CMA
CMA TREASURY FUND
Semi-Annual Report
September 30, 1995
MERRILL LYNCH BULL LOGO
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.
<PAGE>
CMA Treasury Fund
Box 9011
Princeton, NJ 08543-9011
DEAR SHAREHOLDER:
For the six-month period ended September 30, 1995, CMA Treasury Fund
paid shareholders a net annualized dividend of 5.28%*. As of
September 30, 1995, the Fund's 7-day yield was 5.03%.
The Environment
After losing momentum through the second calendar quarter, it now
appears that the US economy has resumed a moderate growth trend.
Gross domestic product growth for the three months ended June 30 was
revised to show that the economy expanded at a 1.1% pace, rather
than the 0.5% rate that was originally reported. The employment
report for August exceeded consensus expectations, although most of
the new jobs created were in the service sector, reflecting the
ongoing sluggishness in manufacturing. However, durable goods orders
rebounded somewhat in August, supported by stronger automobile
sales. Reflecting the trend of renewed economic growth--and
continued containment of inflationary pressures--the Federal Reserve
Board signaled no shift in monetary policy following its September
meeting.
One of the major developments during the latter part of the period
under review was the strengthening of the US dollar relative to the
yen and the Deutschemark. Improving interest rate differentials
favoring the US currency, combined with coordinated central bank
intervention and more positive investor sentiment, have helped to
bolster the dollar in foreign exchange markets. Other factors that
appear to be improving the US dollar's outlook in the near term are
a pick-up in capital flows to the United States and the prospect of
increased capital outflows from Japan. However, it remains to be
seen if the US dollar's strengthening trend can continue without
significant improvements in the US budget and trade deficits.
<PAGE>
[FN]
*Based on a constant investment throughout the period, with
dividends compounded daily, and reflecting a net return to the
investor after all expenses.
In the weeks ahead, investor interest will continue to focus on US
economic activity. Clear signs of a moderate, non-inflationary
expansion could further benefit the US stock and bond markets. In
addition, should the current Federal budget deficit reduction
efforts now underway in Washington prove successful, the
implications would likely be positive for the US financial markets.
Portfolio Matters
During the six months ended September 30, 1995, we maintained the
Fund's average portfolio maturity in the 56-day--88-day range. This
reflected our increasingly optimistic view that interest rates would
move lower.
At the beginning of the six-month period ended September 30, 1995,
the Fund's average life was at the low end of the range. With the
front end of the Treasury yield curve generally expensive, CMA
Treasury Fund found value in October Treasury coupons. The spread
between Treasury coupons and Treasury bills remained wide;
therefore, we continued to keep the percentage of Treasury coupons
in the portfolio at approximately 35%--40%. We also purchased
Treasury notes in the ten-month area. A weak employment report in
May led investors to anticipate an easing move by the Federal
Reserve Board. The yield curve flattened dramatically, except for
very short maturities. We purchased July 27 Treasury bills which
represented a relatively steep part of the curve.
During the middle of the six-month period, economic data showed
additional weakness, with the Index of Leading Economic Indicators
declining for the third month in a row. In their public statements,
Federal Reserve Board members generated confusion about whether they
would ease monetary policy, adding volatility to the market. We
extended the Fund's average portfolio maturity slightly by
purchasing Treasury notes maturing in early 1996 at a spread of 14
basis points (0.14%) to comparable Treasury bills. On July 6, 1995,
the Federal Reserve Board lowered its Federal funds target rate by
25 basis points to 5.75%. With the July price data showing that
inflation was contained, we purchased two-year Treasury notes as
they approached the 6% level.
<PAGE>
As the end of the period approached, we focused on October Treasury
bills because they were attractive compared to September bills and
because of the general flatness of the Treasury curve. Economic data
sent mixed signals which led to a diverse set of opinions from
investors as to what the Federal Reserve Board's next move would be.
This uncertainty allowed us to again purchase two-year notes above
the 6% level. The market stabilized with the release of more
economic data which reinforced the feeling that growth was moderate
and inflation was under control. Short-term Treasury bills became
expensive in the face of strong technicals. Therefore, we sold
Treasury bills for delayed settlement, which represented an
attractive alternative compared to other investments with similar
maturities.
Going forward, we will continue to monitor the economy for signs as
to the future course of monetary policy.
In Conclusion
We thank you for your interest in CMA Treasury Fund, and we look
forward to assisting you with your financial needs in the months and
years ahead.
Sincerely,
(Arthur Zeikel)
Arthur Zeikel
President
(Marie Heumiller)
Marie Heumiller
Vice President and Portfolio Manager
October 30, 1995
<PAGE>
CMA TREASURY FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1995 (IN THOUSANDS)
Face Interest Maturity Value
Issue Amount Rate Date (Note 1a)
US Government Obligations*--96.9%
US Treasury $17,000 5.425% 10/05/95 $ 16,985
Bills 2,416 5.43 10/05/95 2,414
50,000 5.51 10/05/95 49,955
30,000 5.525 10/05/95 29,973
13,500 5.90 10/05/95 13,488
3,288 5.285 10/12/95 3,282
27,000 5.295 10/12/95 26,948
231 5.30 10/12/95 231
15,000 5.35 10/12/95 14,971
20,000 5.38 10/12/95 19,961
35,000 5.29 10/19/95 34,897
32,701 5.415 10/19/95 32,602
50,000 5.42 10/19/95 49,848
32,068 5.425 10/19/95 31,971
95,000 5.43 10/19/95 94,712
5,450 5.44 10/19/95 5,434
30,000 5.46 10/19/95 29,909
30,000 5.42 10/26/95 29,877
3,752 5.27 11/09/95 3,729
696 5.34 11/09/95 692
5,840 5.42 11/09/95 5,805
50,000 5.245 11/16/95 49,650
15,000 5.315 11/16/95 14,894
707 5.32 11/16/95 702
4,326 5.43 11/16/95 4,295
5,485 5.435 11/16/95 5,446
50,000 5.44 11/16/95 49,647
15,000 6.23 11/16/95 14,894
20,000 5.245 12/14/95 19,774
25,000 5.32 12/14/95 24,718
15,000 5.38 12/14/95 14,831
20,000 5.475 12/14/95 19,774
15,000 5.405 12/21/95 14,816
26,000 5.32 1/04/96 25,627
30,000 5.325 1/04/96 29,570
CMA TREASURY FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1995 (IN THOUSANDS)
Face Interest Maturity Value
Issue Amount Rate Date (Note 1a)
US Government Obligations*(concluded)
<PAGE>
US Treasury $ 2,783 5.34 % 1/04/96 $ 2,743
Bills (concluded) 25,000 5.315 1/11/96 24,615
15,843 5.365 1/11/96 15,599
7,764 5.39 1/11/96 7,645
20,000 5.435 1/25/96 19,649
20,000 5.455 1/25/96 19,649
8,000 5.29 3/07/96 7,809
5,000 6.125 4/04/96 4,859
10,000 5.14 6/27/96 9,593
US Treasury 65,000 8.625 10/15/95 65,075
Notes 72,000 3.875 10/31/95 71,883
25,000 5.125 11/15/95 24,982
25,000 8.50 11/15/95 25,066
15,000 4.25 11/30/95 14,967
25,000 9.25 1/15/96 25,242
70,000 4.00 1/31/96 69,617
25,000 7.50 1/31/96 25,141
10,000 4.625 2/15/96 9,963
90,000 7.875 2/15/96 90,703
30,000 8.875 2/15/96 30,338
45,000 7.75 3/31/96 45,436
20,000 9.375 4/15/96 20,381
5,000 5.50 4/30/96 4,994
55,000 7.625 4/30/96 55,584
10,000 4.25 5/15/96 9,909
15,000 7.375 5/15/96 15,150
10,000 6.875 10/31/96 10,106
10,000 5.875 7/31/97 9,997
Total US Government Obligations
(Cost--$1,522,862 ) 1,523,017
Total Investments (Cost--$1,522,862++)--96.9% 1,523,017
Other Assets Less Liabilities--3.1% 48,401
----------
Net Assets--100.0% $1,571,418
==========
[FN]
*US Treasury Bills are traded on a discount basis; the interest
rates shown are the discount rates paid at the time of purchase by
the Fund. US Treasury Notes bear interest at the rates shown,
payable at fixed dates through maturity.
++Cost for Federal income tax purposes.
See Notes to Financial Statements.
<PAGE>
<TABLE>
CMA TREASURY FUND
STATEMENT OF ASSETS AND LIABILITIES AS OF SEPTEMBER 30, 1995
<S> <C> <C>
Assets:
Investments, at value (identified cost--$1,522,862,174++) (Note 1a) $1,523,016,789
Cash 25,436
Receivables:
Securities sold $34,542,472
Interest 12,707,427
Beneficial interest sold 2,129,225 49,379,124
-----------
Deferred organization expenses (Note 1d) 10,561
Prepaid registration fees and other assets (Note 1d) 78,620
--------------
Total assets 1,572,510,530
--------------
Liabilities:
Payables:
Investment adviser (Note 2) 542,790
Distributor (Note 2) 389,864
Dividends to shareholders (Note 1e) 869 933,523
-----------
Accrued expenses and other liabilities 159,193
--------------
Total liabilities 1,092,716
--------------
Net Assets $1,571,417,814
==============
Net Assets Consist of:
Shares of beneficial interest, $.10 par value, unlimited number of shares authorized $ 157,126,320
Paid-in capital in excess of par 1,414,136,879
Unrealized appreciation on investments--net 154,615
--------------
Net Assets--Equivalent to $1.00 per share based on 1,571,263,199 shares of
beneficial interest outstanding $1,571,417,814
==============
<FN>
++Cost for Federal income tax purposes. As of September 30, 1995,
net unrealized appreciation for Federal income tax purposes amounted
to $154,615, of which $308,087 related to appreciated securities and
$153,472 related to depreciated securities.
</TABLE>
<PAGE>
<TABLE>
CMA TREASURY FUND
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1995
<S> <C> <C>
Investment Income (Note 1c):
Interest and amortization of premium and discount earned $ 44,496,570
Expenses:
Investment advisory fees (Note 2) $ 3,304,696
Distribution fees (Note 2) 952,518
Transfer agent fees (Note 2) 151,518
Accounting services (Note 2) 70,211
Registration fees (Note 1d) 69,793
Custodian fees 42,680
Professional fees 35,936
Printing and shareholder reports 24,084
Trustees' fees and expenses 16,282
Amortization of organization expenses (Note 1d) 5,246
Other 11,424
------------
Total expenses 4,684,388
--------------
Investment income--net 39,812,182
Realized Gain on Investments--Net (Note 1c) 116,882
Change in Unrealized Appreciation on Investments--Net 65,275
--------------
Net Increase in Net Assets Resulting from Operations $ 39,994,339
==============
See Notes to Financial Statements.
</TABLE>
<TABLE>
CMA TREASURY FUND
STATEMENTS OF CHANGES IN NET ASSETS
<CAPTION>
For the Six For the
Months Ended Year Ended
Increase (Decrease) in Net Assets: Sept. 30, 1995 March 31, 1995
<S> <C> <C>
Operations:
Investment income--net $ 39,812,182 $ 52,937,971
Realized gain on investments--net 116,882 239,944
Change in unrealized appreciation on investments--net 65,275 231,517
-------------- --------------
Net increase in net assets resulting from operations 39,994,339 53,409,432
<PAGE> -------------- --------------
Dividends and Distributions to Shareholders (Note 1e):
Investment income--net (39,812,182) (52,937,971)
Realized gain on investments--net (116,882) (239,944)
-------------- --------------
Net decrease in net assets resulting from dividends and
distributions to shareholders (39,929,064) (53,177,915)
-------------- --------------
Beneficial Interest Transactions (Note 3):
Net proceeds from sale of shares 3,453,520,655 6,534,376,700
Net asset value of shares issued to shareholders in reinvestment of
dividends and distributions (Note 1e) 39,890,735 53,133,860
-------------- --------------
3,493,411,390 6,587,510,560
Cost of shares redeemed (3,350,782,740) (6,379,458,214)
-------------- --------------
Net increase in net assets derived from beneficial interest transactions 142,628,650 208,052,346
-------------- --------------
Net Assets:
Total increase in net assets 142,693,925 208,283,863
Beginning of period 1,428,723,889 1,220,440,026
-------------- --------------
End of period $1,571,417,814 $1,428,723,889
============== ==============
</TABLE>
<TABLE>
CMA TREASURY FUND
FINANCIAL HIGHLIGHTS
<CAPTION>
The following per share data and ratios have
been derived from information provided in the For the Six For the Period
financial statements. Months Ended April 15, 1991++
September 30, For the Year Ended March 31, to March 31,
Increase (Decrease) in Net Asset Value: 1995 1995 1994 1993 1992
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ---------- ---------- ---------- ----------
Investment income--net .0259 .0409 .0250 .0278 .0453
Realized and unrealized gain on investments--net .0001 .0004 .0002 .0026 .0019
---------- ---------- ---------- ---------- ----------
Total from investment operations .0260 .0413 .0252 .0304 .0472
---------- ---------- ---------- ---------- ----------
Less dividends and distributions:
Investment income--net (.0259) (.0409) (.0250) (.0278) (.0453)
Realized gain on investments--net (.0001) (.0002) (.0004) (.0024) (.0020)
---------- ---------- ---------- ---------- ----------
Total dividends and distributions (.0260) (.0411) (.0254) (.0302) (.0473)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ==========
Total Investment Return 5.28%* 4.18% 2.57% 3.07% 5.02%*
========== ========== ========== ========== ==========
<PAGE>
Ratios to Average Net Assets:
Expenses, net of reimbursement and excluding
distribution fees .49%* .49% .49% .48% .36%*
========== ========== ========== ========== ==========
Expenses, net of reimbursement .61%* .62% .61% .60% .49%*
========== ========== ========== ========== ==========
Expenses .61%* .62% .61% .62% .68%*
========== ========== ========== ========== ==========
Investment income--net 5.22%* 4.20% 2.55% 3.01% 4.67%*
========== ========== ========== ========== ==========
Supplemental Data:
Net assets, end of period (in thousands) $1,571,418 $1,428,724 $1,220,440 $1,287,061 $1,221,461
========== ========== ========== ========== ==========
<FN>
*Annualized.
++Commencement of Operations.
See Notes to Financial Statements.
</TABLE>
CMA TREASURY FUND
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies:
CMA Treasury Fund (the "Fund") is registered under the Investment
Company Act of 1940 as a no-load, diversified, open-end management
investment company. 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 maturing more than sixty
days after the valuation date are valued at the most recent bid
price or yield equivalent as obtained from dealers that make markets
in such securities. When securities are valued with sixty days or
less to maturity, the difference between the valuation existing on
the sixty-first day before maturity and maturity value is amortized
on a straight-line basis to maturity. Investments maturing within
sixty days from their date of acquisition are valued at amortized
cost, which approximates market value. Assets for which market
quotations are not readily available are valued at fair value as
determined in good faith by or under the direction of the Board of
Trustees of the Fund.
<PAGE>
(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 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) 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 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 and net realized gain or loss on investments.
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 Fund's average daily net assets not exceeding $500 million;
0.425% of the average daily net assets in excess of $500 million but
not exceeding $1 billion; and 0.375% of the average daily net assets
in excess of $1 billion. 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 2.5% of the Fund's first $30 million of average daily net
assets, 2.0% of the 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.
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
The Fund has adopted a Distribution and Shareholder Servicing Plan
in compliance with Rule 12b-1 under the Investment Company Act of
1940, pursuant to which Merrill Lynch, Pierce, Fenner & Smith Inc.
("MLPF&S") receives a distribution fee under the Distribution
Agreement from the Fund at the end of each month at the annual rate
of 0.125% of average daily net assets of the Fund for shareholders
who maintain their accounts through MLPF&S. 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 periods
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.
CMA TREASURY FUND
Officers and Trustees
Arthur Zeikel--President and Trustee
Ronald W. Forbes--Trustee
Cynthia A. Montgomery--Trustee
Charles C. Reilly--Trustee
Kevin A. Ryan--Trustee
Richard R. West--Trustee
Terry K. Glenn--Executive Vice President
Joseph T. Monagle, Jr.--Senior Vice President
Donald C. Burke--Vice President
Marie Heumiller--Vice President
Kevin J. McKenna--Vice President
Gerald M. Richard--Treasurer
Robert Harris--Secretary
<PAGE>
Custodian
State Street Bank and Trust Company
P.O. Box 1713
Boston, Massachusetts 02101
Transfer Agent
Merrill Lynch Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, Florida 32246-6484
(800) 221-7210*
[FN]
*For inquiries regarding your CMA account,
call (800) CMA-INFO [(800) 262-4636].
