[LOGO] CMA
CMA MASSACHUSETTS
MUNICIPAL MONEY FUND
[Graphic omitted]
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Annual Report
March 31, 1998
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[LOGO] Merrill Lynch
<PAGE>
TO OUR SHAREHOLDERS:
For the year ended March 31, 1998, CMA Massachusetts Municipal Money Fund paid
shareholders a net annualized yield of 3.03%.* As of March 31, 1998, the Fund's
7-day yield was 2.91%.
Economic Environment and
Investment Strategy
Economic growth in the commonwealth of Massachusetts remained strong throughout
the six-month period ended March 31, 1998. As a result of the commonwealth's
strong cyclical expansion, there continues to be a strong demand for labor. This
demand has allowed the seasonally adjusted unemployment rate to fall below 4%.
The financial markets continued to generate positive results, which have
contributed to the growth in the banking and finance sector. In addition,
exponential changes in technology and the impending problems of converting
computer systems to handle the year 2000 have contributed to the growth in the
high-tech sector. However, the construction industry has been the
fastest-growing sector during the period.
Residential home construction has benefited from high consumer confidence, low
mortgage rates and high personal-income levels, allowing builders to push up
permit activity, especially in the multi-family area. Commercial construction is
also rapidly expanding as planned corporate expansions continue to increase the
demand for space, while public work projects, such as the Central Artery Project
in Boston, and many new hotels are slated for construction.
The strength in the economic condition of the commonwealth continues to
translate into positive revenue streams. For the nine-month period ended March
31, 1998 in the commonwealth's fiscal year 1998, total revenue collections
amounted to $9.7 billion or 7.3% over the comparable period last year and above
budget estimates. These positive revenue streams allowed the commonwealth to
avoid any additional borrowings in the short-term municipal market, other than
the previously issued variable rate demand notes (VRDN), to finance daily
activities. Massachusetts' municipalities also continue to benefit from strong
economic conditions, as borrowing levels for the period remained moderate at
$659 million.
During the six-month period ended March 31, 1998, Governor Paul Cellucci
proposed a budget for fiscal year 1999 in the amount of $19.1 billion. This
proposed budget calls for a cut in the state income tax over three years from
5.95% to 5%, eliminating the state capital gains tax on the sale of homes, a tax
cut for individuals who care for elderly family members, as well as a reduction
on the income tax on interest and dividends from 12% to 5% over five fiscal
years. The proposed budget also focuses on education by increasing spending $309
million as incentive for school districts to hire up to 4,000 new teachers and
increasing aid to cities and towns by $340 million. Overall spending for fiscal
year 1999 is proposed to increase 3.4%.
As we discussed in our last report to shareholders, we continued to maintain a
neutral approach to the market. This strategy proved to be an appropriate one as
economic statistics continued to be contradictory, with tight labor conditions
and economic strength being offset by benign inflationary data. The Federal
Reserve Board also maintained an unchanged
* Based on a constant investment throughout the period, with dividends
compounded daily, and reflecting a net return to the investor after all
expenses.
1
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interest rate policy with the Federal Funds rate maintained at 5.50% for the
duration of the period. In addition, further complicating the economic picture
was the unfolding of the financial crisis in Asia during the first half of the
period. The turmoil that was created by the Asian crisis continues to leave
questions as to the impact on our own economy as well as what decisions the
Federal Reserve Board might make on interest rates in the coming months.
We maintained the average portfolio maturity of the Fund in the 65-day range for
the first three months of the period and allowed the average maturity to decline
to the 45-day range by the end of the period. We were able to accomplish this by
selectively purchasing municipal notes as the various Massachusetts
municipalities completed their annual issuance. We utilized this period as an
opportunity to prepare for an anticipated shortage of municipal note issuance in
the second half of the period. We took advantage of a spike in VRDN yields
created from year-end pressures and then began to reduce our exposure to these
VRDN securities toward the end of December. The primary reason for this
reduction in VRDN securities was the anticipation of a decline in such yields
during the second half of the period created from large supply imbalances.
Overall, the Fund was well situated during the year to take advantage of market
conditions as they presented themselves, while offering an attractive tax-exempt
yield to its shareholders.
In the months ahead, we will concentrate on building liquidity during the months
of April and May as we prepare to meet seasonal tax-related redemptions. We will
continue to maintain a neutral approach to the market as uncertainties still
exist regarding the economic situation in Asia and its impact on the US economy.
We will selectively pursue short-term municipal notes for diversification
purposes when attractive opportunities exist. We will also continue to monitor
and adjust our investment strategy as economic conditions change. However,
because of the strong economic performance of the commonwealth, we continue to
expect a reduced amount of short-term note issuance. We continue to closely
monitor the Fund's credit quality, while seeking to offer an attractive
tax-exempt yield to 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
May 4, 1998
2
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CMA MASSACHUSETTS MUNICIPAL MONEY FUND
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1998 (IN THOUSANDS)
<TABLE>
<CAPTION>
Face Value
State Amount Issue (Note 1a)
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<S> <C> <C> <C>
Massachusetts- $ 4,350 Amesbury, Massachusetts, BAN, 4.25% due 10/01/1998 ............................ $ 4,363
99.1% 2,950 Boston, Massachusetts, IDR (Boston Seafood Distribution Center Inc. Project),
VRDN, AMT, 3.55% due 1/01/2022 (a) ............................................ 2,950
2,725 Boston, Massachusetts, IDR, Industrial Financing Authority, (Acme
Bookbinding Co., Inc.), VRDN, AMT, 3.60% due 9/01/2006 (a) .................... 2,725
5,000 Boston, Massachusetts, Water and Sewer Commission Revenue Bonds, VRDN,
Series SG-75, 3.75% due 11/01/2019 (a)(c) ..................................... 5,000
3,400 Central Berkshire, Massachusetts, Regional School District, BAN,
4.25% due 7/15/1998 ........................................................... 3,402
Eagle Tax-Exempt Trust, Massachusetts, GO, VRDN, Series 93A (a):
1,900 3.77% due 2/01/2006 ....................................................... 1,900
9,200 3.77% due 2/01/2011 ....................................................... 9,200
2,750 Fitchburg, Massachusetts, BAN, 4.25% due 6/05/1998 ............................ 2,751
5,000 Gloucester, Massachusetts, BAN, 4% due 8/07/1998 .............................. 5,002
2,200 Holliston, Massachusetts, BAN, 4.25% due 10/15/1998 ........................... 2,205
4,350 Leominster, Massachusetts, BAN, 4.20% due 12/17/1998 .......................... 4,356
4,200 Littleton, Massachusetts, BAN, 4.15% due 10/16/1998 ........................... 4,205
2,950 Lowell, Massachusetts, Regional Transportation Authority, RAN,
4.25% due 7/17/1998 ........................................................... 2,953
5,000 Lynn, Massachusetts, BAN, 4.10% due 4/14/1998 ................................. 5,001
5,000 Massachusetts State, GO, VRDN, Series SG-38, 3.75% 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
3,800 Massachusetts State, HFA, M/F Housing Project, Refunding, VRDN, Series A,
3.45% due 1/15/2010 (a)(b) .................................................... 3,800
Massachusetts State Health and Educational Facilities Authority Revenue Bonds:
10,000 (Boston University), CP, Series H, 3.50% due 4/01/1998 .................... 10,000
5,500 (Partners Healthcare Systems), VRDN, Series P-2, 3.45% due 7/01/2027 (a)(d) 5,500
6,500 Massachusetts State Industrial Finance Agency, Health Care Facility Revenue
Bonds (Beverly Enterprises, Inc.), VRDN, 3.65% due 4/01/2009 (a) .............. 6,500
Massachusetts State Industrial Finance Agency, IDR, VRDN, AMT (a):
2,900 (Garlock Printing & Converting Corp. Issue), 3.60% due 12/01/2017 ......... 2,900
3,150 (James F. and Judith Matthews Issue), 3.95% due 9/01/2013 ................. 3,150
3,150 (Matco Electric Group Inc. Issue), 3.95% due 7/01/2004 .................... 3,150
6,500 (Star Container Corp. Issue), 3.60% due 2/01/2018 ......................... 6,500
</TABLE>
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
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CMA MASSACHUSETTS MUNICIPAL MONEY FUND
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1998 (IN THOUSANDS)
<TABLE>
<CAPTION>
Face Value
State Amount Issue (Note 1a)
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<S> <C> <C> <C>
Massachusetts Massachusetts State Industrial Finance Agency, Industrial Revenue Bonds,
(continued) VRDN (a):
$ 3,400 (225 Bodwell Corp. Project), AMT, 3.70% due 7/01/2017 ..................... $ 3,400
3,390 (AFC Cable Systems Inc. Issue), AMT, 3.60% due 7/01/2016 .................. 3,390
2,000 (America Technology Corp. & RDLHoldings Ltd. Project),
3.70% due 8/01/2022 ....................................................... 2,000
2,000 (BBB Esq. LLC), AMT, Series B, 3.70% due 12/01/2016 ....................... 2,000
1,700 (Carand Realty Trust Issue), AMT, 3.70% due 5/01/2017 ..................... 1,700
3,700 (Foilmark Manufacturing), AMT, Series A, 3.60% due 6/01/2010 .............. 3,700
3,990 (The Gem Group Inc. Issue), AMT, 3.60% due 7/01/2016 ...................... 3,990
2,150 (Haverdyn Co. LLC Issue), AMT, 3.70% due 9/01/2017 ........................ 2,150
1,900 (ICC Realty Association LPProject), AMT, 3.70% due 2/01/2016 .............. 1,900
3,300 (Mercer Paper Tube Corp.), AMT, 3.95% due 11/01/2011 ...................... 3,300
1,600 (October Co. Inc. Project), AMT, 3.70% due 12/01/2017 ..................... 1,600
6,760 (Performance Corrugated Inc. Project), AMT, 3.90% due 3/01/2009 ........... 6,760
1,375 Refunding (Easy Day Realty Trust Project), Series A, 3.40% due 7/01/2006 .. 1,375
4,400 Refunding (Lightolier Inc. Project), 3.65% due 7/29/2010 .................. 4,400
3,115 Refunding (New England Biolabs), AMT, 3.70% due 3/01/2016 ................. 3,115
4,800 Refunding (Showa Women's Institute Inc.), 3.65% due 3/15/2004 ............. 4,800
2,000 (Sterling Realty Trust LLC Project), 3.70% due 12/01/2017 ................. 2,000
720 (Techprint/Techgraphics), AMT, 3.60% due 6/01/2017 ........................ 720
3,350 (Telcom USA Inc. Issue), AMT, Series A, 3.60% due 8/01/2016 ............... 3,350
3,380 (WBC Extrusion Project), AMT, 3.60% due 4/01/2006 ......................... 3,380
2,925 (William F. Rogers Issue), AMT, Series B, 3.60% due 11/01/2006 ............ 2,925
4,895 (ZBR Limited Partnership), AMT, 3.60% due 4/15/2015 ....................... 4,895
1,500 (ZBR Limited Partnership), AMT, 3.60% due 4/15/2017 ....................... 1,500
Massachusetts State Industrial Finance Agency, PCR:
4,000 (Holyoke Water & Power Company Project), VRDN, AMT,
3.35% due 12/01/2020 (a) .................................................. 4,000
5,500 Refunding (New England Power Company Project), CP, 3.45% due 4/28/1998 .... 5,500
Massachusetts State Industrial Finance Agency Revenue Bonds, VRDN (a):
1,500 (Eastern Nazarene College), 3.55% due 10/01/2027 .......................... 1,500
135 (Edgewood Retirement Community Project), Series C, 3.70% due 11/15/2025 ... 135
3,500 (Gordon College Issue), 3.55% due 12/01/2027 .............................. 3,500
3,000 (Governor Dummer Academy), 3.55% due 12/01/2026 ........................... 3,000
1,825 (Heritage at Dartmouth Project), AMT, 3.50% due 12/01/2028 ................ 1,825
3,000 (Mount Ida College Issue), 3.55% due 7/01/2027 ............................ 3,000
4,500 (Williston Northampton Project), Series B, 3.45% due 4/01/2024 ............ 4,500
2,730 Massachusetts State Industrial Finance Agency, Solid Waste Disposal Revenue
Bonds (E.L. Harvey and Sons), VRDN, AMT, 3.60% due 1/01/2011 (a) .............. 2,730
2,400 Massachusetts State Port Authority, Revenue Refunding Bonds, VRDN,
AMT, Series B, 3.70% due 7/01/2018 (a) ........................................ 2,400
9,595 Massachusetts State Turnpike Authority, Western Turnpike Revenue Bonds,
VRDN, 3.80% due 1/01/2017 (a) ................................................. 9,595
2,700 Massachusetts Technology Park Corp. Promissory Note, 3.90% due 7/31/1998 ...... 2,700
6,300 Natick, Massachusetts, BAN, 4.25% due 8/07/1998 ............................... 6,308
4,200 New Bedford, Massachusetts, RAN, 4.30% due 6/30/1998 .......................... 4,204
North Attleborough, Massachusetts, BAN:
3,295 4.25% due 5/15/1998 ....................................................... 3,296
2,242 UT, 4.25% due 9/25/1998 ................................................... 2,246
</TABLE>
4
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CMA MASSACHUSETTS MUNICIPAL MONEY FUND
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1998 (IN THOUSANDS)
<TABLE>
<CAPTION>
Face Value
State Amount Issue (Note 1a)
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Massachusetts $ 3,338 Norwell, Massachusetts, BAN, 4.15% due 8/03/1998 .............................. $ 3,343
(concluded) 3,000 Springfield, Massachusetts, BAN, 4.40% due 6/26/1998 .......................... 3,003
2,190 Taunton, Massachusetts, Industrial Development Financing Authority,
IDR (CD Realty Trust Project--IX), VRDN, AMT, 3.90% due 2/01/2010 (a) ......... 2,190
2,000 Watertown, Massachusetts, BAN, UT, 4.25% due 8/28/1998 ........................ 2,003
Westfield, Massachusetts:
2,979 BAN, 4.25% due 5/08/1998 .................................................. 2,980
2,100 SAAN, 4.25% due 6/04/1998 ................................................. 2,101
7,400 Worcester, Massachusetts, Regional Transportation Authority, RAN,
4.25% due 6/19/1998 ........................................................... 7,405
6,735 Wrentham, Massachusetts, 4.10% due 6/17/1998 .................................. 6,738
- -------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost--$266,465*)--99.1% .................................... 266,465
Other Assets Less Liabilities--0.9% ........................................... 2,464
--------
Net Assets--100.0% ............................................................ $268,929
========
=========================================================================================================================
</TABLE>
(a) The interest rate is subject to change periodically based on certain
indexes. The interest rate shown is the rate in effect at March 31, 1998.
(b) FNMA Collateralized.
(c) MBIA Insured.
(d) FSA Insured.
* Cost for Federal income tax purposes.
See Notes to Financial Statements.
5
<PAGE>
CMA MASSACHUSETTS MUNICIPAL MONEY FUND
STATEMENT OF ASSETS AND LIABILITIES AS OF MARCH 31, 1998
<TABLE>
<S> <C> <C>
Assets:
Investments, at value (identified cost--$266,465,153) (Note 1a) ....................... $266,465,153
Cash .................................................................................. 113,156
Interest receivable ................................................................... 2,502,943
Prepaid registration fees and other assets (Note 1d) .................................. 116,005
------------
Total assets .......................................................................... 269,197,257
------------
Liabilities:
Payables:
Investment adviser (Note 2) ......................................................... $ 120,152
Distributor (Note 2) ................................................................ 75,312
Dividends to shareholders (Note 1e) ................................................. 105 195,569
---------
Accrued expenses and other liabilities ................................................ 72,532
------------
Total liabilities ..................................................................... 268,101
------------
Net Assets ............................................................................ $268,929,156
============
Net Assets Consist of:
Shares of beneficial interest, $0.10 par value, unlimited number of shares authorized . $ 26,892,999
Paid-in capital in excess of par ...................................................... 242,036,895
Accumulated realized capital losses--net (Note 4) ..................................... (738)
------------
Net Assets--Equivalent to $1.00 per share based on 268,929,993 shares of beneficial
interest outstanding .................................................................. $268,929,156
============
</TABLE>
See Notes to Financial Statements.
CMA MASSACHUSETTS MUNICIPAL MONEY FUND
STATEMENT OF OPERATIONS FOR THE YEAR ENDED MARCH 31, 1998
Investment Income (Note 1c):
Interest and amortization of premium earned .......... $ 8,504,557
Expenses:
Investment advisory fees (Note 2) .................... $ 1,148,245
Distribution fees (Note 2) ........................... 283,055
Transfer agent fees (Note 2) ......................... 52,669
Professional fees .................................... 50,410
Accounting services (Note 2) ......................... 48,947
Registration fees (Note 1d) .......................... 40,605
Custodian fees ....................................... 18,968
Printing and shareholder reports ..................... 9,329
Pricing fees ......................................... 5,133
Trustees' fees and expenses .......................... 1,585
Other ................................................ 4,149
-----------
Total expenses ....................................... 1,663,095
-----------
Investment income--net ............................... 6,841,462
Realized Gain on Investments--Net (Note 1c) .......... 14,640
-----------
Net Increase in Net Assets Resulting from Operations . $ 6,856,102
===========
See Notes to Financial Statements.
6
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CMA MASSACHUSETTS MUNICIPAL MONEY FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Year Ended March 31,
----------------------------------
Increase (Decrease) in Net Assets: 1998 1997
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Operations:
Investment income--net ................................................... $ 6,841,462 $ 5,233,385
Realized gain on investments--net ........................................ 14,640 2,973
--------------- ---------------
Net increase in net assets resulting from operations ..................... 6,856,102 5,236,358
--------------- ---------------
Dividends to Shareholders (Note 1e):
Investment income--net ................................................... (6,841,462) (5,233,385)
--------------- ---------------
Net decrease in net assets resulting from dividends to shareholders ...... (6,841,462) (5,233,385)
--------------- ---------------
Beneficial Interest Transactions (Note 3):
Net proceeds from sale of shares ......................................... 1,012,239,315 725,445,153
Net asset value of shares issued to shareholders in reinvestment of dividends
(Note 1e) ................................................................ 6,840,716 5,233,764
--------------- ---------------
1,019,080,031 730,678,917
Cost of shares redeemed .................................................. (950,763,913) (719,565,744)
--------------- ---------------
Net increase in net assets derived from beneficial interest transactions . 68,316,118 11,113,173
--------------- ---------------
Net Assets:
Total increase in net assets ............................................. 68,330,758 11,116,146
Beginning of year ........................................................ 200,598,398 189,482,252
--------------- ---------------
End of year .............................................................. $ 268,929,156 $ 200,598,398
=============== ===============
</TABLE>
See Notes to Financial Statements.
CMA MASSACHUSETTS MUNICIPAL MONEY FUND
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
The following per share data and ratios have
been derived from information provided in the
financial statements. For the Year Ended March 31,
------------------------------------------------------------
Increase (Decrease) in Net Asset Value: 1998 1997 1996 1995 1994
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net asset value, beginning of year ....... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- --------
Investment income--net ................... .03 .03 .03 .02 .02
-------- -------- -------- -------- --------
Total from investment operations ......... .03 .03 .03 .02 .02
-------- -------- -------- -------- --------
Less dividends from investment income--net (.03) (.03) (.03) (.02) (.02)
-------- -------- -------- -------- --------
Net asset value, end of year ............. $ 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 ................................. .72% .76% .76% .76% .78%
======== ======== ======== ======== ========
Investment income--net ................... 2.98% 2.78% 3.00% 2.43% 1.72%
======== ======== ======== ======== ========
Supplemental Data:
Net assets, end of year (in thousands) ... $268,929 $200,598 $189,482 $161,076 $150,804
======== ======== ======== ======== ========
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
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. 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
8
<PAGE>
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, 1998, the Fund had a net capital loss carryforward of approximately
$1,000, all of which expires in 2004. This amount will be available to offset
like amounts of any future taxable gains.
9
<PAGE>
CMA MASSACHUSETTS MUNICIPAL MONEY FUND
INDEPENDENT AUDITORS' REPORT
The Board of Trustees and Shareholders, CMA Massachusetts Municipal Money Fund
of CMA Multi-State Municipal Series Trust:
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of CMA Massachusetts Municipal Money Fund of CMA
Multi-State Municipal Series Trust as of March 31, 1998, the related statements
of operations for the year then ended and changes in net assets for each of the
years in the two-year period then ended, and the financial highlights for each
of the years in the five-year period then ended. These financial statements and
the financial highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and the
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and the financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned at March
31, 1998 by correspondence with the custodian. An audit also includes assessing
the accounting principles used and significant estimates made by management, as
well as evaluating the overall financial statement presentation. We believe that
our audits provide a reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of CMA Massachusetts
Municipal Money Fund of CMA Multi-State Municipal Series Trust as of March 31,
1998, the results of its operations, the changes in its net assets, and the
financial highlights for the respective stated periods in conformity with
generally accepted accounting principles.
Deloitte & Touche LLP
Princeton, New Jersey
May 4, 1998
10
<PAGE>
IMPORTANT TAX INFORMATION (UNAUDITED)
All of the net investment income distributions paid daily by CMA Massachusetts
Municipal Money Fund of CMA Multi-State Municipal Series Trust during its
taxable year ended March 31, 1998 qualify as tax-exempt interest dividends for
Federal income tax purposes.
Additionally, there were no capital gains distributed by the Fund during the
year ended March 31, 1998.
Please retain this information for your records.
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].
11
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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--3/98
[Logo] Printed on post-consumer recycled paper
