CMA(R)
CMA MASSACHUSETTS
MUNICIPAL MONEY FUND
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Annual Report
[GRAPHIC OMITTED]
March 31, 1999
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[LOGO] Merrill Lynch
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DEAR SHAREHOLDER:
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For the year ended March 31, 1999, CMA Massachusetts Municipal Money Fund paid
shareholders a net annualized yield of 2.77%.* As of March 31, 1999, the Fund's
7-day yield was 2.42%.
Economic Environment
Although overall economic conditions in the commonwealth of Massachusetts
remained strong during the six-month period ended March 31, 1999, a divergence
surfaced as the manufacturing sector experienced a marked slowdown from the
previous period. However, this slowdown in manufacturing did little to hamper
job growth as Massachusetts remained on a solid 2.5% pace, excluding the
manufacturing sector. This job growth contributed to an extremely tight labor
market that allowed the commonwealth's seasonally adjusted unemployment rate to
fall below 3% for only the third time in 30 years. Despite high levels of
consumer confidence and personal income and low interest rates, Massachusetts'
strong housing industry began to wane from the record levels set last period.
Construction caps, stricter permit standards and overall residential
construction slowdown contributed to the diminished home building activity.
Finally, the metro area of Boston continued to be a leader in the commonwealth's
economic condition. However, a combination of BankBoston's heavy exposure in
Latin America and the merger announcement of Fleet Bank and BankBoston bears
watching for its impact on the metro area economy.
Overall, as a result of strong economic conditions during the six-month period,
Massachusetts continued to generate strong financial results. For nine months of
fiscal year 1999, the commonwealth recorded total income tax collections of $5.6
billion or 4.7% over the comparable period last year. These collections
contributed to the commonwealth's total revenues of $10.2 billion, which were
5.5% above the comparable period last year and well above the benchmark
estimates for fiscal year 1999. This positive performance continued to allow the
commonwealth to maintain daily operations without borrowing in the short-term
municipal market. In addition, various Massachusetts municipalities also
benefited, allowing them to issue a moderate $918 million in short-term
municipal issuance during the period.
Investment Strategy
CMA Massachusetts Municipal Money Fund began the six-month period employing an
aggressive approach to the market. The Fund's average life began the period in
the 65-day range. Despite an unsettled global financial environment, especially
in Latin America, the domestic economy continued to weather these external
factors and generate economic growth that trended above estimates. The Federal
Reserve Board continued to balance its interest rate policy between cushioning
the domestic financial system from unsettling world events while maintaining the
current economic expansion. The Fund was well situated as the Federal Reserve
Board continued to reduce the Federal Funds rate two more times to 4.75% with
the last reduction coming at the November Federal Open Market Committee meeting.
We began to reduce purchases of short-term municipal notes while increasing the
percentage of variable rate demand notes (VRDN) during the first half of the
period. At this point, the average life of the Fund declined to the 50-day range
as we looked to take advantage of the anticipated spike in VRDN yields created
from year-end pressures on the various remarketing agents.
As January began, we were able to adjust the Fund's investment strategy by
increasing the purchase of short-term municipal notes and tax-exempt commercial
paper (TECP) while reducing its holdings of VRDNs. This strategy benefited the
Fund as it increased the average life to the 70-day range and positioned the
Fund in a way to limit the effects of any sudden decline in VRDN yields created
from the seasonal supply imbalance which typically occurs in the first quarter
of the year. As the domestic economy continued to generate strong economic
statistics and world financial events stabilized, the Federal Reserve Board left
short-term interest rates unchanged for the remainder of the period. These
developments caused investors to rethink their interest rate outlook
* 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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and forced one-year US Treasury bills to rise from a low in the 3.95% range and
end the period in the 4.70% range. This rise in US Treasury yields did little to
change the yield of equivalent one-year municipal securities through February as
seasonal supply imbalances kept these rates in check. However, a combination of
an easing of these imbalances and the various fund groups preparing for a period
of tax-related redemptions allowed yields on one-year municipal notes to
increase from the 2.90% range to the 3.15% range. We allowed the Fund's average
life to decline and end the period in the 45-day range as supply imbalances kept
municipal note yields artificially low for the majority of the period.
Overall, the Fund performed above the average of similar municipal funds during
the year ended March 31, 1999. We accomplished this by finding a balance in the
Fund's strategy between the domestic interest rate changes and the various
supply imbalances that affect the municipal market. The strategies employed
allowed us to offer an attractive yield to shareholders throughout the year.
The domestic economy continues to exhibit remarkable strength and the global
environment stabilizes, which should allow the Federal Reserve Board some
latitude in avoiding any further interest rate reductions. As the upcoming
months unfold, we will continue to monitor the changing economic conditions and
adjust the Fund's investment strategy accordingly. The Fund will begin the
period with a higher percentage of VRDNs as we prepare to meet the anticipated
tax-related redemptions. As the redemptions ease, we will look for opportunities
in the longer-dated municipal notes and TECP market to maintain an average life
with a neutral posture as well as provide a stable yield to shareholders.
However, with the commonwealth exhibiting strong economic conditions, it is
anticipated that municipal issuance will continue to be reduced. We will
continue to closely monitor 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 months and years ahead.
Sincerely,
/s/ Terry K. Glenn
Terry K. Glenn
President and Trustee
/s/ Vincent R. Giordano
Vincent R. Giordano
Senior Vice President
/s/ Kevin A. Schiatta
Kevin A. Schiatta
Vice President and Portfolio Manager
May 5, 1999
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After more than 20 years of service, Arthur Zeikel recently retired as Chairman
of Merrill Lynch Asset Management, L.P. (MLAM). Mr. Zeikel served as President
of MLAM from 1977 to 1997 and as Chairman since December 1997. Mr. Zeikel is one
of the country's most respected leaders in asset management and presided over
the growth of Merrill Lynch's asset management business. During his tenure,
client assets under management grew from $300 million to over $500 billion. Mr.
Zeikel will remain on CMA Massachusetts Municipal Money Fund's Board of
Trustees. We are pleased to announce that Terry K. Glenn has been elected
President and Trustee of the Fund. Mr. Glenn has held the position of Executive
Vice President of MLAM since 1983.
Mr. Zeikel's colleagues at MLAM join the Fund's Board of Trustees in wishing him
well in his retirement from Merrill Lynch and are pleased that he will continue
as a member of the Fund's Board of Trustees.
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2
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CMA MASSACHUSETTS MUNICIPAL MONEY FUND
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1999 (IN THOUSANDS)
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<TABLE>
<CAPTION>
Face Value
State Amount Issue (Note 1a)
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<S> <C> <C> <C>
Massachusetts-- $ 2,525 Boston, Massachusetts, Industrial Financing Authority, IDR (Acme
99.3% Bookbinding Co.), VRDN, AMT, 3% due 9/01/2006 (a) ............................ $ 2,525
4,400 Boston, Massachusetts, Tender Option, BTP-279 Custodial Receipts Revenue
Bonds (Boston City Hospital), VRDN, 3.20% due 2/15/2021 (a) .................. 4,400
5,000 Boston, Massachusetts, Water and Sewer Commission Revenue Bonds,
VRDN, Series SG-75, 3.01% due 11/01/2019 (a) ................................. 5,000
3,171 Cape Cod, Massachusetts, Regional Transit Authority, RAN, 4% due 7/02/1999 ... 3,173
12,900 Clinton, Massachusetts, GO, BAN, 3.10% due 4/01/1999 ......................... 12,900
10,000 Clipper, Massachusetts, Tax-Exempt Trust Revenue Bonds, VRDN,
3.16% due 12/01/2009 (a) ..................................................... 10,000
2,666 Dartmouth, Massachusetts, GO, BAN, 3.50% due 10/28/1999 ...................... 2,673
5,000 Dudley-Charlton, Massachusetts, Regional School District, GO, BAN,
3.50% due 7/30/1999 .......................................................... 5,006
Eagle Tax-Exempt Trust, Massachusetts, GO, VRDN (a):
9,600 Series 97C-2102, 2.95% due 2/01/2011 ..................................... 9,600
11,400 Series 97C-2103, 3.11% due 2/01/2006 ..................................... 11,400
7,371 Fitchburg, Massachusetts, GO, BAN, 3.45% due 12/10/1999 ...................... 7,383
Gloucester, Massachusetts, GO, BAN:
2,415 3.15% due 8/05/1999 ...................................................... 2,417
2,900 3.25% due 8/05/1999 ...................................................... 2,901
2,500 Greater Attleboro-Taunton, Massachusetts, Regional Transit Authority, RAN,
3.95% due 8/13/1999 .......................................................... 2,502
3,905 Groton, Massachusetts, GO, BAN, 4% due 7/23/1999 ............................. 3,909
3,675 Holliston, Massachusetts, GO, BAN, 4% due 6/10/1999 .......................... 3,678
1,600 Lowell, Massachusetts, GO, BAN, 4% due 4/23/1999 ............................. 1,600
4,000 Marlborough, Massachusetts, GO, BAN, 3.90% due 7/15/1999 ..................... 4,003
3,500 Massachusetts State Development Finance Agency, Environmental Improvement
Revenue Bonds (The Mead Corporation Project), VRDN, AMT, Series A,
2.95% due 11/01/2033 (a) ..................................................... 3,500
2,700 Massachusetts State Development Finance Agency, IDR (Seafood Services
Inc. Project), VRDN, AMT, Series A, 3.15% due 12/01/2023 (a) ................. 2,700
5,000 Massachusetts State Health and Educational Facilities Authority (Harvard
University), CP, Series L, 3.05% due 4/27/1999 ............................... 5,000
Massachusetts State Health and Educational Facilities Authority Revenue
Bonds, VRDN (a):
12,200 (Capital Asset Program), Series E, 3.05% due 1/01/2035 ................... 12,200
1,700 (Partners Healthcare System), Series P-2, 2.95% due 7/01/2027 (c) ........ 1,700
3,000 (Wellesley College), Series G, 2.70% due 7/01/2039 ....................... 3,000
11,500 Massachusetts State Health and Educational Facilities Authority, Revenue
Refunding Bonds (Boston University), CP, Series H, 3% due 8/25/1999 .......... 11,500
6,300 Massachusetts State Industrial Finance Agency, Health Care Facility Revenue
Bonds (Beverly Enterprises), VRDN, 3% due 4/01/2009 (a) ...................... 6,300
</TABLE>
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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
IDR Industrial Development Revenue Bonds
PCR Pollution Control Revenue Bonds
RAN Revenue Anticipation Notes
SAAN Student Aid Anticipation Notes
VRDN Variable Rate Demand Notes
3
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CMA MASSACHUSETTS MUNICIPAL MONEY FUND
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1999 (CONTINUED) (IN THOUSANDS)
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<TABLE>
<CAPTION>
Face Value
State Amount Issue (Note 1a)
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<S> <C> <C> <C>
Massachusetts $ 4,000 Massachusetts State Industrial Finance Agency (Holyoke Water & Power
(continued) Company Project), PCR, VRDN, AMT, 2.85% due 12/01/2020 (a) ................... $ 4,000
Massachusetts State Industrial Finance Agency, Industrial Revenue Bonds,
VRDN (a):
3,400 (225 Bodwell Corporation Project), AMT, 3.15% due 7/01/2017 .............. 3,400
3,210 (AFC Cable Systems Inc. Issue), AMT, 3.25% due 7/01/2016 ................. 3,210
1,900 (America Technology Corp. and RDL Holdings Ltd. Project), 3.15% due
8/01/2022 ................................................................ 1,900
2,000 (BBB Esquire LLC), AMT, 3.15% due 12/01/2016 ............................. 2,000
3,300 (Foilmark Manufacturing), AMT, Series A, 3.25% due 6/01/2010 ............. 3,300
2,775 (Garlock Printing Corp.), AMT, 3.25% due 12/01/2017 ...................... 2,775
3,780 (The Gem Group Inc. Issue), AMT, 3.25% due 7/01/2016 ..................... 3,780
2,040 (Haverdyne Co. LLC Issue), AMT, 3.05% due 9/01/2017 ...................... 2,040
3,650 (Insco Corporation Issue), AMT, 3.20% due 9/01/2008 ...................... 3,650
3,040 (James F. & Judith Matthews), AMT, 3.25% due 9/01/2013 ................... 3,040
2,800 (Lavigne Issue), AMT, 3.20% due 8/01/2008 ................................ 2,800
2,880 (Matco Electric Group Inc. Issue), AMT, 3.25% due 7/01/2004 .............. 2,880
3,050 (Mercer Paper Tube Corp.), AMT, 3.25% due 11/01/2011 ..................... 3,050
1,600 (October Co. Inc. Project), AMT, 3.15% due 12/01/2017 .................... 1,600
6,500 (Star Container Corp. Issue), AMT, 3.25% due 2/01/2018 ................... 6,500
2,500 (Tamasi Family Ltd. Partnership Issue), AMT, 3.05% due 5/01/2013 ......... 2,500
698 (Techprint/Techgraphics), AMT, 3% due 6/01/2017 .......................... 698
3,175 (Telcom USA Inc. Issue), AMT, 3.25% due 8/01/2016 ........................ 3,175
4,000 (Valkyrie Co. Inc.), AMT, 3.20% due 5/01/2013 ............................ 4,000
3,030 (WBC Extrusion Products Issue), AMT, 3% due 4/01/2006 .................... 3,030
2,680 (William F. Rogers Issue), AMT, 3.25% due 11/01/2006 ..................... 2,680
4,565 (ZBR Ltd. Partnership), AMT, 3.25% due 4/15/2015 ......................... 4,565
1,425 (ZBR Ltd. Partnership), AMT, 3.25% due 4/15/2017 ......................... 1,425
Massachusetts State Industrial Finance Agency, Industrial Revenue Refunding
Bonds, VRDN, AMT (a):
1,575 (Carand Realty Trust Issue), 3.05% due 5/01/2017 ......................... 1,575
2,940 (New England Biolabs), 3.15% due 3/01/2016 ............................... 2,940
5,600 Massachusetts State Industrial Finance Agency, Pollution Control Refunding
(New England Power Co. Project), CP, Series A, 3.15% due 5/03/1999 ........... 5,600
Massachusetts State Industrial Finance Agency Revenue Bonds, VRDN (a):
2,500 (Gordon College Issue), 2.95% due 12/01/2027 ............................. 2,500
3,000 (Governor Dummer Academy), 2.95% due 7/01/2026 ........................... 3,000
1,825 (Heritage At Dartmouth Project), AMT, 3.05% due 12/01/2028 ............... 1,825
4,400 (Lightolier Inc. Project), 3.10% due 7/29/2010 ........................... 4,400
Massachusetts State Industrial Finance Agency Revenue Refunding Bonds,
VRDN (a):
1,500 (Eastern Nazarene College), 2.95% due 10/01/2027 ......................... 1,500
1,215 (Easy Day Realty Trust Project), Series A, 2.95% due 7/01/2006 ........... 1,215
2,940 (Mount Ida College Issue), 2.95% due 12/01/2027 .......................... 2,940
9,130 (Showa Womens Institute Inc.), 2.90% due 3/15/2004 ....................... 9,130
Massachusetts State Industrial Finance Agency, Solid Waste Disposal Revenue
Bonds (E.L. Harvey & Sons Inc.), VRDN, AMT (a):
2,520 3.25% due 1/01/2011 ...................................................... 2,520
3,000 3.20% due 6/01/2013 ...................................................... 3,000
8,780 Massachusetts State Turnpike Authority, Western Turnpike Revenue Refunding
Bonds, Tender Option Certificates, VRDN, Series BTP-253, 3.12% due
1/01/2017 (a)(b) ............................................................. 8,780
5,000 Massachusetts State, VRDN, Series SG-38, 3.01% due 8/01/2014 (a) ............. 5,000
6,000 Massachusetts State Water Resources Authority Revenue Bonds, VRDN, Series A,
2.80% due 4/01/2028 (a)(e) ................................................... 6,000
</TABLE>
4
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CMA MASSACHUSETTS MUNICIPAL MONEY FUND
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1999 (CONCLUDED) (IN THOUSANDS)
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<TABLE>
<CAPTION>
Face Value
State Amount Issue (Note 1a)
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<S> <C> <C> <C>
Massachusetts $ 5,000 Massachusetts State Water Resources Authority, Revenue Refunding Bonds,
(concluded) VRDN, Series D, 2.95% due 11/01/2026 (a)(d) .................................. $ 5,000
1,000 Montachusett, Massachusetts, Regional Transit Authority, GO, RAN,
4% due 6/25/1999 ............................................................. 1,001
9,552 North Attleborough, Massachusetts, BAN, 4% due 5/01/1999 ..................... 9,556
3,198 Stoughton, Massachusetts, GO, BAN, 4.10% due 6/11/1999 ....................... 3,200
2,075 Taunton, Massachusetts, Industrial Development Financing Authority, IDR
(CD Realty Trust IX Project), VRDN, AMT, 3.20% due 2/01/2010 (a) ............. 2,075
Upper Blackstone, Massachusetts, Water Pollution Abatement District, GO, BAN:
3,200 3.11% due 8/12/1999 ...................................................... 3,200
3,000 3.25% due 8/12/1999 ...................................................... 3,002
1,998 Wareham, Massachusetts, Fire District, GO, BAN, 4% due 7/15/1999 ............. 2,000
Westfield, Massachusetts:
5,825 BAN, 3.50% due 10/22/1999 ................................................ 5,841
4,500 BAN, 3.75% due 10/22/1999 ................................................ 4,517
2,300 SAAN, 3.50% due 9/23/1999 ................................................ 2,305
7,375 Worcester, Massachusetts, GO, BAN, 4% due 8/26/1999 .......................... 7,381
5,000 Worcester, Massachusetts, Regional Transit Authority, GO, RAN,
3.90% due 6/18/1999 .......................................................... 5,002
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Total Investments (Cost--$328,973*)--99.3% ................................... 328,973
Other Assets Less Liabilities--0.7% .......................................... 2,464
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Net Assets--100.0% ........................................................... $331,437
========
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</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, 1999.
(b) MBIA Insured.
(c) FSA Insured.
(d) FGIC Insured.
(e) AMBAC Insured.
* Cost for Federal income tax purposes.
See Notes to Financial Statements.
5
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CMA MASSACHUSETTS MUNICIPAL MONEY FUND
STATEMENT OF ASSETS AND LIABILITIES AS OF MARCH 31, 1999
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<TABLE>
<S> <C> <C>
Assets:
Investments, at value (identified cost--$328,972,875) (Note 1a) ........................ $ 328,972,875
Cash ................................................................................... 50,024
Interest receivable .................................................................... 2,735,143
Prepaid registration fees and other assets (Note 1d) ................................... 4,398
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Total assets ........................................................................... 331,762,440
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Liabilities:
Payables:
Investment adviser (Note 2) ......................................................... $ 148,637
Distributor (Note 2) ................................................................ 96,783
Beneficial interest redeemed ........................................................ 115 245,535
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Accrued expenses and other liabilities ................................................. 79,672
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Total liabilities ...................................................................... 325,207
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Net Assets ............................................................................. $ 331,437,233
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Net Assets Consist of:
Shares of beneficial interest, $0.10 par value, unlimited number of shares authorized .. $ 33,143,807
Paid-in capital in excess of par ....................................................... 298,294,164
Accumulated realized capital losses--net (Note 4) ...................................... (738)
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Net Assets--Equivalent to $1.00 per share based on 331,438,070 shares of beneficial
interest outstanding ................................................................... $ 331,437,233
=============
</TABLE>
See Notes to Financial Statements.
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CMA MASSACHUSETTS MUNICIPAL MONEY FUND
STATEMENT OF OPERATIONS FOR THE YEAR ENDED MARCH 31, 1999
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<TABLE>
<S> <C>
Investment Income (Note 1c):
Interest and amortization of premium earned ............................................ $ 10,211,148
Expenses:
Investment advisory fees (Note 2) ...................................................... $ 1,483,533
Distribution fees (Note 2) ............................................................. 369,059
Accounting services (Note 2) ........................................................... 61,612
Professional fees ...................................................................... 60,989
Transfer agent fees (Note 2) ........................................................... 57,616
Registration fees (Note 1d) ............................................................ 54,044
Custodian fees ......................................................................... 25,349
Printing and shareholder reports ....................................................... 17,102
Pricing fees ........................................................................... 6,987
Trustees' fees and expenses ............................................................ 1,895
Other .................................................................................. 3,766
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Total expenses ......................................................................... 2,141,952
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Investment income--net ................................................................. 8,069,196
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Net Increase in Net Assets Resulting from Operations ................................... $ 8,069,196
=============
</TABLE>
See Notes to Financial Statements.
6
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CMA MASSACHUSETTS MUNICIPAL MONEY FUND
STATEMENTS OF CHANGES IN NET ASSETS
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<TABLE>
<CAPTION>
For the Year Ended March 31,
-----------------------------
Increase (Decrease) in Net Assets: 1999 1998
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<S> <C> <C>
Operations:
Investment income--net ................................................................. $ 8,069,196 $ 6,841,462
Realized gain on investments--net ...................................................... -- 14,640
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Net increase in net assets resulting from operations ................................... 8,069,196 6,856,102
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Dividends to Shareholders (Note 1e):
Investment income--net ................................................................. (8,069,196) (6,841,462)
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Net decrease in net assets resulting from dividends to shareholders .................... (8,069,196) (6,841,462)
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Beneficial Interest Transactions (Note 3):
Net proceeds from sale of shares ....................................................... 1,153,307,132 1,012,239,315
Net asset value of shares issued to shareholders in reinvestment of dividends
(Note 1e) .............................................................................. 8,069,355 6,840,716
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1,161,376,487 1,019,080,031
Cost of shares redeemed ................................................................ (1,098,868,410) (950,763,913)
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Net increase in net assets derived from beneficial interest transactions ............... 62,508,077 68,316,118
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Net Assets:
Total increase in net assets ........................................................... 62,508,077 68,330,758
Beginning of year ...................................................................... 268,929,156 200,598,398
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End of year ............................................................................ $ 331,437,233 $ 268,929,156
============= =============
</TABLE>
See Notes to Financial Statements.
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CMA MASSACHUSETTS MUNICIPAL MONEY FUND
FINANCIAL HIGHLIGHTS
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<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: 1999 1998 1997 1996 1995
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<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 .03 .02
Realized gain (loss) on investments--net ................... -- --+ --+ --+ --+
-------- -------- -------- -------- --------
Total from investment operations ........................... .03 .03 .03 .03 .02
-------- -------- -------- -------- --------
Less dividends from investment income--net ................. (.03) (.03) (.03) (.03) (.02)
-------- -------- -------- -------- --------
Net asset value, end of year ............................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ========
Total Investment Return .................................... 2.77% 3.03% 2.84% 3.04% 2.46%
======== ======== ======== ======== ========
Ratios to Average Net Assets:
Expenses ................................................... .72% .72% .76% .76% .76%
======== ======== ======== ======== ========
Investment income--net ..................................... 2.72% 2.98% 2.78% 3.00% 2.43%
======== ======== ======== ======== ========
Supplemental Data:
Net assets, end of year (in thousands) ..................... $331,437 $268,929 $200,598 $189,482 $161,076
======== ======== ======== ======== ========
</TABLE>
+ Amount is less than $.01 per share.
See Notes to Financial Statements.
7
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CMA MASSACHUSETTS MUNICIPAL MONEY FUND
NOTES TO FINANCIAL STATEMENTS
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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 Fund's financial statements are prepared in accordance
with generally accepted accounting principles which may require the use of
management accruals and estimates. 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 Incorporated ("MLPF&S") receives a distribution fee
8
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CMA MASSACHUSETTS MUNICIPAL MONEY FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
================================================================================
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.
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 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, 1999, 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
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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, 1999, 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, 1999 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,
1999, 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 5, 1999
10
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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, 1999 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, 1999.
Please retain this information for your records.
- --------------------------------------------------------------------------------
CMA MASSACHUSETTS MUNICIPAL MONEY 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
Edward J. Andrews--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
Donald C. Burke--Vice President and Treasurer
Robert Harris--Secretary
- --------------------------------------------------------------------------------
Gerald M. Richard, Treasurer of CMA Massachusetts Municipal Money Fund has
recently retired. His colleagues at Merrill Lynch Asset Management, L.P. join
the Fund's Board of Trustees in wishing Mr. Richard well in his retirement.
- --------------------------------------------------------------------------------
Custodian
State Street Bank and Trust Company
P.O. Box 351
Boston, MA 02101
Transfer Agent
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
<PAGE>
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 Massachusetts
Municipal Money Fund
Box 9011
Princeton, NJ 08543-9011 #11283--3/99
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