MERRILL LYNCH
U.S. TREASURY
MONEY FUND
FUND LOGO
Semi-Annual Report
May 31, 1996
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. Statements and
other information herein are as dated and are subject to change.
Merrill Lynch
U.S. Treasury Money Fund
Box 9011
Princeton, NJ
08543-9011
DEAR SHAREHOLDER
<PAGE>
For the six-month period ended May 31, 1996, Merrill Lynch U.S.
Treasury Money Fund paid shareholders a net annualized dividend of
4.55%.* The Fund's 7-day yield as of May 31, 1996 was 4.40%.
The average portfolio maturity for Merrill Lynch U.S. Treasury Money
Fund at May 31, 1996 was 34 days, compared to 66 days at November
30, 1995.
The Environment
Conflicting economic indicators began to create greater uncertainty
in the investment outlook during the six-month period ended May 31,
1996. Although there were expectations of a slowing economy early in
the period, an opinion confirmed by the 25 basis point (0.25%) drop
in the Federal Funds rate in December 1995 and January 1996, the
release of stronger-than-expected employment data for February and
March changed dramatically the consensus outlook for the rate of
future economic growth. Investors then began to anticipate renewed
economic growth, which caused interest rates to rise throughout the
yield curve. Although some data indicate the US economy actually
grew more slowly in the first quarter of 1996 than had been
originally reported, economic momentum remains evident in most
sections.
Investors also became concerned that inflationary pressures may be
increasing because of higher prices for agricultural commodities and
a sharp upturn in the price of crude oil. Nevertheless, other
wholesale and consumer price increases remain subdued.
For the six months ended May 31, 1996, Merrill Lynch U.S. Treasury
Money Fund maintained an average life reflective of two distinctive
interest rate trends as market sentiment shifted. Our outlook was at
first optimistic, but as the period progressed, the Fund's
investment outlook reflected our more cautious view that the Federal
Reserve Board would remain on hold as evidence of a stronger economy
unfurled. As preliminary evidence of economic strength started to
mount, we reduced the Fund's average life through attrition and
selective sales. Short-term cash management bills allowed the Fund
to invest at interest rates which approached financing levels in the
very front end of the yield curve with limited interest rate
exposure. Recently, a steepening of the yield curve allowed the Fund
to move out modestly on the curve to the mid 40-day area.
[FN]
*Based on a constant investment throughout the period, with
dividends compounded daily, and reflecting a net return to the
investor after all expenses.
<PAGE>
Investors will continue to focus on the direction of economic
activity and corresponding inflationary pressures as they anticipate
future Federal Reserve Board monetary policy in the weeks ahead.
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 25, 1996
<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--100.8%
US Treasury Bills* $ 313 4.93 % 6/06/96 $ 313
5,000 4.935 6/06/96 4,996
767 4.745 6/13/96 766
153 4.755 6/13/96 153
3,165 4.77 6/13/96 3,159
3,988 5.025 6/20/96 3,977
302 5.04 6/20/96 301
13,318 4.96 7/05/96 13,254
266 4.96 7/11/96 264
415 4.965 7/11/96 413
768 4.97 7/11/96 764
6,317 4.98 7/11/96 6,281
1,302 4.985 7/11/96 1,295
1,123 4.955 7/25/96 1,114
2,000 5.42 7/25/96 1,985
2,059 4.97 8/01/96 2,041
321 4.99 8/01/96 318
215 4.995 8/01/96 213
4,516 5.00 8/15/96 4,468
335 5.015 8/15/96 331
3,000 4.795 8/22/96 2,965
2,499 5.09 10/31/96 2,445
107 5.09 11/07/96 104
233 5.11 11/07/96 228
Total Investments (Cost--$52,150)--100.8% 52,148
Liabilities in Excess of Other Assets--(0.8%) (431)
-------
Net Assets--100.0% $51,717
=======
<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, 1996
<S> <S> <C> <C>
Assets: Investments, at value (identified cost--$52,149,537*)(Note 1a) $ 52,148,432
Cash 2,449
Deferred organization expenses (Note 1d) 4,176
Prepaid registration fees and other assets (Note 1d) 35,311
-------------
Total assets 52,190,368
-------------
<PAGE>
Liabilities: Payables:
Beneficial interest redeemed $ 410,291
Distributor (Note 2) 9,504
Investment adviser (Note 2) 7,347 427,142
-------------
Accrued expenses and other liabilities 45,954
-------------
Total liabilities 473,096
-------------
Net Assets: Net assets $ 51,717,272
=============
Net Assets Shares of beneficial interest, $.10 par value, unlimited
Consist of: number of shares authorized $ 5,171,838
Paid-in capital in excess of par 46,546,539
Unrealized depreciation on investments--net (1,105)
-------------
Net assets--Equivalent to $1.00 per share based on 51,718,377
shares of beneficial interest outstanding $ 51,717,272
=============
<FN>
*Cost for Federal income tax purposes. As of May 31, 1996, net
unrealized depreciation for Federal income tax purposes amounted to
$1,105, of which $1,719 related to appreciated securities and $2,824
related to depreciated securities.
See Notes to Financial Statements.
</TABLE>
FINANCIAL INFORMATION (continued)
<TABLE>
Statement of Operations
<CAPTION>
For the Six Months Ended May 31, 1996
<S> <S> <C> <C>
Investment Income Interest and amortization of premium and discount earned $ 1,674,824
(Note 1c):
<PAGE>
Expenses: Investment advisory fees (Note 2) $ 157,203
Distribution fees (Note 2) 37,787
Professional fees 32,273
Trustees' fees and expenses 31,256
Registration fees (Note 1d) 28,020
Printing and shareholder reports 19,001
Transfer agent fees (Note 2) 16,812
Accounting services (Note 2) 16,234
Custodian fees 5,121
Amortization of organization expenses (Note 1d) 2,200
Other 595
-------------
Total expenses before reimbursement 346,502
Reimbursement of expenses (Note 2) (110,042)
-------------
Total expenses after reimbursement 236,460
-------------
Investment income--net 1,438,364
-------------
Realized & Unreal- Realized gain on investments--net 9,704
ized Gain (Loss) on Change in unrealized appreciation/depreciation on investments--net (7,051)
Investments--Net -------------
(Note 1c): Net Increase in Net Assets Resulting from Operations $ 1,441,017
=============
</TABLE>
<TABLE>
Statements of Changes in Net Assets
<CAPTION>
For the Six For the Year
Months Ended Ended
Increase (Decrease) in Net Assets: May 31, 1996 Nov. 30, 1995
<S> <S> <C> <C>
Operations: Investment income--net $ 1,438,364 $ 2,961,698
Realized gain on investments--net 9,704 27,069
Change in unrealized appreciation/depreciation on investments--net (7,051) 29,282
------------- -------------
Net increase in net assets resulting from operations 1,441,017 3,018,049
------------- -------------
Dividends & Investment income--net (1,438,364) (2,961,698)
Distributions to Realized gain on investments--net (9,704) (27,069)
Shareholders ------------- -------------
(Note 1e): Net decrease in net assets resulting from dividends and
distributions to shareholders (1,448,068) (2,988,767)
------------- -------------
Beneficial Interest Net proceeds from sale of shares 115,412,244 162,573,091
Transactions Net asset value of shares issued to shareholders in reinvestment
(Note 3): of dividends and distributions (Note 1e) 1,444,776 2,976,127
------------- -------------
116,857,020 165,549,218
Cost of shares redeemed (121,451,090) (166,444,550)
------------- -------------
Net decrease in net assets derived from beneficial interest
transactions (4,594,070) (895,332)
------------- -------------
<PAGE>
Net Assets: Total decrease in net assets (4,601,121) (866,050)
Beginning of period 56,318,393 57,184,443
------------- -------------
End of period $ 51,717,272 $ 56,318,393
============= =============
See Notes to Financial Statements.
</TABLE>
FINANCIAL INFORMATION (concluded)
<TABLE>
Financial Highlights
<CAPTION>
For the
Six
The following per share data and ratios have been derived Months
from information provided in the financial statements. Ended
May 31, For the Year Ended November 30,
Increase (Decrease) in Net Asset Value: 1996 1995 1994 1993 1992
<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 .0226 .0484 .0317 .0262 .0312
Realized and unrealized gain (loss) on
investments--net .0002 .0009 (.0002) .0010 .0014
------- ------- ------- ------- -------
Total from investment operations .0228 .0493 .0315 .0272 .0326
------- ------- ------- ------- -------
Less dividends and distributions:
Investment income--net (.0226) (.0484) (.0317) (.0262) (.0312)
Realized gain on investments--net (.0002) (.0004) (.0002) (.0004) (.0020)
------- ------- ------- ------- -------
Total dividends and distributions (.0228) (.0488) (.0319) (.0266) (.0332)
------- ------- ------- ------- -------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= ======= ======= =======
Total investment return 4.55%* 4.99% 3.22% 2.69% 3.37%
======= ======= ======= ======= =======
Ratios to Average Expenses, net of reimbursement .75%* .83% .71% .53% .65%
Net Assets: ======= ======= ======= ======= =======
Expenses 1.10%* 1.18% 1.06% .96% 1.16%
======= ======= ======= ======= =======
Investment income and realized gain on
investments--net 4.60%* 4.89% 3.16% 2.66% 3.41%
======= ======= ======= ======= =======
Supplemental Data: Net assets, end of period (in thousands) $51,717 $56,318 $57,184 $70,544 $80,978
======= ======= ======= ======= =======
<PAGE>
<FN>
*Annualized.
See Notes to Financial Statements.
</TABLE>
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 Board
of Trustees of the Fund.
(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.
<PAGE>
(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 and distributions to shareholders--The Fund declares
dividends daily and reinvests daily such dividends 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
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 Plans 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 obli-gates 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, 1996, MLAM
earned fees of $157,203, of which $110,042 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, 1996, MLFD earned $37,787 under the Plan, all of which was
paid to MLPF&S pursuant to the agreement.
<PAGE>
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.
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.
