CMA Treasury Fund
Semi-Annual Report
September 30, 2000
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, 2000, CMA Treasury Fund
paid shareholders a net annualized dividend of 5.37%.* As of
September 30, 2000, the Fund's 7-day yield was 5.53%.
The average portfolio maturity for CMA Treasury Fund at September
30, 2000 was 52 days, compared to 36 days at March 31, 2000.
Economic Environment
By September 30, 2000, there was ample evidence to indicate the
economy was finally beginning to moderate from the unsustainable
growth rate of the previous three quarters. The increases in the
Federal Funds rate so far this year have begun to have an effect.
Since our last report to shareholders, the US equity market has also
moderated, with major equity indexes experiencing volatility.
Recently, weaker earnings reports by several technology leaders
drove the technology-heavy NASDAQ significantly lower. The optimism
that fueled unrealistic expectations in the equity market earlier
this year is almost gone, as a weak euro slowed demand from
overseas. Stock and bond markets are presently driven by
expectations of a neutral monetary policy from the Federal Reserve
Board, but concern remains in the equity market that the economy may
have a harder landing than is currently anticipated. Although the
labor market is still tight, with the unemployment rate hovering
around 4%, continued productivity gains will most likely alleviate
inflationary pressures from gains in wages and benefits. The
extraordinary rise in oil and gasoline prices, while eating into
corporate profits, also contributed to the drop in consumer
confidence. Investors are hoping that the economy has a soft
landing, with gross domestic product growth more in line with the
Federal Reserve Board's target of about 3%, making further interest
rate increases unnecessary.
Portfolio Matters
During the six-month period ended September 30, 2000, CMA Treasury
Fund maintained an average life that ranged from a low of 41 days to
a high of 63 days. Early in the period, our conservative investment
strategy was the result of rising short-term interest rates as the
Federal Reserve Board continued to tighten monetary policy. However,
by mid-May we felt that the Federal Reserve Board would refrain from
tightening again until the full effect of previous tightenings could
be realized. At that time, we increased our average life to the 60-
day area with an emphasis on three-month Treasury bills that offered
the best available value. During the past three months, interest
rates in general have declined, while increases in the size of
Treasury bill auctions have caused interest rates on short-term
Treasury bills to rise. Since we believe that the Federal Reserve
Board may have reached the culmination of its tightening cycle, we
view this as a buying opportunity for the Fund since three-month and
six-month Treasury bills are presently at more attractive levels.
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 1, 2000
*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, 2000 (in Thousands)
Face Interest Maturity
Issue Amount Rate Date Value
US Government Obligations*--99.5%
US Treasury $ 15,958 5.835% 10/05/2000 $ 15,943
Bills 28,347 5.915 10/12/2000 28,288
975 5.98 10/12/2000 973
20,260 5.985 10/12/2000 20,218
35,064 5.99 10/12/2000 34,991
3,464 5.74 10/26/2000 3,449
52,936 6.01 10/26/2000 52,707
20,000 6.015 10/26/2000 19,913
18,895 6.025 10/26/2000 18,813
25,000 5.83 11/02/2000 24,866
21,000 5.86 11/02/2000 20,887
988 5.95 11/02/2000 983
666 6.02 11/02/2000 662
4,825 6.05 11/02/2000 4,799
50,000 6.07 11/02/2000 49,731
50,000 6.08 11/02/2000 49,731
30,000 5.87 11/09/2000 29,806
50,000 6.055 11/09/2000 49,677
57,229 6.065 11/09/2000 56,859
50,000 6.07 11/09/2000 49,677
41,992 5.85 11/16/2000 41,675
1,208 5.87 11/16/2000 1,199
65,000 6.075 11/16/2000 64,509
853 6.08 11/16/2000 847
60,000 6.08 11/24/2000 59,470
80,000 6.095 11/24/2000 79,294
Face Interest Maturity
Issue Amount Rate Date Value
US Government Obligations* (concluded)
US Treasury $ 31,000 6.105% 11/24/2000 $ 30,726
Bills 20,000 5.90 11/30/2000 19,804
(concluded) 80,000 5.92 11/30/2000 79,215
18,632 5.955 11/30/2000 18,449
15,000 6.08 11/30/2000 14,852
30,000 6.125 11/30/2000 29,705
26,387 6.13 11/30/2000 26,127
25,000 5.915 12/07/2000 24,724
50,000 5.92 12/07/2000 49,448
2,811 5.975 12/14/2000 2,777
171 6.03 12/28/2000 168
44,812 6.035 12/28/2000 44,129
25,000 6.055 1/11/2001 24,576
19,232 6.04 1/18/2001 18,883
30,000 6.105 2/22/2001 29,281
50,000 5.96 3/15/2001 48,627
US Treasury 83,000 4.50 9/30/2000 82,995
Notes 100,000 4.00 10/31/2000 99,771
50,000 5.75 10/31/2000 49,959
2,500 4.625 11/30/2000 2,492
Total US Government Obligations
(Cost--$1,476,271) 1,476,675
Total Investments
(Cost--$1,476,271)--99.5% 1,476,675
Other Assets Less Liabilities--0.5% 7,340
-----------
Net Assets--100.0% $ 1,484,015
===========
*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 upon maturity.
See Notes to Financial Statements.
<TABLE>
CMA Treasury Fund
Statement of Assets and Liabilities as of September 30, 2000
<S> <C> <C>
Assets:
Investments, at value (identified cost--$1,476,271,190++) $ 1,476,675,420
Interest receivable 4,735,195
Prepaid registration fees and other assets 3,946,237
---------------
Total assets 1,485,356,852
---------------
Liabilities:
Payables:
Investment adviser $ 531,890
Distributor 516,011 1,047,901
---------------
Accrued expenses and other liabilities 294,161
---------------
Total liabilities 1,342,062
---------------
Net Assets $ 1,484,014,790
===============
Net Assets Consist of:
Shares of beneficial interest, $.10 par value, unlimited number of
shares authorized $ 148,361,056
Paid-in capital in excess of par 1,335,249,504
Unrealized appreciation on investments--net 404,230
---------------
Net Assets--Equivalent to $1.00 per share based on 1,483,610,560 shares of
beneficial interest outstanding $ 1,484,014,790
===============
++Cost for Federal income tax purposes was $1,476,271,190. As of
September 30, 2000, net unrealized appreciation for Federal income
tax purposes amounted to $404,230, of which $476,696 related to
appreciated securities and $72,466 related to depreciated
securities.
See Notes to Financial Statements.
</TABLE>
<TABLE>
CMA Treasury Fund
Statement of Operations for the Six Months Ended September 30, 2000
<S> <C> <C>
Investment Income:
Interest and amortization of premium and discount earned $ 62,700,442
Expenses:
Investment advisory fees $ 4,423,103
Distribution fees 1,321,037
Accounting services 244,356
Transfer agent fees 173,300
Registration fees 62,242
Custodian fees 55,143
Professional fees 41,034
Trustees' fees and expenses 15,456
Printing and shareholder reports 13,339
Pricing fees 2,656
Other 14,824
---------------
Total expenses 6,366,490
---------------
Investment income--net 56,333,952
Realized Gain on Investments--Net 382,539
Change in Unrealized Appreciation on Investments--Net (59,819)
---------------
Net Increase in Net Assets Resulting from Operations $ 56,656,672
===============
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, 2000 March 31, 2000
<S> <C> <C>
Operations:
Investment income--net $ 56,333,952 $ 112,859,787
Realized gain on investments--net 382,539 259,753
Change in unrealized appreciation/depreciation on investments--net (59,819) 750,871
--------------- ---------------
Net increase in net assets resulting from operations 56,656,672 113,870,411
--------------- ---------------
Dividends and Distributions to Shareholders:
Investment income--net (56,333,952) (112,859,787)
Realized gain on investments--net (382,539) (259,753)
--------------- ---------------
Net decrease in net assets resulting from dividends and distributions
to shareholders (56,716,491) (113,119,540)
--------------- ---------------
Beneficial Interest Transactions:
Net proceeds from sale of shares 2,541,235,386 13,899,477,151
Value of shares issued to shareholders in reinvestment of dividends 56,662,787 113,024,246
--------------- ---------------
2,597,898,173 14,012,501,397
Cost of shares redeemed (3,708,273,369) (13,873,928,717)
--------------- ---------------
Net increase (decrease) in net assets derived from beneficial interest
transactions (1,110,375,196) 138,572,680
--------------- ---------------
Net Assets:
Total increase (decrease) in net assets (1,110,435,015) 139,323,551
Beginning of period 2,594,449,805 2,455,126,254
--------------- ---------------
End of period $ 1,484,014,790 $ 2,594,449,805
=============== ===============
See Notes to Financial Statements.
</TABLE>
<TABLE>
CMA Treasury Fund
Financial Highlights
<CAPTION>
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,
Increase (Decrease) in Net Asset Value: 2000 2000 1999 1998 1997
<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 .0265 .0434 .0438 .0475 .0461
Realized and unrealized gain (loss) on
investments--net .0002 .0004 .0001 .0008 (.0001)
---------- ---------- ---------- ---------- ----------
Total from investment operations .0267 .0438 .0439 .0483 .0460
---------- ---------- ---------- ---------- ----------
Less dividends and distributions:
Investment income--net (.0265) (.0434) (.0438) (.0475) (.0461)
Realized gain on investments--net (.0002) (.0001) (.0002) (.0005) (.0001)
---------- ---------- ---------- ---------- ----------
Total dividends and distributions (.0267) (.0435) (.0440) (.0480) (.0462)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ==========
Total Investment Return 5.37%* 4.44% 4.50% 4.92% 4.74%
========== ========== ========== ========== ==========
Ratios to Average Net Assets:
Expenses .60%* .57% .58% .60% .59%
========== ========== ========== ========== ==========
Investment income and realized gain on
investments--net 5.32%* 4.38% 4.37% 4.82% 4.59%
========== ========== ========== ========== ==========
Supplemental Data:
Net assets, end of period (in thousands) $1,484,015 $2,594,450 $2,455,126 $2,279,822 $1,968,516
========== ========== ========== ========== ==========
*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. The Fund's financial statements are prepared in
conformity with accounting principles generally accepted in the
United States of America, 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 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--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 backup 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
Roscoe S. Suddarth--Trustee
Richard R. West--Trustee
Arthur Zeikel--Trustee
Edward D. Zinbarg--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
Phillip Gillespie--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*
*For inquiries regarding your CMA account,
call (800) CMA-INFO [(800) 262-4636].
