CMA
CMA Treasury Fund
Semi-Annual Report
September 30, 1999
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. 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. Past performance results shown in this report should not be
considered a representation of future performance, which will
fluctuate. 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, 1999, CMA Treasury Fund
paid shareholders a net annualized dividend of 4.09%*. As of
September 30, 1999, the Fund's 7-day yield was 4.32%.
The average portfolio maturity for CMA Treasury Fund at September
30, 1999 was 77 days, compared to 71 days at March 31, 1999.
The Environment
During the six-month period ended September 30, 1999, continued
strength in the domestic economy and increasing signs of recovery in
the global economies prevailed. In June, the broad US stock market
averages reached record highs. However, by July, fears of
accelerating inflation and the associated risk of additional
increases in interest rates persisted. The likelihood of additional
monetary policy tightening by the Federal Reserve Board was renewed
following the release of stronger-than-expected economic data.
Stock prices declined for the third consecutive month in September
as a weakening of the US dollar against the Japanese yen prompted
worries over threats to Japan's fragile economic recovery and the
potential for accelerated repatriation of US investments. In
addition, the bulging trade deficit, coupled with rising commodity
prices and ongoing robust economic activity, suggested the Federal
Reserve Board might increase short-term interest rates for the third
time this year at its November meeting. During this time, we adopted
a more conservative investment strategy by shortening the Fund's
average life and limiting longer-term investments.
[FN]
*Based on a constant investment throughout the period, with
dividends compounded daily, and reflecting a net return to the
investor after all expenses.
For the September period, the US bond market was a beneficiary of
many of these developments. While fixed-income investors reacted
poorly to evidence of incipient inflationary pressures and the
prospect of higher interest rates in the early months of the
quarter, a significant rally ensued in September driven by a
slowdown in average hourly earnings and extremely benign inflation
reports.
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,
(Terry K. Glenn)
Terry K. Glenn
President and Trustee
(Jacqueline Rogers)
Jacqueline Rogers
Vice President and Portfolio Manager
November 2, 1999
CMA TREASURY FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 (IN THOUSANDS)
Face Interest Maturity Value
Issue Amount Rate Date (Note 1a)
US Government Obligations*--99.1%
US Treasury $ 7,000 3.80 % 10/14/1999 $ 6,988
Bills 5,986 3.81 10/14/1999 5,976
98,000 4.58 10/14/1999 97,825
149 4.47 10/21/1999 149
1,767 4.49 10/21/1999 1,763
3,820 4.51 10/21/1999 3,810
22,608 4.63 10/21/1999 22,552
9,480 4.64 10/21/1999 9,456
7,810 4.62 10/28/1999 7,783
54,889 4.57 11/04/1999 54,660
33,009 4.68 11/04/1999 32,871
80,507 4.645 11/12/1999 80,097
3,314 4.69 11/12/1999 3,297
40,000 4.695 11/12/1999 39,796
12,163 4.70 11/12/1999 12,101
50,000 4.79 11/12/1999 49,745
50,000 4.805 11/12/1999 49,745
24,953 4.51 11/18/1999 24,807
2,553 4.675 11/18/1999 2,538
3,336 4.755 11/26/1999 3,314
9,492 4.80 11/26/1999 9,428
1,416 4.815 11/26/1999 1,406
50,000 4.64 12/02/1999 49,606
50,000 4.75 12/02/1999 49,606
44,686 4.77 12/02/1999 44,333
25,519 4.785 12/02/1999 25,318
50,000 4.80 12/02/1999 49,606
10,000 4.36 12/09/1999 9,912
7,088 4.55 12/09/1999 7,025
50,000 4.68 12/09/1999 49,559
17,390 4.66 1/06/2000 17,169
Face Interest Maturity Value
Issue Amount Rate Date (Note 1a)
US Government Obligations* (concluded)
US Treasury $ 50,000 4.735% 1/06/2000 $ 49,364
Bills 26,433 4.75 1/06/2000 26,097
(concluded) 50,000 4.80 1/06/2000 49,364
40,737 4.80 1/13/2000 40,186
15,000 4.81 1/13/2000 14,797
4,358 4.82 1/13/2000 4,299
10,927 4.83 1/13/2000 10,779
30,000 4.85 1/13/2000 29,594
21,176 4.90 2/17/2000 20,790
1,311 4.81 3/02/2000 1,284
49,000 4.83 3/30/2000 47,820
5,456 4.85 3/30/2000 5,325
US Treasury 170,930 5.625 10/31/1999 171,011
Notes 225,000 5.875 11/15/1999 225,318
31,650 7.875 11/15/1999 31,769
50,000 5.625 11/30/1999 50,063
162,765 7.75 11/30/1999 163,579
24,500 5.375 1/31/2000 24,523
155,968 7.75 1/31/2000 157,333
168,500 5.875 2/15/2000 168,974
25,000 5.50 3/31/2000 25,047
24,500 5.625 4/30/2000 24,707
10,000 6.75 4/30/2000 10,022
28,000 6.25 5/31/2000 28,184
3,000 4.50 9/30/2000 2,972
2,500 4.625 11/30/2000 2,475
Total US Government Obligations
(Cost--$2,207,337) 2,207,917
Total Investments
(Cost--$2,207,337)--99.1% 2,207,917
Other Assets Less Liabilities--0.9% 19,022
----------
Net Assets--100.0% $2,226,939
==========
[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 rates upon maturity.
See Notes to Financial Statements.
<TABLE>
CMA TREASURY FUND
STATEMENT OF ASSETS AND LIABILITIES AS OF SEPTEMBER 30, 1999
<S> <C> <C>
Assets:
Investments, at value (identified cost--$2,207,336,829++) (Note 1a) $ 2,207,916,716
Interest receivable 19,966,251
Prepaid registration fees and other assets (Note 1d) 129,272
---------------
Total assets 2,228,012,239
---------------
Liabilities:
Payables:
Distributor (Note 2) $ 606,113
Investment adviser (Note 2) 154,042
Beneficial interest redeemed 2,014 762,169
---------------
Accrued expenses and other liabilities 311,288
---------------
Total liabilities 1,073,457
---------------
Net Assets $ 2,226,938,782
===============
Net Assets Consist of:
Shares of beneficial interest, $.10 par value, unlimited number of
shares authorized $ 222,635,890
Paid-in capital in excess of par 2,003,723,005
Unrealized appreciation on investments--net 579,887
---------------
Net Assets--Equivalent to $1.00 per share based on 2,226,358,895 shares of
beneficial interest outstanding $ 2,226,938,782
===============
<FN>
++Cost for Federal income tax purposes was $2,207,336,829. As of
September 30, 1999, net unrealized appreciation for Federal income
tax purposes amounted to $579,887, of which $865,624 related to
appreciated securities and $285,737 related to depreciated
securities.
See Notes to Financial Statements.
</TABLE>
<TABLE>
CMA TREASURY FUND
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1999
<S> <C> <C>
Investment Income (Note 1c):
Interest and amortization of premium and discount earned $ 55,451,487
Expenses:
Investment advisory fees (Note 2) $ 4,924,893
Distribution fees (Note 2) 1,475,647
Transfer agent fees (Note 2) 211,356
Accounting services (Note 2) 87,673
Custodian fees 54,365
Professional fees 35,984
Registration fees (Note 1d) 30,097
Printing and shareholder reports 16,408
Trustees' fees and expenses 16,170
Pricing fees 1,078
Other 22,002
---------------
Total expenses 6,875,673
---------------
Investment income--net 48,575,814
Realized Gain on Investments--Net (Note 1c) 163,468
Change in Unrealized Appreciation/Depreciation on Investments--Net 866,709
---------------
Net Increase in Net Assets Resulting from Operations $ 49,605,991
===============
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: September 30, 1999 March 31, 1999
<S> <C> <C>
Operations:
Investment income--net $ 48,575,814 $ 109,730,665
Realized gain on investments--net 163,468 612,263
Change in unrealized appreciation/depreciation on investments--net 866,709 (283,038)
--------------- ---------------
Net increase in net assets resulting from operations 49,605,991 110,059,890
--------------- ---------------
Dividends and Distributions to Shareholders (Note 1e):
Investment income--net (48,575,814) (109,730,665)
Realized gain on investments--net (163,468) (612,263)
--------------- ---------------
Net decrease in net assets resulting from dividends and distributions
to shareholders (48,739,282) (110,342,928)
--------------- ---------------
Beneficial Interest Transactions (Note 3):
Net proceeds from sale of shares 4,241,370,110 12,307,978,765
Net asset value of shares issued to shareholders in reinvestment of dividends
(Note 1e) 48,702,733 110,228,041
--------------- ---------------
4,290,072,843 12,418,206,806
Cost of shares redeemed (4,519,127,024) (12,242,619,940)
--------------- ---------------
Net increase (decrease) in net assets derived from beneficial interest
transactions (229,054,181) 175,586,866
--------------- ---------------
Net Assets:
Total increase (decrease) in net assets (228,187,472) 175,303,828
Beginning of period 2,455,126,254 2,279,822,426
--------------- ---------------
End of period $ 2,226,938,782 $ 2,455,126,254
=============== ===============
See Notes to Financial Statements.
</TABLE>
<TABLE>
CMA TREASURY FUND
FINANCIAL HIGHLIGHTS
For the Six
The following per share data and ratios have been derived Months
from information provided in the financial statements. Ended
Sept. 30, For the Year Ended March 31,
Increase (Decrease) in Net Asset Value: 1999 1999 1998 1997 1996
<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 .0204 .0438 .0475 .0461 .0498
Realized and unrealized gain (loss) on
investments--net .0004 .0001 .0008 (.0001) .0001
---------- ---------- ---------- ---------- ----------
Total from investment operations .0208 .0439 .0483 .0460 .0499
---------- ---------- ---------- ---------- ----------
Less dividends and distributions:
Investment income--net (.0204) (.0438) (.0475) (.0461) (.0498)
Realized gain on investments--net (.0001) (.0002) (.0005) (.0001) (.0003)
---------- ---------- ---------- ---------- ----------
Total dividends and distributions (.0205) (.0440) (.0480) (.0462) (.0501)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ==========
Total Investment Return 4.09%* 4.50% 4.92% 4.74% 5.14%
========== ========== ========== ========== ==========
Ratios to Average Net Assets:
Expenses .57%* .58% .60% .59% .60%
========== ========== ========== ========== ==========
Investment income and realized gain on
investments--net 4.07%* 4.37% 4.82% 4.59% 5.01%
========== ========== ========== ========== ==========
Supplemental Data:
Net assets, end of period (in thousands) $2,226,939 $2,455,126 $2,279,822 $1,968,516 $1,791,760
========== ========== ========== ========== ==========
<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. The Fund's financial statements are prepared in
accordance with generally accepted accounting principles, which may
require the use of management accruals and estimates. These
unaudited financial statements reflect all adjustments which are, in
the opinion of management, necessary to 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--Portfolio securities with remaining
maturities of greater than sixty days, for which market quotations
are readily available, are valued at market value. As securities
transition from sixty-one to sixty days 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. Securities maturing sixty days or less from their date of
acquisition are valued at amortized cost, which approximates market
value. For the purpose of valuation, the maturity of a variable rate
security is deemed to be the next coupon date on which the interest
rate is to be adjusted. Other investments for which market value
quotations are not available are valued at their fair value as
determined in good faith by or under the direction of the Fund's
Board of Trustees.
(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: .50%
of the Fund's average daily net assets not exceeding $500 million;
.425% of the average daily net assets in excess of $500 million, but
not exceeding $1 billion; and .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
Incorporated ("MLPF&S") receives a distribution fee under the
Distribution Agreement from the Fund at the end of each month at the
annual rate of .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 sold, reinvested 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, value of
shares reinvested and cost of shares redeemed, respectively, since
shares are recorded at $1.00 per share.
CMA TREASURY FUND
OFFICERS AND TRUSTEES
Terry K. Glenn--President and Trustee
Ronald W. Forbes--Trustee
Cynthia A. Montgomery--Trustee
Charles C. Reilly--Trustee
Kevin A. Ryan--Trustee
Richard R. West--Trustee
Arthur Zeikel--Trustee
Kevin J. McKenna--Senior Vice President
Joseph T. Monagle Jr.--Senior Vice President
Jacqueline Rogers--Vice President
Donald C. Burke--Vice President and Treasurer
William E. Zitelli--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].
