CMA Treasury Fund
Annual Report
March 31, 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 year ended March 31, 2000, CMA Treasury Fund paid
shareholders a net annualized dividend of 4.44%.* As of March 31,
2000, the Fund's 7-day yield was 5.05%.
The average portfolio maturity for CMA Treasury Fund at March 31,
2000 was 53 days, compared to 77 days at September 30, 1999.
The Environment
The US economy continued to enjoy above-trend growth during the last
half of 1999 and into the first quarter of 2000. For the second half
of 1999, gross domestic product (GDP) grew at a rate of 7.3%, well
above expectations this far into the current economic cycle, and
much higher than the target for GDP set by the Federal Reserve
Board. Currently, more Americans are employed and are enjoying
increases in their income as seen in the low unemployment rate and
large number of new jobs created (283,000 average for the fourth
quarter of 1999). This, as well as the relentless rise in equity
prices, created a momentum in consumer demand that has yet to be
dampened by rising interest rates.
The recovery of overseas economies has boosted export levels that
suffered during the first half of 1999, contributing to the strong
US GDP. The Federal Reserve Board remains concerned that although
productivity gains are high, they cannot keep pace with demand and
imbalances are developing in the economy that may soon prove to be
inflationary. A more visible sign of price pressure is the cost of
oil, which recently exceeded $30 per barrel. Oil price pressures are
expected to continue during the spring and summer since oil stocks
are low. However, the Organization of Petroleum Exporting Countries'
agreement to increase production should alleviate some of the price
pressure.
The Federal Reserve Board took extraordinary steps to ensure
liquidity in the financial markets because of Year 2000 concerns.
The Federal Reserve Board moved to tighten policy once during the
last quarter of 1999, but adopted a neutral bias through year-end in
an effort to reassure investors and eliminate uncertainty. However,
growth remained strong and during the first quarter of 2000 two 25
basis point (0.25%) interest rate increases were implemented. At
that time, the US Treasury also announced anticipated changes to the
auction schedule. The Federal budget surplus has made it necessary
to decrease the amount of securities sold by the Treasury;
therefore, the changes will include reduced auctions and auction
sizes, as well as a buy-back program (the Treasury intends to buy
back old, off-the-run, less liquid issues in order to keep current
issues liquid). The announcement caused unexpected results as the
yield curve inverted dramatically as investors rushed to buy the
longer-term issues. At this time, it is unclear when this technical
inversion will be unwound, as it seems likely to us that further
short-term interest rate increases will be forthcoming as long as
the current economic momentum continues. Although Treasury yields
moved sharply lower, other fixed-income asset classes did not
participate to the fullest extent. The Government guarantee allotted
USagency issues had been placed under scrutiny, which pressured
quality spreads across the yield curve.
Portfolio Strategy
During the six-month period ended March 31, 2000, CMA Treasury Fund
had an average life that ranged from a high of 77 days in the first
week of October to a low of 41 days by early January. Our shift
toward a more conservative investment strategy was reflective of a
rising interest rate environment that we believed would continue
into 2000. During the first quarter of 2000, the short end of the
Treasury yield curve continued to remain under pressure in response
to the Federal Reserve Board's tighter monetary policy as well as
the maturity of over $150 billion in cash management bills. Going
forward, we will remain cautious in our investment strategy given
the likelihood of further interest rate increases.
Sincerely,
(Terry K. Glenn)
Terry K. Glenn
President and Trustee
(Jacqueline Rogers)
Jacqueline Rogers
Vice President and Portfolio Manager
April 27, 2000
*Based on a constant investment throughout the period, with
dividends compounded daily, and reflecting a net return to the
investor after all expenses.
<TABLE>
CMA Treasury Fund
Schedule of Investments as of March 31, 2000 (in Thousands)
<CAPTION>
Face Interest Maturity
Issue Amount Rate Date Value
US Government Obligations*-- 100.0%
<S> <C> <C> <C> <C>
US Treasury $ 42,000 4.91 % 4/06/2000 $ 41,965
Bills 22,100 5.91 4/18/2000 22,035
4,595 5.96 4/18/2000 4,581
100,000 5.97 4/18/2000 99,701
25,000 5.96 4/20/2000 24,917
100,000 5.97 4/20/2000 99,668
49,000 5.05 4/27/2000 48,801
21,240 5.055 4/27/2000 21,154
18,544 5.085 4/27/2000 18,469
30,000 5.09 4/27/2000 29,878
4,142 5.095 4/27/2000 4,125
49,000 5.43 4/27/2000 48,801
6,913 5.44 4/27/2000 6,885
100,000 5.51 4/27/2000 99,593
10,260 5.52 4/27/2000 10,218
46,018 5.83 4/27/2000 45,817
50,000 5.22 5/04/2000 49,748
14,179 5.23 5/04/2000 14,107
1,936 5.38 5/04/2000 1,926
8,758 5.48 5/04/2000 8,714
1,847 5.47 5/11/2000 1,836
25,793 5.48 5/11/2000 25,636
50,000 5.495 5/11/2000 49,697
99,000 5.50 5/11/2000 98,399
100,000 5.52 5/11/2000 99,393
50,000 5.525 5/11/2000 49,697
97,500 5.48 5/18/2000 96,810
47,000 5.53 5/18/2000 46,667
28,879 5.62 5/25/2000 28,641
120,000 5.63 5/25/2000 119,013
97,000 5.595 6/01/2000 96,095
</TABLE>
<TABLE>
CMA Treasury Fund
Schedule of Investments as of March 31, 2000 (concluded) (in Thousands)
<CAPTION>
Face Interest Maturity
Issue Amount Rate Date Value
US Government Obligations* (concluded)
<S> <C> <C> <C> <C>
US Treasury $ 81,379 5.65 % 6/01/2000 $ 80,620
Bills 100,000 5.68 6/01/2000 99,067
(concluded) 35,000 5.635 6/08/2000 34,633
30,000 5.645 6/08/2000 29,685
207,494 5.65 6/08/2000 205,318
25,000 5.67 6/08/2000 24,738
11,171 5.68 6/08/2000 11,054
18,483 5.69 6/08/2000 18,289
7,636 5.725 6/08/2000 7,556
50,000 5.70 6/15/2000 49,420
200,000 5.715 6/15/2000 197,680
43,821 5.57 6/22/2000 43,266
98,530 5.58 6/22/2000 97,282
18,454 5.585 6/22/2000 18,220
46,482 5.735 6/22/2000 45,893
100,000 5.745 6/22/2000 98,733
7,920 5.735 8/24/2000 7,737
15,927 5.76 8/31/2000 15,539
14,368 5.79 8/31/2000 14,018
US Treasury 39,084 5.625 4/30/2000 39,069
Notes 10,000 6.75 4/30/2000 10,006
28,000 6.25 5/31/2000 28,017
3,000 4.50 9/30/2000 2,973
2,500 4.625 11/30/2000 2,471
Total US Government Obligations
(Cost--$2,593,807) 2,594,271
Total Investments
(Cost--$2,593,807)--100.0% 2,594,271
Other Assets Less Liabilities 179
----------
Net Assets--100.0% $2,594,450
==========
*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>
<TABLE>
CMA Treasury Fund
Statement of Assets and Liabilities as of March 31, 2000
<S> <C> <C>
Assets:
Investments, at value (identified cost--$2,593,806,926++) $ 2,594,270,975
Cash 41,168
Interest receivable 1,821,788
Prepaid registration fees and other assets 99,111
---------------
Total assets 2,596,233,042
---------------
Liabilities:
Payables:
Distributor $ 852,889
Investment adviser 772,978
Beneficial interest redeemed 2,528
Dividends to shareholders 428 1,628,823
---------------
Accrued expenses and other liabilities 154,414
---------------
Total liabilities 1,783,237
---------------
Net Assets $ 2,594,449,805
===============
Net Assets Consist of:
Shares of beneficial interest, $.10 par value, unlimited number of
shares authorized $ 259,398,576
Paid-in capital in excess of par 2,334,587,180
Unrealized appreciation on investments--net 464,049
---------------
Net Assets--Equivalent to $1.00 per share based on 2,593,985,755 shares of
beneficial interest outstanding $ 2,594,449,805
===============
++Cost for Federal income tax purposes was $2,593,806,926. As of
March 31, 2000, net unrealized appreciation for Federal income tax
purposes amounted to $464,049, of which $618,076 related to
appreciated securities and $154,027 related to depreciated
securities.
See Notes to Financial Statements.
</TABLE>
<TABLE>
CMA Treasury Fund
Statement of Operations for the Year Ended March 31, 2000
<S> <C> <C>
Investment Income:
Interest and amortization of premium and discount earned $ 127,604,752
Expenses:
Investment advisory fees $ 10,560,704
Distribution fees 3,206,032
Transfer agent fees 472,917
Registration fees 119,440
Custodian fees 107,388
Professional fees 85,087
Accounting services 82,972
Printing and shareholder reports 31,984
Trustees' fees and expenses 31,524
Pricing fees 3,183
Other 43,734
---------------
Total expenses 14,744,965
---------------
Investment income--net 112,859,787
Realized Gain on Investments--Net 259,753
Change in Unrealized Appreciation/Depreciation on Investments--Net 750,871
---------------
Net Increase in Net Assets Resulting from Operations $ 113,870,411
===============
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 Assets: 2000 1999
<S> <C> <C>
Operations:
Investment income--net $ 112,859,787 $ 109,730,665
Realized gain on investments--net 259,753 612,263
Change in unrealized appreciation/depreciation on investments--net 750,871 (283,038)
--------------- ---------------
Net increase in net assets resulting from operations 113,870,411 110,059,890
--------------- ---------------
Dividends & Distributions to Shareholders:
Investment income--net (112,859,787) (109,730,665)
Realized gain on investments--net (259,753) (612,263)
--------------- ---------------
Net decrease in net assets resulting from dividends and distributions
to shareholders (113,119,540) (110,342,928)
--------------- ---------------
Beneficial Interest Transactions:
Net proceeds from sale of shares 13,899,477,151 12,307,978,765
Net asset value of shares issued to shareholders in reinvestment of dividends 113,024,246 110,228,041
--------------- ---------------
14,012,501,397 12,418,206,806
Cost of shares redeemed (13,873,928,717) (12,242,619,940)
--------------- ---------------
Net increase in net assets derived from beneficial interest transactions 138,572,680 175,586,866
--------------- ---------------
Net Assets:
Total increase in net assets 139,323,551 175,303,828
Beginning of year 2,455,126,254 2,279,822,426
--------------- ---------------
End of year $ 2,594,449,805 $ 2,455,126,254
=============== ===============
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: 2000 1999 1998 1997 1996
<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 .0434 .0438 .0475 .0461 .0498
Realized and unrealized gain (loss) on
investments--net .0004 .0001 .0008 (.0001) .0001
---------- ---------- ---------- ---------- ----------
Total from investment operations .0438 .0439 .0483 .0460 .0499
---------- ---------- ---------- ---------- ----------
Less dividends and distributions:
Investment income--net (.0434) (.0438) (.0475) (.0461) (.0498)
Realized gain on investments--net (.0001) (.0002) (.0005) (.0001) (.0003)
---------- ---------- ---------- ---------- ----------
Total dividends and distributions (.0435) (.0440) (.0480) (.0462) (.0501)
---------- ---------- ---------- ---------- ----------
Net asset value, end of year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ==========
Total Investment Return 4.44% 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 4.38% 4.37% 4.82% 4.59% 5.01%
========== ========== ========== ========== ==========
Supplemental Data:
Net assets, end of year (in thousands) $2,594,450 $2,455,126 $2,279,822 $1,968,516 $1,791,760
========== ========== ========== ========== ==========
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 accounting principles generally accepted in the
United States of America, 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, 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.
<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, 2000, 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 auditing standards
generally accepted in the United States of America. 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, 2000 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, 2000, the results of its
operations, the changes in its net assets, and the financial
highlights for the respective stated periods in accordance with
accounting principles generally accepted in the United States of
America.
Deloitte & Touche LLP
Princeton, New Jersey
May 3, 2000
</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, 2000 qualify for the
dividends-received deduction for corporations. Additionally, there
were no long-term capital gains distributions paid during the year.
Of the Fund's ordinary income dividends paid during the fiscal year
ended March 31, 2000, 99.67% was attributable to Federal
obligations. In calculating the foregoing percentage, Fund expenses
have been allocated on a pro rata basis. Additionally, at least 50%
of the assets of the Fund was invested in Federal obligations at the
end of each quarter of the fiscal 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.
Please retain this information for your records.
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*
*For inquiries regarding your CMA account,
call (800) CMA-INFO [(800) 262-4636].
