CMA
CMA TREASURY FUND
Annual Report
March 31, 1997
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 year ended March 31, 1997, CMA Treasury Fund paid
shareholders a net annualized dividend of 4.70%.* As of March 31,
1997, the Fund's 7-day yield was 4.65%.
The average portfolio maturity for CMA Treasury Fund at March 31,
1997 was 65 days, compared to 71 days at September 30, 1996.
The Environment
Stock and bond market turbulence increased during the six-month
period ended March 31, 1997. Mounting evidence of stronger-than-
expected economic growth suggested to investors that the Federal
Reserve Board would make a preemptive strike to contain inflationary
pressures. These concerns were heightened by statements made by
Federal Reserve Board Chairman Alan Greenspan, and culminated in an
announced increase in the Federal Funds rate of 0.25% to 5.5% on
March 25. As investors became concerned that this might prove to be
only the first in a series of monetary policy tightening moves,
interest rates rose and stock and bond prices declined. Following
the central bank's action, investor sentiment fluctuated from
negative to more positive, depending upon whether the latest
economic data releases were perceived to suggest an overheating or
moderating trend. It appears that clear-cut signs of continued low
inflation and moderate economic growth, as well as no further
indications of monetary policy tightening, are needed before
stability returns to the financial markets.
<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.
On the international front, despite some weakness, the US currency
subsequently continued its strong advance relative to the yen and
the Deutschemark, raising concerns about the outlook for US trade.
In early February, the leading industrialized nations expressed
apparent agreement that it was time to seek a lower dollar and less
volatility in the foreign exchange markets. It remains to be seen
whether these stated intentions will be acted upon, or if the US
dollar continues to rise relative to other major currencies.
Early in the period, our approach to the market was generally
optimistic. However, as it grew likely that the central bank would
tighten credit conditions, we slightly reduced the Fund's exposure
to interest rates by selling longer-term securities in favor of
shorter-term ones.
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
April 29, 1997
<PAGE>
CMA TREASURY FUND
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1997 (IN THOUSANDS)
[CAPTION]
Face Interest Maturity Value
Issue Amount Rate Date (Note 1a)
US Government Obligations*--100.1%
US Treasury $ 39,142 4.90 % 4/03/97 $ 39,126
Bills 71,000 4.905 4/03/97 70,971
15,791 4.94 4/03/97 15,784
25,000 4.945 4/03/97 24,990
47,149 4.97 4/03/97 47,129
25,218 5.03 4/03/97 25,208
31,034 5.045 4/03/97 31,021
25,906 5.09 4/03/97 25,895
25,000 5.095 4/03/97 24,990
2,403 5.10 4/03/97 2,402
53,244 5.125 4/17/97 53,115
5,391 5.135 4/17/97 5,378
610 5.14 4/17/97 609
2,590 5.145 4/17/97 2,584
104,822 5.15 4/17/97 104,567
25,000 5.155 4/17/97 24,939
272 5.16 4/17/97 271
10,872 5.18 4/17/97 10,845
25,000 5.01 5/01/97 24,892
42,582 5.03 5/01/97 42,398
1,665 4.995 5/08/97 1,656
20,000 5.06 5/08/97 19,895
19,233 5.16 5/08/97 19,128
1,077 5.22 5/08/97 1,071
25,000 5.225 5/08/97 24,862
25,000 5.23 5/08/97 24,862
3,787 5.235 5/08/97 3,766
3,849 4.95 5/15/97 3,825
6,261 4.955 5/15/97 6,221
34,000 4.975 5/15/97 33,785
43,867 4.99 5/15/97 43,590
20,000 5.01 5/15/97 19,873
38,092 4.95 5/22/97 37,804
<PAGE>
Face Interest Maturity Value
Issue Amount Rate Date (Note 1a)
US Government Obligations* (concluded)
US Treasury $ 35,000 4.97 % 5/22/97 $ 34,736
Bills 74,932 4.975 5/22/97 74,366
(concluded) 45,000 4.98 5/22/97 44,660
3,161 5.07 5/29/97 3,134
14,000 5.105 6/05/97 13,866
32,951 4.965 6/19/97 32,569
8,579 5.075 6/26/97 8,471
10,000 5.65 4/02/98 9,426
10,000 5.655 4/02/98 9,426
US Treasury 12,000 8.50 4/15/97 12,018
Notes 20,000 6.50 4/30/97 20,018
122,000 6.875 4/30/97 122,150
227,000 6.50 5/15/97 227,289
40,000 8.50 5/15/97 40,141
90,000 5.625 6/30/97 90,000
30,000 6.375 6/30/97 30,052
80,000 8.50 7/15/97 80,637
15,000 5.50 7/31/97 14,991
85,000 5.875 7/31/97 85,066
55,000 6.50 8/15/97 55,146
75,000 5.75 9/30/97 74,965
6,000 5.625 10/31/97 5,992
20,000 5.75 10/31/97 19,984
2,000 5.375 11/30/97 1,992
14,000 5.00 1/31/98 13,880
3,400 5.125 2/28/98 3,370
25,000 7.875 4/15/98 25,430
Total US Government Obligations
(Cost--$1,971,898) 1,971,227
Total Investments
(Cost--$1,971,898)--100.1% 1,971,227
Liabilities in Excess of Other Assets--(0.1%) (2,711)
----------
Net Assets--100.0% $1,968,516
==========
[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, 1997
<S> <C> <C>
Assets:
Investments, at value (identified cost--$1,971,897,715++) (Note 1a) $1,971,227,163
Cash 25,977
Interest receivable 17,543,618
Prepaid registration fees and other assets (Note 1d) 132,656
--------------
Total assets 1,988,929,414
--------------
Liabilities:
Payables:
Securities purchased $ 18,856,939
Investment adviser (Note 2) 714,820
Distributor (Note 2) 620,317
Dividends to shareholders (Note 1e) 875
Beneficial interest redeemed 106 20,193,057
--------------
Accrued expenses and other liabilities 220,053
--------------
Total liabilities 20,413,110
--------------
Net Assets $1,968,516,304
==============
Net Assets Consist of:
Shares of beneficial interest, $.10 par value, unlimited number of shares authorized $ 196,918,686
Paid-in capital in excess of par 1,772,268,170
Unrealized depreciation on investments--net (670,552)
--------------
Net Assets--Equivalent to $1.00 per share based on 1,969,186,856 shares of
beneficial interest outstanding $1,968,516,304
==============
<FN>
++Cost for Federal income tax purposes was $1,971,946,655. As of
March 31, 1997, net unrealized depreciation for Federal income tax
purposes amounted to $719,492, of which $12,137 related to
appreciated securities and $731,629 related to depreciated
securities.
</TABLE>
<PAGE>
<TABLE>
CMA TREASURY FUND
STATEMENT OF OPERATIONS FOR THE YEAR ENDED MARCH 31, 1997
<S> <C> <C>
Investment Income (Note 1c):
Interest and amortization of premium and discount earned $ 103,557,280
Expenses:
Investment advisory fees (Note 2) $ 8,329,150
Distribution fees (Note 2) 2,438,072
Transfer agent fees (Note 2) 357,015
Registration fees (Note 1d) 179,017
Accounting services (Note 2) 154,234
Custodian fees 104,858
Professional fees 54,038
Interest expense 35,862
Trustees' fees and expenses 32,722
Printing and shareholder reports 32,375
Other 26,277
--------------
Total expenses 11,743,620
--------------
Investment income--net
91,813,660
Realized Gain on Investments--Net (Note 1c) 274,352
Change in Unrealized Depreciation on Investments--Net (444,830)
--------------
Net Increase in Net Assets Resulting from Operations $ 91,643,182
==============
See Notes to Financial Statements.
</TABLE>
<TABLE>
CMA TREASURY FUND
STATEMENTS OF CHANGES IN NET ASSETS
<CAPTION>
For the Year Ended March 31,
Increase (Decrease) in Net Assets: 1997 1996
<S> <C> <C>
Operations:
Investment income--net $ 91,813,660 $ 84,634,023
Realized gain on investments--net 274,352 505,763
Change in unrealized depreciation on investments--net (444,830) (315,062)
--------------- ---------------
Net increase in net assets resulting from operations 91,643,182 84,824,724
--------------- ---------------
<PAGE>
Dividends and Distributions to Shareholders (Note 1e):
Investment income--net (91,813,660) (84,634,023)
Realized gain on investments--net (274,352) (505,763)
--------------- ---------------
Net decrease in net assets resulting from dividends and distributions
to shareholders (92,088,012) (85,139,786)
--------------- ---------------
Beneficial Interest Transactions (Note 3):
Net proceeds from sale of shares 11,230,658,782 9,805,828,858
Net asset value of shares issued to shareholders in reinvestment of dividends
(Note 1e) 91,987,088 85,083,173
--------------- ---------------
11,322,645,870 9,890,912,031
Cost of shares redeemed (11,145,444,645) (9,527,560,949)
--------------- ---------------
Net increase in net assets derived from beneficial interest transactions 177,201,225 363,351,082
--------------- ---------------
Net Assets:
Total increase in net assets 176,756,395 363,036,020
Beginning of year 1,791,759,909 1,428,723,889
--------------- ---------------
End of year $ 1,968,516,304 $ 1,791,759,909
=============== ===============
</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 Year Ended March 31,
Increase (Decrease) in Net Asset Value: 1997 1996 1995 1994 1993
<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 .0461 .0498 .0409 .0250 .0278
Realized and unrealized gain (loss) on
investments--net (.0001) .0001 .0004 .0002 .0026
---------- ---------- ---------- ---------- ----------
Total from investment operations .0460 .0499 .0413 .0252 .0304
---------- ---------- ---------- ---------- ----------
Less dividends and distributions:
Investment income--net (.0461) (.0498) (.0409) (.0250) (.0278)
Realized gain on investments--net (.0001) (.0003) (.0002) (.0004) (.0024)
---------- ---------- ---------- ---------- ----------
Total dividends and distributions (.0462) (.0501) (.0411) (.0254) (.0302)
---------- ---------- ---------- ---------- ----------
Net asset value, end of year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ==========
Total Investment Return 4.70% 5.15% 4.18% 2.57% 3.07%
========== ========== ========== ========== ==========
<PAGE>
Ratios to Average Net Assets:
Expenses, net of reimbursement .59% .60% .62% .61% .60%
========== ========== ========== ========== ==========
Expenses .59% .60% .62% .61% .62%
========== ========== ========== ========== ==========
Investment income and realized gain on
investments--net 4.59% 5.01% 4.20% 2.55% 3.01%
========== ========== ========== ========== ==========
Supplemental Data:
Net assets, end of year (in thousands) $1,968,516 $1,791,760 $1,428,724 $1,220,440 $1,287,061
========== ========== ========== ========== ==========
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. 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.
<PAGE>
(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"). 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 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>
CMA TREASURY FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
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, 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, 1997, 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, 1997 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.
<PAGE>
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, 1997, 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 2, 1997
</AUDIT-REPORT>
IMPORTANT TAX INFORMATION (UNAUDITED)
None of the ordinary income distributions paid daily by CMA Treasury
Fund during its fiscal year ended March 31, 1997 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, 1996 92.00%
September 30, 1996 99.25%
December 31, 1996 95.57%
March 31, 1997 99.11%
Of the Fund's ordinary income dividends paid during the fiscal year
ended March 31, 1997, 98.96% was attributable to Federal
obligations. In calculating the foregoing percentages, expenses of
the Fund have been allocated on a pro rata basis.
<PAGE>
Please retain this information for your records.
[FN]
*For purposes of this calculation, Federal Obligations include US
Treasury Notes, USTreasury 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].
