CMA MASSACHUSETTS
MUNICIPAL MONEY FUND
Semi-Annual Report
September 30, 1997
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.
CMA Massachusetts
Municipal Money Fund
Box 9011
Princeton, NJ 08543-9011 #11283 -- 9/97
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Printed on post-consumer recycled paper
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[MERRILL LYNCH BULL LOGO]
TO OUR SHAREHOLDERS:
For the six-month period ended September 30, 1997, CMA Massachusetts
Municipal Money Fund paid shareholders a net annualized yield of
3.03%*. As of September 30, 1997, the Fund's 7-day yield was 3.24%.
Economic Environment and
Investment Strategy
The commonwealth of Massachusetts' economy continued to exhibit
above-average growth during the six-month period ended September 30,
1997. With consumer confidence in Massachusetts at its highest point
since the early 1990s and income growth once again above the national
average, economic strength has been distributed across an array of
sectors. The housing sector, which has been one beneficiary of the
positive economic conditions, has experienced new highs in house prices
in many areas around the Boston area. Broad-based employment growth in
Massachusetts is currently at 2.3%, which is just above the national
average. This growth has translated into seasonally adjusted
unemployment levels for the period being reported below the national
average, which is in the 4% range. The one caveat to the economic growth
is that the Massachusetts economy is becoming increasingly supply
constrained. Labor shortages, which were once limited to highly skilled
occupations, are now being reported for unskilled occupations. With one
of the highest costs of living in the country, Massachusetts is unable
to attract a net flow of migrants into the state. Thus, the
commonwealth's job growth is likely to slow, simply because enough
workers cannot be found for the jobs that are open.
Governor Weld, who resigned his post as Governor to pursue an
ambassadorship bid to Mexico, signed his final budget during the six-
month period. The total 1998 fiscal budget amounted to $18.4 billion
and represented the commonwealth's eighth consecutive balanced budget.
This 1998 fiscal budget increases spending by 3.8% over last year's
budget and includes increases of $259 million for education reform,
$288 million more in aid to cities and towns and about $50 million for
higher education. In addition, newly appointed acting Governor
Cellucci, recognizing the commonwealth's positive economic situation,
proposed a bill which would reduce personal income taxes over four
years to 5% from 5.95%.
The strong economic growth experienced by the commonwealth continued
to translate into positive revenue streams. Total revenue collections
for fiscal year 1997 were $12.9 billion, which exceeded budget
estimates by 2.8% and the comparable period last year by 6.7%. In
addition, through the first three months of fiscal year 1998 total
revenue collections amounted to $3.1 billion, or 7.4% above the
comparable period last year. This strong revenue stream continued to
provide the commonwealth with enough cushion to limit borrowing in the
short-term municipal market. This borrowing was limited to issuing
$271 million in variable rate demand notes to finance daily operations
and pay down $240 million in outstanding June short-term municipal
notes. Positive economic growth also continued to translate into
reduced borrowings by the various Massachusetts municipalities which
registered a moderate $982 million for the six-month period ended
September 30, 1997.
As discussed in our March 31, 1997 letter to shareholders, CMA
Massachusetts Municipal Money Fund had adopted a defensive approach to
the market. In April, we had allowed the Fund's average life to
decline to the 35-day range as we prepared to meet tax-related
redemptions by replacing maturing short-term municipal notes with
variable rate demand notes (VRDNs). This strategy benefited the Fund
as the seasonal effect of low subscriptions and high redemptions,
combined with a large inventory of dealer held VRDN products,
contributed to attractive VRDN yields.
In May and June, supply imbalances were no different than in April.
Combined with a mixture of economic data and an uncertain Federal
Reserve Board (FRB) monetary policy, other than for diversification
purposes, there was little incentive to participate in the one-year
municipal note market. During the first three months of the period
ended September 30, 1997, we selectively purchased six-month municipal
note maturities for diversification purposes as yields on one-year
municipal notes were only marginally higher. In July, larger money
fund subscriptions combined with large corporate demand allowed the
municipal yield curve to shift as VRDN yields were maintained below
municipal note and commercial paper levels. In addition, despite
continued economic strength, inflationary data remained subdued, and
the FRB remained on the sidelines. This combination of factors gave
investors renewed confidence, which allowed the Treasury market to
rally and interest rates in the six-month and one-year sectors to fall
approximately 20 basis points and 45 basis points (0.20% and 0.45%),
respectively. This rally in the Treasury market forced municipal
market investors to scramble to extend their average life as yields on
one-year notes declined approximately 10 basis points--15 basis
points. We changed our strategy to a more neutral approach by
selectively purchasing longer-dated municipal notes, increasing the
average portfolio maturity to the 60-day range. This strategy was
continued throughout August and September with little incentive to
deviate from it.
Looking ahead, we expect to continue to maintain a neutral approach to
the market, selectively participating in the longer-dated municipal
note market. Despite the FRB's reluctance to change monetary policy
thus far and inconclusive economic data, we will proceed cautiously as
employment reports continue to suggest that tight labor conditions
exist. These tight labor conditions combined with the potential of
increased economic activity created by low interest rates could
ultimately pose an inflation threat and force the FRB to increase
interest rates. We will continue to monitor and adjust our market
strategy as economic conditions change. However, we expect that the
commonwealth's strong economic performance will reduce short-term note
issuance. We continue to closely monitor credit quality while seeking
an attractive tax-exempt yield for our 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,
/S/ARTHUR ZEIKEL
Arthur Zeikel
President
/S/VINCENT R. GIORDANO
Vincent R. Giordano
Senior Vice President
/S/KEVIN A. SCHIATTA
Kevin A. Schiatta
Vice President and Portfolio Manager
November 3, 1997
* Based on a constant investment throughout the period, with dividends
compounded daily, and reflecting a net return to the investor after
all expenses.
<TABLE>
<CAPTION>
CMA Massachusetts Municipal Money Fund
Schedule of Investments as of September 30, 1997 (in Thousands)
Face Value
State Amount Issue (Note 1a)
<S> <C> <C> <C>
Massachusetts -- $2,950 Boston, Massachusetts, IDR (Boston Seafood Distribution Center Inc.
99.4% Project), VRDN, AMT, 4.10% due 1/01/2022 (a) $2,950
2,800 Boston, Massachusetts, Industrial Development Financing Authority,
Industrial Revenue Bonds (Acme Bookbinding Co., Inc.), VRDN, AMT,
3.95% due 9/01/2006 (a) 2,800
5,000 Boston, Massachusetts, Water and Sewer Commission Revenue Bonds, VRDN,
Series SG-75, 4.20% due 11/01/2019 (a)(c) 5,000
3,400 Central Berkshire, Massachusetts, Regional School District, BAN, 4.25% due
7/15/1998 3,406
2,000 Clipper Tax-Exempt Trust 1994-2, VRDN, Class A, 3.89% due 10/17/2002 (a) 2,000
Eagle Tax-Exempt Trust, Massachusetts, GO, Series 93A, VRDN (a):
1,900 4.18% due 2/01/2006 1,900
9,200 4.18% due 2/01/2011 9,200
7,578 Falmouth, Massachusetts, BAN, UT, 4% due 11/14/1997 7,580
2,750 Fitchburg, Massachusetts, BAN, 4.25% due 6/05/1998 2,754
Gloucester, Massachusetts:
5,000 BAN, 4% due 8/07/1998 5,005
2,155 SAAN, 3.96% due 11/06/1997 2,155
5,000 Lynn, Massachusetts, BAN, 4.10% due 4/14/1998 5,007
3,245 Lynn, Massachusetts, Water and Sewer Commission, BAN, UT, Series A,
4.25% due 10/08/1997 3,245
4,500 Malden, Massachusetts, BAN, 4% due 11/03/1997 4,501
5,000 Massachusetts State, GO, VRDN, Series SG-38, 4.20% due 8/01/2014 (a)(c) 5,000
5,400 Massachusetts State, HFA, Housing Revenue Bonds, Series 50, 3.90%
due 6/01/1998 5,400
3,900 Massachusetts State, HFA, M/F Housing Project, Refunding, VRDN, Series A,
3.90% due 1/15/2010 (a)(b) 3,900
Massachusetts State Health and Educational Facilities Authority Revenue Bonds:
8,500 (Boston University), CP, Series H, 3.80% due 1/21/1998 8,500
5,500 (Partners Healthcare System), VRDN, 4.05% due 7/01/2027 (a)(d) 5,500
7,193 (Williams College), VRDN, Series E, 4.15% due 8/01/2014 (a) 7,193
1,300 Massachusetts State Industrial Finance Agency, Cultural, Health and
Educational Revenue Bonds (Berkshire Project), VRDN, 3.95% due
9/01/2020 (a) 1,300
3,600 Massachusetts State Industrial Finance Agency, Health Care Facility
Revenue Bonds (Beverly Enterprises, Inc.), VRDN, 4% due 4/01/2009 (a) 3,600
Massachusetts State Industrial Finance Agency, Industrial Revenue Bonds:
3,150 (James F. and Judith Matthews Issue), AMT, 3.90% due 9/01/2013 3,150
3,150 (Matco Electric Group Inc. Issue), AMT, 3.90% due 9/01/2004 3,150
5,500 (New England Power Company Project), CP, 3.80% due 10/14/1997 5,500
Massachusetts State Industrial Finance Agency, Industrial Revenue Bonds,
VRDN (a):
3,400 (225 Bodwell Corp. Project), AMT, 4.15% due 7/01/2017 3,400
3,390 (AFC Cable Systems Inc.), AMT, 3.95% due 7/01/2016 3,390
1,000 (America Technology Corp. & RDL Holdings Ltd. Project), AMT,
4.15% due 8/01/2022 1,000
2,000 (BBB Esq. LLC), AMT, Series B, 4.15% due 12/01/2016 2,000
1,700 (Carand Realty Trust), AMT, 4.05% due 5/01/2017 1,700
3,700 (Foilmark Manufacturing), AMT, Series A, 4.10% due 6/01/2010 3,700
3,990 (The Gem Group Inc.), AMT, 3.95% due 7/01/2016 3,990
2,300 (The KMS Companies Issue), AMT, 4.05% due 5/01/2016 2,300
1,000 (Mercer Paper Tube Corp.), AMT, 4.25% due 11/01/2011 1,000
7,180 (Performance Corrugated Inc. Project), AMT, 4.25% due 3/01/2009 7,180
1,455 Refunding (Easy Day Realty Trust Project), Series A, 4.05% due 7/01/2006 1,455
3,290 Refunding (New England Biolabs), AMT, 4.15% due 3/01/2016 3,290
3,350 (Telcom USA Inc.), AMT, Series A, 3.95% due 8/01/2016 3,350
3,155 (William F. Rogers Issue), AMT, Series B, 3.95% due 11/01/2006 3,155
4,895 (ZBR Limited Partnership), AMT, 3.95% due 4/15/2015 4,895
1,500 (ZBR Limited Partnership), AMT, 3.95% due 4/15/2017 1,500
Massachusetts State Industrial Finance Agency, PCR, VRDN (a):
4,000 (Holyoke Water & Power Company Project), AMT, 4.05% due
12/01/2020 4,000
2,000 Refunding (New England Power Company Project), 4.05% due 10/01/2022 2,000
Massachusetts State Industrial Finance Agency Revenue Bonds, VRDN (a):
1,380 (Edgewood Retirement Community Project), Series C, 4% due 11/15/2025 1,380
3,000 (Governor Dummer Academy), 3.95% due 7/01/2026 3,000
1,825 (Heritage at Dartmouth Project), AMT, 4.15% due 12/01/2028 1,825
4,500 (Williston Northampton Project), Series B, 4% due 4/01/2024 4,500
2,940 Massachusetts State Industrial Finance Agency, Solid Waste Disposal
Revenue Bonds (E.L. Harvey and Sons), VRDN, AMT, 3.95% due 1/01/2011 (a) 2,940
11,000 Massachusetts State Port Authority, Revenue Refunding Bonds, VRDN,
AMT, Series B, 4.05% due 7/01/2018 (a) 11,000
6,000 Massachusetts State Water Resources Authority, CP, 3.80% due 12/11/1997 6,000
2,555 Massachusetts State Water Resources Authority, VRDN, Series SG-63, 4.20%
due 8/01/2024 (a)(c) 2,555
6,300 Natick, Massachusetts, BAN, 4.25% due 8/07/1998 6,318
4,200 New Bedford, Massachusetts, RAN, 4.30% due 6/30/1998 4,212
3,295 North Attleborough, Massachusetts, BAN, 4.25% due 5/15/1998 3,298
3,000 Springfield, Massachusetts, BAN, 4.40% due 6/26/1998 3,010
1,663 Tisbury, Massachusetts, BAN, 4.25% due 3/20/1998 1,665
6,710 Weston, Massachusetts, BAN, 4.09% due 10/01/1997 6,710
6,400 Worcester, Massachusetts, Regional Transportation Authority, RAN,
4.25% due 6/19/1998 6,415
----------
Total Investments (Cost -- $227,829*) -- 99.4% 227,829
Other Assets Less Liabilities -- 0.6% 1,365
----------
Net Assets --100.0% $229,194
==========
(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, 1997.
(b) FNMA Collateralized.
(c) MBIA Insured.
(d) FSA Insured.
* Cost for Federal income tax purposes.
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
IDR Industrial Development Revenue Bonds
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
See Notes to Financial Statements.
</TABLE>
<TABLE>
<CAPTION>
CMA Massachusetts Municipal Money Fund
Statement of Assets and Liabilities as of September 30, 1997
<S> <C> <C>
Assets:
Investments, at value (identified cost -- $227,829,433) (Note 1a) $227,829,433
Cash 88,764
Interest receivable 1,391,390
Prepaid registration fees and other assets (Note 1d) 101,722
-------------
Total assets 229,411,309
-------------
Liabilities:
Payables:
Investment adviser (Note 2) $101,808
Distributor (Note 2) 50,099 151,907
-------------
Accrued expenses and other liabilities 65,328
-------------
Total liabilities 217,235
-------------
Net Assets $229,194,074
=============
Net Assets Consist of:
Shares of beneficial interest, $0.10 par value, unlimited number of shares
authorized $22,920,955
Paid-in capital in excess of par 206,288,497
Accumulated realized capital losses -- net (Note 4) (15,378)
-------------
Net Assets -- Equivalent to $1.00 per share based on 229,209,551 shares of beneficial
interest outstanding $229,194,074
=============
See Notes to Financial Statements.
</TABLE>
<TABLE>
<CAPTION>
CMA Massachusetts Municipal Money Fund
Statement of Operations for the Six Months Ended September 30, 1997
<S> <C> <C>
Investment Income (Note 1c):
Interest and amortization of premium earned $3,978,013
Expenses:
Investment advisory fees (Note 2) $529,439
Distribution fees (Note 2) 127,019
Transfer agent fees (Note 2) 27,001
Accounting services (Note 2) 25,007
Professional fees 23,400
Registration fees (Note 1d) 14,892
Printing and shareholder reports 10,910
Custodian fees 9,836
Pricing fees 2,431
Trustees' fees and expenses 887
Other 1,422
-------------
Total expenses 772,244
-------------
Investment income -- net 3,205,769
-------------
Net Increase in Net Assets Resulting from Operations $3,205,769
=============
See Notes to Financial Statements.
</TABLE>
<TABLE>
<CAPTION>
CMA Massachusetts Municipal Money Fund
Statements of Changes in Net Assets
For the Six For the
Months Ended Year Ended
Increase (Decrease) in Net Assets: Sept. 30, 1997 March 31, 1997
<S> <C> <C>
Operations:
Investment income -- net $3,205,769 $5,233,385
Realized gain on investments -- net -- 2,973
------------- -------------
Net increase in net assets resulting from operations 3,205,769 5,236,358
------------- -------------
Dividends to Shareholders (Note 1e):
Investment income -- net (3,205,769) (5,233,385)
------------- -------------
Net decrease in net assets resulting from dividends to shareholders (3,205,769) (5,233,385)
------------- -------------
Beneficial Interest Transactions (Note 3):
Net proceeds from sale of shares 513,923,956 725,445,153
Net asset value of shares issued to shareholders in reinvestment of dividends
(Note 1e) 3,205,044 5,233,764
------------- -------------
517,129,000 730,678,917
Cost of shares redeemed (488,533,324) (719,565,744)
------------- -------------
Net increase in net assets derived from beneficial interest transactions 28,595,676 11,113,173
------------- -------------
Net Assets:
Total increase in net assets 28,595,676 11,116,146
Beginning of period 200,598,398 189,482,252
------------- -------------
End of period $229,194,074 $200,598,398
============= =============
See Notes to Financial Statements.
</TABLE>
<TABLE>
<CAPTION>
CMA Massachusetts Municipal Money Fund
Financial Highlights
For the
Six Months
The following per share data and ratios have been derived Ended
from information provided in the financial statements. Sept. 30, For the Year Ended March 31,
1997 1997 1996 1995 1994
Increase (Decrease) in Net Asset Value:
<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 .02 .03 .03 .02 .02
----------- ----------- ----------- ----------- -----------
Total from investment operations .02 .03 .03 .02 .02
----------- ----------- ----------- ----------- -----------
Less dividends from investment income -- net (.02) (.03) (.03) (.02) (.02)
----------- ----------- ----------- ----------- -----------
Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00
=========== =========== =========== =========== ===========
Total Investment Return 3.03%* 2.84% 3.04% 2.46% 1.74%
=========== =========== =========== =========== ===========
Ratios to Average Net Assets:
Expenses .73%* .76% .76% .76% .78%
=========== =========== =========== =========== ===========
Investment income -- net 3.03%* 2.78% 3.00% 2.43% 1.72%
=========== =========== =========== =========== ===========
Supplemental Data:
Net assets, end of period (in thousands) $229,194 $200,598 $189,482 $161,076 $150,804
=========== =========== =========== =========== ===========
* 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.
(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 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: 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.
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, 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, 1997, the Fund had a net capital loss carryforward of
approximately $15,000, of which $1,000 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
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
Steven T. Lewis -- Vice President
Darrin J. SanFillippo -- 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 351
Boston, MA 02101
Transfer Agent
Merrill Lynch Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
(800) 221-7210*
* For inquiries regarding your CMA account, call (800) CMA-INFO
[(800) 262-4636].
