CMA
CMA CONNECTICUT
MUNICIPAL MONEY FUND
Semi-Annual Report
September 30, 1996
MERRILL LYNCH
BULL LOGO
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>
CMA Connecticut
Municipal Money Fund
Box 9011
Princeton, NJ 08543-9011
Printed on post-consumer recycled paper
TO OUR SHAREHOLDERS:
For the six-month period ended September 30, 1996, CMA Connecticut
Municipal Money Fund paid shareholders a net annualized yield of
2.77%*. As of September 30, 1996, the Fund's 7-day yield was 2.95%.
The Environment
Although the US stock and bond markets rallied late in the six-month
period ended September 30, 1996, much of the period was marked by
volatility in the capital markets. The US economy demonstrated
surprising resilience during the first half of the year. As a
result, when economic data releases appeared to indicate that the US
economy was expanding at a stronger-than-expected (and potentially
inflationary) rate, investors focused on the increasing possibility
of monetary policy tightening by the Federal Reserve Board. During
these periods, stock prices declined and long-term interest rates
moved higher. However, with inflationary pressures still under
control, the US central bank did not tighten monetary policy at its
September 24 meeting. This development, coupled with several
economic data releases that showed growth was at or below
expectations, helped to assuage investors' concerns about an
overheating economy. Stock and bond prices improved, with stock
market averages reaching historic high levels.
<PAGE>
The shifts in perceptions were exemplified by investors' reactions
to the release of recent employment reports. Inflationary concerns
were heightened in early July with the release of a stronger-than-
expected employment report for June. However, more subdued job
growth and decelerating hourly wage gains were subsequently reported
for the month of July. Although the employment report for August
showed that unemployment had dropped to its lowest level since 1989,
these results were generally in line with expectations, and were
received favorably by investors. The greatest boost in investor
confidence occurred in early October with the release of September's
employment report, which showed a slight increase in unemployment.
[FN]
*Based on a constant investment throughout the period, with
dividends compounded daily, and reflecting a net return to the
investor after all expenses.
Investors will continue to monitor economic data releases to
determine the probable direction of the US economy. The outcome of
the upcoming November election will also increasingly influence
investor psychology in the weeks ahead.
Investment Outlook and Strategy
The short-term municipal market saw several large issuers enter the
market during the past six months. Municipalities, including New
York City, California and Texas, contributed to a total of $35.5
billion in issuance. The influx of issuance coupled with investor
apprehension concerning a possible Federal Reserve Board monetary
tightening pushed interest rates on general market one-year
municipal notes into the 4%--4.05% range. The September period ended
with interest rate concerns subsiding as the Federal Reserve Board
decided to leave interest rates unchanged at its September 24, 1996
meeting. This decision rallied one-year municipal notes to the 3.85%
level by September 30, 1996.
Short-term municipal issuance within Connecticut increased to $183.3
million from $170.4 million during the previous period, including
issuance by the cities of New Haven and East Haven of $29 million
and $15 million, respectively. The State continues to receive
positive credit reviews from the major rating agencies, citing its
above-average income levels and improving economic environment.
<PAGE>
During the six-month period ended September 30, 1996, we maintained
the CMA Connecticut Municipal Money Fund's average portfolio
maturity in the 60-day--70-day range. The Fund's strategy addressed
several points including portfolio composition, average portfolio
maturity and diversification. We increased our holdings in fixed-
rate municipal notes by 6% while decreasing our holdings in tax-
exempt commercial paper by 5%. The purchase of fixed-rate notes
served several functions. First, with continued moderate growth and
low inflation, and the bulk of municipal issuance in the market, we
believed an increase in the Fund's average portfolio maturity was
warranted. Our purchases allowed us to achieve this strategy while
also offering an attractive yield reward. Second, notes remain an
invaluable instrument for diversifying the Fund. Diversification
became increasingly significant as the Securities and Exchange
Commission guidelines requiring increased diversification by state-
specific municipal money funds are pending. Finally, as an
investment alternative, the shift to notes enhanced the Fund's
performance as they performed well compared to tax-exempt commercial
paper during the six-month period ended September 30, 1996. In the
upcoming months, we will continue to monitor the direction of the US
economy and the short-term municipal market.
In Conclusion
We appreciate your continued interest in CMA Connecticut Municipal
Money Fund, and we look forward to serving your investment needs in
the future.
Sincerely,
(Arthur Zeikel)
Arthur Zeikel
President
(Vincent R. Giordano)
Vincent R. Giordano
Senior Vice President
<PAGE>
(Steven T. Lewis)
Steven T. Lewis
Vice President and Portfolio Manager
October 29, 1996
Portfolio Abbreviations for CMA Connecticut Municipal Money Fund
AMT Alternative Minimum Tax (subject to)
BAN Bond Anticipation Notes
CP Commercial Paper
GO General Obligation Bonds
HFA Housing Finance Agency
IDA Industrial Development Authority
PCR Pollution Control Revenue Bonds
UT Unlimited Tax
VRDN Variable Rate Demand Notes
<TABLE>
CMA CONNECTICUT MUNICIPAL MONEY FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1996 (IN THOUSANDS)
<CAPTION>
Face Value
State Amount Issue (Note 1a)
<S> <C> <S> <C>
Connecticut-- $ 6,675 Berlin, Connecticut, BAN, UT, 3.75% due 6/16/1997 (d) $ 6,679
84.4% 2,000 Brookfield, Connecticut, BAN, 3.73% due 6/12/1997 (d) 2,000
14,500 Connecticut State Development Authority, Health Care Revenue Bonds
(Corporate Independent Living Project), VRDN, 3.70% due 7/01/2015 (a) 14,500
5,420 Connecticut State Development Authority, IDA (Sealectro Corporation
Project), 4.30% due 12/01/1997 5,420
Connecticut State Development Authority, PCR, VRDN (a):
7,600 (Connecticut Light & Power Co. Project), AMT, 3.85% due 5/01/2031 7,600
6,300 Refunding (Connecticut Light & Power Co. Project), AMT, Series B,
3.85% due 9/01/2028 6,300
3,500 Refunding (Connecticut Light & Power Co. Project), Series A, 3.90%
due 9/01/2028 3,500
1,000 Refunding (United Illuminating Co. Project), 3.90% due 6/01/2026 1,000
14,300 Refunding (Western Massachusetts Electric Co.), Series A, 3.75%
due 9/01/2028 14,300
<PAGE>
10,500 Connecticut State Development Authority, Water Facility Revenue Bonds
(Bridgeport Hydraulic Co. Project), VRDN, AMT, 3.55% due 4/01/2035 (a) 10,500
1,000 Connecticut State Economic Recovery Notes, Refunding, UT, 4.25%
due 12/15/1996 1,002
1,500 Connecticut State GO, Series B, 4.50% due 10/01/1996 1,500
Connecticut State Health and Educational Facilities Authority
Revenue Bonds:
3,200 (Yale-New Haven Hospital), Series E, 3.60% due 6/01/1997 (b) 3,200
5,075 (Yale University), CP, Series L, 3.55% due 12/12/1996 5,075
5,300 (Yale University), CP, Series M, 3.50% due 12/11/1996 5,300
5,800 (Yale University), CP, Series N, 3.50% due 12/11/1996 5,800
2,550 (Yale University), CP, Series O, 3.50% due 12/11/1996 2,550
1,000 (Yale University), CP, Series P, 3.55% due 12/12/1996 1,000
Connecticut State, HFA (Housing Mortgage Finance Program), AMT:
17,955 CP, Series D, 3.50% due 10/11/1996 17,955
5,000 Series A, Sub-Series A-4, 3.65% due 4/10/1997 5,000
Connecticut State Municipal Electric Energy Cooperative, Power Supply
System Revenue Bonds, CP, Series A:
3,000 3.35% due 10/09/1996 3,000
4,000 3.45% due 10/11/1996 4,000
3,000 3.50% due 12/02/1996 3,000
19,900 Connecticut State Special Assessment Unemployment Compensation,
Advanced Fund Revenue Bonds (Connecticut Unemployment), Series C,
3.90% due 7/01/1997 (b) 19,900
42,100 Connecticut State Special Tax Obligation Revenue Bonds (Transportation
Infrastructure), VRDN, Second Lien, Series 1, 3.80% due 12/01/2010 (a) 42,100
8,000 Eagle Tax Exempt Trust, VRDN, 4% due 8/15/2012 (a) 8,000
5,000 East Haven, Connecticut, UT, 4% due 9/03/1997 5,007
</TABLE>
<TABLE>
CMA CONNECTICUT MUNICIPAL MONEY FUND
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1996 (CONCLUDED) (IN THOUSANDS)
<CAPTION>
Face Value
State Amount Issue (Note 1a)
<S> <C> <S> <C>
Connecticut Groton Town, Connecticut, BAN, UT (d):
(concluded) $ 2,220 Lot A, 3.50% due 10/15/1996 $ 2,220
760 Lot B, 3.50% due 10/15/1996 760
4,000 Manchester, Connecticut (Temporary Notes), Lot B, 3.60% due 5/28/1997 (d) 4,000
1,085 Meriden, Connecticut, UT, 4.25% due 8/01/1997 (b) 1,089
1,440 New Fairfield, Connecticut, BAN, UT, 3.75% due 5/15/1997 (d) 1,441
13,000 New Haven, Connecticut, UT, 3.94% due 5/22/1997 13,023
810 New Milford, Connecticut, BAN, UT, 4% due 5/13/1997 (d) 812
7,600 Newtown, Connecticut, BAN, 3.50% due 12/18/1996 7,602
1,150 Norwalk, Connecticut, Refunding, UT, Second Series, 3.625% due 1/15/1997 1,151
6,000 Stamford, Connecticut, BAN, UT, 3.25% due 10/15/1996 6,000
7,500 Stamford, Connecticut, Housing Authority Revenue Bonds (Morgan Street
Project), VRDN, AMT, 3.85% due 8/01/2024 (a) 7,500
<PAGE>
Puerto Rico-- Puerto Rico Commonwealth, Government Development Bank Revenue Bonds:
14.8% 2,900 CP, 3.55% due 10/10/1996 2,900
2,000 CP, 3.50% due 10/30/1996 2,000
5,000 CP, 3.50% due 10/31/1996 5,000
800 Refunding, VRDN, 3.50% due 12/01/2015 (a) 800
5,900 Puerto Rico Commonwealth, Highway and Transportation Authority, Highway
Revenue Bonds, VRDN, Series X, 3.50% due 7/01/1999 (a) 5,900
10,500 Puerto Rico Housing Finance Corporation, Medical Revenue Bonds, 3.50%
due 10/01/2011 (c) 10,500
10,700 Puerto Rico Industrial, Medical and Environmental Pollution Control
Facilities, Financing Authority Revenue Bonds, CP, 3.50% due 10/16/1996 10,700
6,200 Puerto Rico Industrial, Tourist, Educational, Medical and Environmental
Control Facilities Financing Authority, CP, Series A, 3.65% due 10/11/1996 6,200
Total Investments (Cost--$294,786*)--99.2% 294,786
Other Assets Less Liabilities--0.8% 2,298
--------
Net Assets--100.0% $297,084
========
<FN>
(a)The interest rate is subject to change periodically based on
certain indexes. The interest rate shown is the rate in effect at
September 30, 1996.
(b)FGIC Insured.
(c)AMBAC Insured.
(d)Bank Qualified.
*Cost for Federal income tax purposes.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
CMA CONNECTICUT MUNICIPAL MONEY FUND
STATEMENT OF ASSETS AND LIABILITIES AS OF SEPTEMBER 30, 1996
<S> <C> <C>
Assets:
Investments, at value (identified cost--$294,785,615) (Note 1a) $ 294,785,615
Cash 75,732
Receivables:
Interest $ 1,464,780
Securities sold 486,287 1,951,067
-------------
Deferred organization expenses (Note 1d) 523
Prepaid registration fees and other assets (Note 1d) 555,594
-------------
Total assets 297,368,531
-------------
Liabilities:
Payables:
Investment adviser (Note 2) 128,185
Distributor (Note 2) 71,700
Dividends to shareholders (Note 1e) 418
Beneficial interest redeemed 5 200,308
-------------
Accrued expenses and other liabilities 84,714
-------------
Total liabilities 285,022
-------------
Net Assets $ 297,083,509
=============
Net Assets Consist of:
Shares of beneficial interest, $0.10 par value, unlimited number of
shares authorized $ 29,722,164
Paid-in capital in excess of par 267,499,473
Undistributed investment income--net 1,885
Accumulated realized capital losses--net (Note 4) (140,013)
-------------
Net Assets--Equivalent to $1.00 per share based on 297,221,637 shares of
beneficial interest outstanding $ 297,083,509
=============
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
CMA CONNECTICUT MUNICIPAL MONEY FUND
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1996
<S> <C> <C>
Investment Income (Note 1c):
Interest and amortization of premium and discount earned $ 5,266,092
Expenses:
Investment advisory fees (Note 2) $ 754,157
Distribution fees (Note 2) 186,459
Accounting services (Note 2) 31,491
Registration fees (Note 1d) 27,190
Professional fees 25,541
Transfer agent fees (Note 2) 24,532
Custodian fees 13,341
Printing and shareholder reports 10,267
Pricing fees 2,029
Trustees' fees and expenses 1,409
Amortization of organization expenses (Note 1d) 263
Other 2,063
-------------
Total expenses 1,078,742
-------------
Investment income--net 4,187,350
Realized Loss on Investments--Net (Note 1c) (3,859)
-------------
Net Increase in Net Assets Resulting from Operations $ 4,183,491
=============
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
CMA CONNECTICUT MUNICIPAL MONEY FUND
STATEMENTS OF CHANGES IN NET ASSETS
<CAPTION>
For the Six For the
Months Ended Year Ended
September 30, March 31,
Increase (Decrease) in Net Assets: 1996 1996
<S> <C> <C>
Operations:
Investment income--net $ 4,187,350 $ 8,278,292
Realized loss on investments--net (3,859) (320)
------------- -------------
Net increase in net assets resulting from operations 4,183,491 8,277,972
------------- -------------
Dividends to Shareholders (Note 1e):
Investment income--net (4,186,467) (8,275,678)
------------- -------------
Net decrease in net assets resulting from dividends to shareholders (4,186,467) (8,275,678)
------------- -------------
Beneficial Interest Transactions (Note 3):
Net proceeds from sale of shares 516,071,463 1,135,984,616
Net asset value of shares issued to shareholders in reinvestment of dividends
(Note 1e) 4,186,353 8,277,928
------------- -------------
20,257,816 1,144,262,544
Cost of shares redeemed (536,533,789) (1,091,300,656)
------------- -------------
Net increase (decrease) in net assets derived from beneficial interest transactions (16,275,973) 52,961,888
------------- -------------
Net Assets:
Total increase (decrease) in net assets (16,278,949) 52,964,182
Beginning of period 313,362,458 260,398,276
------------- -------------
End of period* $ 297,083,509 $ 313,362,458
============= =============
<FN>
*Undistributed investment income--net $ 1,885 $ 1,002
============= =============
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
CMA CONNECTICUT MUNICIPAL MONEY FUND
FINANCIAL HIGHLIGHTS
<CAPTION>
For the
The following per share data and ratios have been derived Six Months
from information provided in the financial statements. Ended
Sept. 30, For the Year Ended March 31,
Increase (Decrease) in Net Asset Value: 1996 1996 1995 1994 1993
<S> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- --------
Investment income--net .01 .03 .03 .02 .02
-------- -------- -------- -------- --------
Total from investment operations .01 .03 .03 .02 .02
-------- -------- -------- -------- --------
Less dividends from investment income--net (.01) (.03) (.03) (.02) (.02)
-------- -------- -------- -------- --------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ========
Total Investment Return 2.77%* 3.02% 2.54% 1.77% 2.20%
======== ======== ======== ======== ========
Ratios to Average Net Assets:
Expenses, net of reimbursement .71%* .72% .71% .70% .63%
======== ======== ======== ======== ========
Expenses .71%* .72% .71% .70% .73%
======== ======== ======== ======== ========
Investment income--net 2.77%* 2.97% 2.53% 1.76% 2.17%
======== ======== ======== ======== ========
Supplemental Data:
Net assets, end of period (in thousands) $297,084 $313,362 $260,398 $250,038 $231,431
======== ======== ======== ======== ========
<FN>
*Annualized.
See Notes to Financial Statements.
</TABLE>
CMA CONNECTICUT MUNICIPAL MONEY FUND
NOTES TO FINANCIAL STATEMENTS
<PAGE>
1. Significant Accounting Policies:
CMA Connecticut Municipal Money Fund (the "Fund") is part of CMA
Multi-State Municipal Series Trust (the "Trust"). The Fund is
registered under the Investment Company Act of 1940 as a non-
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--Investments are valued at amortized
cost, which approximates market value. For the purpose of valuation,
the maturity of a variable rate demand instrument is deemed to be
the next coupon date on which the interest rate is to be adjusted.
In the case of a floating rate instrument, the remaining maturity is
the demand notice payment period.
(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 substantially 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 and distributions to shareholders--The Fund declares
dividends daily and reinvests daily such dividends (net of non-
resident alien tax withheld) in additional fund shares at net asset
value. Dividends are declared from the total of net investment
income, excluding discounts earned other than original issue
discounts. Net realized capital gains, if any, are normally
distributed annually after deducting prior years' loss carryforward.
The Fund may distribute capital gains more frequently than annually
in order to maintain the Fund's net asset value at $1.00 per share.
2. Investment Advisory Agreement and
Transactions with Affiliates
The Fund has entered into an Investment Advisory Agreement with Fund
Asset Management, L.P. ("FAM" or "Adviser"). The general partner of
FAM is Princeton Services, Inc. ("PSI"), an indirect wholly-owned
subsidiary of Merrill Lynch & Co., Inc. ("ML & Co."), which is the
limited partner.
<PAGE>
FAM 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 based upon the average daily
value of the Fund's net assets, at the following annual rates: 0.50%
of the first $500 million of average daily net assets; 0.425% of
average daily net assets in excess of $500 million but not exceeding
$1 billion; and 0.375% of average daily net assets in excess of $1
billion.
CMA CONNECTICUT MUNICIPAL MONEY FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
Pursuant to the Distribution and Shareholder Servicing Plan in
compliance with Rule 12b-1 under the Investment Company Act of 1940,
Merrill Lynch, Pierce, Fenner & Smith Inc. ("MLPF&S") receives a
distribution fee from the Fund at the end of each month at the
annual rate of 0.125% of average daily net assets of the Fund. The
distribution fee is to compensate MLPF&S financial consultants and
other directly involved branch office personnel for selling shares
of the Fund and for providing direct personal services to
shareholders. The distribution fee is not compensation for the
administrative and operational services rendered to the Fund by
MLPF&S in processing share orders and administering shareholder
accounts.
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 FAM at cost.
Certain officers and/or trustees of the Fund are officers and/or
directors of FAM, PSI, MLPF&S, MLFDS, and/or ML & Co.
3. Shares of Beneficial Interest:
The number of shares purchased and redeemed during the period
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.
4. Capital Loss Carryforward:
At March 31, 1996, the Fund had a net capital loss carryforward of
approximately $136,000, of which $69,000 expires in 2000, $30,000
expires in 2001, $10,000 expires in 2002 and $27,000 expires in
2003. This amount will be available to offset like amounts of any
future taxable gains.
<PAGE>
CMA CONNECTICUT
MUNICIPAL MONEY FUND
Officers and Trustees
Arthur Zeikel--President and Trustee
Ronald W. Forbes--Trustee
Cynthia A. Montgomery--Trustee
Charles C. Reilly--Trustee
Kevin A. Ryan--Trustee
Richard R. West--Trustee
Terry K. Glenn--Executive Vice President
Vincent R. Giordano--Senior Vice President
Edward J. Andrews--Vice President
Donald C. Burke--Vice President
Peter J. Hayes--Vice President
Kenneth A. Jacob--Vice President
Steven T. Lewis--Vice President
Kevin A. Schiatta--Vice President
Helen Marie Sheehan--Vice President
Gerald M. Richard--Treasurer
Robert Harris--Secretary
Custodian
State Street Bank and Trust Company
P.O. Box 1713
Boston, Massachusetts 02101
Transfer Agent
Merrill Lynch Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, Florida 32246-6484
(800) 221-7210*
[FN]
*For inquiries regarding your CMA account, call (800) CMA-INFO
[(800) 262-4636].
