MERRILL LYNCH
U.S. TREASURY
MONEY FUND
FUND LOGO
Annual Report
November 30, 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. Statements and
other information herein are as dated and are subject to change.
<PAGE>
Merrill Lynch
U.S. Treasury Money Fund
Box 9011
Princeton, NJ
08543-9011
DEAR SHAREHOLDER
For the year ended November 30, 1995, Merrill Lynch U.S. Treasury
Money Fund paid shareholders a net annualized dividend of 4.99%.*
The Fund's 7-day yield as of November 30, 1995 was 4.71%.
The average portfolio maturity for Merrill Lynch U.S. Treasury Money
Fund at November 30, 1995 was 66 days, compared to 69 days as of May
31, 1995.
The Environment
The pace of US economic activity apparently changed during the six
months ended November 30, 1995. During the summer months, there was
strong evidence of a slowing economy, a trend that reversed during
the third calendar quarter of 1995, when gross domestic product
growth rebounded to a 4.2% pace. However, recent economic releases
suggest that this rate of expansion was not sustained.
A number of key measures of economic growth indicate that the
economy is losing momentum. Retail sales for November were soft,
reflecting continued caution on the part of debt-burdened consumers.
Home sales and housing starts both declined in October, despite
lower mortgage rates. At the same time, there has been an increase
in initial unemployment claims, along with weak job and income
growth. In response to this slowing in the economy, inflationary
pressures continue to be subdued.
It appears that investors are not only anticipating that a
lackluster economy will lead the Federal Reserve Board to resume its
easing of monetary policy (as it did at its December 19, 1995
meeting), but also that the Clinton Administration and Congress will
reach an agreement in their current
[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>
Federal budget deliberations. While the probable direction of
economic activity will continue to be the primary focus of investors
in the weeks ahead, a credible plan for reducing the Federal budget
deficit will also be an important factor in the investment outlook.
Throughout the six months ended November 30, 1995, yields on short-
term Treasury issues fell dramatically as lack of Treasury issuance
in the front end, coupled with strong demand by foreign investors,
kept that sector of the yield curve well bid. Additionally, this
demand for yield flattened and eventually inverted the yield curve
out to the one-year sector.
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
January 2, 1996
<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--100.9%
<PAGE>
US Treasury Bills* $ 80 5.32 % 12/07/95 $ 80
716 5.365 12/21/95 714
294 5.38 12/21/95 293
4,414 5.40 12/21/95 4,400
4,982 5.60 12/21/95 4,966
596 5.61 12/21/95 594
367 5.23 1/04/96 365
1,650 5.27 1/04/96 1,642
5,000 5.26 1/11/96 4,969
1,764 5.29 1/11/96 1,753
318 5.31 1/11/96 316
6,008 5.315 1/11/96 5,971
603 5.385 1/11/96 599
143 5.41 1/18/96 142
5,000 5.405 1/25/96 4,959
3,204 5.42 2/01/96 3,174
376 5.26 2/08/96 372
3,339 5.315 2/08/96 3,304
139 5.34 2/08/96 138
87 5.355 2/08/96 86
105 5.36 2/08/96 104
413 5.385 2/08/96 409
5,000 5.325 2/15/96 4,943
2,000 5.36 2/15/96 1,977
393 5.32 3/07/96 387
2,199 5.335 3/07/96 2,167
2,000 5.42 7/25/96 1,931
US Treasury Notes 1,400 4.625 2/29/96 1,397
2,650 9.375 4/15/96 2,686
2,000 5.875 5/31/96 2,003
Total US Government Obligations (Cost--$56,835) 56,841
Total Investments (Cost--$56,835)--100.9% 56,841
Liabilities in Excess of Other Assets--(0.9%) (523)
-------
Net Assets--100.0% $56,318
=======
<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>
<PAGE>
FINANCIAL INFORMATION
<TABLE>
Statement of Assets and Liabilities as of November 30, 1995
<S> <S> <C> <C>
Assets: Investments, at value (identified cost--$56,835,418*)(Note 1a) $ 56,841,364
Cash 5,195
Interest receivable 47,412
Deferred organization expenses (Note 1d) 4,176
Prepaid registration fees and other assets (Note 1d) 32,185
-------------
Total assets 56,930,332
-------------
Liabilities: Payables:
Beneficial interest redeemed $ 537,723
Distributor (Note 2) 12,341
Investment adviser (Note 2) 7,163 557,227
-------------
Accrued expenses and other liabilities 54,712
-------------
Total liabilities 611,939
-------------
Net Assets: Net assets $ 56,318,393
=============
Net Assets Shares of beneficial interest, $.10 par value, unlimited number of
Consist of: shares authorized $ 5,631,245
Paid-in capital in excess of par 50,681,202
Unrealized appreciation on investments--net 5,946
-------------
Net assets--Equivalent to $1.00 per share based on 56,312,447 shares
of beneficial interest outstanding $ 56,318,393
=============
<FN>
*Cost for Federal income tax purposes. As of November 30, 1995, net
unrealized appreciation for Federal income tax purposes amounted to
$5,946, of which $6,870 related to appreciated securities and $924
related to depreciated securities.
</TABLE>
<PAGE>
<TABLE>
Statement of Operations
<CAPTION>
For the Year Ended November 30, 1995
<S> <S> <C> <C>
Investment Income Interest and amortization of premium and discount earned $ 3,466,655
(Note 1c): -------------
Expenses: Investment advisory fees (Note 2) $ 305,869
Professional fees 77,728
Distribution fees (Note 2) 73,258
Trustees' fees and expenses 58,340
Registration fees (Note 1d) 57,680
Printing and shareholder reports 42,696
Accounting services (Note 2) 38,315
Transfer agent fees (Note 2) 38,247
Amortization of organization expenses (Note 1d) 11,208
Custodian fees 8,921
Other 6,804
-------------
Total expenses before reimbursement 719,066
Reimbursement of expenses (Note 2) (214,109)
-------------
Total expenses after reimbursement 504,957
-------------
Investment incomes--net 2,961,698
-------------
Realized & Realized gain on investments--net 27,069
Unrealized Gain Change in unrealized appreciation/depreciation on investments--net 29,282
(Loss) on -------------
Investments--Net Net Increase in Net Assets Resulting from Operations $ 3,018,049
(Note 1c): =============
See Notes to Financial Statements.
</TABLE>
FINANCIAL INFORMATION (concluded)
<TABLE>
Statements of Changes in Net Assets
<CAPTION>
For the Year Ended November 30,
Increase (Decrease) in Net Assets: 1995 1994
<S> <S> <C> <C>
Operations: Investment income--net $ 2,961,698 $ 2,116,526
Realized gain on investments--net 27,069 13,396
Change in unrealized appreciation/depreciation on
investments--net 29,282 (23,496)
------------- -------------
Net increase in net assets resulting from operations 3,018,049 2,106,426
------------- -------------
<PAGE>
Dividends & Investment income--net (2,961,698) (2,116,526)
Distributions to Realized gain on investments--net (27,069) (13,396)
Shareholders ------------- -------------
(Note 1e): Net decrease in net assets resulting from dividends and
distributions to shareholders (2,988,767) (2,129,922)
------------- -------------
Beneficial Net proceeds from sale of shares 162,573,091 188,819,746
Interest Net asset value of shares issued to shareholders in
Transactions reinvestment of dividends and distributions (Note 1e) 2,976,127 2,122,334
(Note 3): ------------- -------------
165,549,218 190,942,080
Cost of shares redeemed (166,444,550) (204,278,073)
------------- -------------
Net decrease in net assets derived from beneficial interest
transactions (895,332) (13,335,993)
------------- -------------
Net Assets: Total decrease in net assets (866,050) (13,359,489)
Beginning of year 57,184,443 70,543,932
------------- -------------
End of year $ 56,318,393 $ 57,184,443
============= =============
</TABLE>
<TABLE>
Financial Highlights
<CAPTION>
For the
Period
The following per share data and ratios have been derived April 15,
from information provided in the financial statements. 1991++ to
For the Year 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 .0484 .0317 .0262 .0312 .0328
Realized and unrealized gain (loss) on
investments--net .0009 (.0002) .0010 .0014 .0029
------- ------- ------- ------- -------
Total from investment operations .0493 .0315 .0272 .0326 .0357
------- ------- ------- ------- -------
Less dividends and distributions:
Investment income--net (.0484) (.0317) (.0262) (.0312) (.0328)
Realized gain on investments--net (.0004) (.0002) (.0004) (.0020) (.0029)*
------- ------- ------- ------- -------
Total dividends and distributions (.0488) (.0319) (.0266) (.0332) (.0357)
------- ------- ------- ------- -------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= ======= ======= =======
Total investment return 4.99% 3.22% 2.69% 3.37% 5.58%**
======= ======= ======= ======= =======
<PAGE>
Ratios to Average Expenses, net of reimbursement and excluding
Net Assets: distribution fees .71% .59% .41% .53% .27%**
======= ======= ======= ======= =======
Expenses, net of reimbursement .83% .71% .53% .65% .39%**
======= ======= ======= ======= =======
Expenses 1.18% 1.06% .96% 1.16% 1.55%**
======= ======= ======= ======= =======
Investment income and realized gain on
investments--net 4.89% 3.16% 2.66% 3.41% 5.45%**
======= ======= ======= ======= =======
Supplemental Net assets, end of period (in thousands) $56,318 $57,184 $70,544 $80,978 $94,301
Data: ======= ======= ======= ======= =======
<FN>
++Commencement of Operations.
*Includes unrealized gain (loss).
**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. The following is a summary of
significant accounting policies followed by the Fund.
<PAGE>
(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.
(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.
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.
<PAGE>
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 year ended November 30, 1995, MLAM
earned fees of $305,869, of which $214,109 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 year ended November
30, 1995, MLFD earned $73,258 under the Plan, all of which was paid
to MLPF&S pursuant to the agreement.
NOTES TO FINANCIAL STATEMENTS (concluded)
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.
<PAGE>
<AUDIT-REPORT>
INDEPENDENT AUDITORS' REPORT
The Board of Trustees and Shareholders,
Merrill Lynch U.S. Treasury Money Fund:
We have audited the accompanying statement of assets and
liabilities, including the schedule of investments, of Merrill Lynch
U.S. Treasury Money Fund as of November 30, 1995, 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 four-year
period then ended and the period April 15, 1991 (commencement of
operations) to November 30, 1991. These financial statements and the
financial highlights are the responsibility of the Fund's manage-
ment. 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 November
30, 1995 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
Merrill Lynch U.S. Treasury Money Fund as of November 30, 1995, 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
January 5, 1996
</AUDIT-REPORT>
<PAGE>
IMPORTANT TAX INFORMATION (unaudited)
None of the ordinary income distributions paid daily by Merrill
Lynch U.S. Treasury Money Fund during its fiscal year ended November
30, 1995 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.
Listed below are the percentages of total assets of the Fund
invested in Federal obligations as of the end of each quarter of the
fiscal year:
Percentage of
For the Federal
Quarter Ended Obligations*
February 28, 1995 82.6%
May 31, 1995 99.7%
August 31, 1995 93.7%
November 30, 1995 99.8%
Of the Fund's ordinary income dividends paid during its fiscal year
ended November 30, 1995, 99.22% was attributable to Federal
obligations. In calculating the foregoing percentage, 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.
