MERRILL LYNCH
U.S. TREASURY
MONEY FUND
FUND LOGO
Semi-Annual Report
May 31, 1995
Officers and Trustees
Arthur Zeikel, President and Trustee
Donald Cecil, Trustee
M. Colyer Crum, Trustee
Edward H. Meyer, Trustee
Jack B. Sunderland, Trustee
J. Thomas Touchton, Trustee
Terry K. Glenn, Executive Vice President
Joseph T. Monagle, Jr., Executive Vice
President
Alex V. Bouzakis, Vice President
Donald C. Burke, Vice President
Linda B. Costanzo, Vice President
John Ng, Vice President
Gerald M. Richard, Treasurer
Mark B. Goldfus, Secretary
<PAGE>
Custodian
The Bank of New York
90 Washington Street, 12th Floor
New York, NY 10286
Transfer Agent
Merrill Lynch
Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
(800) 221-7210
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.
Merrill Lynch
U.S. Treasury Money Fund
Box 9011
Princeton, NJ
08543-9011
DEAR SHAREHOLDER
For the six-month period ended May 31, 1995, Merrill Lynch U.S.
Treasury Money Fund paid shareholders a net annualized dividend of
4.93%*. The Fund's 7-day yield as of May 31, 1995 was 4.98%
(excluding gains and losses) and 4.98% (including gains and losses).
The Environment
Increasing signs of slowing economic growth improved the investment
outlook during the six months ended May 31, 1995. Recent declines in
indicators such as new home sales and durable goods orders were
reflected in the slight downward revision in first-quarter gross
domestic product growth to 2.7% from 2.8%, a level appreciably lower
than the final quarter of 1994. At the same time, inventories of
unsold goods grew at a slower rate than previously estimated, while
consumer, residential construction and capital goods spending were
revised upward. As a result, it appears that the economy is losing
enough momentum to keep inflation under control and preclude further
significant monetary policy tightening by the Federal Reserve Board.
<PAGE>
Despite some periods of strengthening, the US dollar has been
persistently weak relative to the yen and the Deutschemark. Large
trade deficits and exports of capital from the United States have
kept the US currency in a decade-long decline relative to the
Japanese and German currencies. Over the longer term, since the
United States has the highest productivity among industrialized
nations and among the lowest labor costs, demand for US dollar-
denominated assets may improve. However, a reduction of the still-
widening US trade deficit may be necessary before the US dollar
appreciates substantially relative to the yen and the Deutschemark.
Another important factor that will continue to influence currency
markets is the increasing possibility of US/Japanese trade
sanctions.
[FN]
*Based on a constant investment throughout the period, with
dividends compounded daily, and reflecting a net return to the
investor after all expenses.
Thus far in 1995, economic developments have been very positive for
the US stock and bond markets. Continued signs of a moderating
expansion and wellcontained inflationary pressures would provide
further assurance that the peak in interest rates is behind us,
creating a stronger foundation for higher stock and bond prices. On
the other hand, indications of reaccelerating growth and increasing
inflationary pressures would be negative developments for the US
financial markets.
Portfolio Matters
For the six-month period ended May 31, 1995, we maintained an
average portfolio maturity ranging from a low of 38 days to a high
of 69 days, reflective of a progressively more optimistic stance on
the direction of interest rates.
As the six-month period began, we for the most part held the Fund's
average portfolio maturity in the 40-day area as the financial
markets sought direction from the Federal Reserve Board. After the
Federal Reserve Board tightened monetary policy by 50 basis points
(0.50%) on February 1, 1995, our investment approach grew slightly
less defensive in response to the market's favorable reaction.
Strong market technicals and a growing belief that the central bank
had finished its interest rate increases for the near term gave us
reason to increase the Fund's average life to the mid 50-day area.
Throughout the six-month period ended May 31, 1995, the Treasury's
issuance of several cash management bills offered the Fund an
opportunity to participate in shorter-dated maturities while
enjoying yields comparable to those available on short-term money
markets. For the most part, the Fund's exposure to interest rates
was concentrated in the 60-day--90-day area as a hedge against the
yield curve's steepening. Additionally, we sought to enhance the
Fund's yield by utilizing Treasury notes where the spread to
comparable maturity Treasury bills approached 10 basis points. At
times, our holdings of Treasury notes accounted for more than 35% of
net assets.
<PAGE>
As we approached the end of May, we moved the Fund's average life to
the high 60-day area as evidence of economic weakness accumulated.
Interest rates have dipped to their lowest levels in the recent
past, driven primarily by strong market technicals as demand abroad
for Treasury securities heightened. Looking forward, we believe that
as the economy continues to falter, the central bank will have to
reconsider its aggressive monetary policy in order to achieve a soft
landing for the economy.
In Conclusion
We appreciate your interest in Merrill Lynch U.S. Treasury Money
Fund, and we look forward to assisting you with your financial needs
in the months and years ahead.
Sincerely,
(Arthur Zeikel)
Arthur Zeikel
President
(John Ng)
John Ng
Vice President and Portfolio Manager
June 22, 1995
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (in Thousands)
<CAPTION>
Face Interest Maturity Value
Issue Amount Rate Date (Note 1a)
<S> <C> <C> <C> <C>
US Government Obligations--104.0%
US Treasury Bills* $ 458 5.74 % 6/01/95 $ 458
470 5.76 6/01/95 470
327 5.765 6/22/95 326
5,365 5.60 7/06/95 5,335
242 5.63 7/06/95 241
291 5.675 7/27/95 288
1,268 5.69 7/27/95 1,257
426 5.705 7/27/95 422
7,000 5.705 7/27/95 6,937
2,400 5.68 8/03/95 2,376
373 6.065 8/03/95 369
469 5.605 8/10/95 464
2,900 5.61 8/10/95 2,868
1,290 5.615 8/10/95 1,276
542 5.62 8/10/95 536
5,000 5.62 8/10/95 4,944
5,000 5.66 8/10/95 4,945
1,500 5.82 8/10/95 1,483
3,374 5.64 8/17/95 3,333
5,000 5.705 8/17/95 4,939
762 5.235 8/24/95 752
162 5.26 8/24/95 160
500 5.26 8/24/95 493
98 5.64 8/24/95 97
7,400 5.69 8/24/95 7,301
1,201 5.805 9/21/95 1,180
500 5.825 10/19/95 489
US Treasury Notes 5,000 4.625 8/15/95 4,984
Total US Government Obligations (Cost--$58,722) 58,723
Total Investments (Cost--$58,722)--104.0% 58,723
Liabilities in Excess of Other Assets--(4.0%) (2,246)
-------
Net Assets--100.0% $56,477
=======
<PAGE>
<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.
See Notes to Financial Statements.
</TABLE>
FINANCIAL INFORMATION
<TABLE>
Statement of Assets and Liabilities as of May 31, 1995
<S> <S> <C> <C>
Assets: Investments, at value (identified cost--$58,722,370*)(Note 1a) $ 58,723,380
Cash 35,648
Receivables:
Interest $ 67,075
Beneficial interest sold 4,360 71,435
-------------
Deferred organization expenses (Note 1d) 15,384
Prepaid registration fees and other assets (Note 1d) 48,951
-------------
Total assets 58,894,798
-------------
Liabilities: Payables:
Beneficial interest redeemed 2,379,545
Investment adviser (Note 2) 7,613
Distributor (Note 2) 7,246 2,394,404
-------------
Accrued expenses and other liabilities 23,263
-------------
Total liabilities 2,417,667
-------------
Net Assets: Net assets $ 56,477,131
=============
Net Assets Shares of beneficial interest, $.10 par value, unlimited number
Consist of: of shares authorized $ 5,647,612
Paid-in capital in excess of par 50,828,509
Unrealized appreciation on investments--net 1,010
-------------
Net assets--Equivalent to $1.00 per share based on 56,476,120
shares of beneficial interest outstanding $ 56,477,131
=============
<FN>
*Cost for Federal income tax purposes. As of May 31, 1995, net
unrealized appreciation for Federal income tax purposes amounted to
$1,010, of which $5,194 related to appreciated securities and $4,184
related to depreciated securitiies.
See Notes to Financial Statements.
</TABLE>
<PAGE>
FINANCIAL INFORMATION (continued)
<TABLE>
Statement of Operations
<CAPTION>
For the Six Months Ended
May 31, 1995
<S> <S> <C> <C>
Investment Income Interest and amortization of premium and discount earned $ 1,761,275
(Note 1c):
Expenses: Investment advisory fees (Note 2) $ 155,009
Distribution fees (Note 2) 37,272
Professional fees 37,040
Trustees' fees and expenses 36,867
Registration fees (Note 1d) 29,062
Accounting services (Note 2) 20,428
Printing and shareholder reports 20,286
Transfer agent fees (Note 2) 16,044
Amortization of organization expenses (Note 1d) 5,576
Custodian fees 4,217
Other 1,826
-------------
Total expenses before reimbursement 363,627
Reimbursement of expenses (Note 2) (108,506)
-------------
Total expenses after reimbursement 255,121
-------------
Investment income--net 1,506,154
-------------
Realized & Unreal- Realized gain on investments--net 13,848
ized Gain on Change in unrealized appreciation/depreciation on
Investments--Net investments--net 24,346
(Note 1c): -------------
Net Increase in Net Assets Resulting from Operations $ 1,544,348
=============
</TABLE>
<PAGE>
<TABLE>
Statements of Changes in Net Assets
<CAPTION>
For the Six For the
Months Ended Year Ended
Increase (Decrease) in Net Assets: May 31, 1995 Nov. 30, 1994
<S> <S> <C> <C>
Operations: Investment income--net $ 1,506,154 $ 2,116,526
Realized gain on investments--net 13,848 13,396
Change in unrealized appreciation/depreciation on
investments--net 24,346 (23,496)
------------- -------------
Net increase in net assets resulting from operations 1,544,348 2,106,426
------------- -------------
Dividends & Investment income--net (1,506,154) (2,116,526)
Distributions to Realized gain on investments--net (13,848) (13,396)
Shareholders ------------- -------------
(Note 1e): Net decrease in net assets resulting from dividends and
distributions to shareholders (1,520,002) (2,129,922)
------------- -------------
Beneficial Interest Net proceeds from sale of shares 103,747,456 188,819,746
Transactions Net asset value of shares issued to shareholders in
(Note 3): reinvestment of dividends and distributions 1,513,890 2,122,334
------------- -------------
105,261,346 190,942,080
Cost of shares redeemed (105,993,004) (204,278,073)
------------- -------------
Net decrease in net assets derived from beneficial
interest transactions (731,658) (13,335,993)
------------- -------------
Net Assets: Total decrease in net assets (707,312) (13,359,489)
Beginning of period 57,184,443 70,543,932
------------- -------------
End of period $ 56,477,131 $ 57,184,443
============= =============
See Notes to Financial Statements.
</TABLE>
<PAGE>
FINANCIAL INFORMATION (concluded)
<TABLE>
Financial Highlights
<CAPTION>
For the
Period
The following per share data and ratios have been derived For the Six April 15,
from information provided in the financial statements. Months Ended For the Year 1991++ to
May 31, Ended November 30, Nov. 30,
Increase (Decrease) in Net Asset Value: 1995 1994 1993 1992 1991
<S> <S> <C> <C> <C> <C> <C>
Per Share Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Operating ------- ------- ------- ------- -------
Performance: Investment income--net .0241 .0317 .0262 .0312 .0328
Realized and unrealized gain (loss) on
investments--net .0006 (.0002) .0010 .0014 .0029
------- ------- ------- ------- -------
Total from investment operations .0247 .0315 .0272 .0326 .0357
------- ------- ------- ------- -------
Less dividends and distributions:
Investment income--net (.0241) (.0317) (.0262) (.0312) (.0328)
Realized gain on investments--net (.0002) (.0002) (.0004) (.0020) (.0029)*
------- ------- ------- ------- -------
Total dividends and distributions (.0243) (.0319) (.0266) (.0332) (.0357)
------- ------- ------- ------- -------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= ======= ======= =======
Total investment return 4.93%** 3.22% 2.69% 3.37% 5.58%**
======= ======= ======= ======= =======
Ratios to Average Expenses, net of reimbursement and
Net Assets: excluding distribution fees .70%** .59% .41% .53% .27%**
======= ======= ======= ======= =======
Expenses, net of reimbursement .82%** .71% .53% .65% .39%**
======= ======= ======= ======= =======
Expenses 1.17%** 1.06% .96% 1.16% 1.55%**
======= ======= ======= ======= =======
Investment income and realized gain
(loss) on investments--net 4.90%** 3.16% 2.66% 3.41% 5.45%**
======= ======= ======= ======= =======
Supplemental Net assets, end of period (in thousands) $56,477 $57,184 $70,544 $80,978 $94,301
Data: ======= ======= ======= ======= =======
<FN>
*Includes unrealized gain (loss).
**Annualized.
++Commencement of Operations.
See Notes to Financial Statements.
</TABLE>
<PAGE>
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies:
Merrill Lynch U.S. Treasury Money Fund (the "Fund") is registered
under the Investment Company Act of 1940 as a diversified, open-end
management investment company. 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--The Treasury securities in which the
Fund invests are traded primarily in the over-the-counter markets.
Except as set forth below, these securities are valued at the most
recent bid price or yield equivalent as obtained from dealers that
make markets in Treasury 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 value. Assets 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
Trustees of the Fund.
NOTES TO FINANCIAL STATEMENTS (concluded)
(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) Deferred organization expenses and prepaid registration fees--
Deferred organization expenses are charged to expense on a straight-
line basis over a five-year period. Prepaid registration fees are
charged to expense as the related shares are issued.
(e) Dividends to shareholders--The Fund declares dividends daily and
reinvests daily such dividends in additional fund shares at net
asset value. Dividends are declared from the total of net investment
income and net realized gain or loss on investments.
<PAGE>
2. Investment Advisory Agreement and
Transactions with Affiliates:
The Fund has entered into an Investment Advisory Agreement with
Merrill Lynch Asset Management, L.P. ("MLAM"). The general partner
of MLAM is Princeton Services, Inc. ("PSI"), an indirect wholly-
owned subsidiary of Merrill Lynch & Co., Inc. ("ML & Co."), which is
the limited partner. The Fund has entered into a Distribution
Agreement and Distribution Plan with Merrill Lynch Funds
Distributor, Inc. ("MLFD" or "Distributor"), a wholly-owned
subsidiary of Merrill Lynch Group, Inc.
MLAM 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 at the annual rate of 0.50% of
the average daily net assets of the Fund. The Investment Advisory
Agreement obligates MLAM to reimburse the Fund to the extent the
Fund's expenses (excluding interest, taxes, distribution fees,
brokerage fees and commissions, and extraordinary charges such as
litigation costs) exceed 2.5% of the Fund's first $30 million of
average daily net assets, 2.0% of the next $70 million of average
daily net assets, and 1.5% of the remaining average daily net
assets.
No fee payment will be made to MLAM during the period which will
cause such expenses to exceed the pro rata expense limitation at the
time of such payment. For the six months ended May 31, 1995, MLAM
earned fees of $155,009, of which $108,506 was voluntarily waived.
The Fund has adopted a Distribution Plan (the "Plan") pursuant to
Rule 12b-1 under the Investment Company Act of 1940 pursuant to
which MLFD receives a fee from the Fund at the end of each month at
the annual rate of 0.125% of the average daily net assets of the
Fund. This fee is to compensate MLFD for the services it provides
and the expenses borne by MLFD under the Distribution Agreement.
As authorized by the Plan, MLFD has entered into an agreement with
Merrill Lynch, Pierce, Fenner & Smith Inc. ("MLPF&S"), which
provides for the compensation of MLPF&S for providing distribution-
related services to the Fund. Such services relate to the sale,
promotion, and marketing of the shares of the Fund. For the six
months ended May 31, 1995, MLFD earned $37,272 under the Plan, all
of which was paid to MLPF&S pursuant to the agreement.
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 MLAM at cost.
<PAGE>
Certain officers and/or trustees of the Fund are officers and/or
directors of MLAM, PSI, MLFDS, MLFD, MLPF&S, 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.
