CMA
CMA TREASURY FUND
Annual Report
March 31, 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 year ended March 31, 1999, CMA Treasury Fund paid
shareholders a net annualized dividend of 4.50%.* As of March 31,
1999, the Fund's 7-day yield was 3.98%.
The average portfolio maturity for CMA Treasury Fund at March 31,
1999 was 71 days, compared to 86 days at September 30, 1998.
The Environment
There were some conflicting signals regarding the future direction
of the US economy during the six months ended March 31, 1999.
However, on balance the economic outlook continued to be positive.
The US economic expansion is ongoing, especially in the consumer
sector. Economic growth is not igniting inflation, although the
Organization for Petroleum Exporting Countries (OPEC) successfully
engineered a near-term increase in the price of crude oil. Against
this backdrop, the US Federal Reserve Board kept monetary policy on
hold. Outside of the United States, signs of growth are less
apparent in other major industrial economies, although the economic
outlook may be improving in Europe. Although the crisis in
Yugoslavia has raised serious geopolitical concerns, it was not a
significant factor in the economic or investment outlook. In Japan,
there are not yet clear signs that Japan's economy is improving, and
the emerging economies remain tentative.
In the US capital markets, long-term interest rates have risen
somewhat thus far in 1999, but yield spreads between Treasury and
corporate issues are tightening. However, the major news was the Dow
Jones Industrial Average closing above the 10,000 level for the
first time; shortly after the end of the March quarter, other stock
market indexes reached record high levels. Nevertheless, the US
stock market's rise was very narrow in scope, with relatively few
large-capitalization issues accounting for the advance. During the
[FN]
*Based on a constant investment throughout the period, with
dividends compounded daily, and reflecting a net return to the
investor after all expenses.
period, we held a positive investment outlook for the Fund. The
average portfolio maturity was maintained toward the high end of our
maximum level throughout most of the period since we believed the
absence of inflationary pressures would prevent the Federal Reserve
Board from increasing interest rates.
Sincerely,
(Terry K. Glenn)
Terry K. Glenn
President and Trustee
(Jacqueline Rogers)
Jacqueline Rogers
Vice President and Portfolio Manager
May 7, 1999
After more than 20 years of service, Arthur Zeikel recently retired
as Chairman of Merrill Lynch Asset Management, L.P. (MLAM). Mr.
Zeikel served as President of MLAM from 1977 to 1997 and as Chairman
since December 1997. Mr. Zeikel is one of the country's most
respected leaders in asset management and presided over the growth
of Merrill Lynch's asset management business. During his tenure,
client assets under management grew from $300 million to over $500
billion. Mr. Zeikel will remain on CMA Treasury Fund's Board of
Trustees. We are pleased to announce that Terry K. Glenn has been
elected President and Trustee of the Fund. Mr. Glenn has held the
position of Executive Vice President of MLAM since 1983.
Mr. Zeikel's colleagues at MLAM join the Fund's Board of Trustees in
wishing him well in his retirement from Merrill Lynch and are
pleased that he will continue as a member of the Fund's Board of
Trustees.
CMA TREASURY FUND
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1999 (IN THOUSANDS)
Face Interest Maturity Value
Issue Amount Rate Date (Note 1a)
US Government Obligations*-- 99.6%
US Treasury $ 49,485 4.43 % 4/01/1999 $ 49,479
Bills 4,825 4.785 4/19/1999 4,813
100,000 4.825 4/19/1999 99,745
30,300 3.69 4/22/1999 30,216
135,000 4.23 4/22/1999 134,628
45,000 4.66 4/22/1999 44,872
30,000 4.685 4/22/1999 29,914
579 4.71 4/22/1999 577
31,493 4.73 4/22/1999 31,402
40,000 4.75 4/22/1999 39,884
18,134 4.805 4/22/1999 18,081
50,000 4.395 5/06/1999 49,775
50,000 4.40 5/06/1999 49,775
8,642 4.45 5/06/1999 8,604
50,000 4.46 5/06/1999 49,777
14,987 4.39 5/13/1999 14,907
50,000 4.41 5/13/1999 49,731
100,000 4.47 5/13/1999 99,466
50,000 4.4725 5/13/1999 49,731
44,851 4.41 5/20/1999 44,573
24,602 4.415 5/20/1999 24,449
24,956 4.42 5/20/1999 24,801
150,000 4.53 5/20/1999 149,069
150,000 4.37 5/27/1999 148,933
12,992 4.515 5/27/1999 12,900
100,000 4.525 5/27/1999 99,289
50,000 4.38 6/10/1999 49,567
50,000 4.385 6/10/1999 49,567
41,019 4.39 6/10/1999 40,664
140,000 4.38 6/17/1999 138,665
Face Interest Maturity Value
Issue Amount Rate Date (Note 1a)
US Government Obligations* (concluded)
US Treasury $ 75,000 4.42 % 6/17/1999 $ 74,285
Bills 75,000 4.33 7/22/1999 73,973
(concluded) 9,503 4.375 7/22/1999 9,373
10,038 4.39 7/22/1999 9,901
50,000 4.40 8/05/1999 49,224
7,000 3.80 10/14/1999 6,830
7,000 3.81 10/14/1999 6,830
10,000 4.36 12/09/1999 9,690
US Treasury 123,131 6.375 4/30/1999 123,296
Notes 40,000 6.50 4/30/1999 40,048
128,777 6.25 5/31/1999 129,069
64,284 6.75 5/31/1999 64,477
10,000 6.75 6/30/1999 10,051
29,240 5.875 7/31/1999 29,350
10,000 6.00 8/15/1999 10,047
29,000 5.875 8/31/1999 29,134
24,500 5.375 1/31/2000 24,603
38,548 7.75 1/31/2000 39,441
20,000 5.875 2/15/2000 20,171
10,000 6.75 4/30/2000 10,186
30,000 6.25 5/31/2000 30,434
3,500 4.50 9/30/2000 3,474
3,500 4.625 11/30/2000 3,478
Total US Government Obligations
(Cost--$2,445,506) 2,445,219
Total Investments
(Cost--$2,445,506)--99.6% 2,445,219
Other Assets Less Liabilities--0.4% 9,907
----------
Net Assets--100.0% $2,455,126
==========
[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 MARCH 31, 1999
<S> <C> <C>
Assets:
Investments, at value (identified cost--$2,445,506,092++) (Note 1a) $ 2,445,219,270
Cash 33,309
Receivables:
Beneficial interest sold $ 28,254,201
Interest 10,943,969 39,198,170
---------------
Prepaid registration fees and other assets (Note 1d) 129,262
---------------
Total assets 2,484,580,011
---------------
Liabilities:
Payables:
Beneficial interest redeemed 27,355,729
Investment adviser (Note 2) 926,779
Distributor (Note 2) 795,193
Dividends to shareholders (Note 1e) 375 29,078,076
---------------
Accrued expenses and other liabilities 375,681
---------------
Total liabilities 29,453,757
---------------
Net Assets $ 2,455,126,254
===============
Net Assets Consist of:
Shares of beneficial interest, $0.10 par value, unlimited number of
shares authorized $ 245,541,308
Paid-in capital in excess of par 2,209,871,768
Unrealized depreciation on investments--net (286,822)
---------------
Net Assets--Equivalent to $1.00 per share based on 2,455,413,076 shares of
beneficial interest outstanding $ 2,455,126,254
===============
<FN>
++Cost for Federal income tax purposes was $2,445,509,242. As of
March 31, 1999, net unrealized depreciation for Federal income tax
purposes amounted to $289,972, of which $129,185 related to
appreciated securities and $419,157 related to depreciated
securities.
See Notes to Financial Statements.
</TABLE>
<TABLE>
CMA TREASURY FUND
STATEMENT OF OPERATIONS FOR THE YEAR ENDED MARCH 31, 1999
<S> <C> <C>
Investment Income (Note 1c):
Interest and amortization of premium and discount earned $ 124,463,062
Expenses:
Investment advisory fees (Note 2) $ 10,339,609
Distribution fees (Note 2) 3,135,312
Transfer agent fees (Note 2) 440,392
Registration fees (Note 1d) 302,742
Accounting services (Note 2) 228,563
Custodian fees 123,471
Professional fees 79,232
Printing and shareholder reports 34,543
Trustees' fees and expenses 31,559
Other 16,974
---------------
Total expenses 14,732,397
---------------
Investment income--net 109,730,665
Realized Gain on Investments--Net (Note 1c) 612,263
Change in Unrealized Depreciation on Investments--Net (283,038)
---------------
Net Increase in Net Assets Resulting from Operations $ 110,059,890
===============
See Notes to Financial Statements.
</TABLE
</TABLE>
<TABLE>
CMA TREASURY FUND
STATEMENTS OF CHANGES IN NET ASSETS
<CAPTION>
For the Year Ended March 31,
Increase (Decrease) in Net Assets: 1999 1998
<S> <C> <C>
Operations:
Investment income--net $ 109,730,665 $ 101,062,412
Realized gain on investments--net 612,263 1,099,659
Change in unrealized depreciation on investments--net (283,038) 666,768
--------------- ---------------
Net increase in net assets resulting from operations 110,059,890 102,828,839
--------------- ---------------
Dividends and Distributions to Shareholders (Note 1e):
Investment income--net (109,730,665) (101,062,412)
Realized gain on investments--net (612,263) (1,099,659)
--------------- ---------------
Net decrease in net assets resulting from dividends and distributions
to shareholders (110,342,928) (102,162,071)
--------------- ---------------
Beneficial Interest Transactions (Note 3):
Net proceeds from sale of shares 12,307,978,765 11,334,080,995
Net asset value of shares issued to shareholders in reinvestment of dividends
(Note 1e) 110,228,041 102,038,528
--------------- ---------------
12,418,206,806 11,436,119,523
Cost of shares redeemed (12,242,619,940) (11,125,480,169)
--------------- ---------------
Net increase in net assets derived from beneficial interest transactions 175,586,866 310,639,354
--------------- ---------------
Net Assets:
Total increase in net assets 175,303,828 311,306,122
Beginning of year 2,279,822,426 1,968,516,304
--------------- ---------------
End of year $ 2,455,126,254 $ 2,279,822,426
=============== ===============
See Notes to Financial Statements.
</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: 1999 1998 1997 1996 1995
<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 .0438 .0475 .0461 .0498 .0409
Realized and unrealized gain (loss) on
investments--net .0001 .0008 (.0001) .0001 .0004
---------- ---------- ---------- ---------- ----------
Total from investment operations .0439 .0483 .0460 .0499 .0413
---------- ---------- ---------- ---------- ----------
Less dividends and distributions:
Investment income--net (.0438) (.0475) (.0461) (.0498) (.0409)
Realized gain on investments--net (.0002) (.0005) (.0001) (.0003) (.0002)
---------- ---------- ---------- ---------- ----------
Total dividends and distributions (.0440) (.0480) (.0462) (.0501) (.0411)
---------- ---------- ---------- ---------- ----------
Net asset value, end of year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ==========
Total Investment Return 4.50% 4.92% 4.74% 5.14% 4.18%
========== ========== ========== ========== ==========
Ratios to Average Net Assets:
Expenses .58% .60% .59% .60% .62%
========== ========== ========== ========== ==========
Investment income and realized gain on
investments--net 4.37% 4.82% 4.59% 5.01% 4.20%
========== ========== ========== ========== ==========
Supplemental Data:
Net assets, end of year (in thousands) $2,455,126 $2,279,822 $1,968,516 $1,791,760 $1,428,724
========== ========== ========== ========== ==========
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. 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 are valued at the most recent
bid price or yield equivalent as obtained from dealers that make
markets in such securities. 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: 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
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 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.
<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, 1999, 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, 1999 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, 1999, 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 7, 1999
</AUDIT-REPORT>
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, 1999 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.
The following table details 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, 1998 92.31%
September 30, 1998 99.29
December 31, 1998 96.58
March 31, 1999 98.42
Of the Fund's ordinary income dividends paid during the fiscal year
ended March 31, 1999, 99.46% 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
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
Robert Harris--Secretary
Gerald M. Richard, Treasurer of CMA Treasury Fund has recently
retired. His colleagues at Merrill Lynch Asset Management, L.P. join
the Fund's Board of Trustees in wishing Mr. Richard well in his
retirement.
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].
