CMA TREASURY FUND
Semi-Annual Report
September 30, 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.
CMA Treasury Fund
Box 9011
Princeton, NJ 08543-9011 #16059 -- 9/97
[RECYCLE LOGO] Printed on post-consumer recycled paper
DEAR SHAREHOLDER:
For the six-month period ended September 30, 1997, CMA Treasury Fund
paid shareholders a net annualized dividend of 4.79%.* As of September
30, 1997, the Fund's 7-day yield was 4.71%.
The average portfolio maturity for CMA Treasury Fund at September 30,
1997 was 86 days, compared to 65 days at March 31, 1997.
The Environment
During the six-month period ended September 30, 1997, investor
perceptions regarding the prospects for the US economy shifted
dramatically. Early in the period, investor concerns focused on an
overheating economy, increasing inflationary pressures and the
prospect of higher interest rates. These concerns were heightened when
the Federal Reserve Board tightened monetary policy at its March 25
meeting. However, as the period continued, there was increasing
evidence of noninflationary economic growth. In view of this evidence,
we maintained a constructive investment stance for the remainder of the
September period. Investor confidence was boosted further when the
Federal Reserve Board chose to leave monetary policy unchanged at its
May, July and August meetings. This increased confidence was reinforced
further in late July by the passage of tax-cut and five-year balanced
budget bills.
By late August, the consensus outlook had changed, with forecasts of
overheating growth and inflationary expectations. These concerns
werereinforced by a large upward revision in second-quarter real gross
domestic product growth from an original estimate of 2.2% to 3.6%.
However, in September, this rate of growth was revised downward to 3.3%.
This report set the stage for renewed investor confidence, which was
bolstered further by the continued absence of inflationary pressures.
Although it was widely anticipated that the Federal Reserve Board would
not tighten monetary policy at its September meeting, investors were
pleasantly surprised by the release of September employment data in
early October, since the US economy added jobs at a slower-than-expected
pace during the month. Over the balance of 1997, the determining factor
in the investment outlook is likely to be whether or not the US economy
continues to follow a pattern of moderate, noninflationary growth.
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,
/S/ARTHUR ZEIKEL
Arthur Zeikel
President
/S/MARIE HEUMILLER
Marie Heumiller
Vice President and Portfolio Manager
October 23, 1997
* Based on a constant investment throughout the period, with dividends
compounded daily, and reflecting a net return to the investor after all
expenses.
CMA Treasury Fund
Schedule of Investments as of September 30, 1997 (In Thousands)
Face Interest Maturity Value
Issue Amount Rate Date (Note 1a)
US Government Obligations* -- 98.6%
US Treasury $20,000 5.16% 10/16/97 $19,955
Bills 30,412 5.10 10/30/97 30,285
46,247 5.105 10/30/97 46,053
10,015 4.82 11/06/97 9,965
50,000 5.09 11/06/97 49,743
33,918 5.105 11/06/97 33,744
50,000 5.13 11/06/97 49,743
8,332 5.06 11/13/97 8,281
13,474 5.075 11/13/97 13,392
550 5.08 11/13/97 547
10,469 5.095 11/13/97 10,406
9,153 5.11 11/13/97 9,098
12,435 5.125 11/13/97 12,360
50,000 4.90 12/04/97 49,557
36,542 4.945 12/04/97 36,218
10,000 5.492 12/11/97 9,902
8,000 5.505 12/11/97 7,922
50,000 4.945 12/26/97 49,403
7,319 5.12 1/08/98 7,217
8,467 5.125 1/08/98 8,349
63,000 5.13 1/08/98 62,124
25,000 5.085 1/15/98 24,632
25,000 5.22 2/05/98 24,553
21,563 5.125 2/12/98 21,156
30,000 5.105% 2/19/98 29,408
10,000 5.655 4/02/98 9,740
US Treasury 205,000 8.75 10/15/97 205,252
Notes 131,742 5.625 10/31/97 131,764
130,000 5.75 10/31/97 130,021
82,000 7.375 11/15/97 82,190
121,000 5.375 11/30/97 121,000
60,000 5.25 12/31/97 60,000
30,000 7.875 1/15/98 30,220
49,000 5.00 1/31/98 48,939
75,000 7.25 2/15/98 75,469
25,000 8.125 2/15/98 25,234
3,400 5.125 2/28/98 3,396
105,000 6.125 3/31/98 105,360
90,900 7.875 4/15/98 92,036
10,000 5.875 4/30/98 10,022
115,000 6.125 5/15/98 115,413
Total US Government Obligations
(Cost -- $1,869,657 ) 1,870,069
Total Investments
(Cost -- $1,869,657) -- 98.6% 1,870,069
Other Assets Less Liabilities -- 1.4% 26,442
----------
Net Assets -- 100.0% $1,896,511
==========
* 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>
<CAPTION>
CMA Treasury Fund
Statement of Assets and Liabilities as of September 30, 1997
<S> <C> <C>
Assets:
Investments, at value (identified cost -- $1,869,656,823+) (Note 1a) $1,870,068,770
Cash 25,877
Interest receivable 27,661,962
Prepaid registration fees and other assets (Note 1d) 145,172
---------------
Total assets 1,897,901,781
---------------
Liabilities:
Payables:
Investment adviser (Note 2) $712,106
Distributor (Note 2) 463,587
Dividends to shareholders (Note 1e) 831
Beneficial interest redeemed 337 1,176,861
---------
Accrued expenses and other liabilities 214,401
---------------
Total liabilities 1,391,262
---------------
Net Assets $1,896,510,519
===============
Net Assets Consist of:
Shares of beneficial interest, $0.10 par value, unlimited number of
shares authorized $189,609,857
Paid-in capital in excess of par 1,706,488,715
Unrealized appreciation on investments -- net 411,947
---------------
Net Assets -- Equivalent to $1.00 per share based on 1,896,098,573 shares of
beneficial interest outstanding $1,896,510,519
===============
+ Cost for Federal income tax purposes. As of September 30, 1997, net unrealized appreciation for Federal income tax purposes
amounted to $411,947, of which $452,267 related to appreciated securities and $40,320 related to depreciated securities.
See Notes to Financial Statements.
</TABLE>
<TABLE>
<CAPTION>
CMA Treasury Fund
Statement of Operations for the Six Months Ended September 30, 1997
<S> <C> <C>
Investment Income (Note 1c):
Interest and amortization of premium and discount earned $52,111,522
Expenses:
Investment advisory fees (Note 2) $4,092,092
Distribution fees (Note 2) 1,182,832
Transfer agent fees (Note 2) 189,014
Accounting services (Note 2) 124,016
Registration fees (Note 1d) 115,078
Custodian fees 51,322
Professional fees 29,064
Printing and shareholder reports 17,459
Trustees' fees and expenses 13,107
Other 12,624
----------
Total expenses 5,826,608
------------
Investment income -- net 46,284,914
Realized Gain on Investments -- Net (Note 1c) 392,969
Change in Unrealized Depreciation on Investments -- Net 1,082,499
------------
Net Increase in Net Assets Resulting from Operations $47,760,382
============
See Notes to Financial Statements.
</TABLE>
<TABLE>
<CAPTION>
CMA Treasury Fund
Statements of Changes in Net Assets
For the Six For the
Months Ended Year Ended
Increase (Decrease) in Net Assets: September 30, 1997 March 31, 1997
<S> <C> <C>
Operations:
Investment income -- net $46,284,914 $91,813,660
Realized gain on investments -- net 392,969 274,352
Change in unrealized appreciation/depreciation on investments -- net 1,082,499 (444,830)
-------------- --------------
Net increase in net assets resulting from operations 47,760,382 91,643,182
-------------- --------------
Dividends and Distributions to Shareholders (Note 1e):
Investment income -- net (46,284,914) (91,813,660)
Realized gain on investments -- net (392,969) (274,352)
-------------- --------------
Net decrease in net assets resulting from dividends and distributions
to shareholders (46,677,883) (92,088,012)
-------------- --------------
Beneficial Interest Transactions (Note 3):
Net proceeds from sale of shares 4,141,074,157 11,230,658,782
Net asset value of shares issued to shareholders in reinvestment of dividends
(Note 1e) 46,618,405 91,987,088
-------------- --------------
4,187,692,562 11,322,645,870
Cost of shares redeemed (4,260,780,846) (11,145,444,645)
-------------- --------------
Net increase (decrease) in net assets derived from beneficial interest
transactions (73,088,284) 177,201,225
-------------- --------------
Net Assets:
Total increase (decrease) in net assets (72,005,785) 176,756,395
Beginning of period 1,968,516,304 1,791,759,909
-------------- --------------
End of period $1,896,510,519 $1,968,516,304
============== ==============
See Notes to Financial Statements.
</TABLE>
<TABLE>
<CAPTION>
CMA Treasury Fund
Financial Highlights
For the
Six Months
The following per share data and ratios have been derived Ended
from information provided in the financial statements. Sept. 30, For the Year Ended March 31,
1997 1997 1996 1995 1994
Increase (Decrease) in Net Asset Value:
<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 .0238 .0461 0.498 .0409 .0250
Realized and unrealized gain (loss) on
investments -- net .0008 (.0001) .0001 .0004 .0002
---------- ---------- ---------- ---------- ----------
Total from investment operations .0246 .0460 .0499 .0413 .0252
---------- ---------- ---------- ---------- ----------
Less dividends and distributions:
Investment income -- net (.0238) (.0461) (.0498) (.0409) (.0250)
Realized gain on investments -- net (.0002) (.0001) (.0003) (.0002) (.0004)
---------- ---------- ---------- ---------- ----------
Total dividends and distributions (.0240) (.0462) (.0501) (.0411) (.0254)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00
========== ========== ========== ========== ==========
Total Investment Return 4.79%* 4.74% 5.14% 4.18% 2.57%
========== ========== ========== ========== ==========
Ratios to Average Net Assets:
Expenses .60%* .59% .60% .62% .61%
========== ========== ========== ========== ==========
Investment income and realized gain on
investments -- net 4.79%* 4.59% 5.01% 4.20% 2.55%
========== ========== ========== ========== ==========
Supplemental Data:
Net assets, end of period (in thousands) $1,896,511 $1,968,516 $1,791,760 $1,428,724 $1,220,440
========== ========== ========== ========== ==========
* 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 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. 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) 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.
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.
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, MA 02101
Transfer Agent
Merrill Lynch Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
(800) 221-7210*
* For inquiries regarding your CMA account,
call (800) CMA-INFO [(800) 262-4636].
