. The interest rate shown is the rate in effect at
September 30, 1996.
(b)AMBAC Insured.
(c)MBIA Insured.
(d)Bank Qualified.
(e)FNMA Collateralized.
*Cost for Federal income tax purposes.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
CMA MASSACHUSETTS MUNICIPAL MONEY FUND
STATEMENT OF ASSETS AND LIABILITIES AS OF SEPTEMBER 30, 1996
<S> <C> <C>
Assets:
Investments, at value (identified cost--$180,440,466) (Note 1a) $ 180,440,466
Cash 216,171
Interest receivable 1,507,015
Prepaid registration fees and other assets (Note 1d) 59,227
-------------
Total assets 182,222,879
-------------
Liabilities:
Payables:
Securities purchased $ 5,600,000
Investment adviser (Note 2) 76,028
Distributor (Note 2) 45,739
Beneficial interest redeemed 29 5,721,796
-------------
Accrued expenses and other liabilities 66,055
-------------
Total liabilities 5,787,851
-------------
Net Assets $ 176,435,028
=============
Net Assets Consist of:
Shares of beneficial interest, $0.10 par value, unlimited number of shares authorized $ 17,645,348
Paid-in capital in excess of par 158,808,031
Accumulated realized capital losses--net (Note 4) (18,351)
-------------
Net Assets--Equivalent to $1.00 per share based on 176,453,478 shares of beneficial
interest outstanding $ 176,435,028
=============
See Notes to Financial Statements.
</TABLE>
<TABLE>
CMA MASSACHUSETTS MUNICIPAL MONEY FUND
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1996
<S> <C> <C>
Investment Income (Note 1c):
Interest and amortization of premium earned $ 3,300,083
Expenses:
Investment advisory fees (Note 2) $ 466,796
Distribution fees (Note 2) 115,182
Transfer agent fees (Note 2) 26,570
Professional fees 26,477
Accounting services (Note 2) 24,741
Registration fees (Note 1d) 22,867
Printing and shareholder reports 12,863
Custodian fees 8,315
Pricing fees 2,097
Trustees' fees and expenses 907
Other 1,343
-------------
<PAGE>
Total expenses 708,158
-------------
Investment income--net 2,591,925
-------------
Net Increase in Net Assets Resulting from Operations $ 2,591,925
=============
See Notes to Financial Statements.
</TABLE>
<TABLE>
CMA MASSACHUSETTS MUNICIPAL MONEY FUND
STATEMENTS OF CHANGES IN NET ASSETS
<CAPTION>
For the Six For the
Months Ended Year Ended
Increase (Decrease) in Net Assets: Sept. 30, 1996 March 31, 1996
<S> <C> <C>
Operations:
Investment income--net $ 2,591,925 $ 5,180,721
Realized loss on investments--net -- (6,750)
------------- -------------
Net increase in net assets resulting from operations 2,591,925 5,173,971
------------- -------------
Dividends to Shareholders (Note 1e):
Investment income--net (2,591,925) (5,180,721)
------------- -------------
Net decrease in net assets resulting from dividends to shareholders (2,591,925) (5,180,721)
------------- -------------
Beneficial Interest Transactions (Note 3):
Net proceeds from sale of shares 334,305,885 659,752,882
Net asset value of shares issued to shareholders in reinvestment of dividends
(Note 1e) 2,592,239 5,180,565
------------- -------------
336,898,124 664,933,447
Cost of shares redeemed (349,945,348) (636,520,287)
------------- -------------
Net increase (decrease) in net assets derived from beneficial interest transactions (13,047,224) 28,413,160
------------- -------------
Net Assets:
Total increase (decrease) in net assets (13,047,224) 28,406,410
Beginning of period 189,482,252 161,075,842
------------- -------------
End of period $ 176,435,028 $ 189,482,252
============= =============
<PAGE>
See Notes to Financial Statements.
</TABLE>
<TABLE>
CMA MASSACHUSETTS MUNICIPAL MONEY FUND
FINANCIAL HIGHLIGHTS
<CAPTION>
For the
The following per share data and ratios have been derived Six Months
from information provided in the financial statements. Ended
September 30, For the Year Ended March 31,
Increase (Decrease) in Net Asset Value: 1996 1996 1995 1994 1993
<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 .02 .02 .02
-------- -------- -------- -------- --------
Total from investment operations .01 .03 .02 .02 .02
-------- -------- -------- -------- --------
Less dividends from investment income--net (.01) (.03) (.02) (.02) (.02)
-------- -------- -------- -------- --------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ========
Total Investment Return 2.77%* 3.05% 2.46% 1.74% 2.20%
======== ======== ======== ======== ========
Ratios to Average Net Assets:
Expenses .76%* .76% .76% .78% .78%
======== ======== ======== ======== ========
Investment income--net 2.77%* 3.00% 2.43% 1.72% 2.15%
======== ======== ======== ======== ========
Supplemental Data:
Net assets, end of period (in thousands) $176,435 $189,482 $161,076 $150,804 $132,302
======== ======== ======== ======== ========
<FN>
*Annualized.
See Notes to Financial Statements.
</TABLE>
CMA MASSACHUSETTS MUNICIPAL MONEY FUND
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies:
CMA Massachusetts Municipal Money Fund (the "Fund") is part of CMA
Multi-State Municipal Series Trust (the "Trust"). The Fund is
registered under the Investment Company Act of 1940 as a non-
diversified, open-end management investment company. 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.
<PAGE>
(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 substantially 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 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" or "Adviser"). 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: 0.50%
of the first $500 million of average daily net assets; 0.425% of
average daily net assets in excess of $500 million but not exceeding
$1 billion; and 0.375% of average daily net assets in excess of $1
billion.
<PAGE>
CMA MASSACHUSETTS MUNICIPAL MONEY 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 Inc. ("MLPF&S") receives a
distribution fee from the Fund at the end of each month at the
annual rate of 0.125% of 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.
Merrill Lynch Financial Data Services, Inc. ("MLFDS"), 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, MLPF&S, MLFDS, and/or ML & Co.
3. Shares of Beneficial Interest:
The number of shares purchased and redeemed during the period
corresponds to the amounts included in the Statements of Changes in
Net Assets for net proceeds from sale of shares and cost of shares
redeemed, respectively, since shares are recorded at $1.00 per
share.
4. Capital Loss Carryforward:
At March 31, 1996, the Fund had a net capital loss carryforward of
approximately $18,000, of which $4,000 expires in 2001, $7,000
expires in 2002, and $7,000 expires in 2004. This amount will be
available to offset like amounts of any future taxable gains.
CMA MASSACHUSETTS MUNICIPAL MONEY FUND
<PAGE>
Officers and Trustees
Arthur Zeikel--President and Trustee
Ronald W. Forbes--Trustee
Cynthia A. Montgomery--Trustee
Charles C. Reilly--Trustee
Kevin A. Ryan--Trustee
Richard R. West--Trustee
Terry K. Glenn--Executive Vice President
Vincent R. Giordano--Senior Vice President
Edward J. Andrews--Vice President
Donald C. Burke--Vice President
Peter J. Hayes--Vice President
Kenneth A. Jacob--Vice President
Kevin A. Schiatta--Vice President
Helen Marie Sheehan--Vice President
Gerald M. Richard--Treasurer
Robert Harris--Secretary
Custodian
State Street Bank and Trust Company
P.O. Box 1713
Boston, Massachusetts 02101
Transfer Agent
Merrill Lynch Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, Florida 32246-6484
(800) 221-7210*
[FN]
*For inquiries regarding your CMA account,
call (800) CMA-INFO [(800) 262-4636].
