MERRILL LYNCH
U.S. TREASURY
MONEY FUND
FUND LOGO
Annual Report
November 30, 1996
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, 1996, Merrill Lynch U.S. Treasury
Money Fund paid shareholders a net annualized dividend of 4.63%.*
The Fund's 7-day yield as of November 30, 1996 was 4.48%.
The average portfolio maturity for Merrill Lynch U.S. Treasury Money
Fund at November 30, 1996 was 70 days, compared to 34 days at May
31, 1996.
<PAGE>
The Environment
Investor perceptions regarding the direction of the US economy
became increasingly positive over the course of the six-month period
ended November 30, 1996. The impetus for the shift in the investment
outlook was the mounting evidence that inflationary pressures were
still under control. This trend was underscored when the Federal
Reserve Board did not tighten monetary policy at its September 24,
1996 meeting. These developments, coupled with several economic data
releases that showed growth was at or below expectations, helped to
assuage investors' concerns about an overheating economy. This
environment, combined with a modestly steep yield curve, contributed
to our decision to extend the Fund's average life as the period
progressed. Stock and bond prices improved, with most broad-based
stock market averages reaching historic high levels. However, one
factor potentially overshadowing investor enthusiasm is the
possibility that corporate profits may have peaked for this economic
cycle.
[FN]
*Based on a constant investment throughout the period, with
dividends compounded daily, and reflecting a net return to the
investor after all expenses.
The US economy clearly has slowed from its strong growth rate during
the first half of 1996. Gross domestic product growth is slowing,
labor-cost pressures are subsiding and commodity prices are
dropping. Investors are also anticipating that President Clinton's
re-election, combined with continued Republican majorities in the
House of Representatives and the Senate, will prove positive for the
nation's budget deficit. As 1996 draws to a close, investors are
likely to continue to focus on the economy. Evidence of continued
growth at a non-inflationary pace would be positive for the US
capital markets.
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
<PAGE>
(John Ng)
John Ng
Vice President and Portfolio Manager
December 27, 1996
<TABLE>
SCHEDULE OF INVESTMENTS (in Thousands)
<CAPTION>
Face Interest Maturity Value
Issue Amount Rate Date (Note 1a)
US Government Obligations--99.6%
<S> <C> <C> <S> <C>
US Treasury Bills* $ 937 5.10 % 12/19/96 $ 934
4,038 5.11 12/19/96 4,027
3,932 5.135 12/19/96 3,921
170 5.155 12/19/96 169
3,000 5.18 12/26/96 2,989
2,100 5.02 1/30/97 2,082
713 5.015 2/06/97 706
98 5.02 2/06/97 97
375 5.00 2/13/97 371
6,000 5.01 2/13/97 5,937
2,500 5.02 2/13/97 2,474
3,125 5.03 2/27/97 3,086
369 5.11 3/13/97 364
2,100 5.14 3/13/97 2,070
366 5.065 4/10/97 359
2,099 5.075 4/10/97 2,060
1,129 5.095 4/10/97 1,108
2,000 5.10 4/10/97 1,963
US Treasury Notes 7,000 7.50 1/31/97 7,024
6,000 6.875 2/28/97 6,023
Total US Government Obligations (Cost--$47,762) 47,764
Total Investments (Cost--$47,762)--99.6% 47,764
Other Assets Less Liabilities--0.4% 181
-------
Net Assets--100.0% $47,945
=======
<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, 1996
<S> <S> <C> <C>
Assets: Investments, at value (identified cost--$47,761,714*)(Note 1a) $ 47,763,781
Cash 2,259
Receivables:
Interest $ 275,178
Beneficial interest sold 10,655 285,833
-------------
Prepaid registration fees and other assets (Note 1d) 32,872
-------------
Total assets 48,084,745
-------------
Liabilities: Payables:
Beneficial interest redeemed 43,080
Distributor (Note 2) 10,878
Investment adviser (Note 2) 5,860
Dividends to shareholders (Note 1e) 4 59,822
-------------
Accrued expenses and other liabilities 79,513
-------------
Total liabilities 139,335
-------------
Net Assets: Net assets $ 47,945,410
=============
Net Assets Shares of beneficial interest, $.10 par value, unlimited number of
Consist of: shares authorized $ 4,794,334
Paid-in capital in excess of par 43,149,009
Unrealized appreciation on investments--net 2,067
-------------
Net assets--Equivalent to $1.00 per share based on 47,943,343 shares
of beneficial interest outstanding $ 47,945,410
=============
<FN>
*Cost for Federal income tax purposes. As of November 30, 1996, net
unrealized appreciation for Federal income tax purposes amounted to
$2,067, of which $3,608 related to appreciated securities and $1,541
related to depreciated securities.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
Statement of Operations
<CAPTION>
For the Year Ended November 30, 1996
<S> <S> <C> <C>
Investment Income Interest and amortization of premium and discount earned $ 2,958,810
(Note 1c):
Expenses: Investment advisory fees (Note 2) $ 279,756
Distribution fees (Note 2) 66,020
Professional fees 61,458
Trustees' fees and expenses 59,222
Registration fees (Note 1d) 54,667
Printing and shareholder reports 33,224
Accounting services (Note 2) 29,737
Transfer agent fees (Note 2) 28,229
Custodian fees 9,112
Amortization of organization expenses (Note 1d) 4,176
Other 944
-------------
Total expenses before reimbursement 626,545
Reimbursement of expenses (Note 2) (195,829)
-------------
Total expenses after reimbursement 430,716
-------------
Investment income--net 2,528,094
-------------
Realized & Realized gain on investments--net 22,095
Unrealized Gain Change in unrealized appreciation on investments--net (3,879)
(Loss) on -------------
Investments--Net Net Increase in Net Assets Resulting from Operations $ 2,546,310
(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: 1996 1995
<S> <S> <C> <C>
Operations: Investment income--net $ 2,528,094 $ 2,961,698
Realized gain on investments--net 22,095 27,069
Change in unrealized appreciation/depreciation on
investments--net (3,879) 29,282
------------- -------------
Net increase in net assets resulting from operations 2,546,310 3,018,049
------------- -------------
<PAGE>
Dividends & Investment income--net (2,528,094) (2,961,698)
Distributions to Realized gain on investments--net (22,095) (27,069)
Shareholders ------------- -------------
(Note 1e): Net decrease in net assets resulting from dividends and
distributions to shareholders (2,550,189) (2,988,767)
------------- -------------
Beneficial Net proceeds from sale of shares 154,142,818 162,573,091
Interest Net asset value of shares issued to shareholders in
Transactions reinvestment of dividends and distributions (Note 1e) 2,543,309 2,976,127
(Note 3): ------------- -------------
156,686,127 165,549,218
Cost of shares redeemed (165,055,231) (166,444,550)
------------- -------------
Net decrease in net assets derived from beneficial interest
transactions (8,369,104) (895,332)
------------- -------------
Net Assets: Total decrease in net assets (8,372,983) (866,050)
Beginning of year 56,318,393 57,184,443
------------- -------------
End of year $ 47,945,410 $ 56,318,393
============= =============
See Notes to Financial Statements.
</TABLE>
<TABLE>
Financial Highlights
<CAPTION>
The following per share data and ratios have been derived
from information provided in the financial statements.
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 year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Operating ------- ------- ------- ------- -------
Performance: Investment income--net .0447 .0484 .0317 .0262 .0312
Realized and unrealized gain (loss) on
investments--net .0003 .0009 (.0002) .0010 .0014
------- ------- ------- ------- -------
Total from investment operations .0450 .0493 .0315 .0272 .0326
------- ------- ------- ------- -------
Less dividends and distributions:
Investment income--net (.0447) (.0484) (.0317) (.0262) (.0312)
Realized gain on investments--net (.0004) (.0004) (.0002) (.0004) (.0020)
------- ------- ------- ------- -------
Total dividends and distributions (.0451) (.0488) (.0319) (.0266) (.0332)
------- ------- ------- ------- -------
Net asset value, end of year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= ======= ======= =======
Total investment return 4.63% 4.99% 3.22% 2.69% 3.37%
======= ======= ======= ======= =======
<PAGE>
Ratios to Average Expenses, net of reimbursement .77% .83% .71% .53% .65%
Net Assets: ======= ======= ======= ======= =======
Expenses 1.12% 1.18% 1.06% .96% 1.16%
======= ======= ======= ======= =======
Investment income and realized gain
on investments--net 4.55% 4.89% 3.16% 2.66% 3.41%
======= ======= ======= ======= =======
Supplemental Net assets, end of year (in thousands) $47,945 $56,318 $57,184 $70,544 $80,978
Data: ======= ======= ======= ======= =======
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 no load, diversified,
open-end management investment company. 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.
For the year ended November 30, 1996, MLAM earned fees of $279,756,
of which $195,829 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, 1996, MLFD earned $66,020 under the Plan, all of which was paid
to MLPF&S pursuant to the agreement.
NOTES TO FINANCIAL STATEMENTS (concluded)
<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.
<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, 1996, 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 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, 1996 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, l996, 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.
<PAGE>
Deloitte & Touche LLP
Princeton, New Jersey
January 3, 1997
</AUDIT-REPORT>
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, 1996 qualify for the dividends-received deduction for
corporations. Additionally, there were no long-term capital gains
distributed by the Fund 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 at right 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 Federal
For the Quarter Ended Obligations*
February 29, 1996 99.37%
May 31, 1996 99.89%
August 31, 1996 88.12%
November 30, 1996 99.30%
Of the Fund's ordinary income dividends paid during its fiscal year
ended November 30, 1996, 99.25% 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.
<PAGE>
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
Donaldo Benito, Vice President
Alex V. Bouzakis, Vice President
Donald C. Burke, Vice President
John Ng, Vice President
Gerald M. Richard, Treasurer
Mark B. Goldfus, Secretary
Custodian
The Bank of New York
90 Washington Street, 12th Floor
New York, New York 10286
Transfer Agent
Merrill Lynch Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, Florida 32246-6484
(800) 221-7210
