CMA TREASURY FUND
Annual Report
March 31, 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. 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
Printed on post-consumer recycled paper
DEAR SHAREHOLDER:
For the year ended March 31, 1998, CMA Treasury Fund paid
shareholders a net annualized dividend of 4.92%.* As of March 31,
1998, the Fund's 7-day yield was 4.80%.
The average portfolio maturity for CMA Treasury Fund at March 31,
1998 was 80 days, compared to 86 days at September 30, 1997.
The Environment
The six months ended March 31, 1998 were positive for most capital
markets worldwide, despite periods of volatility. Investors
continued to focus on the impact that the financial crisis in Asia
would have on economic growth worldwide. In the United States,
sentiment fluctuated between a variety of outlooks. At times, US
stock and bond prices reflected expectations that the slowdown in
Asian economic growth would lead to a sharp decline in US business
activity and, ultimately, a deflationary environment. The
deterioration of economic conditions in Japan was of particular
concern. During other periods, US investors appeared to expect that
the positive trends of a moderately expanding economy, declining
unemployment, enhanced productivity and corporate profits growth
would continue, unimpeded by the developments in Asia. To date,
there have been only a few signs that Asia's troubles are
influencing US economic activity.
The Federal Open Market Committee did not change monetary policy at
its meeting in early February. Subsequently, in his Humphrey-Hawkins
testimony before Congress, Federal Reserve Board Chairman Alan
Greenspan indicated that monetary policy might remain steady for
some time. This raised concerns among those US bond investors who
had expected imminent monetary policy easing. However, subsequent
data releases suggested that US economic growth would remain
moderate, which stabilized the bond 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.
During the six-month period ended March 31, 1998, we maintained the
Fund's average life toward the maximum end of our investment
parameters. Our positive outlook was based on the belief that the
Federal Reserve Board would be likely to leave monetary policy
unchanged and that the future supply of Treasury securities would be
limited.
As 1998 progresses, it is likely that investor focus will remain on
developments in Asia, their potential impact on the US economy, and
the Federal Reserve Board's response to them.
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
Portfolio Manager
May 5, 1998
Effective January 2, 1998, Jacqueline Rogers assumed the
responsibilities of day-to-day management for CMA Treasury Fund. Ms.
Rogers has been Vice President of Merrill Lynch Asset Management,
L.P. (an affiliate of the Investment Adviser) since 1985.
CMA TREASURY FUND
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1998 (IN THOUSANDS)
Face Interest Maturity Value
Issue Amount Rate Date (Note 1a)
US Government Obligations*--97.6%
US Treasury $ 10,944 4.99% 4/02/98 $ 10,941
Bills 10,000 5.655 4/02/98 9,997
1,176 5.06 4/09/98 1,175
9,373 5.295 4/16/98 9,351
4,297 5.41 4/16/98 4,287
107,598 5.235 4/23/98 107,238
50,000 5.26 4/23/98 49,832
107 5.265 4/23/98 107
8,121 5.28 4/23/98 8,094
25,000 5.345 4/23/98 24,915
25,000 5.15 4/30/98 24,893
4,420 5.30 4/30/98 4,401
12,279 5.33 4/30/98 12,225
13,908 5.37 4/30/98 13,847
74,740 5.35 5/14/98 74,282
18,794 5.25 5/21/98 18,659
9,800 5.055 5/28/98 9,720
25,000 5.07 5/28/98 24,796
20,568 5.205 5/28/98 20,400
25,000 5.235 5/28/98 24,795
30,000 5.28 5/28/98 29,754
12,230 5.275 6/04/98 12,118
60,000 5.29 6/04/98 59,450
7,451 5.005 6/25/98 7,361
50,000 5.06 6/25/98 49,394
50,000 5.075 6/25/98 49,394
Face Interest Maturity Value
Issue Amount Rate Date (Note 1a)
US Government Obligations* (concluded)
US Treasury $ 40,000 5.32% 6/25/98 $ 39,516
Bills 10,253 5.08 8/20/98 10,046
(concluded) 1,379 5.07 9/17/98 1,346
US Treasury 260,900 7.875 4/15/98 261,191
Notes 50,000 5.125 4/30/98 49,983
89,769 5.875 4/30/98 89,791
281,000 6.125 5/15/98 281,219
25,000 9.00 5/15/98 25,103
200,000 6.00 5/31/98 200,148
40,000 8.25 7/15/98 40,316
100,000 6.25 7/31/98 100,266
165,000 6.125 8/31/98 165,413
78,000 6.00 9/30/98 78,197
173,000 5.875 10/31/98 173,270
10,000 5.50 11/15/98 9,995
20,000 5.875 1/31/99 20,045
10,000 6.75 6/30/99 10,134
7,000 5.375 1/31/00 6,968
Total US Government Obligations
(Cost--$2,224,377 ) 2,224,373
Total Investments
(Cost--$2,224,377)--97.6% 2,224,373
Other Assets Less Liabilities--2.4% 55,449
----------
Net Assets--100.0% $2,279,822
==========
[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>
CMA TREASURY FUND
STATEMENT OF ASSETS AND LIABILITIES AS OF MARCH 31, 1998
<S> <C> <C>
Assets:
Investments, at value (identified cost--$2,224,376,739++) (Note 1a) $ 2,224,372,955
Cash 39,164
Receivables:
Interest $ 31,407,182
Securities sold 25,657,728 57,064,910
---------------
Prepaid registration fees and other assets (Note 1d) 63,394
---------------
Total assets $ 2,281,540,423
---------------
Liabilities:
Payables:
Investment adviser (Note 2) 828,861
Distributor (Note 2) 686,287
Dividends to shareholders (Note 1e) 819
Beneficial interest redeemed 139 1,516,106
---------------
Accrued expenses and other liabilities 201,891
---------------
Total liabilities 1,717,997
---------------
Net Assets $ 2,279,822,426
===============
Net Assets Consist of:
Shares of beneficial interest, $0.10 par value, unlimited number of
shares authorized $ 227,982,621
Paid-in capital in excess of par 2,051,843,589
Unrealized depreciation on investments--net (3,784)
---------------
Net Assets--Equivalent to $1.00 per share based on 2,279,826,210 shares of
beneficial interest outstanding $ 2,279,822,426
===============
<FN>
++Cost for Federal income tax purposes was $2,224,376,785. As of
March 31, 1998, net unrealized depreciation for Federal income tax
purposes amounted to $3,830, of which $181,345 related to
appreciated securities and $185,175 related to depreciated
securities.
</TABLE>
<TABLE>
CMA TREASURY FUND
STATEMENT OF OPERATIONS FOR THE YEAR ENDED MARCH 31, 1998
<S> <C> <C>
Investment Income (Note 1c):
Interest and amortization of premium and discount earned $ 113,700,084
Expenses:
Investment advisory fees (Note 2) $ 8,821,989
Distribution fees (Note 2) 2,624,701
Transfer agent fees (Note 2) 434,043
Registration fees (Note 1d) 316,760
Accounting services (Note 2) 177,256
Custodian fees 111,014
Professional fees 69,162
Printing and shareholder reports 30,680
Trustees' fees and expenses 26,447
Other 25,620
--------------
Total expenses 12,637,672
---------------
Investment income--net 101,062,412
Realized Gain on Investments--Net (Note 1c) 1,099,659
Change in Unrealized Depreciation on Investments--Net 666,768
--------------
Net Increase in Net Assets Resulting from Operations $ 102,828,839
==============
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 Asset Value: 1998 1997
<S> <C> <C>
Operations:
Investment income--net $ 101,062,412 $ 91,813,660
Realized gain on investments--net 1,099,659 274,352
Change in unrealized appreciation/depreciation on investments--net 666,768 (444,830)
---------------- ----------------
Net increase in net assets resulting from operations 102,828,839 91,643,182
---------------- ----------------
Dividends and Distributions to Shareholders (Note 1e):
Investment income--net (101,062,412) (91,813,660)
Realized gain on investments--net (1,099,659) (274,352)
---------------- ----------------
Net decrease in net assets resulting from dividends and distributions
to shareholders (102,162,071) (92,088,012)
---------------- ----------------
Beneficial Interest Transactions (Note 3):
Net proceeds from sale of shares 11,334,080,995 11,230,658,782
Net asset value of shares issued to shareholders in reinvestment of dividends
(Note 1e) 102,038,528 91,987,088
---------------- ----------------
11,436,119,523 11,322,645,870
Cost of shares redeemed (11,125,480,169) (11,145,444,645)
---------------- ----------------
Net increase in net assets derived from beneficial interest transactions 310,639,354 177,201,225
---------------- ----------------
Net Assets:
Total increase in net assets 311,306,122 176,756,395
Beginning of year 1,968,516,304 1,791,759,909
---------------- ----------------
End of year $ 2,279,822,426 $ 1,968,516,304
================ ================
</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: 1998 1997 1996 1995 1994
<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 .0475 .0461 .0498 .0409 .0250
Realized and unrealized gain (loss) on
investments--net .0008 (.0001) .0001 .0004 .0002
---------- ---------- ---------- ---------- ----------
Total from investment operations .0483 .0460 .0499 .0413 .0252
---------- ---------- ---------- ---------- ----------
Less dividends and distributions:
Investment income--net (.0475) (.0461) (.0498) (.0409) (.0250)
Realized gain on investments--net (.0005) (.0001) (.0003) (.0002) (.0004)
---------- ---------- ---------- ---------- ----------
Total dividends and distributions (.0480) (.0462) (.0501) (.0411) (.0254)
---------- ---------- ---------- ---------- ----------
Net asset value, end of year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ==========
Total Investment Return 4.92% 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 4.82% 4.59% 5.01% 4.20% 2.55%
========== ========== ========== ========== ==========
Supplemental Data:
Net assets, end of year (in thousands) $2,279,822 $1,968,516 $1,791,760 $1,428,724 $1,220,440
========== ========== ========== ========== ==========
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. 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.
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.
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, 1998, 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, 1998 by correspondence with the custodian. 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, 1998, 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 5, 1998
CMA TREASURY FUND
IMPORTANT TAX INFORMATION (UNAUDITED)
None of the ordinary income distributions paid daily by CMA Treasury
Fund during its fiscal year ended March 31, 1998 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.
Following are the percentages of total assets of the Fund invested
in Federal obligations as of the end of each quarter of the fiscal
year.
For the Quarter Ended Federal Obligations*
June 30, 1997 92.67%
September 30, 1997 98.53
December 31, 1997 94.89
March 31, 1998 97.49
Of the Fund's ordinary income dividends paid during the fiscal year
ended March 31, 1998, 99.01% 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.
[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
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
Merrill Lynch 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].
