UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT
COMPANIES
Investment Company Act file number 811-6196
Name of Fund: CMA Treasury Fund
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Terry K. Glenn, President,
CMA Treasury Fund, 800 Scudders Mill Road, Plainsboro, NJ, 08536.
Mailing address: P.O. Box 9011, Princeton, NJ, 08543-9011
Registrant's telephone number, including area code: (609) 282-2800
Date of fiscal year end: 03/31/03
Date of reporting period: 04/01/02 - 3/31/03
Item 1 - Attach shareholder report
(BULL LOGO)
Merrill Lynch Investment Managers
Annual Report
March 31, 2003
CMA Treasury Fund
www.mlim.ml.com
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. An
investment in the Fund is not insured or guaranteed by the Federal
Deposit Insurance Corporation or any other Government agency.
Although the Fund seeks to preserve the value of your investment at
$1.00 per share, it is possible to lose money by investing in the
Fund. Past performance results shown in this report should not be
considered a representation of future performance, which will
fluctuate. Statements and other information herein are as dated and
are subject to change.
CMA Treasury Fund
Box 9011
Princeton, NJ
08543-9011
Printed on post-consumer recycled paper
TO OUR SHAREHOLDERS:
For the year ended March 31, 2003, CMA Treasury Fund paid
shareholders a net annualized yield dividend of 1.11%.* As of
March 31, 2003, the Fund's 7-day yield was .59%.
The average portfolio maturity for CMA Treasury Fund at March 31,
2003 was 59 days compared to 53 days at September 30, 2002.
Economic Environment
During the six-month period ended March 31, 2003, the U.S. economy
experienced a slowdown in growth that was more pronounced than many
had anticipated. The fourth quarter of 2002 gross domestic product
rate declined to 1.4% from a relatively strong 4% in the third
quarter. Consumer spending trailed off in the fourth quarter after
supporting the economy during the first three quarters of 2002, and
the slowing trend continued into the first quarter of 2003. Job
losses, the realization of a war with Iraq and heightened fears of
terrorist attacks were large factors that led to the drop in
consumer confidence, which hit a ten-year low. Corporations have
been trimming expenses to achieve profitability, but few have seen
top-line growth. The expected increase in business capital
expenditures has not materialized, as there is still over-capacity
in many sectors.
Low mortgage rates have supported the strength in the housing
market, and mortgage refinancing has provided consumers with some
financial flexibility. However, as mortgage rates come off their
lows, we have noticed some stagnation in the housing market.
Additionally, the hope that lower interest rates would be sufficient
to stimulate economic growth later on this year is fading.
*Based on a constant investment throughout the period, with
dividends compounded daily, and reflecting a net return to the
investor after all expenses.
The impact of the economic data on the markets was muted in light of
other events, most recently the outbreak of war with Iraq. The short
end of the U.S. Treasury market has been subject to a safe-haven
trade during the past several months, with U.S. Treasury yields
approaching historical lows. During this period, the equity market
has been unable to sustain a rally as a host of issues (not limited
to Middle East conflicts) confronted investors. Since the first of
the year, concerns over corporate misdeeds have been sufficiently
addressed to bring investors back to the corporate bond market,
resulting in a significant tightening of credit spreads. Recently,
rising energy costs have further reduced corporate profits and
hampered hiring activities while bringing the level of real interest
rates below zero. Nevertheless, the inability of the economy to grow
has led to increased speculation that the Federal Reserve Board may
have to lower interest rates again before the cycle is over.
Investment Strategy
We have long relied on barbelling the portfolio, which emphasizes
holding a majority of the Fund's assets under 30 days for liquidity
and holding the balance of the assets longer (9 months--15 months)
for incremental yield and price appreciation. In response to a weak
economy and geopolitical issues, the Federal Reserve Board's stance
toward providing liquidity has, for the most part, flattened the
front end of the yield curve despite record issuance in both
Treasury bills and notes. Obtaining incremental yield has become
increasingly difficult as the time frame to exceed financing levels
is currently at 14 months.
During the past few months, we have exercised caution in adding
longer-dated notes. With the short end of the yield curve flat and
interest rates at historical lows, the risk/reward ratio seemed out
of balance. On occasion, we were able to trade the two-year sector
as the market became range-bound and mirrored moves in the equity
markets. However, we chose the 15-month sector, as the roll down in
yields appeared the most attractive. In the front end, we have
favored the four-week bill and the six-month bill when their yields
were positive relative to the three-month sector.
Looking ahead, we remain guarded as to the near-term direction of
interest rates. We expect increased bill issuance to fund the costs
related to the conflict with Iraq, and upon the resolution of the
debt ceiling, we expect a steepening of the yield curve as the three-
year Treasury note will be reintroduced as part of the quarterly
refunding cycle.
In Conclusion
On February 13, 2003, CMA Treasury Fund converted from a stand-alone
investment company to a "feeder" fund that seeks to achieve its
investment objective by investing all of its assets in Master
Treasury Trust, which has the same investment objective as the Fund.
All investments will be made at the Trust level. This structure is
sometimes called a "master/feeder" structure.
We thank you for your interest in CMA Treasury Fund, and we look
forward to assisting you with your financial needs in the months and
years ahead.
Sincerely,
(Terry K. Glenn)
Terry K. Glenn
President and Trustee
(Cindy V. Macaulay)
Cindy V. Macaulay
Vice President and
Portfolio Manager
April 14, 2003
CMA TREASURY FUND
IMPORTANT TAX INFORMATION (UNAUDITED)
Of the ordinary income dividends paid by CMA Treasury Fund during
the year ended March 31, 2003, 99.18% was attributable to Federal
obligations. In calculating the foregoing percentage, Fund expenses
have been allocated on a pro rata basis. Additionally, at least 50%
of the assets of the Fund was invested in Federal obligations at the
end of each fiscal quarter.
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 taxes.
Please retain this information for your records.
CMA TREASURY FUND
STATEMENT OF ASSETS AND LIABILITIES AS OF MARCH 31, 2003
Assets:
Investment in Master Treasury Trust, at value (identified cost--$1,297,483,448) $ 1,298,015,637
Prepaid registration fees and other assets 94,042
---------------
Total assets 1,298,109,679
---------------
Liabilities:
Payables:
Administrator $ 256,581
Distributor 243,288 499,869
---------------
Accrued expenses and other liabilities 60,309
---------------
Total liabilities 560,178
---------------
Net Assets $ 1,297,549,501
===============
Net Assets Consist of:
Shares of beneficial interest, $.10 par value, unlimited number of
shares authorized $ 129,701,731
Paid-in capital in excess of par 1,167,315,581
Unrealized appreciation on investments from the Trust--net 532,189
---------------
Net Assets--Equivalent to $1.00 per share based on 1,297,017,312 shares of
beneficial interest outstanding $ 1,297,549,501
===============
See Notes to Financial Statements.
CMA TREASURY FUND
STATEMENT OF OPERATIONS FOR THE YEAR ENDED MARCH 31, 2003++
Investment Income:
Interest and amortization of premium and discount earned $ 22,613,286
Net investment income allocated from the Trust:
Interest 2,195,425
Expenses (451,454)
---------------
Total income and net investment income from the Trust 24,357,257
---------------
Expenses:
Investment advisory fees $ 5,564,875
Distribution fees 1,814,671
Administration fees 392,074
Accounting services 212,129
Transfer agent fees 170,548
Registration fees 87,768
Professional fees 81,831
Custodian fees 40,431
Trustees' fees and expenses 37,277
Printing and shareholder reports 26,685
Pricing fees 3,453
Other 31,694
---------------
Total expenses 8,463,436
---------------
Investment income--net 15,893,821
---------------
Realized & Unrealized Gain (Loss) on Investments and from the Trust--Net:
Realized gain:
Investments--net 159,698
The Trust--net 8,642 168,340
---------------
Change in unrealized appreciation:
Investments--net (689,030)
The Trust--net 13,493 (675,537)
--------------- ---------------
Total realized and unrealized loss on investments and from the Trust--net (507,197)
---------------
Net Increase in Net Assets Resulting from Operations $ 15,386,624
===============
++On February 13, 2003, the Fund converted from a stand-alone
investment company to a "feeder" fund that seeks to achieve its
investment objective by investing all of its assets in the Trust,
which has the same investment objective as the Fund. All investments
will be made at the Trust level. This structure is sometimes called
a "master/feeder" structure.
See Notes to Financial Statements.
CMA TREASURY FUND
STATEMENTS OF CHANGES IN NET ASSETS
For the Year Ended March 31,
Increase (Decrease) in Net Assets: 2003++ 2002
Operations:
Investment income--net $ 15,893,821 $ 34,975,716
Realized gain on investments and from the Trust--net 168,340 365,926
Change in unrealized appreciation on investments and from the Trust--net (675,537) 132,950
--------------- ---------------
Net increase in net assets resulting from operations 15,386,624 35,474,592
--------------- ---------------
Dividends & Distributions to Shareholders:
Investment income--net (15,893,821) (34,975,716)
Realized gain on investments--net (168,339) (365,926)
--------------- ---------------
Net decrease in net assets resulting from dividends and distributions
to shareholders (16,062,160) (35,341,642)
--------------- ---------------
Beneficial Interest Transactions:
Net proceeds from sale of shares 5,730,013,423 5,842,865,313
Value of shares issued to shareholders in reinvestment of dividends and distributions 16,062,015 35,296,212
--------------- ---------------
5,746,075,438 5,878,161,525
Cost of shares redeemed (5,921,853,991) (5,936,834,078)
--------------- ---------------
Net decrease in net assets derived from beneficial interest transactions (175,778,553) (58,672,553)
--------------- ---------------
Net Assets:
Total decrease in net assets (176,454,089) (58,539,603)
Beginning of year 1,474,003,590 1,532,543,193
--------------- ---------------
End of year $ 1,297,549,501 $ 1,474,003,590
=============== ===============
CMA TREASURY FUND
FINANCIAL HIGHLIGHTS
The following per share data and ratios have been derived
from information provided in the financial statements. For the Year Ended March 31,
Increase (Decrease) in Net Asset Value: 2003++ 2002 2001 2000 1999
Per Share Operating Performance:
Net asset value, beginning of year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ---------- ---------- ---------- ----------
Investment income--net .0111 .0248 .0530 .0434 .0438
Realized and unrealized gain (loss) on
investments and from the Trust--net (.0004) .0004 .0007 .0004 .0001
---------- ---------- ---------- ---------- ----------
Total from investment operations .0107 .0252 .0537 .0438 .0439
---------- ---------- ---------- ---------- ----------
Less dividends and distributions:
Investment income--net (.0111) (.0248) (.0530) (.0434) (.0438)
Realized gain on investment--net (.0001) (.0003) (.0004) (.0001) (.0002)
---------- ---------- ---------- ---------- ----------
Total dividends and distributions (.0112) (.0251) (.0534) (.0435) (.0440)
---------- ---------- ---------- ---------- ----------
Net asset value, end of year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ==========
Total Investment Return 1.11% 2.48% 5.48% 4.44% 4.50%
========== ========== ========== ========== ==========
Ratios to Average Net Assets:
Expenses .61%++++ .61% .61% .57% .58%
========== ========== ========== ========== ==========
Investment income and realized gain on investment--net 1.10% 2.43% 5.38% 4.38% 4.37%
========== ========== ========== ========== ==========
Supplemental Data:
Net assets, end of year (in thousands) $1,297,550 $1,474,004 $1,532,543 $2,594,450 $2,455,126
========== ========== ========== ========== ==========
++On February 13, 2003, the Fund converted from a stand-alone
investment company to a "feeder" fund that seeks to achieve its
investment objective by investing all of its assets in the Trust,
which has the same investment objective as the Fund. All investments
will be made at the Trust level. This structure is sometimes called
a "master/feeder" structure.
++++Includes the Fund's share of the Trust's allocated expenses.
See Notes to Financial Statements.
CMA TREASURY FUND
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies:
CMA Treasury Fund (the "Fund") is registered under the Investment
Company Act of 1940 as a no load, diversified, open-end management
investment company. On February 13, 2003, the Fund converted from a
stand-alone investment company to a "feeder" fund that seeks to
achieve its investment objective by investing all of its assets in
the Master Treasury Trust (the "Trust"), which has the same
investment objective as the Fund. All investments will be made at
the Trust level. This structure is sometimes called a "master/
feeder" structure. The value of the Fund's investment in the Trust
reflects the Fund's proportionate interest in the net assets of the
Trust. The performance of the Fund is directly affected by the
performance of the Trust. The financial statements of the Trust,
including the Schedule of Investments, are included elsewhere in
this report and should be read in conjunction with the Fund's
financial statements. The Fund's financial statements are prepared
in conformity with accounting principles generally accepted in the
United States of America, which may require the use of management
accruals and estimates. The percentage of the Trust owned by the
Fund at March 31, 2003 was approximately 100%. The following is a
summary of significant accounting policies followed by the Fund.
(a) Valuation of investments--The Fund records its investments in
the Trust at fair value. Valuation of securities held by the Trust
is discussed in Note 1a of the Trust's Notes to Financial
Statements, which are included elsewhere in this report.
(b) Investment income and expenses--The Fund records daily its
proportionate share of the Trust's income, expenses and realized and
unrealized gains and losses. In addition, the Fund accrues its own
expenses. When the Fund was a stand-alone investment company,
realized gains and losses on security transactions were determined
on the identified cost basis. Interest income (including
amortization of premium and discount) was recognized on the accrual
basis.
(c) 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.
(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 (net of non-
resident alien tax and backup withholding tax withheld) 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.
(f) Investment transactions--Investment transactions are accounted
for on a trade date basis.
2. Investment Advisory Agreement and Transactions with Affiliates:
For the period April 1, 2002 to February 12, 2003, the Fund had
entered into an Investment Advisory Agreement with Fund Asset
Management, L.P. ("FAM"). 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.
FAM was responsible for the management of the Fund's portfolio and
provided the necessary personnel, facilities, equipment and certain
other services necessary to the operations of the Fund. For such
services, the Fund paid a monthly fee based upon the average daily
value of the Fund's net assets, at the following annual rates: .50%
of the Fund's average daily net assets not exceeding $500 million;
..425% of the average daily net assets in excess of $500 million but
not exceeding $1 billion; and .375% of the average daily net assets
in excess of $1 billion. When the Fund converted from a stand-alone
investment company to a "feeder" fund on February 13, 2003, the
Investment Advisory Agreement between the Fund and FAM was
terminated.
CMA TREASURY FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
The Fund has entered into an Administration Agreement with FAM. The
Fund pays a monthly fee at an annual rate of .25% of the Fund's
average daily net assets for the performance of administrative
services (other than investment advice and related portfolio
activities) necessary for the operation of the Fund.
The Fund has adopted a Distribution and Shareholder Servicing Plan
in compliance with Rule 12b-1 under the Investment Company Act of
1940, pursuant to which Merrill Lynch, Pierce, Fenner & Smith
Incorporated ("MLPF&S"), a subsidiary of ML & Co., receives a
distribution fee from the Fund. The fee is accrued daily and paid
monthly at the annual rate of .125% of average daily net assets of
the Fund for shareholders who maintain their accounts through
MLPF&S. The distribution fee is to compensate MLPF&S financial
advisors 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.
Financial Data Services, Inc. ("FDS"), a wholly-owned subsidiary of
ML & Co., is the Fund's transfer agent.
For the year ended March 31, 2003, the Fund reimbursed FAM $25,038
for certain accounting services.
Certain officers and/or trustees of the Fund are officers and/or
directors of FAM, PSI, FDS, and/or ML & Co.
3. Transactions in Shares of Beneficial Interest:
The number of shares sold, reinvested and redeemed during the years
corresponds to the amounts included in the Statements of Changes in
Net Assets for net proceeds from sale of shares, value of shares
reinvested and cost of shares redeemed, respectively, since shares
are recorded at $1.00 per share.
4. Distributions to Shareholders:
The tax character of distributions paid during the fiscal years
ended March 31, 2003 and March 31, 2002 was as follows:
3/31/2003 3/31/2002
Distributions paid from:
Ordinary income $ 16,062,160 $ 35,341,642
------------ ------------
Total taxable distributions $ 16,062,160 $ 35,341,642
============ ============
As of March 31, 2003, there were no significant differences between
the book and tax components of net assets.
CMA TREASURY FUND
INDEPENDENT AUDITORS' REPORT
To the Shareholders and Board of
Trustees of CMA Treasury Fund:
We have audited the accompanying statement of assets and liabilities
of CMA Treasury Fund as of March 31, 2003, and the related statement
of operations for the year then ended, the statements of changes in
net assets for each of the two years in the period then ended, and
the financial highlights for each of the five years in the period
then ended. These financial statements and financial highlights are
the responsibility of the Fund's management. Our responsibility is
to express an opinion on these financial statements and financial
highlights based on our audits.
We conducted our audits in accordance with auditing standards
generally accepted in the United States of America. Those standards
require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and 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. 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, the financial statements and financial highlights
referred to above present fairly, in all material respects, the
financial position of CMA Treasury Fund as of March 31, 2003, the
results of its operations for the year then ended, the changes in
its net assets for each of the two years in the period then ended,
and its financial highlights for each of the five years in the
period then ended, in conformity with accounting principles
generally accepted in the United States of America.
Deloitte & Touche LLP
Princeton, New Jersey
May 21, 2003
MASTER TREASURY TRUST
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2003 (IN THOUSANDS)
Face Interest Maturity
Issue Amount Rate Date Value
U.S. Government Obligations*--99.4%
U.S. Treasury $94,975 1.185 % 4/03/2003 $ 94,966
Bills 48,000 1.191 4/03/2003 47,995
97,000 1.195 4/03/2003 96,990
45,000 1.10 4/10/2003 44,986
56,012 1.125 4/10/2003 55,995
5,667 1.13 4/10/2003 5,665
13,932 1.135 4/10/2003 13,928
7,264 1.14 4/17/2003 7,260
60,000 1.145 4/17/2003 59,967
622 1.15 4/17/2003 622
1,409 1.161 4/17/2003 1,408
75,000 1.17 4/17/2003 74,959
1,614 1.135 4/24/2003 1,613
787 1.145 4/24/2003 787
4,155 1.146 4/24/2003 4,152
81,624 1.15 4/24/2003 81,561
48,000 1.153 4/24/2003 47,963
40,000 1.16 4/24/2003 39,969
23,000 1.17 4/24/2003 22,982
23,000 1.175 4/24/2003 22,982
122 1.147 5/08/2003 122
92,000 1.148 5/08/2003 91,898
17,531 1.15 5/08/2003 17,511
2,346 1.165 5/22/2003 2,342
90,000 1.175 5/22/2003 89,855
38,967 1.19 5/22/2003 38,904
597 1.165 5/29/2003 596
Face Interest Maturity
Issue Amount Rate Date Value
U.S. Government Obligations* (concluded)
U.S. Treasury $25,000 1.17 % 5/29/2003 $ 24,956
Bills 23,712 1.176 5/29/2003 23,670
(concluded) 18,969 1.25 6/05/2003 18,931
25,000 1.285 6/05/2003 24,949
69,812 1.225 6/12/2003 69,657
10,000 1.225 6/19/2003 9,975
10,000 1.26 6/19/2003 9,976
15,000 1.225 6/26/2003 14,960
30,000 1.23 6/26/2003 29,920
10,000 1.175 8/21/2003 9,956
U.S. Treasury 10,000 2.75 9/30/2003 10,081
Notes 15,000 3.25 12/31/2003 15,237
6,000 3.625 3/31/2004 6,146
9,750 3.375 4/30/2004 9,978
7,000 2.875 6/30/2004 7,141
5,000 2.25 7/31/2004 5,064
11,000 2.125 8/31/2004 11,127
5,500 2.125 10/31/2004 5,567
15,000 1.50 2/28/2005 15,006
Total U.S. Government Obligations (Cost--$1,289,743) 1,290,275
Total Investments (Cost--$1,289,743)--99.4% 1,290,275
Other Assets Less Liabilities--0.6% 7,841
----------
Net Assets--100.0% $1,298,116
==========
*U.S. Treasury Bills are traded on a discount basis; the interest
rates shown are the discount rates paid at the time of purchase by
the Trust. U.S. Treasury Notes bear interest at the rates shown,
payable at fixed dates until maturity.
See Notes to Financial Statements.
MASTER TREASURY TRUST
STATEMENT OF ASSETS AND LIABILITIES AS OF MARCH 31, 2003
Assets:
Investments, at value (identified cost--$1,289,742,791++) $ 1,290,274,981
Cash 3,982
Interest receivable 413,622
Other assets 7,710,416
---------------
Total assets 1,298,403,001
---------------
Liabilities:
Payable to investment adviser 256,600
Accrued expenses and other liabilities 30,682
---------------
Total liabilities 287,282
---------------
Net Assets $ 1,298,115,719
===============
Net Assets Consist of:
Investors' capital $ 1,297,583,529
Unrealized appreciation on investments--net 532,190
---------------
Net Assets $ 1,298,115,719
===============
++Cost for Federal income tax purposes. As of March 31, 2003, net
unrealized appreciation for Federal income tax purposes amounted to
$532,190, of which $539,487 related to appreciated securities and
$7,297 related to depreciated securities.
See Notes to Financial Statements.
MASTER TREASURY TRUST
STATEMENT OF OPERATIONS FOR THE PERIOD FEBRUARY 13, 2003++ TO MARCH 31, 2003
Investment Income:
Interest and amortization of premium and discount earned $ 2,195,529
Expenses:
Investment advisory fees $ 392,093
Accounting services 40,674
Custodian fees 7,752
Trustees' fees and expenses 7,148
Professional fees 750
Pricing fees 662
Other 2,400
---------------
Total expenses 451,479
---------------
Investment income--net 1,744,050
---------------
Realized & Unrealized Gain on Investments--Net:
Realized gain on investments--net 8,642
Change in unrealized appreciation on investments--net 13,495
---------------
Total realized and unrealized gain on investments--net 22,137
---------------
Net Increase in Net Assets Resulting from Operations $ 1,766,187
===============
++Commencement of operations.
See Notes to Financial Statements.
MASTER TREASURY TRUST
STATEMENT OF CHANGES IN NET ASSETS
For the Period
February 13, 2003++
to March 31,
Increase (Decrease) in Net Assets: 2003
Operations:
Investment income--net $ 1,744,050
Realized gain on investments--net 8,642
Change in unrealized appreciation on investments--net 13,495
---------------
Net increase in net assets resulting from operations 1,766,187
---------------
Capital Transactions:
Proceeds from contributions 631,848,007
Fair value of net assets contributions 1,408,085,004
Fair value of withdrawals (743,683,479)
---------------
Net increase in net assets derived from capital transactions 1,296,249,532
---------------
Net Assets:
Total increasein net assets 1,298,015,719
Beginning of period 100,000
---------------
End of period $ 1,298,115,719
===============
++Commencement of operations.
See Notes to Financial Statements
MASTER TREASURY TRUST
FINANCIAL HIGHLIGHTS
For the Period
The following ratios have been derived from February 13, 2003++
information provided in the financial statements. to March 31,
2003
Total Investment Return .60%*
===============
Ratios to Average Net Assets:
Expenses .25%*
===============
Investment income and realized gain on investments--net .98%*
===============
Supplemental Data:
Net assets, end of period (in thousands) $ 1,298,116
===============
*Annualized.
++Commencement of operations.
See Notes to Financial Statements.
MASTER TREASURY TRUST
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies:
Master Treasury Trust (the "Trust") is registered under the
Investment Company Act of 1940 and is organized as a Delaware
business trust. The Declaration of Trust permits the Trustees to
issue nontransferable interest in the Trust, subject to certain
limitations. On February 13, 2003, the Trust received all of the
assets of CMA Treasury Fund, a registered investment company that
converted to a master/feeder structure. The Trust's financial
statements are prepared in conformity with accounting principles
generally accepted in the United States of America, which may
require the use of management accruals and estimates. The following
is a summary of significant accounting policies followed by the
Trust.
(a) Valuation of investments--Portfolio securities with remaining
maturities of greater than sixty days, for which market quotations
are readily available, are valued at market value. As securities
transition from sixty-one to sixty days 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. Securities maturing sixty days or less from their date of
acquisition are valued at amortized cost, which approximates market
value. For the purpose of valuation, the maturity of a variable rate
security is deemed to be the next coupon date on which the interest
rate is to be adjusted. Other investments for which market value
quotations are not available are valued at their fair value as
determined in good faith by or under the direction of the Trust's
Board of Trustees.
(b) Income taxes--The Trust is classified as a partnership for
Federal income tax purposes. As such, each investor in the Trust is
treated as owner of its proportionate share of the net assets,
income, expenses and realized and unrealized gains and losses of the
Trust. Accordingly, as a "pass through" entity, the Trust pays no
income dividends or capital gains distributions. Therefore, no
Federal income tax provision is required. It is intended that the
Trust's assets will be managed so an investor in the Trust can
satisfy the requirements of subchapter M of the Internal Revenue
Code.
(c) Security transactions and investment income--Security
transactions are recorded on the dates the transactions are entered
into (the trade dates). Realized gains and losses on security
transactions are determined on the identified cost basis. Interest
income (including amortization of premium and discount) is
recognized on the accrual basis.
2. Investment Advisory Agreement and Transactions with Affiliates:
The Trust has entered into an Investment Advisory Agreement with
Fund Asset Management, L.P. ("FAM"). 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.
FAM is responsible for the management of the Trust's portfolio and
provides the necessary personnel, facilities, equipment and certain
other services necessary to the operations of the Trust. For such
services, the Trust pays a monthly fee based upon the average daily
value of the Trust's net assets at the following annual rates: .25%
of the Trust's average daily net assets not exceeding $500 million;
..175% of the average daily net assets in excess of $500 million, but
not exceeding $1 billion; and .125% of the average daily net assets
in excess of $1 billion.
For the period February 13, 2003 to March 31, 2003, the Trust
reimbursed FAM $4,152 for certain accounting services.
Certain officers and/or trustees of the Trust are officers and/or
directors of FAM, PSI, and/or ML & Co.
MASTER TREASURY TRUST
INDEPENDENT AUDITORS' REPORT
To the Investors and Board of
Trustees of Master Treasury Trust:
We have audited the accompanying statement of assets and
liabilities, including the schedule of investments, of Master
Treasury Trust as of March 31, 2003, and the related statements of
operations and changes in net assets, and the financial highlights
for the period February 13, 2003 (commencement of operations)
through March 31, 2003. These financial statements and financial
highlights are the responsibility of the Trust's management. Our
responsibility is to express an opinion on these financial
statements and financial highlights based on our audit.
We conducted our audit in accordance with auditing standards
generally accepted in the United States of America. Those standards
require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and 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 as of March 31, 2003, 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 audit provides a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights
referred to above present fairly, in all material respects, the
financial position of Master Treasury Trust as of March 31, 2003,
the results of its operations, the changes in its net assets, and
its financial highlights for the period February 13, 2003 through
March 31, 2003, in conformity with accounting principles generally
accepted in the United States of America.
Deloitte & Touche LLP
Princeton, New Jersey
May 21, 2003
CMA TREASURY FUND
OFFICERS AND TRUSTEES
Number of
Portfolios Other
in Fund Director-
Position(s) Length Complex ships
Held of Time Overseen by Held by
Name, Address & Age with Fund Served Principal Occupation(s) During Past 5 Years Trustee Trustee
Interested Trustee
Terry K. Glenn* President 1999 to President and Chairman of Merrill Lynch 118 Funds None
P.O. Box 9011 and present Investment Managers, L.P. ("MLIM")/Fund 162 Portfolios
Princeton, Trustee and Asset Management, L.P. ("FAM")--Advised
NJ 08543-9011 1991 to Funds since 1999; Chairman (Americas Region)
Age: 62 present of MLIM from 2000 to 2002; Executive Vice
President of MLIM and FAM (which terms as
used herein include their corporate
predecessors) from 1983 to 2002; President
of FAM Distributors, Inc. ("FAMD") from
1986 to 2002 and Director thereof from 1991
to 2002; Executive Vice President and
Director of Princeton Services, Inc.
("Princeton Services") from 1993 to 2002;
President of Princeton Administrators, L.P.
from 1989 to 2002; Director of Financial
Data Services, Inc. from 1985 to 2002.
*Mr. Glenn is a director, trustee or member of an advisory board of
certain other investment companies for which FAM or MLIM acts as
investment adviser. Mr. Glenn is an "interested person," as
described in the Investment Company Act, of the Fund based on his
former positions with FAM, MLIM, FAMD, Princeton Services and
Princeton Administrators, L.P. The Trustee's term is unlimited.
Trustees serve until their resignation, removal or death, or until
December 31 of the year in which they turn 72. As Fund President,
Mr. Glenn serves at the pleasure of the Board of Trustees.
Independent Trustees*
Ronald W. Forbes Trustee 1988 to Professor Emeritus of Finance, School of 45 Funds None
P.O. Box 9095 present Business, State University of New York at 51 Portfolios
Princeton, Albany since 2000 and Professor thereof
NJ 08543-9095 from 1989 to 2000; International Consultant,
Age: 62 Urban Institute from 1995 to 1999.
Cynthia A. Montgomery Trustee 1994 to Professor, Harvard Business School since 45 Funds Unum
P.O. Box 9095 present 1989; Director, Unum Provident Corporation 51 Portfolios Provident
Princeton, since 1990; Director, Newell Rubbermaid, Corporation;
NJ 08543-9095 Inc. since 1995. Newell
Age: 50 Rubbermaid,
Inc.
Charles C. Reilly Trustee 1990 to Self-employed financial consultant since 45 Funds None
P.O. Box 9095 present 1990. 51 Portfolios
Princeton,
NJ 08543-9095
Age: 71
Kevin A. Ryan Trustee 1992 to Founder and Director Emeritus of The 45 Funds None
P.O. Box 9095 present Boston University Center for the Advancement 51 Portfolios
Princeton, of Ethics and Character; Professor of
NJ 08543-9095 Education at Boston University from 1982
Age: 70 to 1999 and Professor Emeritus since 1999.
Roscoe S. Suddarth Trustee 2000 to President, Middle East Institute from 1995 45 Funds None
P.O. Box 9095 present to 2001; Foreign Service Officer, United 51 Portfolios
Princeton, States Foreign Service from 1961 to 1995;
NJ 08543-9095 Career Minister from 1989 to 1995; Deputy
Age: 67 Inspector General, U.S. Department of State
from 1991 to 1994; U.S. Ambassador to the
Hashemite Kingdom of Jordan from 1987 to 1990.
CMA TREASURY FUND
OFFICERS AND TRUSTEES (CONCLUDED)
Number of
Portfolios Other
in Fund Director-
Position(s) Length Complex ships
Held of Time Overseen by Held by
Name, Address & Age with Fund Served Principal Occupation(s) During Past 5 Years Trustee Trustee
Independent Trustees* (concluded)
Richard R. West Trustee 1988 to Dean Emeritus of New York University, 45 Funds Bowne & Co.,
P.O. Box 9095 present Leonard N. Stern School of Business 51 Portfolios Inc.; Vornado
Princeton, Administration since 1994. Operating
NJ 08543-9095 Company;
Age: 65 Vornado
Realty Trust;
Alexander's,
Inc.
Edward D. Zinbarg Trustee 2000 to Self-employed financial consultant since 45 Funds None
P.O. Box 9095 present 1994. 51 Portfolios
Princeton,
NJ 08543-9095
Age: 68
*The Trustee's term is unlimited. Trustees serve until their
resignation, removal or death, or until December 31 of the year in
which they turn 72.
Fund Officers*
Donald C. Burke Vice 1993 to First Vice President of MLIM and FAM since 1997 and Treasurer thereof
P.O. Box 9011 President present since 1999; Senior Vice President and Treasurer of Princeton Services
Princeton, and and since 1999; Vice President of FAMD since 1999; Director of MLIM Taxation
NJ 08543-9011 Treasurer 1999 to since 1990.
Age: 42 present
Kevin J. McKenna Senior 1998 to Managing Director (Global Fixed Income) of MLIM and Head of MLIM
P.O. Box 9011 Vice present Americas Fixed Income since 2000; Director of MLIM from 1997 to 2000.
Princeton, President
NJ 08543-9011
Age: 46
Cindy Macaulay Vice 2002 to Vice President of MLIM since 1998.
P.O. Box 9011 President present
Princeton,
NJ 08543-9011
Age: 36
Phillip S. Gillespie Secretary 2000 to First Vice President of MLIM since 2001; Director (Legal Advisory) of MLIM
P.O. Box 9011 present from 2000 to 2001; Vice President of MLIM from 1999 to 2000; Attorney
Princeton, associated with MLIM since 1998; Assistant General Counsel of Chancellor
NJ 08543-9011 LGT Asset Management, Inc. from 1997 to 1998.
Age: 39
*Officers of the Fund serve at the pleasure of the Board of
Trustees.
Further information about the Fund's Officers and Trustees is
available in the Fund's Statement of Additional Information, which
can be obtained without charge by calling 1-800-MER-FUND.
Custodian
State Street Bank and Trust Company
P.O. Box 351
Boston, MA 02101
Transfer Agent
Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
800-221-7210++
++For inquiries regarding your CMA account, call 800-CMA-INFO
or 800-262-4636.
Item 2 - Did registrant adopt a code of ethics, as of the end of the
period covered by this report, that applies to the registrant's
principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar
functions, regardless of whether these individuals are employed by
the registrant or a third party? If not, why not? Briefly describe
any amendments or waivers that occurred during the period. State
here if code of ethics/amendments/waivers are on website and give
website address-. State here if fund will send code of ethics to
shareholders without charge upon request--N/A (not answered until
July 15, 2003 and only annually for funds)
Item 3 - Did the registrant's board of directors determine that the
registrant either: (i) has at least one audit committee financial
expert serving on its audit committee; or (ii) does not have an
audit committee financial expert serving on its audit committee? If
yes, disclose name of financial expert and whether he/she is
"independent," (fund may, but is not required, to disclose
name/independence of more than one financial expert) If no, explain
why not. -N/A (not answered until July 15, 2003 and only annually
for funds)
Item 4 - Disclose annually only (not answered until December 15,
2003)
(a) Audit Fees - Disclose aggregate fees billed for each of the last
two fiscal years for professional services rendered by the principal
accountant for the audit of the registrant's annual financial
statements or services that are normally provided by the accountant
in connection with statutory and regulatory filings or engagements
for those fiscal years. N/A.
(b) Audit-Related Fees - Disclose aggregate fees billed in each of
the last two fiscal years for assurance and related services by the
principal accountant that are reasonably related to the performance
of the audit of the registrant's financial statements and are not
reported under paragraph (a) of this Item. Registrants shall
describe the nature of the services comprising the fees disclosed
under this category. N/A.
(c) Tax Fees - Disclose aggregate fees billed in each of the last
two fiscal years for professional services rendered by the principal
accountant for tax compliance, tax advice, and tax planning.
Registrants shall describe the nature of the services comprising the
fees disclosed under this category. N/A.
(d) All Other Fees - Disclose aggregate fees billed in each of the
last two fiscal years for products and services provided by the
principal accountant, other than the services reported in paragraphs
(a) through (c) of this Item. Registrants shall describe the nature
of the services comprising the fees disclosed under this category.
N/A.
(e)(1) Disclose the audit committee's pre-approval policies and
procedures described in paragraph (c)(7) of Rule 2-01 of Regulation
S-X. N/A.
(e)(2)Disclose the percentage of services described in each of
paragraphs (b) through (d) of this Item that were approved by the
audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of
Regulation S-X. N/A.
(f) If greater than 50%, disclose the percentage of hours expended
on the principal accountant's engagement to audit the registrant's
financial statements for the most recent fiscal year that were
attributed to work performed by persons other than the principal
accountant's full-time, permanent employees. N/A.
(g) Disclose the aggregate non-audit fees billed by the registrant's
accountant for services rendered to the registrant, and rendered to
the registrant's investment adviser (not including any sub-adviser
whose role is primarily portfolio management and is subcontracted
with or overseen by another investment adviser), and any entity
controlling, controlled by, or under common control with the adviser
that provides ongoing services to the registrant for each of the
last two fiscal years of the registrant. N/A.
(h) Disclose whether the registrant's audit committee has considered
whether the provision of non-audit services that were rendered to
the registrant's investment adviser (not including any subadviser
whose role is primarily portfolio management and is subcontracted
with or overseen by another investment adviser), and any entity
controlling, controlled by, or under common control with the
investment adviser that provides ongoing services to the registrant
that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule
2-01 of Regulation S-X is compatible with maintaining the principal
accountant's independence. N/A.
Item 5 - If the registrant is a listed issuer as defined in Rule 10A-
3 under the Exchange Act, state whether or not the registrant has a
separately-designated standing audit committee established in
accordance with Section 3(a)(58)(A) of the Exchange Act. If the
registrant has such a committee, however designated, identify each
committee member. If the entire board of directors is acting as the
registrant's audit committee in Section 3(a)(58)(B) of the Exchange
Act, so state.
If applicable, provide the disclosure required by Rule 10A-3(d)
under the Exchange Act regarding an exemption from the listing
standards for audit committees.
(Listed issuers must be in compliance with the new listing rules by
the earlier of their first annual shareholders meeting after January
2004, or October 31, 2004 (annual requirement))
Item 6 - Reserved
Item 7 - For closed-end funds that contain voting securities in
their portfolio, describe the policies and procedures that it uses
to determine how to vote proxies relating to those portfolio
securities. N/A (not answered until July 1, 2003)
Item 8--Reserved
Item 9(a) - Disclose the conclusions of the registrant's principal
executive officer or officers and principal financial officer or
officers, or persons performing similar functions, about the
effectiveness of the registrant's disclosure controls and procedures
(as defined in Rule 30a-2(c) under the Act (17 CFR 270.30a-2(c)))
based on their evaluation of these controls and procedures as of a
date within 90 days of the filing date of the report that includes
the disclosure required by this paragraph. N/A (not answered until
July 15, 2003 and only annually for funds)
Item 9(b)--There were no significant changes in the registrant's
internal controls or in other factors that could significantly
affect these controls subsequent to the date of their evaluation,
including any corrective actions with regard to significant
deficiencies and material weaknesses.
Item 10 - Exhibits
10(a) - Attach code of ethics or amendments/waivers, unless code of
ethics or amendments/waivers is on website or offered to
shareholders upon request without charge. N/A.
10(b) - Attach certifications pursuant to Section 302 of the
Sarbanes-Oxley Act. Attached hereto.
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, the registrant has duly
caused this report to be signed on its behalf by the undersigned,
thereunto duly authorized.
CMA Treasury Fund
By: _/s/ Terry K. Glenn_______
Terry K. Glenn,
President of
CMA Treasury Fund
Date: May 21, 2003
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, this report has been signed
below by the following persons on behalf of the registrant and in
the capacities and on the dates indicated.
By: _/s/ Terry K. Glenn________
Terry K. Glenn,
President of
CMA Treasury Fund
Date: May 21, 2003
By: _/s/ Donald C. Burke________
Donald C. Burke,
Chief Financial Officer of
CMA Treasury Fund
Date: May 21, 2003
Attached hereto as an exhibit are the certifications pursuant to
Section 906 of the Sarbanes-Oxley Act.