CMA
CMA PENNSYLVANIA
MUNICIPAL MONEY FUND
Annual Report
March 31, 1996
Merrill Lynch
BULL LOGO
<PAGE>
Officers and Trustees
Arthur Zeikel--President and Trustee
Ronald W. Forbes--Trustee
Cynthia A. Montgomery--Trustee
Charles C. Reilly--Trustee
Kevin A. Ryan--Trustee
Richard R. West--Trustee
Terry K. Glenn--Executive Vice President
Vincent R. Giordano--Senior Vice President
Edward J. Andrews--Vice President
Donald C. Burke--Vice President
Peter J. Hayes--Vice President
Kenneth A. Jacob--Vice President
Kevin A. Schiatta--Vice President
Helen Marie Sheehan--Vice President
Gerald M. Richard--Treasurer
Robert Harris--Secretary
Custodian
State Street Bank and Trust Company
P.O. Box 1713
Boston, MA 02101
Transfer Agent
Merrill Lynch Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
(800) 221-7210*
[FN]
*For inquiries regarding your CMA account,
call (800) CMA-INFO [(800) 262-4636].
This report is not authorized for use as an offer of sale or a
solicitation of an offer to buy shares of the Fund unless
accompanied or preceded by the Fund's current prospectus. Past
performance results shown in this report should not be considered a
representation of future performance, which will fluctuate. The Fund
seeks to maintain a consistent $1.00 net asset value per share,
although this cannot be assured. An investment in the Fund is
neither insured nor guaranteed by the US Government. Statements and
other information herein are as dated and are subject to change.
CMA Pennsylvania
Municipal Money Fund
Box 9011
Princeton, NJ 08543-9011
TO OUR SHAREHOLDERS:
<PAGE>
For the year ended March 31, 1996, CMA Pennsylvania Municipal Money
Fund paid shareholders a net annualized yield of 3.20%*. As of March
31, 1996, the Fund's 7-day yield was 2.72%.
The Environment
As 1995 drew to a close and 1996 began, it appeared that the US
economy was losing momentum. Lackluster retail sales, increases in
initial unemployment claims (along with weak job and income growth),
and evidence of slowing in the manufacturing sector all suggested
that the rate of economic growth was slowing, with some forecasters
even suggesting the possibility of an imminent recession. With
inflationary pressures well subdued, these signs of economic
weakness led the Federal Reserve Board to follow a more
accommodative monetary policy.
However, investor perceptions regarding the rate of future economic
growth changed dramatically with the report of stronger-than-
expected employment data for February and March. As a result, the
consensus outlook regarding the direction of business activity
shifted from expectations of weakness to anticipation of a revival
in growth of the economy. Long-term interest rates rose, and the
Federal Reserve Board left monetary policy on hold.
Investors are likely to continue to focus on the probable direction
of economic activity and Federal Reserve Board monetary policy in
the weeks ahead. At this time, inflationary pressures do not seem to
be building and the manufacturing sector is still relatively weak,
which suggest that the economy is not on the verge of overheating.
Nevertheless, it is likely that any further indication of stronger
economic activity in the weeks ahead may add to investor concerns
that accelerating economic activity could lead to higher interest
rates.
[FN]
*Based on a constant investment throughout the period, with
dividends compounded daily, and reflecting a net return to the
investor after all expenses.
<PAGE>
Investment Outlook and Strategy
During the six-month period ended March 31, 1996, the Commonwealth
of Pennsylvania experienced contrasting economic developments. When
the period began, manufacturing activity was on an upswing from
the previous period. Then it slowed as low retail demand through the
holiday season and severe weather conditions temporarily crippled
construction manufacturing and other service businesses. However,
pent-up retail demand and an increase in housing activity seems to
have emerged toward the end of the period as the weather began to
improve. Manufacturing activity remained nearly unchanged for the
last couple of months as weakness in the indexes for current
shipments and new orders suggest flat activity. However,
manufacturers forecast an improvement in business over the next six
months for the region. Although job growth in Pennsylvania was
reported as flat for 1995, primarily as a result of the sluggish US
economy and restructurings by numerous corporations that eliminated
jobs, the seasonally adjusted unemployment rate fluctuated around
the national level throughout the period.
Governor Tom Ridge proposed a $31.8 billion budget for fiscal year
1997 during the six-month period ended March 31, 1996. The proposed
budget includes reductions in business taxes in the hope of
stimulating the Commonwealth's economy and therefore creating jobs.
In addition, the proposed budget would reduce Medicaid and welfare
expenses by over $300 million, as well as provide no significant
increase in funding for public schools or mass transit and would cut
funding for private colleges in half. Total general fund spending
would be virtually frozen at $16.2 billion or the equivalent to
fiscal year 1996.
The Commonwealth's general fund revenue collections for the first
nine months of fiscal year 1996 were on target with budget estimates
and were slightly ahead of the comparable period last year. The
steady revenue stream allowed the Commonwealth to avoid the need to
increase its borrowings from the $500 million Tax Anticipation Notes
issued in October to finance daily operations. During the period,
Pennsylvania's cities and towns issued their annual Tax and Revenue
Anticipation Notes in the amount of approximately $212 million,
about 1% less than the comparable period last year.
As discussed in our last report to shareholders, we began the six-
month period ended March 31, 1996 employing a defensive approach to
the market with an average life in the 30-day range. However, a
combination of weaker-than-expected economic statistics, low
inflation, dwindling availability of municipal supply and the
approaching December surge in seasonal money inflows prompted a more
aggressive approach to the market at the outset of the period. Thus,
we extended the Fund's average life to the 55-day range, but limited
quality short-term municipal note issuance prevented us from
extending beyond this point. We subsequently reduced the Fund's
average portfolio maturity and ended the six-month period in the 35-
day range. This strategy benefited the Fund by allowing us to take
advantage of the flat yield curve scenario which persisted for most
of 1995, while limiting exposure to the rising interest rates
experienced thus far in 1996. Recent releases of economic data
exhibiting signs of strength in the economy combined with the
Federal Reserve Board's reluctance to lower interest rates further
at the most recent Federal Open Market Committee meeting have caused
us to adopt a neutral stance to the market.
<PAGE>
In the coming months, we expect to maintain the Fund's average life
in the 40-day range while maintaining adequate liquidity to meet
anticipated tax-related redemptions during the month of April.
Throughout this period of technical weakness, we will look to take
advantage of yield opportunities in tax-exempt commercial paper to
extend the Fund's average life prior to June and July, when
technical factors may increase de-mand for such investments. We
expect to accomplish this while monitoring economic activity and the
Federal Reserve Board's stance on monetary policy, adjusting the
Fund's strategy accordingly. We continue to look for opportunities
to diversify. In addition, we closely monitor credit quality while
seeking to offer an attractive tax-exempt yield for our
shareholders.
We thank you for your support of CMA Pennsylvania Municipal Money
Fund, and we look forward to serving your investment needs in the
future.
Sincerely,
(Arthur Zeikel)
Arthur Zeikel
President
(Vincent R. Giordano)
Vincent R. Giordano
Senior Vice President
(Kevin A. Schiatta)
Kevin A. Schiatta
Vice President and Portfolio Manager
<PAGE>
April 26, 1996
Portfolio Abbreviations for CMA Pennsylvania Municipal Money Fund
ACES SM Adjustable Convertible Extendable Securities
AMT Alternative Minimum Tax (subject to)
CP Commercial Paper
IDA Industrial Development Authority
IDR Industrial Development Revenue Bonds
M/F Multi-Family
PCR Pollution Control Revenue Bonds
S/F Single-Family
TAN Tax Anticipation Notes
TRAN Tax Revenue Anticipation Notes
UPDATES Unit Price Daily Adjustable Tax-Exempt Securities
UT Unlimited Tax
VRDN Variable Rate Demand Notes
<PAGE>
<TABLE>
CMA PENNSYLVANIA MUNICIPAL MONEY FUND
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1996 (IN THOUSANDS)
<CAPTION>
Face Value
State Amount Issue (Note 1a)
<S> <C> <S> <C>
Pennsylvania-- Allegheny County, Pennsylvania, Allegheny Hospital Development
96.0% Authority Revenue Bonds, VRDN (a):
$ 2,000 (Presbyterian Health Center), Series A, 3.35% due 3/01/2020 (b) $ 2,000
3,000 Refunding (Harmarville Rehabilitation Center Project), 3.45%
due 7/01/2007 3,000
6,500 Allegheny County, Pennsylvania, IDA (Duquesne Light Project), CP,
Series A, 3.50% due 6/06/1996 6,500
6,000 Allegheny County, Pennsylvania, IDA, Refunding (Commercial Development
Parkway Center Project), VRDN, Series A, 3.60% due 5/01/2009 (a) 6,000
4,000 Allegheny County, Pennsylvania, Port Authority, Grant Anticipation
Notes, Series A, 3.875% due 6/28/1996 4,000
Beaver County, Pennsylvania, IDA, PCR, CP (Duquesne Light Project),
AMT, Series A:
5,100 3.20% due 4/01/1996 5,100
4,200 3.45% due 5/14/1996 4,200
4,000 Beaver County, Pennsylvania, IDA, PCR, Refunding (Atlantic Richfield
Project), VRDN, 3.40% due 12/01/2020 (a) 4,000
8,000 Beaver County, Pennsylvania, IDA, PCR, Refunding (Toledo Edison
Project), CP, Series E, 3.25% due 6/05/1996 8,000
2,600 Berks County, Pennsylvania, IDA, IDR (Valley Forge Company, Inc.
Project), VRDN, AMT, Series A, 3.95% due 9/01/2006 (a) 2,600
1,360 Bucks County, Pennsylvania, IDA, Environmental Improvement Revenue
Refunding Bonds (USX Corporate Project), 3.70% due 5/01/1996 1,360
6,600 Bucks County, Pennsylvania, IDA, Revenue Bonds (Thypin Steel Co.),
VRDN, AMT, 3.35% due 12/01/2015 (a) 6,600
Carbon County, Pennsylvania, IDA, Resource Recovery Revenue Bonds
(Panther Creek Partners), CP, AMT:
2,000 Series A, 3.30% due 4/10/1996 2,000
4,050 Series A, 3.50% due 4/11/1996 4,050
7,400 Series A, 3.40% due 5/09/1996 7,400
1,245 Series A, 3.55% due 5/09/1996 1,245
2,550 Series B, 3.40% due 5/09/1996 2,550
14,540 Series B, 3.45% due 8/22/1996 14,540
2,415 Chester County, Pennsylvania, Health and Education Facilities Authority,
Health System Revenue Bonds (Main Line Health System), Series A, 3.70%
due 5/15/1996 2,416
3,400 Delaware County, Pennsylvania, IDA, PCR (BP Oil Inc. Project), UPDATES,
VRDN,3.50% due 12/01/2009 (a) 3,400
7,800 Delaware County, Pennsylvania, IDA, PCR, Refunding (BP Exploration &
Oil), VRDN, 3.50% due 10/01/2019 (a) 7,800
Delaware County, Pennsylvania, IDA, PCR, Refunding (Philadelphia Electric
Company), CP (c):
4,500 Series A, 3.30% due 4/24/1996 4,500
5,000 Series C, 3.30% due 4/09/1996 5,000
4,500 Series C, 3.20% due 4/29/1996 4,500
</TABLE>
<PAGE>
<TABLE>
CMA PENNSYLVANIA MUNICIPAL MONEY FUND
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1996 (CONTINUED) (IN THOUSANDS)
<CAPTION>
Face Value
State Amount Issue (Note 1a)
<S> <C> <S> <C>
Pennsylvania Eagle Tax Exempt Trust, Pennsylvania, VRDN (a):
(continued) $ 4,300 Series 94, 3.52% due 5/01/2008 $ 4,300
6,000 Series A, 3.47% due 7/01/2025 6,000
Emmaus, Pennsylvania, General Authority Revenue Bonds (Local
Government Pool), VRDN (a):
4,600 Series H, 3.40% due 3/01/2024 4,600
3,300 Sub-Series B-12, 3.45% due 3/01/2024 3,300
11,300 Sub-Series C-8, 3.45% due 3/01/2024 11,300
5,000 Sub-Series C-9, 3.45% due 3/01/2024 5,000
7,000 Sub-Series C-11, 3.40% due 3/01/2024 7,000
3,600 Sub-Series D-11, 3.45% due 3/01/2024 3,600
3,500 Sub-Series F-7, 3.45% due 3/01/2024 3,500
5,000 Sub-Series F-8, 3.45% due 3/01/2024 5,000
3,200 Sub-Series F-9, 3.40% due 3/01/2024 3,200
6,800 Sub-Series G-7, 3.45% due 3/01/2024 6,800
3,100 Erie County, Pennsylvania, IDA, Revenue Bonds (McInnes Steel Co.),
VRDN, AMT, 3.60% due 11/01/2001 (a) 3,100
Montgomery County, Pennsylvania, IDA, PCR, Refunding
(PECO Energy Co.), CP:
10,000 3.35% due 5/07/1996 10,000
4,640 Series B, 3.20% due 4/10/1996 4,640
1,700 Montgomery County, Pennsylvania, IDA, Revenue Bonds (Merck & Co.
Project), VRDN, Series A, 3.80% due 10/01/2017 (a) 1,700
3,850 Montour County, Pennsylvania, IDA, PCR (Merck & Co. Project), VRDN,
Series A, 3.55% due 10/01/2003 (a) 3,850
Pennsylvania Economic Development Financing Authority, Economic
Development Revenue Bonds, VRDN (a):
5,000 AMT, Series D-7, 3.60% due 8/01/2022 5,000
2,100 AMT, Series I-3, 3.60% due 12/01/2011 2,100
1,600 (Erie Forge & Steel Project), AMT, Series B-4, 3.60% due 12/01/1999 1,600
1,800 (Erie Plating Company Project), AMT, Series B-5, 3.60% due
12/01/2004 1,800
6,100 (Gutchess Hardwoods Project), Series B, 3.90% due 4/01/2005 6,100
1,250 (Wendt Dunnington Co. Project), AMT, 3.60% due 9/01/2010 1,250
5,850 Pennsylvania Energy Development Authority, Energy Development Revenue
Bonds (B&W Ebensburg Project), VRDN, AMT, 3.40% due 12/01/2011 (a) 5,850
Pennsylvania Energy Development Authority, Energy Development Revenue
Bonds (Piney Creek Project), VRDN, AMT (a):
14,000 Series A, 3.45% due 12/01/2011 14,000
900 Series C, 3.45% due 12/01/2011 900
Pennsylvania State Higher Education Assistance Agency, Student Loan
Revenue Bonds, VRDN (a):
13,600 AMT, Series A, 3.50% due 1/01/2018 13,600
5,900 AMT, Series B, 3.50% due 7/01/2018 5,900
9,900 Series C, 3.50% due 7/01/2018 9,900
13,000 Pennsylvania State Higher Education, University Funding Obligation
Bonds (Temple University), 5% due 5/22/1996 13,020
2,200 Pennsylvania State Higher Educational Facilities Authority, College
and University Revenue Bonds (Temple University), VRDN, 3.40%
due 10/01/2009 (a) 2,200
</TABLE>
<PAGE>
<TABLE>
CMA PENNSYLVANIA MUNICIPAL MONEY FUND
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1996 (CONCLUDED) (IN THOUSANDS)
<CAPTION>
Face Value
State Amount Issue (Note 1a)
<S> <C> <S> <C>
Pennsylvania Pennsylvania State Higher Educational Facilities Authority, Revenue
(concluded) Refunding Bonds (Carnegie Mellon University), VRDN (a):
$ 6,900 Series B, 3.50% due 11/01/2027 $ 6,900
2,400 Series C, 3.50% due 11/01/2029 2,400
5,000 Pennsylvania State Higher Educational Facilities Authority, Revenue
Refunding Bonds (Thomas Jefferson University), ACES, Series C, 3.25%
due 8/26/1996 (a) 5,000
28,500 Pennsylvania State, TAN, 4.50% due 6/28/1996 28,552
5,000 Pennsylvania State University, Series A, 4% due 12/18/1996 5,023
6,000 Pennsylvania State, VRDN, 3.52% due 5/01/2014 (a) 6,000
Philadelphia, Pennsylvania, Hospitals and Higher Education Facilities
Authority, Hospital Revenue Bonds, VRDN (a):
2,200 (Friends Hospital), Series A, 3.45% due 3/01/2006 2,200
2,360 Refunding (Pennsylvania Hospital), Series B, 3.35% due 7/01/2023 (c) 2,360
Philadelphia, Pennsylvania, IDA, Revenue Bonds, VRDN (a):
10,200 (30th Street Station Project), AMT, 3.55% due 1/01/2011 (b) 10,200
8,000 (Institute for Cancer Research Project), Series A, 3.40% due
7/01/2013 8,000
4,425 Philadelphia, Pennsylvania, Redevelopment Authority, M/F Housing
Revenue Refunding Bonds (Courts Project), VRDN, Series A, 3.30% due
6/01/2025 (a) 4,425
5,000 Philadelphia, Pennsylvania, School District, TRAN, UT, 4.50% due
6/28/1996 5,006
5,000 Philadelphia, Pennsylvania, TRAN, Series A, 4.50% due 6/27/1996 5,006
1,805 Pittsburgh, Pennsylvania, Urban Redevelopment Authority, S/F Mortgage
Revenue Bonds, AMT, Series C, 3.40% due 6/01/1996 1,805
Venango, Pennsylvania, IDA, Resource Recovery Revenue Bonds
(Scrubgrass Project), AMT, CP:
2,915 3.35% due 4/11/1996 2,915
2,000 3.70% due 5/10/1996 2,000
9,100 Refunding, Series A, 3.20% due 4/08/1996 9,100
2,750 Refunding, Series B, 3.80% due 4/09/1996 2,750
1,550 Refunding, Series B, 3.55% due 5/09/1996 1,550
2,050 Wallenpaupack, Pennsylvania, Area School District, TRAN, 4.18%
due 6/28/1996 2,051
3,900 Washington County, Pennsylvania, Lease Authority Revenue Bonds (Higher
Education Pooled Equipment Lease), VRDN, Series 1985-A, 3.55% due
11/01/2005 (a) 3,900
Total Investments (Cost--$400,014*)-- 96.0% 400,014
Other Assets Less Liabilities--4.0% 16,715
----------
Net Assets--100.0% $ 416,729
==========
<PAGE>
<FN>
(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, 1996.
(b)MBIA Insured.
(c)FGIC Insured.
*Cost for Federal income tax purposes.
See Notes to Financial Statements.
</TABLE>
<TABLE>
CMA PENNSYLVANIA MUNICIPAL MONEY FUND
STATEMENT OF ASSETS AND LIABILITIES AS OF MARCH 31, 1996
<S> <C> <C>
Assets:
Investments, at value (identified cost--$400,014,003) (Note 1a) $ 400,014,003
Cash 66,004
Receivables:
Securities sold $ 14,003,200
Interest 2,843,176
Beneficial interest sold 157,346 17,003,722
---------------
Prepaid registration fees and other assets (Note 1d) 44,079
---------------
Total assets 417,127,808
---------------
Liabilities:
Payables:
Investment adviser (Note 2) 167,698
Distributor (Note 2) 130,674 298,372
---------------
Accrued expenses and other liabilities 100,230
---------------
Total liabilities 398,602
---------------
Net Assets $ 416,729,206
===============
Net Assets Consist of:
Shares of beneficial interest, $0.10 par value, unlimited number of shares
authorized $ 41,675,555
Paid-in capital in excess of par 375,079,671
Accumulated realized capital losses--net (Note 4) (26,020)
---------------
Net Assets--Equivalent to $1.00 per share based on 416,755,552 shares of
beneficial interest outstanding $ 416,729,206
===============
<PAGE>
See Notes to Financial Statements.
</TABLE>
<TABLE>
CMA PENNSYLVANIA MUNICIPAL MONEY FUND
STATEMENT OF OPERATIONS FOR THE YEAR ENDED MARCH 31, 1996
<S> <C> <C>
Investment Income (Note 1c):
Interest and amortization of premium and discount earned $ 14,946,927
Expenses:
Investment advisory fees (Note 2) $ 1,939,951
Distribution fees (Note 2) 483,744
Transfer agent fees (Note 2) 110,609
Accounting services (Note 2) 61,755
Professional fees 53,802
Registration fees (Note 1d) 41,717
Printing and shareholder reports 35,745
Custodian fees 33,242
Pricing fees 8,244
Amortization of organization expenses (Note 1d) 3,976
Trustees' fees and expenses 3,966
Other 6,434
---------------
Total expenses 2,783,185
---------------
Investment income--net 12,163,742
---------------
Net Increase in Net Assets Resulting from Operations $ 12,163,742
===============
</TABLE>
<TABLE>
CMA PENNSYLVANIA MUNICIPAL MONEY FUND
STATEMENTS OF CHANGES IN NET ASSETS
<CAPTION>
For the Year Ended March 31,
Increase (Decrease) in Net Assets: 1996 1995
<S> <C> <C>
Operations:
Investment income--net $ 12,163,742 $ 8,936,700
Realized loss on investments--net -- (12,217)
--------------- ---------------
Net increase in net assets resulting from operations 12,163,742 8,924,483
--------------- ---------------
<PAGE>
Dividends to Shareholders (Note 1e):
Investment income--net (12,163,742) (8,935,523)
--------------- ---------------
Net decrease in net assets resulting from dividends to shareholders (12,163,742) (8,935,523)
--------------- ---------------
Beneficial Interest Transactions (Note 3):
Net proceeds from sale of shares 1,486,225,661 1,238,593,671
Net asset value of shares issued to shareholders in reinvestment of
dividends (Note 1e) 12,166,441 8,935,464
--------------- ---------------
1,498,392,102 1,247,529,135
Cost of shares redeemed (1,435,297,725) (1,230,735,908)
--------------- ---------------
Net increase in net assets derived from beneficial interest transactions 63,094,377 16,793,227
--------------- ---------------
Net Assets:
Total increase in net assets 63,094,377 16,782,187
Beginning of year 353,634,829 336,852,642
--------------- ---------------
End of year $ 416,729,206 $ 353,634,829
=============== ===============
See Notes to Financial Statements.
</TABLE>
<TABLE>
CMA PENNSYLVANIA MUNICIPAL MONEY FUND
FINANCIAL HIGHLIGHTS
<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: 1996 1995 1994 1993 1992
<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 .02 .02 .03
---------- ---------- ---------- ---------- ----------
Total from investment operations .03 .03 .02 .02 .03
---------- ---------- ---------- ---------- ----------
Less dividends from investment income--net (.03) (.03) (.02) (.02) (.03)
---------- ---------- ---------- ---------- ----------
Net asset value, end of year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ==========
Total Investment Return 3.20% 2.65% 1.87% 2.29% 3.58%
========== ========== ========== ========== ==========
<PAGE>
Ratios to Average Net Assets:
Expenses .72% .71% .72% .72% .77%
========== ========== ========== ========== ==========
Investment income--net 3.13% 2.64% 1.85% 2.22% 3.47%
========== ========== ========== ========== ==========
Supplemental Data:
Net assets, end of year (in thousands) $ 416,729 $ 353,635 $ 336,853 $ 318,954 $ 243,225
========== ========== ========== ========== ==========
See Notes to Financial Statements.
</TABLE>
CMA PENNSYLVANIA MUNICIPAL MONEY FUND
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies:
CMA Pennsylvania Municipal Money Fund (the "Fund") is part of CMA
Multi-State Municipal Series Trust (the "Trust"). The Fund is
registered under the Investment Company Act of 1940 as a non-
diversified, open-end management investment company. The following
is a summary of significant accounting policies followed by the
Fund.
(a) Valuation of investments--Investments are valued at amortized
cost, which approximates market value. For the purpose of valuation,
the maturity of a variable rate demand instrument is deemed to be
the next coupon date on which the interest rate is to be adjusted.
In the case of a floating rate instrument, the remaining maturity is
the demand notice payment period.
(b) Income taxes--It is the Fund's policy to comply with the
requirements of the Internal Revenue Code applicable to regulated
investment companies and to distribute substantially all of its
taxable income to its shareholders. Therefore, no Federal income tax
provision is required.
(c) Security transactions and investment income--Security
transactions are recorded on the dates the transactions are entered
into (the trade dates). Interest income (including amortization of
premium and discount) is recognized on the accrual basis. Realized
gains and losses on security transactions are determined on the
identified cost basis.
<PAGE>
(d) Deferred organization expenses and prepaid registration fees--
Deferred organization expenses are charged to expense on a straight-
line basis over a five-year period. 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 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.
(f) Reclassification--Generally accepted accounting principles
require that certain components of net assets be reclassified to
reflect permanent differences between financial reporting and tax
purposes. Accordingly, current year's permanent book/tax differences
of $325 have been reclassified from paid-in-capital in excess of par
to accumulated net realized capital losses. These reclassifications
have no effect on net assets or net asset value 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" or "Adviser"). 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.
<PAGE>
The most restrictive annual expense limitation requires that the
Adviser reimburse the Fund to the extent the Fund's expenses
(excluding interest, taxes, distribution fees, brokerage fees and
commissions, and extraordinary items) exceed in any fiscal year 2.5%
of the Fund's first $30 million of average daily net assets, 2.0% of
the Fund's next $70 million of average daily net assets, and 1.5% of
the average daily net assets in excess thereof. No fee payment will
be made to the Adviser during the year which will cause such
expenses to exceed the pro rata expense limitation at the time of
such payment.
CMA PENNSYLVANIA MUNICIPAL MONEY FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
Pursuant to the Distribution and Shareholder Servicing Plan in
compliance with Rule 12b-1 under the Investment Company Act of 1940,
Merrill Lynch, Pierce, Fenner & Smith Inc. ("MLPF&S") receives a
distribution fee from the Fund at the end of each month at the
annual rate of 0.125% of average daily net assets of the Fund. The
distribution fee is to compensate MLPF&S financial consultants and
other directly involved branch office personnel for selling shares
of the Fund and for providing direct personal services to
shareholders. The distribution fee is not compensation for the
administrative and operational services rendered to the Fund by
MLPF&S in processing share orders and administering shareholder
accounts.
Merrill Lynch Financial Data Services, Inc. ("MLFDS"), a
wholly-owned subsidiary of ML & Co., is the Fund's
transfer agent.
Accounting services are provided to the Fund by FAM at cost.
Certain officers and/or trustees of the Fund are officers and/or
directors of FAM, PSI, MLPF&S, MLFDS, and/or ML & Co.
3. Shares of Beneficial Interest:
The number of shares purchased and redeemed during the period
corresponds to the amounts included in the Statements of Changes in
Net Assets for net proceeds from sale of shares and cost of shares
redeemed, respectively, since shares are recorded at $1.00 per
share.
4. Capital Loss Carryforward:
At March 31, 1996, the Fund had a net capital loss carryforward of
approximately $26,000, of which $15,000 expires in 2002 and $11,000
expires in 2003. This amount will be available to offset like
amounts of any future taxable gains.
<PAGE>
<AUDIT-REPORT>
CMA PENNSYLVANIA MUNICIPAL MONEY FUND
INDEPENDENT AUTITORS' REPORT
The Board of Trustees and Shareholders,
CMA Pennsylvania 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
Pennsylvania Municipal Money Fund of CMA Multi-State Municipal
Series Trust as of March 31, 1996, 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, 1996 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 Pennsylvania Municipal Money Fund of CMA Multi-State Municipal
Series Trust as of March 31, 1996, 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 1, 1996
</AUDIT-REPORT>
<PAGE>
IMPORTANT TAX INFORMATION (UNAUDITED)
All of the net investment income distributions paid daily by CMA
Pennsylvania Municipal Money Fund of CMA Multi-State Municipal
Series Trust during its taxable year ended March 31, 1996 qualify as
tax-exempt interest dividends for Federal income tax purposes.
Additionally, there were no capital gains distributed by the Fund
during the year.
Please retain this information for your records.
