CMA
CMA TREASURY FUND
Semi-Annual Report
September 30, 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
Printed on post-consumer recycled paper
DEAR SHAREHOLDER:
For the six-month period ended September 30, 1996, CMA Treasury Fund
paid shareholders a net annualized dividend of 4.58%.* As of
September 30, 1996, the Fund's 7-day yield was 4.63%.
The average portfolio maturity for CMA Treasury Fund at September
30, 1996 was 71 days, compared to 51 days at March 31, 1996.
The Environment
Although the US stock and bond markets rallied late in the six-month
period ended September 30, 1996, much of the period was marked by
volatility in the capital markets. The US economy demonstrated
surprising resilience during the first half of the year. As a
result, when economic data releases appeared to indicate that the US
economy was expanding at a stronger-than-expected (and potentially
inflationary) rate, investors focused on the increasing possibility
of monetary policy tightening by the Federal Reserve Board. During
these periods, stock prices declined and long-term interest rates
moved higher. Accordingly, when the market seemed to have fully
priced in a tightening, CMA Treasury Fund extended its average life
by purchasing Treasury coupons in the nine-month area.
However, with inflationary pressures still under control, the US
central bank did not tighten monetary policy at its September 24
meeting. This development, coupled with several economic data
releases that showed growth was at or below expectations, helped to
assuage investors' concerns about an overheating economy. Stock and
bond prices improved, with stock market averages reaching historic
high levels.
<PAGE>
*Based on a constant investment throughout the period, with
dividends compounded daily, and reflecting a net return to the
investor after all expenses.
The shifts in perceptions were exemplified by investors' reactions
to the release of recent employment reports. Inflationary concerns
were heightened in early July with the release of a stronger-than-
expected employment report for June. However, more subdued job
growth and decelerating hourly wage gains were subsequently reported
for the month of July. Although the employment report for August
showed that unemployment had dropped to its lowest level since 1989,
these results were generally in line with expectations, and were
received favorably by investors. The greatest boost in investor
confidence occurred in early October with the release of September's
employment report, which showed a slight increase in unemployment.
Investors will continue to monitor economic data releases to
determine the probable direction of the US economy. The outcome of
the upcoming November election will also increasingly influence
investor psychology in the weeks ahead.
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 24, 1996
<PAGE>
<TABLE>
CMA TREASURY FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1996 (IN THOUSANDS)
<CAPTION>
Face Interest Maturity Value
Issue Amount Rate Date (Note 1a)
US Government Obligations*--99.5%
<S> <C> <C> <S> <C>
US Treasury $ 25,351 5.145% 10/03/96 $ 25,340
Bills 4,817 5.15 10/03/96 4,815
15,051 4.96 10/10/96 15,030
101,330 5.03 10/10/96 101,188
2,972 5.04 10/10/96 2,968
58,486 5.10 10/10/96 58,403
12,631 5.18 10/17/96 12,600
35,000 5.23 10/17/96 34,914
40,000 5.235 10/17/96 39,901
25,000 5.145 10/24/96 24,917
30,000 5.16 10/24/96 29,901
2,965 4.91 10/31/96 2,952
20,000 4.92 10/31/96 19,915
60,000 5.11 10/31/96 59,736
41,000 4.97 11/07/96 40,778
1,399 4.98 11/07/96 1,391
19,446 5.02 11/07/96 19,341
55,185 5.03 11/07/96 54,886
5,088 5.035 11/07/96 5,060
35,000 5.07 11/07/96 34,813
2,289 5.08 11/07/96 2,277
65,000 5.12 11/07/96 4,647
1,774 4.92 11/14/96 1,763
30,000 5.015 11/14/96 29,811
31,734 5.02 11/14/96 31,534
30,000 5.03 11/14/96 29,811
16,572 5.035 11/14/96 16,467
50,000 5.10 11/14/96 49,684
80,000 5.115 11/14/96 79,495
15,000 5.16 11/14/96 14,905
4,069 5.215 11/14/96 4,043
30,000 5.05 11/21/96 29,782
30,000 5.08 11/21/96 29,782
<PAGE>
Face Interest Maturity Value
Issue Amount Rate Date (Note 1a)
US Government Obligations* (concluded)
US Treasury $ 45,000 5.165% 11/21/96 $ 44,672
Bills (concluded) 50,000 5.045 11/29/96 49,587
10,000 5.125 11/29/96 9,917
9,154 5.13 11/29/96 9,078
4,818 5.145 11/29/96 4,778
30,000 5.055 12/05/96 29,728
1,920 5.02 12/12/96 1,901
30,000 5.025 12/12/96 29,697
1,106 5.04 12/12/96 1,095
25,000 5.07 12/12/96 24,748
25,000 5.105 12/12/96 24,748
US Treasury 40,500 8.00 10/15/96 40,545
Notes 40,000 6.875 10/31/96 40,044
145,000 4.375 11/15/96 144,801
20,000 8.00 1/15/97 20,150
105,000 7.50 1/31/97 105,722
85,000 6.875 2/28/97 85,505
47,000 6.625 3/31/97 47,272
30,000 8.50 4/15/97 30,469
13,000 6.50 4/30/97 13,069
37,000 6.50 5/15/97 37,197
7,000 5.625 6/30/97 7,000
25,000 8.50 7/15/97 25,523
25,000 5.875 7/31/97 25,023
2,000 5.375 11/30/97 1,988
4,000 5.00 1/31/98 3,951
3,400 5.125 2/28/98 3,360
Total US Government Obligations
(Cost--$1,834,433) 1,834,418
Total Investments (Cost--$1,834,433)--99.5% 1,834,418
Other Assets Less Liabilities--0.5% 9,294
----------
Net Assets--100.0% $1,843,712
==========
<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.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
CMA TREASURY FUND
STATEMENT OF ASSETS AND LIABILITIES AS OF SEPTEMBER 30, 1996
<S> <C> <C>
Assets:
Investments, at value (identified cost--$1,834,432,814++) (Note 1a) $1,834,418,192
Cash 25,208
Interest receivable 10,427,543
Prepaid registration fees and other assets (Note 1d) 147,565
--------------
Total assets 1,845,018,508
--------------
Liabilities:
Payables:
Investment adviser (Note 2) $ 659,258
Distributor (Note 2) 456,657
Beneficial interest redeemed 335 1,116,250
--------------
Accrued expenses and other liabilities 190,501
--------------
Total liabilities 1,306,751
--------------
Net Assets $1,843,711,757
==============
Net Assets Consist of:
Shares of beneficial interest, $.10 par value, unlimited number of shares authorized $ 184,372,638
Paid-in capital in excess of par 1,659,353,741
Unrealized depreciation on investments--net (14,622)
--------------
Net Assets--Equivalent to $1.00 per share based on 1,843,726,379 shares of
beneficial interest outstanding $1,843,711,757
==============
<FN>
++Cost for Federal income tax purposes. As of September 30, 1996,
net unrealized depreciation for Federal income tax purposes amounted
to $14,622, of which $174,857 related to appreciated securities and
$189,479 related to depreciated securities.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
CMA TREASURY FUND
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1996
<S> <C> <C>
Investment Income (Note 1c):
Interest and amortization of premium and discount earned $ 47,106,890
Expenses:
Investment advisory fees (Note 2) $ 3,842,711
Distribution fees (Note 2) 1,120,944
Transfer agent fees (Note 2) 176,543
Registration fees (Note 1d) 91,659
Accounting services (Note 2) 91,550
Custodian fees 51,457
Professional fees 33,025
Trustees' fees and expenses 16,599
Printing and shareholder reports 15,695
Other 12,838
--------------
Total expenses 5,453,021
--------------
Investment income--net 41,653,869
Realized Gain on Investments--Net (Note 1c) 133,836
Change in Unrealized Depreciation on Investments--Net 211,100
--------------
Net Increase in Net Assets Resulting from Operations $ 41,998,805
==============
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, 1996 March 31, 1996
<S> <C> <C>
Operations:
Investment income--net $ 41,653,869 $ 84,634,023
Realized gain on investments--net 133,836 505,763
Change in unrealized appreciation/depreciation on investments--net 211,100 (315,062)
--------------- ---------------
Net increase in net assets resulting from operations 41,998,805 84,824,724
--------------- ---------------
<PAGE>
Dividends and Distributions to Shareholders (Note 1e):
Investment income--net (41,653,869) (84,634,023)
Realized gain on investments--net (133,836) (505,763)
--------------- ---------------
Net decrease in net assets resulting from dividends and distributions
to shareholders (41,787,705) (85,139,786)
--------------- ---------------
Beneficial Interest Transactions (Note 3):
Net proceeds from sale of shares 3,432,774,012 9,805,828,858
Net asset value of shares issued to shareholders in reinvestment of dividends
(Note 1e) 41,748,850 85,083,173
--------------- ---------------
3,474,522,862 9,890,912,031
Cost of shares redeemed (3,422,782,114) (9,527,560,949)
--------------- ---------------
Net increase in net assets derived from beneficial interest transactions 51,740,748 363,351,082
--------------- ---------------
Net Assets:
Total increase in net assets 51,951,848 363,036,020
Beginning of period 1,791,759,909 1,428,723,889
--------------- ---------------
End of period $ 1,843,711,757 $ 1,791,759,909
=============== ===============
See Notes to Financial Statements.
</TABLE>
<TABLE>
CMA TREASURY FUND
FINANCIAL HIGHLIGHTS
<CAPTION>
The following per share data and ratios have been derived
from information provided in the financial statements. For the Six
Months Ended For the Year Ended March 31,
Increase (Decrease) in Net Asset Value: Sept. 30, 1996 1996 1995 1994 1993
<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 .0232 .0498 .0409 .0250 .0278
Realized and unrealized gain on investments--net .0002 .0001 .0004 .0002 .0026
---------- ---------- ---------- ---------- ----------
Total from investment operations .0234 .0499 .0413 .0252 .0304
<PAGE> ---------- ---------- ---------- ---------- ----------
Less dividends and distributions:
Investment income--net (.0232) (.0498) (.0409) (.0250) (.0278)
Realized gain on investments--net (.0001) (.0003) (.0002) (.0004) (.0024)
---------- ---------- ---------- ---------- ----------
Total dividends and distributions (.0233) (.0501) (.0411) (.0254) (.0302)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ==========
Total Investment Return 4.58%* 5.15% 4.18% 2.57% 3.07%
========== ========== ========== ========== ==========
Ratios to Average Net Assets:
Expenses, net of reimbursement .60%* .60% .62% .61% .60%
========== ========== ========== ========== ==========
Expenses .60%* .60% .62% .61% .62%
========== ========== ========== ========== ==========
Investment income and realized gain on
investments--net 4.60%* 5.01% 4.20% 2.55% 3.01%
========== ========== ========== ========== ==========
Supplemental Data:
Net assets, end of period (in thousands) $1,843,712 $1,791,760 $1,428,724 $1,220,440 $1,287,061
========== ========== ========== ========== ==========
<FN>
*Annualized.
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 investment
management 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. 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) Prepaid registration fees--Prepaid registration fees are charged
to expense as the related shares are issued.
(e) Dividends and distributions to shareholders--The Fund declares
dividends daily and reinvests daily such dividends (net of non-
resident alien tax and back-up withholding tax withheld) in
additional fund shares at net asset value. Dividends and
distributions 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.
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 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.
<PAGE>
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
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].
