MERRILL LYNCH
U.S. TREASURY
MONEY FUND
FUND LOGO
Semi-Annual Report
May 31, 1998
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
Printed on post-consumer recycled paper
Merrill Lynch U.S. Treasury Money Fund
May 31, 1998
DEAR SHAREHOLDER
For the six-month period ended May 31, 1998, Merrill Lynch U.S.
Treasury Money Fund paid shareholders a net annualized dividend of
4.76%*. The Fund's 7-day yield as of May 31, 1998 was 4.62%.
The average portfolio maturity for Merrill Lynch U.S. Treasury Money
Fund at May 31, 1998 was 80 days, compared to 69 days as of November
30, 1997.
The Environment
Increasing volatility characterized the capital markets during the
six-month period ended May 31, 1998. At times, US stock and bond
prices reflected expectations that the slowdown in Asian economic
growth would lead to a sharp decline in US business activity and,
ultimately, a deflationary environment. The deterioration of
economic conditions in Japan was of particular concern, and caused a
sharp drop in the yen's value relative to the US dollar. We
continued to believe the uncertainty in Asia would prevent the
Federal Reserve Board from raising interest rates.
During other periods, US investors appeared to expect that the
positive trends of a moderately expanding economy, declining
unemployment, enhanced productivity and corporate profits growth
would continue, unimpeded by the developments in Asia. To date,
there have been only a few signs that Asia's troubles are
influencing US economic activity. In Europe, the major event was
greater progress toward achieving European Monetary Union, although
concerns have arisen that interest rates will have to be increased
to curtail inflationary pressures.
[FN]
*Based on a constant investment throughout the period, with
dividends compounded daily, and reflecting a net return to the
investor after all expenses.
As 1998 progresses, it is likely that investor focus will remain on
developments in Asia. For those economies that continue to expand,
investors will watch for signs that inflation is still not a threat.
Evidence of ongoing, noninflationary economic growth should continue
to exert a positive influence on the capital markets worldwide.
In Conclusion
We thank you for your continued investment in Merrill Lynch U.S.
Treasury Money Fund, and we look forward to serving your investment
needs in the months and years ahead.
Sincerely,
(Arthur Zeikel)
Arthur Zeikel
President
(Marie Dwyer)
Marie Dwyer
Vice President and Portfolio Manager
June 24, 1998
We are pleased to announce that Marie Dwyer is responsible for the
day-to-day management of Merrill Lynch U.S. Treasury Money Fund.
Ms. Dwyer has been employed by Merrill Lynch Asset Management, L.P.
since 1991 as Vice President.
Merrill Lynch U.S. Treasury Money Fund
May 31, 1998
<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--92.8%
US Treasury Bills $ 52 5.00 % 6/04/98 $ 52
1,417 4.86 6/11/98 1,415
1,000 5.04 6/11/98 998
5,000 5.265 6/15/98 4,991
2,000 4.845 6/25/98 1,993
1,150 5.06 6/25/98 1,146
185 5.225 6/25/98 184
265 5.355 6/25/98 264
3,129 4.85 7/02/98 3,114
87 4.86 7/02/98 87
93 4.865 7/02/98 93
4,000 4.99 8/06/98 3,963
298 5.015 8/06/98 295
126 5.00 8/20/98 125
1,000 5.06 8/20/98 988
1,300 5.10 8/20/98 1,285
3,000 4.995 9/10/98 2,958
205 5.105 9/10/98 202
500 5.10 10/08/98 491
39 5.05 10/15/98 38
197 5.06 10/15/98 193
90 5.075 10/15/98 88
500 5.10 10/15/98 490
1,200 5.15 11/12/98 1,171
US Treasury Notes 1,800 6.25 6/30/98 1,818
1,500 8.25 7/15/98 1,506
1,000 5.25 7/31/98 1,000
2,000 6.25 7/31/98 2,004
3,400 5.875 8/15/98 3,403
500 4.75 9/30/98 499
1,000 6.00 9/30/98 1,002
950 7.125 10/15/98 956
1,000 5.875 10/31/98 1,002
500 5.50 11/15/98 500
500 5.125 11/30/98 499
500 5.625 11/30/98 500
1,800 6.375 1/15/99 1,809
500 6.25 3/31/99 503
200 6.375 4/30/99 201
400 6.75 6/30/99 405
US Treasury STRIPS++ 300 5.283 2/15/99 289
Total US Government Obligations (Cost--$44,502) 44,520
Total Investments (Cost--$44,502)--92.8% 44,520
Other Assets Less Liabilities--7.2% 3,455
-------
Net Assets--100.0% $47,975
=======
<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. US Treasury Notes bear interest at the rates shown,
payable at fixed rates or upon maturity.
++Separate Traded Registered Interest and Principal of Securities
(STRIPS).
See Notes to Financial Statements.
</TABLE>
Merrill Lynch U.S. Treasury Money Fund
May 31, 1998
FINANCIAL INFORMATION
<TABLE>
Statement of Assets and Liabilities as of May 31, 1998
<S> <S> <C> <C>
Assets: Investments, at value (identified cost--$44,501,634*) (Note 1a) $ 44,520,462
Cash 217
Receivables:
Securities sold $ 11,017,828
Interest 475,620 11,493,448
-------------
Prepaid registration fees and other assets (Note 1d) 34,470
-------------
Total assets 56,048,597
-------------
Liabilities: Payables:
Securities purchased 7,949,184
Beneficial interest redeemed 84,366
Distributor (Note 2) 7,652
Investment adviser (Note 2) 5,765 8,046,967
-------------
Accrued expenses and other liabilities 26,815
-------------
Total liabilities 8,073,782
-------------
Net Assets: Net assets $ 47,974,815
=============
Net Assets Shares of beneficial interest, $.10 par value, unlimited number of
Consist of: shares authorized $ 4,795,599
Paid-in capital in excess of par 43,160,388
Unrealized appreciation on investments--net 18,828
-------------
Net assets--Equivalent to $1.00 per share based on 47,955,988 shares
of beneficial interest outstanding $ 47,974,815
=============
<FN>
*Cost for Federal income tax purposes. As of May 31, 1998, net
unrealized appreciation for Federal income tax purposes amounted to
$18,828, of which $20,541 related to appreciated securities and
$1,713 related to depreciated securities.
See Notes to Financial Statements.
</TABLE>
Merrill Lynch U.S. Treasury Money Fund
May 31, 1998
FINANCIAL INFORMATION (continued)
<TABLE>
Statement of Operations
<CAPTION>
For the Six Months Ended
May 31, 1998
<S> <S> <C> <C>
Investment Income Interest and amortization of premium and discount earned $ 1,507,343
(Note 1c):
Expenses: Investment advisory fees (Note 2) $ 138,821
Professional fees 37,345
Distribution fees (Note 2) 32,895
Trustees' fees and expenses 32,727
Registration fees (Note 1d) 21,361
Accounting services (Note 2) 14,211
Transfer agent fees (Note 2) 11,117
Custodian fees 3,527
-------------
Total expenses before reimbursement 292,004
Reimbursement of expenses (Note 2) (97,174)
-------------
Total expenses after reimbursement 194,830
-------------
Investment income--net 1,312,513
-------------
Realized & Realized gain on investments--net 18,266
Unrealized Change in unrealized appreciation on investments--net 20,013
Gain on -------------
Investments--Net Net Increase in Net Assets Resulting from Operations $ 1,350,792
(Note 1c): =============
See Notes to Financial Statements.
</TABLE>
<TABLE>
Statements of Changes in Net Assets
<CAPTION>
For the Six For the
Months Ended Year Ended
Increase (Decrease) in Net Assets: May 31, 1998 Nov. 30, 1997
<S> <S> <C> <C>
Operations: Investment income--net $ 1,312,513 $ 2,459,911
Realized gain on investments--net 18,266 15,612
Change in unrealized appreciation/depreciation on
investments--net 20,013 (3,252)
------------- -------------
Net increase in net assets resulting from operations 1,350,792 2,472,271
------------- -------------
Dividends & Investment income--net (1,312,513) (2,459,911)
Distributions to Realized gain on investments--net (18,266) (15,612)
Shareholders ------------- -------------
(Note 1e): Net decrease in net assets resulting from dividends
and distributions to shareholders (1,330,779) (2,475,523)
------------- -------------
Beneficial Net proceeds from sale of shares 87,147,657 156,556,056
Interest Net asset value of shares issued to shareholders in
Transactions reinvestment of dividends and distributions (Note 1e) 1,314,957 2,465,505
(Note 3): ------------- -------------
88,462,614 159,021,561
Cost of shares redeemed (90,250,285) (157,221,246)
------------- -------------
Net increase (decrease) in net assets derived from
beneficial interest transactions (1,787,671) 1,800,315
------------- -------------
Net Assets: Total increase (decrease) in net assets (1,767,658) 1,797,063
Beginning of period 49,742,473 47,945,410
------------- -------------
End of period $ 47,974,815 $ 49,742,473
============= =============
See Notes to Financial Statements.
</TABLE>
Merrill Lynch U.S. Treasury Money Fund
May 31, 1998
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: 1998 1997 1996 1995 1994
<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 .0234 .0451 .0447 .0484 .0317
Realized and unrealized gain (loss) on
investments--net .0007 .0002 .0003 .0009 (.0002)
------- ------- ------- ------- -------
Total from investment operations .0241 .0453 .0450 .0493 .0315
------- ------- ------- ------- -------
Less dividends and distributions:
Investment income--net (.0234) (.0451) (.0447) (.0484) (.0317)
Realized gain on investments--net (.0003) (.0003) (.0004) (.0004) (.0002)
------- ------- ------- ------- -------
Total dividends and distributions (.0237) (.0454) (.0451) (.0488) (.0319)
------- ------- ------- ------- -------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= ======= ======= =======
Total investment return 4.76%* 4.65% 4.70% 4.98% 3.21%
======= ======= ======= ======= =======
Ratios to Average Expenses, net of reimbursement .70%* .78% .77% .83% .71%
Net Assets: ======= ======= ======= ======= =======
Expenses 1.05%* 1.13% 1.12% 1.18% 1.06%
======= ======= ======= ======= =======
Investment income and realized gain on
investments--net 4.79%* 4.57% 4.55% 4.89% 3.16%
======= ======= ======= ======= =======
Supplemental Net assets, end of period (in thousands) $47,975 $49,742 $47,945 $56,318 $57,184
Data: ======= ======= ======= ======= =======
<FN>
*Annualized.
See Notes to Financial Statements.
</TABLE>
Merrill Lynch U.S. Treasury Money Fund
May 31, 1998
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. 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.
(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 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 six months ended May 31, 1998, MLAM earned fees of $138,821,
of which $97,174 was voluntarily waived.
Merrill Lynch U.S. Treasury Money Fund
May 31, 1998
Pursuant to the Distribution Plans adopted by the Fund in accordance
with Rule 12b-1 under the Investment Company Act of 1940, the Fund
pays the Distributor an ongoing distribution fee 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, 1998, MLFD earned $32,895 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.
Certain officers and/or trustees of the Fund are officers and/or
directors of MLAM, PSI, MLFDS, MLFD, 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.
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
Fred G. Weiss, Trustee
Terry K. Glenn, Executive Vice President
Kevin J. McKenna, Senior Vice President
Joseph T. Monagle Jr., Senior Vice President
Donald C. Burke, Vice President
Marie Dwyer, Vice President
Gerald M. Richard, Treasurer
Thomas D. Jones, III, Secretary
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
