CMA
CMA TREASURY FUND
Annual Report
March 31, 1996
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. Statements and
other information herein are as dated and are subject to change.
<PAGE>
CMA Treasury Fund
Box 9011
Princeton, NJ 08543-9011
DEAR SHAREHOLDER:
For the year ended March 31, 1996, CMA Treasury Fund paid
shareholders a net annualized dividend of 5.15%*. As of March 31,
1996, the Fund's 7-day yield was 4.53%.
The average portfolio maturity for CMA Treasury Fund at March 31,
1996 was 51 days, compared to 80 days at September 30, 1995.
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, our approach to the market
grew less constructive in late February, following the release of
data that suggested the long inventory correction had largely run
its course.
<PAGE>
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. Concerned that economic momentum
was building, we further reduced the Fund's commitment to the
market.
[FN]
*Based on a constant investment throughout the period, with
dividends compounded daily, and reflecting a net return to the
investor after all expenses.
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 seriously
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.
In Conclusion
We appreciate your continued support of 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
<PAGE>
(Marie Heumiller)
Marie Heumiller
Vice President and Portfolio Manager
April 30, 1996
CMA TREASURY FUND
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1996 (IN THOUSANDS)
Face Interest Maturity Value
Issue Amount Rate Date (Note 1a)
US Government Obligations*--93.3%
<PAGE>
US Treasury $ 12,517 4.95 % 4/04/96 $ 12,507
Bills 8,768 5.015 4/04/96 8,761
75,000 5.025 4/04/96 74,938
34,318 5.03 4/04/96 34,290
25,000 5.035 4/04/96 24,979
60,973 5.07 4/04/96 60,921
5,000 6.125 4/04/96 4,996
50,000 5.25 4/10/96 49,934
25,000 4.87 4/11/96 24,956
100,000 4.995 4/11/96 99,820
91,072 4.97 4/18/96 90,821
3,992 4.98 4/18/96 3,981
25,000 5.00 4/18/96 24,931
35,000 5.01 4/18/96 34,903
60,000 5.02 4/18/96 59,833
8,796 5.04 4/18/96 8,771
20,227 5.05 4/18/96 20,170
3,771 5.11 4/18/96 3,760
30,000 5.12 4/18/96 29,915
3,508 5.20 4/18/96 3,498
4,802 5.205 4/18/96 4,788
65,691 5.12 4/25/96 65,439
29,245 4.955 5/02/96 29,111
69,457 4.98 5/02/96 69,138
1,546 5.00 5/02/96 1,539
12,471 5.005 5/02/96 12,414
60,000 5.035 5/02/96 59,725
25,000 5.05 5/02/96 24,885
20,000 5.065 5/02/96 19,908
9,105 5.17 5/02/96 9,063
30,000 4.80 5/09/96 29,833
15,000 4.825 5/09/96 14,917
7,371 4.83 5/09/96 7,330
CMA TREASURY FUND
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1996 (IN THOUSANDS)
Face Interest Maturity Value
Issue Amount Rate Date (Note 1a)
US Government Obligations* (concluded)
<PAGE>
US Treasury $ 2,702 5.00 % 5/09/96 $ 2,687
Bills 20,000 5.14 5/09/96 19,883
(concluded) 20,000 5.215 5/09/96 19,889
9,719 5.225 5/09/96 9,665
1,865 4.79 5/16/96 1,853
50,000 4.885 5/16/96 49,671
19,415 4.895 5/16/96 19,287
2,674 4.995 5/16/96 2,656
25,000 5.07 5/16/96 24,836
25,000 5.30 5/16/96 24,836
40,000 4.905 5/30/96 39,650
2,138 5.255 5/30/96 2,119
11,805 5.26 5/30/96 11,702
25,000 5.06 6/06/96 24,768
1,124 5.005 6/27/96 1,110
US Treasury 103,000 7.625 4/30/96 103,253
Notes 10,000 6.00 6/30/96 10,019
40,000 7.875 7/15/96 40,287
17,000 6.125 7/31/96 17,042
45,000 7.875 7/31/96 45,373
10,000 6.25 8/31/96 10,029
105,000 6.50 9/30/96 105,591
50,000 8.00 10/15/96 50,688
2,000 5.375 11/30/97 1,986
4,000 5.00 1/31/98 3,943
3,400 5.125 2/28/98 3,358
Total US Government Obligations
(Cost--$1,671,181) 1,670,956
Total Investments (Cost--$1,671,181)--93.3% 1,670,956
Other Assets Less Liabilities--6.7% 120,804
----------
Net Assets--100.0% $1,791,760
==========
[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.
<PAGE>
See Notes to Financial Statements.
<TABLE>
CMA TREASURY FUND
STATEMENT OF ASSETS AND LIABILITIES AS OF MARCH 31, 1996
<CAPTION>
<S> <C> <C>
Assets:
Investments, at value (identified cost--$1,671,181,429++) (Note 1a) $1,670,955,707
Cash 25,915
Receivables:
Securities sold $ 184,227,556
Interest 12,606,911 196,834,467
--------------
Prepaid registration fees and other assets (Note 1d) 117,764
--------------
Total assets 1,867,933,853
--------------
Liabilities:
Payables:
Securities purchased 74,702,458
Investment adviser (Note 2) 619,228
Distributor (Note 2) 571,211
Dividends to shareholders (Note 1e) 242 75,893,139
--------------
Accrued expenses and other liabilities 280,805
--------------
Total liabilities 76,173,944
--------------
Net Assets $1,791,759,909
==============
Net Assets Consist of:
Shares of beneficial interest, $.10 par value, unlimited number of shares authorized 179,198,563
Paid-in capital in excess of par 1,612,787,068
Unrealized depreciation on investments--net (225,722)
--------------
Net Assets--Equivalent to $1.00 per share based on 1,791,985,630 shares of
beneficial interest outstanding $1,791,759,909
==============
<FN>
++Cost for Federal income tax purposes was $1,671,237,806. As of
March 31, 1996, net unrealized depreciation for Federal income tax
purposes amounted to $282,099, of which $172,742 related to
appreciated securities and $454,841 related to depreciated
securities.
</TABLE>
<PAGE>
<TABLE>
CMA TREASURY FUND
STATEMENT OF OPERATIONS FOR THE YEAR ENDED MARCH 31, 1996
<CAPTION>
<S> <C> <C>
Investment Income (Note 1c):
Interest and amortization of premium and discount earned $ 94,892,276
Expenses:
Investment advisory fees (Note 2) $ 7,235,779
Distribution fees (Note 2) 2,115,419
Transfer agent fees (Note 2) 288,302
Registration fees (Note 1d) 192,244
Accounting services (Note 2) 138,221
Custodian fees 92,255
Professional fees 77,149
Printing and shareholder reports 44,025
Trustees' fees and expenses 32,442
Amortization of organization expenses (Note 1d) 10,561
Other 31,856
--------------
Total expenses 10,258,253
--------------
Investment income--net 84,634,023
Realized Gain on Investments--Net (Note 1c) 505,763
Change in Unrealized Appreciation on Investments--Net (315,062)
--------------
Net Increase in Net Assets Resulting from Operations $ 84,824,724
==============
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
CMA TREASURY 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 $ 84,634,023 $ 52,937,971
Realized gain on investments--net 505,763 239,944
Change in unrealized appreciation/depreciation on investments--net (315,062) 231,517
--------------- ---------------
Net increase in net assets resulting from operations 84,824,724 53,409,432
--------------- ---------------
Dividends and Distributions to Shareholders (Note 1e):
Investment income-- net (84,634,023) (52,937,971)
Realized gain on investments-- net (505,763) (239,944)
--------------- ---------------
Net decrease in net assets resulting from dividends and distributions
to shareholders (85,139,786) (53,177,915)
--------------- ---------------
Beneficial Interest Transactions (Note 3):
Net proceeds from sale of shares 9,805,828,858 6,534,376,700
Net asset value of shares issued to shareholders in reinvestment of dividends
(Note 1e) 85,083,173 53,133,860
--------------- ---------------
9,890,912,031 6,587,510,560
Cost of shares redeemed (9,527,560,949) (6,379,458,214)
--------------- ---------------
Net increase in net assets derived from beneficial interest transactions 363,351,082 208,052,346
--------------- ---------------
Net Assets:
Total increase in net assets 363,036,020 208,283,863
Beginning of year 1,428,723,889 1,220,440,026
--------------- ---------------
End of year $ 1,791,759,909 $ 1,428,723,889
=============== ===============
</TABLE>
<PAGE>
<TABLE>
CMA TREASURY FUND
FINANCIAL HIGHLIGHTS
<CAPTION>
The following per share data and ratios have been derived For the Period
from information provided in the financial statements. April 15, 1991++
For the Year Ended March 31, to 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 period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ---------- ---------- ---------- ----------
Investment income--net .0498 .0409 .0250 .0278 .0453
Realized and unrealized gain on investments--net .0001 .0004 .0002 .0026 .0019
---------- ---------- ---------- ---------- ----------
Total from investment operations .0499 .0413 .0252 .0304 .0472
---------- ---------- ---------- ---------- ----------
Less dividends and distributions:
Investment income--net (.0498) (.0409) (.0250) (.0278) (.0453)
Realized gain on investments--net (.0003) (.0002) (.0004) (.0024) (.0020)
---------- ---------- ---------- ---------- ----------
Total dividends and distributions (.0501) (.0411) (.0254) (.0302) (.0473)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ==========
Total Investment Return 5.15% 4.18% 2.57% 3.07% 5.02%*
========== ========== ========== ========== ==========
Ratios to Average Net Assets:
Expenses, net of reimbursement .60% .62% .61% .60% .49%*
========== ========== ========== ========== ==========
Expenses .60% .62% .61% .62% .68%*
========== ========== ========== ========== ==========
Investment income and realized gain on
investments--net 5.01% 4.20% 2.55% 3.01% 4.67%*
========== ========== ========== ========== ==========
Supplemental Data:
Net assets, end of period (in thousands) $1,791,760 $1,428,724 $1,220,440 $1,287,061 $1,221,461
========== ========== ========== ========== ==========
<FN>
*Annualized.
++Commencement of Operations.
<PAGE>
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. 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. 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.
(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 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 and
distributions are declared from the total of net investment income
and net realized gain or loss on investments.
<PAGE>
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.
CMA TREASURY FUND
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 and 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 distri-bution 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.
<PAGE>
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.
<AUDIT-REPORT>
CMA TREASURY FUND
INDEPENDENT AUDITORS' REPORT
The Board of Trustees and Shareholders,
CMA Treasury Fund:
We have audited the accompanying statement of assets and
liabilities, including the schedule of investments, of CMA Treasury
Fund 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 four-year period then ended and for the
period April 15, 1991 (commencement of operations) to March 31,
1992. 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 and brokers. 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 Treasury Fund 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.
<PAGE>
Deloitte & Touche LLP
Princeton, New Jersey
April 30, 1996
</AUDIT-REPORT>
IMPORTANT TAX INFORMATION (UNAUDITED)
None of the ordinary income distributions paid daily by the CMA
Treasury Fund during its fiscal year ended March 31, 1996 qualify
for the dividends-received deduction for corporations. Additionally,
there were no long-term capital gains distributions paid during the
year.
The law varies in each state as to whether and what percentage of
dividend income attributable to Federal obligations is exempt from
state income tax. We recommend that you consult your tax adviser to
determine if any portion of the dividends you received is exempt
from state income tax.
Listed below are the percentages of total assets of the Fund
invested in Federal obligations as of the end of each quarter of the
fiscal year:
Federal
For the Quarter Ended Obligations*
June 30, 1995 97.80%
September 30, 1995 96.83%
December 31, 1995 94.62%
March 31, 1996 89.45%
Of the Fund's ordinary income dividends paid during the fiscal year
ended March 31, 1996, 99.19% was attributable to Federal
obligations. In calculating the foregoing percentages, expenses of
the Fund have been allocated on a pro rata basis.
Please retain this information for your records.
<PAGE>
[FN]
*For purposes of this calculation, Federal Obligations include US
Treasury Notes, US Treasury Bills and US Treasury Bonds. Also
included are obligations issued by the following agencies: Banks for
Cooperatives, Federal Intermediate Credit Banks, Federal Land Banks,
Federal Home Loan Banks, and the Student Loan Marketing Association.
Repurchase Agreements are not included in this calculation.
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
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].
