[LOGO](R)
CMA MASSACHUSETTS
MUNICIPAL MONEY FUND
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Semi-Annual Report
September 30, 1999
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[LOGO]Merrill Lynch
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TO OUR SHAREHOLDERS:
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For the six-month period ended September 30, 1999, CMA Massachusetts Municipal
Money Fund paid shareholders a net annualized yield of 2.60%*. As of September
30, 1999, the Fund's 7-day yield was 2.98%.
Economic Environment
The commonwealth of Massachusetts continued to lead the Northeast in economic
growth during the six-month period ended September 30, 1999. With the
commonwealth's economy creating jobs at a stable 1.5% pace over the year, the
seasonally adjusted unemployment rate remained stable at around 3.1%, well below
the national average. Massachusetts' high-technology and securities industries
remained strong as expansion continued at a robust pace. The construction
industry has also continued to expand rapidly as building in the private,
commercial and public sectors surges in the metropolitan areas, especially
Boston. Overall, the only constraints to the commonwealth's continued expansion
are associated with the lack of available skilled labor.
Strong economic conditions throughout fiscal year 1999 allowed the commonwealth
to finish another exceptional year with total revenues of $14.3 billion, 1.8%
above fiscal year 1998's total revenues and well above original budget
estimates. These positive results came on the heels of the tax reduction
initiated by Governor Cellucci during fiscal year 1999. In addition,
Massachusetts began fiscal year 2000 on a positive note, since revenue
collections for the first three months amounted to $3.51 billion, or 2% above
the comparable period last year. Massachusetts continued its trend of avoiding
additional borrowings in the short-term municipal market to finance daily
operations, since strong economic conditions continue to produce positive
revenue streams. As participants of the commonwealth's good fortune, the various
Massachusetts' municipalities continued to reduce the need to borrow to finance
daily operations. However, an increased need for classrooms has increased
borrowings for school funding. This combination of borrowing needs increased
local issuance to $1.9 billion for the six-month period.
Investment Strategy
We began the six-month period ended September 30, 1999 with a more defensive
investment strategy. We allowed the Fund's average life, which was in the 40-day
range at the start of the period, to decline to the 25-day range. This decline
was in response to a lack of incentive to extend the average life with economic
conditions remaining strong, the yield curve being fairly flat and our
preparation for seasonal tax-related redemptions. We concentrated on maintaining
a high percentage of variable rate demand notes (VRDNs) and tax-exempt
commercial paper between 30 days-60 days, while allowing the Fund's municipal
note positions to mature.
With strong domestic economic conditions and overseas economic conditions
improving, the Treasury market continued to become more defensive, especially as
Federal Reserve Board members hinted at a possible interest rate increase.
During this period, a reduced amount of municipal issuance allowed yields on
longer-dated municipal notes to remain at artificially low levels relative to
the comparable Treasury securities. It was not until June, with an approaching
Federal Open Market Committee meeting combined with an increased amount of
municipal issuance and reduced investor participation, that municipal yields
adjusted to more attractive levels
* 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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relative to Treasury securities. We began to selectively purchase longer-dated
Massachusetts municipal notes as yield levels increased from the 3.10%-3.15%
range to the 3.55%-3.60% range. We made these purchases for diversification
reasons, as well as in an effort to stabilize the Fund's yield from volatile
fluctuations of VRDN yields.
The Fund, whose average life had increased to the 45-day range, was well
situated when the Federal Reserve Board increased the Federal Funds rate by 25
basis points (0.25%) to 5.00% on June 30, 1999. However, in a surprise move, the
Federal Reserve Board also changed its bias to neutral, which suggested that
there might not be the need for any further interest rate increases. This change
in bias combined with a large influx of subscriptions in the beginning of July
allowed the municipal market to rally, with yields on longer-dated securities
declining to the 3.45% range. On August 24, 1999, the Federal Reserve Board
again raised the Federal Funds rate 25 basis points to 5.25% while maintaining a
neutral bias. Yields on one-year Treasury bills increased to the 5.25% range
while the comparable one-year Massachusetts municipal note increased to the
3.70% range. During this period, we purchased additional notes in anticipation
of a reduced amount of issuance available in the coming months and for
diversification purposes. This reduction in municipal issuance was anticipated
as a result of strong economic conditions translating into solid balance sheets
for various municipalities, which allowed them to reduce their borrowing needs.
These purchases resulted in the average life of the Fund increasing to the
70-day range.
In Conclusion
In the coming months, we expect to adopt a neutral approach to the municipal
market. In addition, we expect to increase our purchases of VRDNs in
anticipation of potential year-end uncertainties. We will continue to closely
monitor credit quality and at the same time seek to maintain an attractive
tax-exempt yield for our shareholders.
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
November 10, 1999
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CMA MASSACHUSETTS MUNICIPAL MONEY FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 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-- $ 7,650 Attleboro, Massachusetts, GO, BAN, 4.25% due 8/03/2000 ........................ $ 7,684
99.5% 2,697 Berkshire Regional Transit Authority, Massachusetts, GO, RAN,
3.90% due 7/28/2000 ........................................................... 2,702
2,200 Boston, Massachusetts, Industrial Financing Authority, IDR
(Acme Bookbinding Co.), VRDN, AMT, 3.90% due 9/01/2006 (a) .................... 2,200
5,000 Boston, Massachusetts, Water and Sewer Commission Revenue Bonds,
VRDN, Series SG-75, 3.76% due 11/01/2019 (a) .................................. 5,000
3,589 Cape Cod, Massachusetts, Regional Transit Authority, GO, RAN,
3.75% due 7/07/2000 ........................................................... 3,594
14,883 Clipper Tax-Exempt Trust, Massachusetts, Revenue Bonds, VRDN, AMT,
3.92% due 9/01/2004 (a) ....................................................... 14,883
2,666 Dartmouth, Massachusetts, GO, BAN, 3.50% due 10/28/1999 ....................... 2,667
Eagle Tax-Exempt Trust, Massachusetts, GO, VRDN (a):
9,600 Series 97C-2102, 3.84% due 2/01/2011 ...................................... 9,600
11,400 Series 97C-2103, 3.84% due 2/01/2006 ...................................... 11,400
1,130 Falmouth, Massachusetts, GO, BAN, 3.95% due 8/11/2000 ......................... 1,133
7,371 Fitchburg, Massachusetts, GO, BAN, 3.45% due 12/10/1999 ....................... 7,375
9,445 Gloucester, Massachusetts, GO, BAN, 4% due 8/03/2000 .......................... 9,483
3,485 Hopkinton, Massachusetts, GO, Refunding, BAN, 3.75% due 8/02/2000 ............. 3,491
3,850 Lowell, Massachusetts, Regional Transit Authority Revenue Bonds, RAN,
3.80% due 8/04/2000 ........................................................... 3,856
7,300 Marshfield, Massachusetts, GO, BAN, 4% due 9/08/2000 .......................... 7,330
3,500 Massachusetts State Development Finance Agency, Environmental
Improvement Revenue Bonds (The Mead Corporation Project), VRDN,
AMT, Series A, 3.90% due 11/01/2033 (a) ....................................... 3,500
Massachusetts State Development Finance Agency, IDR, VRDN, AMT (a):
2,700 (Seafood Services Inc. Project), Series A, 3.90% due 12/01/2023 ........... 2,700
1,600 (Ward Hill Central Products Inc.), 3.40% due 8/01/2016 .................... 1,600
5,000 Massachusetts State Development Finance Agency, Revenue Refunding Bonds
(Boston Renaissance Charter), VRDN, 3.82% due 7/01/2024 (a) ................... 5,000
3,255 Massachusetts State, FLOATS, Series SG-126, 3.76% due 8/01/2018 (a) ........... 3,255
5,000 Massachusetts State, HFA, S/F Housing Revenue Bonds, Series B-2,
3% due 11/15/1999 ............................................................. 5,000
Massachusetts State Health and Educational Facilities Authority
Revenue Bonds, VRDN (a):
4,000 (Becker College), Series A-1, 3.70% due 7/01/2028 ......................... 4,000
13,800 (Capital Asset Program), Series E, 3.70% due 1/01/2035 .................... 13,800
5,200 (Partners Healthcare System), Series P-2, 3.70% due 7/01/2027 (c) ......... 5,200
6,000 (Wellesley College), Series G, 3.85% due 7/01/2039 ........................ 6,000
</TABLE>
Portfolio Abbreviations for CMA Massachusetts Municipal Money Fund
AMT Alternative Minimum Tax (subject to)
BAN Bond Anticipation Notes
CP Commercial Paper
FLOATS Floating Rate Securities
GO General Obligation Bonds
HFA Housing Finance Agency
IDR Industrial Development Revenue Bonds
PCR Pollution Control Revenue Bonds
RAN Revenue Anticipation Notes
S/F Single-Family
VRDN Variable Rate Demand Notes
3
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CMA MASSACHUSETTS MUNICIPAL MONEY FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 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 Massachusetts State Health and Educational Facilities Authority, Revenue
(continued) Refunding Bonds:
$18,000 (Boston University), CP, Series H, 3.45% due 11/04/1999 ................... $ 18,000
6,200 (Capital Asset Program), VRDN, Series C, 3.90% due 7/01/2005 (a)(b) ....... 6,200
3,900 (Harvard University), VRDN, Series I, 3.80% due 2/01/2016 (a) ............. 3,900
6,005 Massachusetts State Industrial Finance Agency, Health Care Facility
Revenue Bonds (Beverly Enterprises), VRDN, 3.95% due 4/01/2009 (a) ............ 6,005
4,000 Massachusetts State Industrial Finance Agency, PCR (Holyoke Water & Power
Company Project), VRDN, AMT, 3.70% due 12/01/2020 (a) ......................... 4,000
Massachusetts State Industrial Finance Agency, Industrial Revenue Bonds,
VRDN (a):
3,030 (AFC Cable Systems Inc. Issue), AMT, 4.10% due 7/01/2016 .................. 3,030
1,800 (America Technology Corp. Project), 3.90% due 8/01/2022 ................... 1,800
2,000 (BBB Esquire LLC), AMT, 3.90% due 12/01/2016 .............................. 2,000
2,900 (Foilmark Manufacturing), AMT, Series A, 3.90% due 6/01/2010 .............. 2,900
2,775 (Garlock Printing Corp.), AMT, 4.10% due 12/01/2017 ....................... 2,775
3,570 (The Gem Group Inc. Issue), AMT, 4.10% due 7/01/2016 ...................... 3,570
1,930 (Haverdyne Co. LLC Issue), AMT, 3.75% due 9/01/2017 ....................... 1,930
3,285 (Insco Corporation Issue), AMT, 4% due 9/01/2008 .......................... 3,285
2,725 (James F. & Judith Matthews), AMT, 3.95% due 9/01/2013 .................... 2,725
2,800 (Lavigne Issue), AMT, 4% due 8/01/2008 .................................... 2,800
2,610 (Matco Electric Group Inc. Issue), AMT, 3.95% due 7/01/2004 ............... 2,610
3,050 (Mercer Paper Tube Corp.), AMT, 3.95% due 11/01/2011 ...................... 3,050
1,600 (October Co. Inc. Project), AMT, 3.90% due 12/01/2017 ..................... 1,600
6,500 (Star Container Corp. Issue), 4.10% due 2/01/2018 ......................... 6,500
1,900 (Sterling Realty Trust LLC Project), AMT, 3.90% due 12/01/2017 ............ 1,900
2,400 (Tamasi Family Ltd. Partnership Issue), AMT, 3.80% due 5/01/2013 .......... 2,400
678 (Techprint/Techgraphics), AMT, 3.90% due 6/01/2017 ........................ 678
3,000 (Telcom USA Inc. Issue), AMT, 4.10% due 8/01/2016 ......................... 3,000
3,730 (Valkyrie Co. Inc.), AMT, 4% due 5/01/2013 ................................ 3,730
2,845 (WBC Extrusion Products Issue), AMT, 3.90% due 4/01/2006 .................. 2,845
2,680 (William F. Rogers Issue), AMT, 4.10% due 11/01/2006 ...................... 2,680
1,350 (ZBR Ltd. Partnership), AMT, 3.90% due 4/15/2017 .......................... 1,350
4,215 (ZBR Ltd. Partnership Issue), AMT, 4.10% due 4/15/2015 .................... 4,215
Massachusetts State Industrial Finance Agency, Industrial Revenue
Refunding Bonds, VRDN, AMT (a):
1,475 (Carand Realty Trust Issue), 3.75% due 5/01/2017 .......................... 1,475
4,400 (Lightolier Inc. Project), 3.80% due 7/29/2010 ............................ 4,400
2,940 (New England Biolabs), 3.90% due 3/01/2016 ................................ 2,940
5,600 Massachusetts State Industrial Finance Agency, PCR (New England Power Co.
Project), CP, Series A, 3.45% due 10/28/1999 .................................. 5,600
Massachusetts State Industrial Finance Agency Revenue Bonds, VRDN (a):
2,500 (Gordon College Issue), 3.65% due 12/01/2027 .............................. 2,500
3,000 (Governor Dummer Academy), 3.65% due 7/01/2026 ............................ 3,000
1,825 (Heritage at Dartmouth Project), AMT, 3.85% due 12/01/2028 ................ 1,825
1,808 (Lower Mills Association II L.P.), 3.70% due 12/01/2020 ................... 1,808
1,150 (Whitehead Institute Biomed Research), 3.70% due 7/01/2026 ................ 1,150
Massachusetts State Industrial Finance Agency, Revenue Refunding
Bonds, VRDN (a):
1,135 (Easy Day Realty Trust Project), Series A, 3.75% due 7/01/2006 ............ 1,135
2,940 (Mount IDA College Issue), 3.65% due 12/01/2027 ........................... 2,940
1,200 (Showa Women's Institute Inc.), 3.85% due 3/15/2004 ....................... 1,200
</TABLE>
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CMA MASSACHUSETTS MUNICIPAL MONEY FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 (CONCLUDED) (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, Solid Waste Disposal
(concluded) Revenue Bonds (E.L. Harvey & Sons Inc.), VRDN, AMT (a):
$ 2,520 4.10% due 1/01/2011 ....................................................... $ 2,520
2,895 4% due 6/01/2013 .......................................................... 2,895
10,785 Massachusetts State Turnpike Authority, Metropolitan Highway System
Revenue Bonds, FLOATS, VRDN, Series SG-124, 3.76% due 1/01/2029 (a) ........... 10,785
5,500 Massachusetts State Water Resources Authority Revenue Bonds, VRDN,
Series A, 3.75% due 4/01/2028 (a)(d) .......................................... 5,500
3,400 Melrose, Massachusetts, GO, BAN, 4% due 8/16/2000 ............................. 3,412
5,000 Monson, Massachusetts, GO, BAN, 4% due 8/11/2000 .............................. 5,017
7,800 Montachusett, Massachusetts, Regional Transit Authority Revenue Bonds,
RAN, 3.80% due 6/23/2000 ...................................................... 7,815
2,000 Quincy, Massachusetts, BAN, 3.75% due 6/15/2000 ............................... 2,000
9,135 Saugus, Massachusetts, GO, BAN, 3.75% due 5/25/2000 ........................... 9,150
Springfield, Massachusetts, GO, BAN:
6,250 4.25% due 3/02/2000 ....................................................... 6,267
2,880 4% due 6/23/2000 .......................................................... 2,890
2,075 Taunton, Massachusetts, Industrial Development Financing Authority, IDR
(CD Realty Trust IX Project), VRDN, AMT, 3.65% due 2/01/2010 (a) .............. 2,075
4,290 Waltham, Massachusetts, GO, Refunding, BAN, 3.55% due 12/15/1999 .............. 4,291
Westfield, Massachusetts, BAN:
5,825 3.50% due 10/22/1999 ...................................................... 5,827
4,500 GO, 3.75% due 10/22/1999 .................................................. 4,502
7,445 Wilmington, Massachusetts, GO, BAN, 3.50% due 6/29/2000 ....................... 7,445
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Total Investments (Cost--$356,295*)--99.5% .................................... 356,295
Other Assets Less Liabilities--0.5% ........................................... 1,809
--------
Net Assets--100.0% ............................................................ $358,104
========
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</TABLE>
(a) The interest rate is subject to change periodically based upon prevailing
market rates. The interest rate shown is the rate in effect at September
30, 1999.
(b) MBIA Insured.
(c) FSA Insured.
(d) 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 SEPTEMBER 30, 1999
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<TABLE>
<S> <C> <C>
Assets:
Investments, at value (identified cost--$356,295,044) (Note 1a) ....................... $ 356,295,044
Cash .................................................................................. 36,494
Interest receivable ................................................................... 1,952,282
Prepaid registration fees and other assets (Note 1d) .................................. 4,440
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Total assets .......................................................................... 358,288,260
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Liabilities:
Payables:
Distributor (Note 2) ................................................................ $ 89,286
Investment adviser (Note 2) ......................................................... 29,166 118,452
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Accrued expenses and other liabilities ................................................ 65,975
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Total liabilities ..................................................................... 184,427
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Net Assets ............................................................................ $ 358,103,833
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Net Assets Consist of:
Shares of beneficial interest, $.10 par value, unlimited number of shares authorized .. $ 35,811,024
Paid-in capital in excess of par ...................................................... 322,299,120
Accumulated realized capital losses--net (Note 4) ..................................... (6,311)
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Net Assets--Equivalent to $1.00 per share based on 358,110,243 shares of beneficial
interest outstanding .................................................................. $ 358,103,833
=============
</TABLE>
See Notes to Financial Statements.
6
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CMA MASSACHUSETTS MUNICIPAL MONEY FUND
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1999
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Investment Income (Note 1c):
Interest and amortization of premium earned .......... $ 5,864,844
Expenses:
Investment advisory fees (Note 2) .................... $ 891,980
Distribution fees (Note 2) ........................... 218,664
Transfer agent fees (Note 2) ......................... 26,868
Professional fees .................................... 26,453
Accounting services (Note 2) ......................... 25,814
Registration fees (Note 1d) .......................... 24,099
Custodian fees ....................................... 15,256
Printing and shareholder reports ..................... 10,438
Pricing fees ......................................... 3,648
Trustees' fees and expenses .......................... 994
Other ................................................ 1,884
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Total expenses ....................................... 1,246,098
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Investment income--net ............................... 4,618,746
Realized Loss on Investments--Net (Note 1c) .......... (5,573)
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Net Increase in Net Assets Resulting from Operations.. $ 4,613,173
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See Notes to Financial Statements.
7
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CMA MASSACHUSETTS MUNICIPAL MONEY FUND
STATEMENTS OF CHANGES IN NET ASSETS
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<TABLE>
<CAPTION>
For the Six For the Year
Months Ended Ended
September 30, March 31,
Increase (Decrease) in Net Assets: 1999 1999
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<S> <C> <C>
Operations:
Investment income--net ......................................................... $ 4,618,746 $ 8,069,196
Realized loss on investments--net .............................................. (5,573) --
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Net increase in net assets resulting from operations ........................... 4,613,173 8,069,196
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Dividends to Shareholders (Note 1e):
Investment income--net ......................................................... (4,618,746) (8,069,196)
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Net decrease in net assets resulting from dividends to shareholders ............ (4,618,746) (8,069,196)
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Beneficial Interest Transactions (Note 3):
Net proceeds from sale of shares ............................................... 888,438,816 1,153,307,132
Net asset value of shares issued to shareholders in reinvestment of dividends
(Note 1e) ...................................................................... 4,618,788 8,069,355
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893,057,604 1,161,376,487
Cost of shares redeemed ........................................................ (866,385,431) (1,098,868,410)
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Net increase in net assets derived from beneficial interest transactions ....... 26,672,173 62,508,077
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Net Assets:
Total increase in net assets ................................................... 26,666,600 62,508,077
Beginning of period ............................................................ 331,437,233 268,929,156
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End of period .................................................................. $ 358,103,833 $ 331,437,233
============= ==============
</TABLE>
See Notes to Financial Statements.
8
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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 For the Six
from information provided in the financial statements. Months Ended For the Year Ended March 31,
September 30, -----------------------------------------------
Increase (Decrease) in Net Asset Value: 1999 1999 1998 1997 1996
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<S> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net asset value, beginning of period ....................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- --------
Investment income--net ..................................... .01 .03 .03 .03 .03
Realized gain (loss) on investments--net ................... --+ -- --+ --+ --+
-------- -------- -------- -------- --------
Total from investment operations ........................... .01 .03 .03 .03 .03
-------- -------- -------- -------- --------
Less dividends from investment income--net ................. (.01) (.03) (.03) (.03) (.03)
-------- -------- -------- -------- --------
Net asset value, end of period ............................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ========
Total Investment Return .................................... 2.60%* 2.77% 3.03% 2.84% 3.04%
======== ======== ======== ======== ========
Ratios to Average Net Assets:
Expenses ................................................... .70%* .72% .72% .76% .76%
======== ======== ======== ======== ========
Investment income--net ..................................... 2.59%* 2.72% 2.98% 2.78% 3.00%
======== ======== ======== ======== ========
Supplemental Data:
Net assets, end of period (in thousands) ................... $358,104 $331,437 $268,929 $200,598 $189,482
======== ======== ======== ======== ========
</TABLE>
* Annualized.
+ Amount is less than $.01 per share.
See Notes to Financial Statements.
9
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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. 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: .50% of the first $500 million of average daily net assets; .425%
of average daily net assets in excess of $500 million but not exceeding $1
billion; and .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,
10
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Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S") receives a
distribution fee from the Fund at the end of each month at the annual rate of
.125% of 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 sold, reinvested and redeemed during the periods
corresponds to the amounts included in the Statements of Changes in Net Assets
for net proceeds from sale of shares, value of shares reinvested and cost of
shares redeemed, respectively, since shares are recorded at $1.00 per share.
4. Capital Loss Carryforward:
At March 31, 1999, the Fund had a net capital loss carryforward of approximately
$1,000, all of which expires in 2004. This amount will be available to offset
like amounts of any future taxable gains.
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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
William E. Zitelli--Secretary
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
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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. 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--9/99
[RECYCLE LOGO] Printed on post-consumer recycled paper
