[LOGO] CMA (R)
CMA MASSACHUSETTS
MUNICIPAL MONEY FUND
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Semi-Annual Report
[GRAPHIC OMITTED]
September 30, 2000
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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, 2000, CMA Massachusetts Municipal
Money Fund paid shareholders a net annualized yield of 3.41%.* As of September
30, 2000, the Fund's 7-day yield was 3.91%.
Economic Environment
The commonwealth of Massachusetts continued to lead the Northeast in economic
performance with a balanced economy during the six-month period ended September
30, 2000. Employment growth remained on an upward trend as the commonwealth
continued to add a disproportionate share of high-paying jobs that contributed
to personal income growth also being reported as extremely strong. In addition,
joblessness remained and continued to inch lower, which allowed the
Massachusetts' seasonally adjusted unemployment rate to trend well below the
national average. Spurred by a very strong Canadian economy and an accelerating
Western European economy, Massachusetts' export industry surged by posting a 12%
rate of growth year-over-year. With continued good fortune in the commonwealth,
commercial and residential real estate markets remained tight.
Future concerns for the commonwealth's economic well-being comes from two
factors. The first concern is the commonwealth's increasing shortage of
high-skilled labor, sluggish population and labor force growth, which could
constrain Massachusetts' potent economy. The second concern is stock market
volatility. The Boston metropolitan area would be most affected where the large
mutual fund and financial industries are located. In addition, Massachusetts is
home to numerous high-technology firms, composed mainly of smaller software,
Internet development and biotechnology firms. The commonwealth's market
volatility could make it more difficult for these companies to raise capital to
expand operations either through venture capital or by issuing public equity.
Strong economic performance throughout the period enabled the commonwealth to
report strong revenue streams. These strong revenue streams allowed
Massachusetts to end fiscal year 2000 successfully, with total revenues of $15.7
billion or 9.9% above fiscal year 1999. In addition, good fortune has carried
over into the beginning of fiscal year 2001 as total revenue collections for the
first three months totaled $3.95 billion or 12.4% more than the comparable
period last year. These positive revenue streams did not deter the commonwealth
from issuing $400 million in Bond Anticipation Notes to temporarily finance its
daily operations. Prosperity continued to filter to the various Massachusetts
municipalities, as the need to finance daily operations by issuing short-term
debt was still moderate. However, the need to subsidize school funding continued
to affect the amount of local municipal issuance, which amounted to $1.23
billion.
Investment Strategy
At the beginning of the six-month period ended September 30, 2000, we employed a
cautious approach to the short-term municipal market. With the Federal Reserve
Board still pursuing a tightening policy and with April generally a month when
funds experience seasonal tax-related redemptions, we began the period with an
increased percentage of variable rate demand note securities. The Fund's net
assets reached $427 million by mid-April but lost approximately 22% of its
assets before stabilizing in mid-May. With overall tax-related redemptions
higher than in previous years, combined with an anticipated interest rate
increase by the Federal Reserve Board, yields on one-year Massachusetts
municipal notes rose approximately 90 basis points (0.90%) to the 4.80% range or
80% of their taxable equivalent. In addition, yields on variable rate demand
notes also rose to nearly 100% of their taxable equivalent. Although the Fund
performed well during this period, yields on short-term Massachusetts municipal
notes provided an opportunity to lock in attractive yields for an extended
period of time. We changed our investment strategy to a neutral
* 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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position and pursued such opportunities when we could. However, our degree of
participation in municipal notes was limited because of the extensive
tax-related redemptions the Fund experienced this year.
At the May 16 Federal Open Market Committee meeting, the Federal Reserve Board
increased the Federal Funds rate 50 basis points to 6.50%. This dramatic showing
by the Federal Reserve Board created a positive outlook among investors, giving
a sense that we may be near the end of the current cycle of rising short-term
interest rates. As funds began to see subscriptions and the need to replace
maturing notes grew, investors started to scramble to try to lock in the high
yields offered by municipal notes. This scenario carried over through August as
the Federal Reserve Board held short-term interest rates steady at both the June
and August Federal Open Market Committee meetings and was further reinforced as
economic statistics indicated that the economy was beginning to slow. Yields on
Massachusetts short-term municipal notes declined approximately 65 basis points
to the 4.20% range or 65% of their taxable equivalents by the end of August.
However, in September a combination of reduced investor demand, indications of
stabilization of the domestic economy and rising oil prices caused enough
concern to see yields on variable rate demand notes rise sharply, and yields on
one-year Massachusetts municipal notes increased approximately 15 basis points
to the 4.35% range. We took advantage of market weakness by replacing
lower-yielding maturing securities with higher-yielding municipal notes and the
Fund performed well during this period. In addition, we were able to balance and
increase the Fund's holdings of variable rate demand notes during periods when
these securities rose sharply in yields.
Looking forward, we expect to employ a neutral approach to the short-term
municipal market. We believe this investment strategy is warranted since
uncertainty still surrounds the upcoming presidential election and any increases
in oil prices. There also have been indications that the domestic economy may be
stabilizing, which could prompt the Federal Reserve Board into some form of
action in the future. We will pursue and look to take advantage of yield
opportunities in municipal notes when they exist and as they become available.
Finally, we will continue to closely monitor credit quality and at the same time
seek to maintain an attractive tax-exempt yield for our shareholders.
In Conclusion
We thank you for your support of CMA Massachusetts Municipal Money Fund, and we
look forward to serving your investment needs in the 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 1, 2000
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CMA MASSACHUSETTS MUNICIPAL MONEY FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2000 (IN THOUSANDS)
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<TABLE>
<CAPTION>
Face
State Amount Issue Value
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<S> <C> <C> <C>
Massachusetts -- $ 4,494 Blackstone, Massachusetts, GO, BAN, 4.75% due 10/26/2000 ..................................... $ 4,495
99.4% 1,875 Boston, Massachusetts, Industrial Financing Authority, IDR
(Acme Bookbinding Co.), AMT, VRDN, 5.50% due 9/01/2006 (a) ................................... 1,875
5,000 Boston, Massachusetts, Water and Sewer Commission Revenue Bonds, FLOATS,
Series SG-75, 5.47% due 11/01/2019 (a) ....................................................... 5,000
11,745 Clipper, Massachusetts, Tax-Exempt Trust Revenue Bonds, VRDN, AMT,
4.94% due 9/01/2004 (a) ...................................................................... 11,745
Eagle Tax-Exempt Trust, Massachusetts, GO, VRDN (a):
9,600 Series 97C-2102, 4.34% due 2/01/2011 ..................................................... 9,600
11,400 Series 97C-2103, 4.34% due 2/01/2006 ..................................................... 11,400
2,900 Freetown-Lakeville, Massachusetts, Regional School District, BAN,
4.75% due 9/28/2001 .......................................................................... 2,911
9,500 Freetown-Lakeville, Massachusetts, Regional School District, GO, BAN,
4.50% due 2/16/2001 .......................................................................... 9,509
6,000 Holliston, Massachusetts, GO, BAN, 4.75% due 8/24/2001 ....................................... 6,022
3,750 Lowell, Massachusetts, Regional Transit Authority Revenue Bonds, RAN,
4.75% due 8/10/2001 .......................................................................... 3,755
9,000 Lynn, Massachusetts, GO, BAN, 4.25% due 11/16/2000 ........................................... 9,003
4,200 Marlborough, Massachusetts, GO, BAN, 5% due 6/22/2001 ........................................ 4,212
5,000 Marshfield, Massachusetts, GO, BAN, 5% due 6/20/2001 ......................................... 5,025
20,000 Massachusetts State, CP, 5.45% due 10/04/2000 ................................................ 20,000
3,900 Massachusetts State Development Finance Agency, Environmental Improvement
Revenue Bonds (The Mead Corporation Project), VRDN, AMT, Series A,
5.45% due 11/01/2033 (a) ..................................................................... 3,900
Massachusetts State Development Finance Agency, IDR, VRDN, AMT (a):
2,600 (Seafood Services Inc. Project), Series A, 5.65% due 12/01/2023 .......................... 2,600
1,580 (Ward Hill Central Products Inc.), 5.70% due 8/01/2016 ................................... 1,580
3,500 Massachusetts State Development Finance Agency Revenue Bonds (Worcester
Academy Issue), VRDN, 5.40% due 10/01/2030 (a) ............................................... 3,500
Massachusetts State Development Finance Agency, Revenue Refunding
Bonds, VRDN (a):
5,000 (Boston Renaissance Charter), 5.57% due 7/01/2024 ........................................ 5,000
4,000 (Marine Biological Lab), 5.40% due 2/01/2030 ............................................. 4,000
3,255 Massachusetts State, FLOATS, Series SG-126, 5.47% due 8/01/2018 (a) .......................... 3,255
17,500 Massachusetts State, GO, Refunding, VRDN, Series B, 4.15% due 9/01/2016 (a) .................. 17,500
</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
FLOATS Floating Rate Securities
GO General Obligation Bonds
IDR Industrial Development Revenue Bonds
M/F Multi-Family
PCR Pollution Control Revenue Bonds
RAN Revenue Anticipation Notes
VRDN Variable Rate Demand Notes
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CMA MASSACHUSETTS MUNICIPAL MONEY FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2000 (CONTINUED) (IN THOUSANDS)
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<TABLE>
<CAPTION>
Face
State Amount Issue Value
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<S> <C> <C> <C>
Massachusetts Massachusetts State Health and Educational Facilities Authority Revenue Bonds,
(continued) VRDN (a):
$11,100 (Capital Asset Program), Series D, 5.55% due 1/01/2035 (b) .............................. $11,100
31,585 (Capital Asset Program), Series E, 5.50% due 1/01/2035 .................................. 31,585
15,300 (Partners Healthcare System), Series P-1, 5.45% due 7/01/2027 (c) ....................... 15,300
Massachusetts State Health and Educational Facilities Authority, Revenue
Refunding Bonds, VRDN (a):
8,500 (Boston University), Series H, 4.15% due 12/01/2029 ..................................... 8,500
500 (Capital Asset Program), Series C, 4.10% due 7/01/2010 (b) .............................. 500
5,750 Massachusetts State Industrial Finance Agency, Health Care Facility
Revenue Bonds (Beverly Enterprises), VRDN, 5.35% due 4/01/2009 (a) .......................... 5,750
4,000 Massachusetts State Industrial Finance Agency (Holyoke Water & Power Company
Project), PCR, VRDN, AMT, 5.40% due 12/01/2020 (a) .......................................... 4,000
Massachusetts State Industrial Finance Agency, Industrial Revenue Bonds,
VRDN, AMT (a):
2,850 (AFC Cable Systems Inc. Issue), 5.60% due 7/01/2016 ..................................... 2,850
1,700 (America Tech), 5.65% due 8/01/2022 ..................................................... 1,700
2,000 (BBB Esquire LLC), 5.65% due 12/01/2016 ................................................. 2,000
2,500 (Foilmark Manufacturing), Series A, 5.60% due 6/01/2010 ................................. 2,500
2,515 (Garlock Printing Corp.), 5.60% due 12/01/2017 .......................................... 2,515
3,360 (Gem Group Inc. Issue), 5.60% due 7/01/2016 ............................................. 3,360
2,920 (Insco Corporation Issue), 5.60% due 9/01/2008 .......................................... 2,920
2,505 (James F. & Judith Matthews), 5.60% due 9/01/2013 ....................................... 2,505
2,660 (Lavigne), 5.60% due 8/01/2008 .......................................................... 2,660
1,900 (Matco Electric Group Inc.), 5.60% due 7/01/2004 ........................................ 1,900
2,800 (Mercer Paper Tube Corp.), 5.60% due 11/01/2011 ......................................... 2,800
6,040 (Star Container Corp.), 5.60% due 2/01/2018 ............................................. 6,040
2,200 (Tamasi Family Issue), 5.50% due 5/01/2013 .............................................. 2,200
653 (Techprint/Techgraphics), 5.50% due 6/01/2017 ........................................... 653
2,825 (Telcom USA Inc. Issue), 5.60% due 8/01/2016 ............................................ 2,825
3,460 (Valkyrie Co. Inc.), 5.60% due 5/01/2013 ................................................ 3,460
2,435 (WBC Extrusion Products Issue), 4.55% due 4/01/2006 ..................................... 2,435
2,415 (William F. Rogers Issue), 5.60% due 11/01/2006 ......................................... 2,415
Massachusetts State Industrial Finance Agency, Industrial Revenue Refunding
Bonds, VRDN, AMT (a):
1,375 (Carand Realty Trust Issue), 5.50% due 5/01/2017 ........................................ 1,375
2,765 (New England Biolabs), 5.60% due 3/01/2016 .............................................. 2,765
Massachusetts State Industrial Finance Agency, PCR, Refunding (New England
Power Company Project), CP:
15,600 4% due 10/02/2000 ....................................................................... 15,600
2,800 4.15% due 10/23/2000 .................................................................... 2,800
Massachusetts State Industrial Finance Agency Revenue Bonds, VRDN (a):
2,500 (Gordon College Issue), 5.40% due 12/01/2027 ............................................ 2,500
1,720 (Heritage at Dartmouth), AMT, 5.60% due 12/01/2028 ...................................... 1,720
1,728 (Lower Mills Association II L.P.), 5.55% due 12/01/2020 ................................. 1,728
1,150 (Whitehead Institute Biomed Research), 5.40% due 7/01/2026 .............................. 1,150
Massachusetts State Industrial Finance Agency, Revenue Refunding Bonds,
VRDN (a):
970 (Easy Day Realty Trust Project), Series A, 5.50% due 7/01/2006 .......................... 970
5,000 (Lightolier Inc. Project), 5.65% due 7/29/2010 .......................................... 5,000
2,880 (Mount Ida College Issue), 5.40% due 12/01/2027 ......................................... 2,880
16,000 (Showa Womens Institute Inc.), 5.50% due 3/15/2004 ...................................... 16,000
</TABLE>
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CMA MASSACHUSETTS MUNICIPAL MONEY FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 2000 (CONCLUDED) (IN THOUSANDS)
================================================================================
<TABLE>
<CAPTION>
Face
State Amount Issue Value
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Massachusetts Massachusetts State Industrial Finance Agency, Solid Waste Disposal Revenue
(concluded) Bonds (E.L. Harvey & Sons Inc.), VRDN, AMT (a):
$ 2,310 5.60% due 1/01/2011 ..................................................................... $ 2,310
2,685 5.60% due 6/01/2013 ..................................................................... 2,685
6,000 Massachusetts State M/F Housing Finance Revenue Refunding Bonds, VRDN,
Series A, 5.30% due 12/01/2025 (a)(e) ....................................................... 6,000
10,785 Massachusetts State Turnpike Authority, Metropolitan Highway System Revenue
Bonds, FLOATS, Series SG-124, 5.47% due 1/01/2029 (a) ....................................... 10,785
7,500 Massachusetts State Water Resources Authority, CP, 4.20% due 11/08/2000 ..................... 7,500
Massachusetts State Water Resources Authority, Revenue Refunding Bonds,
VRDN (a)(d):
7,000 Sub-Series B, 5.50% due 8/01/2037 ....................................................... 7,000
4,000 Sub-Series D, 5.50% due 11/01/2026 ...................................................... 4,000
2,400 Medford, Massachusetts, GO, BAN, 4.625% due 3/16/2001 ....................................... 2,403
9,000 Millbury, Massachusetts, GO, BAN, 4.50% due 4/19/2001 ....................................... 9,008
8,520 Millis, Massachusetts, GO, BAN, 4.75% due 10/13/2000 ........................................ 8,522
7,250 New Bedford, Massachusetts, GO, BAN, 5.30% due 6/23/2001 .................................... 7,297
5,000 Northbridge, Massachusetts, GO, BAN, 4.75% due 3/13/2001 .................................... 5,010
4,220 Norwood, Massachusetts, GO, BAN, 4.625% due 1/30/2001 ....................................... 4,224
5,520 Saugus, Massachusetts, GO, BAN, 4.75% due 9/06/2001 ......................................... 5,542
5,000 Springfield, Massachusetts, BAN, 4.75% due 1/12/2001 ........................................ 5,007
6,700 Whitman Hanson, Massachusetts, Regional School District, GO, BAN,
4.30% due 12/15/2000 ........................................................................ 6,704
5,945 Worcester, Massachusetts, GO, BAN, 4.75% due 8/30/2001 ...................................... 5,966
4,500 Yarmouth, Massachusetts, GO, BAN, 4.625% due 6/20/2001 ...................................... 4,510
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Total Investments (Cost -- $429,321*) -- 99.4% .............................................. 429,321
Other Assets Less Liabilities -- 0.6% ....................................................... 2,773
--------
Net Assets -- 100.0% ........................................................................ $432,094
========
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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, 2000.
(b) MBIA Insured.
(c) FSA Insured.
(d) FGIC Insured.
(e) GNMA Collateralized.
* Cost for Federal income tax purposes.
See Notes to Financial Statements.
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CMA MASSACHUSETTS MUNICIPAL MONEY FUND
STATEMENT OF ASSETS AND LIABILITIES AS OF SEPTEMBER 30, 2000
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<TABLE>
<CAPTION>
<S> <C> <C>
Assets:
Investments, at value (identified cost--$429,321,168) ............ $429,321,168
Cash ............................................................. 72,891
Receivables:
Interest ....................................................... $ 3,027,187
Securities sold ................................................ 2,178 3,029,365
-----------
Prepaid registration fees and other assets ....................... 25,038
------------
Total assets ..................................................... 432,448,462
------------
Liabilities:
Payables:
Investment adviser ............................................. 153,958
Distributor .................................................... 100,407 254,365
-----------
Accrued expenses and other liabilities ........................... 100,376
------------
Total liabilities ................................................ 354,741
------------
Net Assets ....................................................... $432,093,721
============
Net Assets Consist of:
Shares of beneficial interest, $.10 par value, unlimited number of
shares authorized ................................................ $ 43,209,302
Paid-in capital in excess of par ................................. 388,883,614
Undistributed realized capital gains--net ........................ 805
------------
Net Assets -- Equivalent to $1.00 per share based on 432,093,015
shares of beneficial interest outstanding ........................ $432,093,721
============
</TABLE>
See Notes to Financial Statements.
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CMA MASSACHUSETTS MUNICIPAL MONEY FUND
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2000
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Investment Income:
Interest and amortization of premium earned ......... $ 7,835,447
Expenses:
Investment advisory fees ............................ $950,881
Distribution fees ................................... 236,945
Accounting services ................................. 44,569
Transfer agent fees ................................. 27,059
Professional fees ................................... 23,564
Custodian fees ...................................... 16,157
Printing and shareholder reports .................... 9,844
Registration fees ................................... 7,187
Pricing fees ........................................ 3,752
Trustees' fees and expenses ......................... 1,111
Other ............................................... 1,742
--------
Total expenses ...................................... 1,322,811
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Investment income -- net ............................ 6,512,636
Realized Gain on Investments -- Net ................. 805
-------------
Net Increase in Net Assets Resulting from
Operations ......................................... $ 6,513,441
=============
See Notes to Financial Statements.
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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: 2000 2000
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<S> <C> <C>
Operations:
Investment income -- net ............................. $ 6,512,636 $ 10,142,968
Realized gain on investments -- net .................. 805 21,902
------------- ---------------
Net increase in net assets resulting from operations . 6,513,441 10,164,870
------------- ---------------
Dividends and Distributions to Shareholders:
Investment income -- net ............................. (6,512,636) (10,142,968)
Realized gain on investments -- net .................. -- (21,164)
------------- ---------------
Net decrease in net assets resulting from dividends
and distributions to shareholders .................... (6,512,636) (10,164,132)
------------- ---------------
Beneficial Interest Transactions:
Net proceeds from sale of shares ..................... 939,321,377 1,766,806,466
Value of shares issued to shareholders in reinvestment
of dividends and distributions ....................... 6,512,769 10,142,868
------------- ---------------
945,834,146 1,776,949,334
Cost of shares redeemed .............................. (923,441,058) (1,698,687,477)
------------- ---------------
Net increase in net assets derived from beneficial
interest transactions ................................ 22,393,088 78,261,857
------------- ---------------
Net Assets:
Total increase in net assets ......................... 22,393,893 78,262,595
Beginning of period .................................. 409,699,828 331,437,233
------------- ---------------
End of period ........................................ $ 432,093,721 $ 409,699,828
============= ===============
</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 For the Six
have been derived from information Months Ended For the Year Ended March 31,
provided in the financial statements. September 30, ---------------------------------------------------
Increase (Decrease) in Net Asset Value: 2000 2000 1999 1998 1997
------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net asset value, beginning of period ........ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- --------- --------- --------- ---------
Investment income -- net .................... .02 .03 .03 .03 .03
Realized gain (loss) on investments -- net .. --+ --+ -- --+ --+
--------- --------- --------- --------- ---------
Total from investment operations ............ .02 .03 .03 .03 .03
--------- --------- --------- --------- ---------
Less dividends and distributions:
Investment income -- net .................. (.02) (.03) (.03) (.03) (.03)
Realized gain on investments -- net ....... -- --+ -- -- --
--------- --------- --------- --------- ---------
Total dividends and distributions ........... (.02) (.03) (.03) (.03) (.03)
--------- --------- --------- --------- ---------
Net asset value, end of period .............. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========= ========= ========= ========= =========
Total Investment Return ..................... 3.41%* 2.80% 2.77% 3.03% 2.84%
========= ========= ========= ========= =========
Ratios to Average Net Assets:
Expenses .................................... .69%* .70% .72% .72% .76%
========= ========= ========= ========= =========
Investment income -- net .................... 3.42%* 2.76% 2.72% 2.98% 2.78%
========= ========= ========= ========= =========
Supplemental Data:
Net assets, end of period (in thousands) .... $ 432,094 $ 409,700 $ 331,437 $ 268,929 $ 200,598
========= ========= ========= ========= =========
</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 conformity
with accounting principles generally accepted in the United States of America,
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
backup 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,
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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.
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CMA MASSACHUSETTS MUNICIPAL MONEY FUND
OFFICERS AND TRUSTEES
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Terry K. Glenn -- President and Trustee
Ronald W. Forbes -- Trustee
Cynthia A. Montgomery -- Trustee
Charles C. Reilly -- Trustee
Kevin A. Ryan -- Trustee
Roscoe S. Suddarth -- Trustee
Richard R. West -- Trustee
Arthur Zeikel -- Trustee
Edward D. Zinbarg -- 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
Phillip Gillespie -- 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].
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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--9/00
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