CMA
CMA TREASURY FUND
Semi-Annual Report
September 30, 1998
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. An
investment in the Fund is not insured or guaranteed by the Federal
Deposit Insurance Corporation or any other Government agency.
Although the Fund seeks to preserve the value of your investment at
$1.00 per share, it is possible to lose money by investing in the
Fund. Statements and other information herein are as dated and are
subject to change.
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, 1998, CMA Treasury Fund
paid shareholders a net annualized dividend of 4.74%*. As of
September 30, 1998, the Fund's 7-day yield was 4.56%.
The Environment
Concerns over the prospects for the worldwide economy spilled over
into the US stock market during the six months ended September 30,
1998. The increased volatility in US share prices reflected the
deteriorating outlook for corporate profits amid signs of a
weakening US economy. The uncertain economic picture and the
resulting flight to quality by investors pushed the 30-year US
Treasury bond to record low yields. In contrast, corporate bonds,
mortgage-backed securities and emerging markets debt underperformed
Treasury securities by a wide margin. The leverage/derivatives-
related problems of a major hedge fund and possible impeachment of
President Clinton further heightened investor uncertainties, as did
Russia's devaluation of the ruble and effective repudiation of its
debt in August. A one-quarter point cut in the Federal Funds rate in
late September did not restore investor confidence, since a more
significant easing of monetary policy was expected. However, the
central bank unexpectedly cut the Federal Funds rate another quarter
point in October, which investors viewed positively.
[FN]
*Based on a constant investment throughout the period, with
dividends compounded daily, and reflecting a net return to the
investor after all expenses.
As long as worldwide economic prospects appear fragile, it is likely
that stock and bond market volatility will continue. For the overall
global economy, the deepening recession in Japan is of great concern
as well as the difficulties in emerging economies such as Russia and
Brazil. Investors are awaiting decisive programs in Japan designed
to stabilize the financial system and stimulate the economy.
Positive developments in Japan, combined with continued monetary
easing on the part of the Federal Reserve Board, would likely
provide an important element of stability to the volatile investment
environment. Since we expected lower interest rates during this
period of instability, we maintained a longer average life for the
Fund. As of September 30, 1998, the Fund's average life was 86 days.
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
(Jacqueline Rogers)
Jacqueline Rogers
Vice President and Portfolio Manager
October 29, 1998
CMA TREASURY FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1998 (IN THOUSANDS)
Face Interest Maturity Value
Issue Amount Rate Date (Note 1a)
US Government Obligations*-- 99.3%
US Treasury $ 7,346 4.93 % 10/08/98 $ 7,338
Bills 42,489 5.035 10/08/98 42,442
25,028 5.04 10/08/98 25,001
3,883 4.80 10/15/98 3,875
12,991 4.84 10/15/98 12,965
1,226 4.95 10/15/98 1,224
3,955 4.99 10/15/98 3,947
6,162 4.995 10/15/98 6,150
168 5.00 10/15/98 168
14,007 5.06 10/15/98 13,979
15,000 5.065 10/15/98 14,970
35,000 5.08 10/15/98 34,929
30,000 5.105 10/15/98 29,939
30,000 4.89 10/22/98 29,910
5,459 4.92 10/22/98 5,443
40,000 4.925 10/22/98 39,880
484 4.935 10/22/98 483
2,446 4.955 10/22/98 2,439
11,689 4.965 10/22/98 11,654
50,000 4.85 10/29/98 49,804
1,048 4.90 10/29/98 1,044
13,302 4.97 10/29/98 13,250
48,201 5.035 11/05/98 47,970
10,144 5.04 11/05/98 10,095
6,355 5.05 11/05/98 6,325
5,547 5.09 11/05/98 5,520
17,000 5.10 11/05/98 16,918
1,734 5.115 11/05/98 1,726
25,000 5.125 11/05/98 24,880
8,893 4.905 11/12/98 8,842
4,210 5.00 11/12/98 4,186
45,000 5.01 11/12/98 44,741
Face Interest Maturity Value
Issue Amount Rate Date (Note 1a)
US Government Obligations* (concluded)
US Treasury $ 4,803 5.02 % 11/12/98 $ 4,775
Bills 11,424 5.03 11/12/98 11,358
(concluded) 2,474 5.07 11/12/98 2,460
75,000 5.09 11/12/98 74,568
8,169 4.945 11/19/98 8,119
50,000 5.065 11/19/98 49,694
4,394 5.03 12/10/98 4,358
75,000 4.30 1/07/99 74,113
8,314 4.36 1/07/99 8,216
50,000 4.395 1/07/99 49,408
18,439 4.40 1/07/99 18,221
2,739 4.385 2/04/99 2,697
30,000 4.425 2/04/99 29,532
25,000 4.43 2/04/99 24,609
US Treasury 150,000 4.75 10/31/98 149,912
Notes 173,000 5.875 10/31/98 173,055
135,000 5.50 11/15/98 135,047
351,473 5.875 1/31/99 352,901
120,000 5.00 2/15/99 120,112
100,000 8.875 2/15/99 101,490
175,000 5.875 2/28/99 175,820
50,000 5.875 3/31/99 50,313
118,347 6.25 3/31/99 119,271
10,000 6.75 6/30/99 10,147
10,000 6.00 8/15/99 10,115
Total US Government Obligations
(Cost--$2,280,333) 2,282,348
Total Investments
(Cost--$2,280,333)--99.3% 2,282,348
Other Assets Less Liabilities--0.7% 15,361
----------
Net Assets--100.0% $2,297,709
==========
[FN]
*US Treasury Bills are traded on a discount basis; the interest
rates shown reflect 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>
CMA TREASURY FUND
STATEMENT OF ASSETS AND LIABILITIES AS OF SEPTEMBER 30, 1998
<S> <C> <C>
Assets:
Investments, at value (identified cost--$2,280,332,583++) (Note 1a) $ 2,282,347,793
Cash 198
Receivables:
Interest $ 7,746,378
Securities sold 8,603,947 16,350,325
---------------
Prepaid registration fees and other assets (Note 1d) 701,030
---------------
Total assets 2,299,399,346
---------------
Liabilities:
Payables:
Investment adviser (Note 2) $ 779,986
Distributor (Note 2) 558,632
Dividends to shareholders (Note 1e) 642 1,339,260
---------------
Accrued expenses and other liabilities 351,009
---------------
Total liabilities 1,690,269
---------------
Net Assets $ 2,297,709,077
===============
Net Assets Consist of:
Shares of beneficial interest, $0.10 par value, unlimited number of
shares authorized $ 229,569,387
Paid-in capital in excess of par 2,066,124,480
Unrealized appreciation on investments--net 2,015,210
---------------
Net Assets--Equivalent to $1.00 per share based on 2,295,693,867 shares of
beneficial interest outstanding $ 2,297,709,077
===============
<FN>
++Cost for Federal income tax purposes was $2,280,332,583. As of
September 30, 1998, net unrealized appreciation for Federal income
tax purposes amounted to $2,015,210, of which $2,063,000 related to
appreciated securities and $47,790 related to depreciated
securities.
See Notes to Financial Statements.
</TABLE>
<TABLE>
CMA TREASURY FUND
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1998
<S> <C> <C>
Investment Income (Note 1c):
Interest and amortization of premium and discount earned $ 58,967,094
Expenses:
Investment advisory fees (Note 2) $ 4,647,673
Distribution fees (Note 2) 1,391,529
Transfer agent fees (Note 2) 210,740
Registration fees (Note 1d) 149,125
Accounting services (Note 2) 119,554
Custodian fees 57,900
Professional fees 44,559
Printing and shareholder reports 18,177
Trustees' fees and expenses 15,722
Other 7,706
---------------
Total expenses 6,662,685
---------------
Investment income--net 52,304,409
Realized Gain on Investments--Net (Note 1c) 270,694
Change in Unrealized Appreciation/Depreciation on Investments--Net 2,018,994
---------------
Net Increase in Net Assets Resulting from Operations $ 54,594,097
===============
See Notes to Financial Statements.
</TABLE>
<TABLE>
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, 1998 March 31, 1998
<S> <C> <C>
Operations:
Investment income--net $ 52,304,409 $ 101,062,412
Realized gain on investments--net 270,694 1,099,659
Change in unrealized appreciation/depreciation on investments--net 2,018,994 666,768
--------------- ---------------
Net increase in net assets resulting from operations 54,594,097 102,828,839
--------------- ---------------
Dividends and Distributions to Shareholders (Note 1e):
Investment income--net (52,304,409) (101,062,412)
Realized gain on investments--net (270,694) (1,099,659)
--------------- ---------------
Net decrease in net assets resulting from dividends and distributions
to shareholders (52,575,103) (102,162,071)
--------------- ---------------
Beneficial Interest Transactions (Note 3):
Net proceeds from sale of shares 3,956,236,725 11,334,080,995
Net asset value of shares issued to shareholders in reinvestment of dividends
(Note 1e) 52,526,950 102,038,528
--------------- ---------------
4,008,763,675 11,436,119,523
Cost of shares redeemed (3,992,896,018) (11,125,480,169)
--------------- ---------------
Net increase in net assets derived from beneficial interest transactions 15,867,657 310,639,354
--------------- ---------------
Net Assets:
Total increase in net assets 17,886,651 311,306,122
Beginning of period 2,279,822,426 1,968,516,304
--------------- ---------------
End of period $ 2,297,709,077 $ 2,279,822,426
=============== ===============
See Notes to Financial Statements.
</TABLE>
<TABLE>
CMA TREASURY FUND
FINANCIAL HIGHLIGHTS
<CAPTION>
For the
The following per share data and ratios Six
have been derived from information Months
provided in the financial statements. Ended
Sept. 30, For the Year Ended March 31,
Increase (Decrease) in Net Asset Value: 1998 1998 1997 1996 1995
<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 .0234 .0475 .0461 .0498 .0409
Realized and unrealized gain (loss) on
investments--net .0010 .0008 (.0001) .0001 .0004
---------- ---------- ---------- ---------- ----------
Total from investment operations .0244 .0483 .0460 .0499 .0413
---------- ---------- ---------- ---------- ----------
Less dividends and distributions:
Investment income--net (.0234) (.0475) (.0461) (.0498) (.0409)
Realized gain on investments--net (.0001) (.0005) (.0001) (.0003) (.0002)
---------- ---------- ---------- ---------- ----------
Total dividends and distributions (.0235) (.0480) (.0462) (.0501) (.0411)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ==========
Total Investment Return 4.74%* 4.92% 4.74% 5.14% 4.18%
========== ========== ========== ========== ==========
Ratios to Average Net Assets:
Expenses .59%* .60% .59% .60% .62%
========== ========== ========== ========== ==========
Investment income and realized gain on
investments--net 4.68%* 4.82% 4.59% 5.01% 4.20%
========== ========== ========== ========== ==========
Supplemental Data:
Net assets, end of period (in thousands) $2,297,709 $2,279,822 $1,968,516 $1,791,760 $1,428,724
========== ========== ========== ========== ==========
<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. Other securities 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.
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.
Financial Data Services, Inc. ("FDS"), 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, FDS, 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
Kevin J. McKenna--Senior Vice President
Joseph T. Monagle Jr.--Senior Vice President
Donald C. Burke--Vice President
Jacqueline Rogers--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
Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
(800) 221-7210*
[FN]
*For inquiries regarding your CMA account,
call (800) CMA-INFO [(800) 262-4636].
