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
811-21298
Name of Fund: CMA Treasury Fund
Master Treasury Trust
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Terry K. Glenn, President,
CMA Treasury Fund and Master Treasury Trust, 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: 03/31/04
Date of reporting period: 04/01/03 - 03/31/04
Item 1 - Report to Stockholders
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Merrill Lynch Investment Managers
www.mlim.ml.com
CMA Treasury Fund
Annual Report
March 31, 2004
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.
A description of the policies and procedures that the Fund uses to
determine how to vote proxies relating to portfolio securities is
available (1) without charge, upon request, by calling toll-free
1-800-MER-FUND (1-800-637-3863); (2) on www.mutualfunds.ml.com;
and (3) on the Securities and Exchange Commission's website at
http://www.sec.gov.
CMA Treasury Fund
Box 9011
Princeton, NJ
08543-9011
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CMA Treasury Fund
Important Tax Information (unaudited)
Of the ordinary income distributions paid by CMA Treasury Fund
during the year ended March 31, 2004, 98.79% 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.
Electronic Delivery
The Fund offers electronic delivery of communications to its
shareholders. In order to receive this service, you must
register your account and provide us with e-mail information.
To sign up for this service, simply access this website
http://www.icsdelivery.com/live and follow the instructions.
When you visit this site, you will obtain a personal identification
number (PIN). You will need this PIN should you wish to update your
e-mail address, choose to discontinue this service and/or make any
other changes to the service. This service is not available for
certain retirement accounts at this time.
CMA TREASURY FUND, MARCH 31, 2004
A Letter From the President
Dear Shareholder
Index returns during the most recent six-month and 12-month
reporting periods indicate that fixed income markets - both taxable
and tax-exempt - continued to reward those investors who were
willing to accept greater risk. The high yield market, as measured
by the Credit Suisse First Boston High Yield Index, provided a
six-month return of +8.65% and a 12-month return of +22.86% as of
March 31, 2004. By comparison, the Lehman Brothers Aggregate Bond
Index returned +2.98% and +5.40% and the Lehman Brothers Municipal
Bond Index returned +3.12% and +5.86% for the six-month and 12-month
periods ended March 31, 2004, respectively.
As of March month-end, the Federal Reserve Board maintained its
accommodative policy stance, pledging "patience" in raising rates.
As a result, short-term interest rates remained at historic lows and
kept the short end of the yield curve relatively flat, making it
increasingly difficult to find attractive income opportunities.
Market watchers continue to monitor the economic data and Federal
Reserve Board language for indications of interest rate direction.
Having said that, if the economy continues to grow at its recent
pace, many believe it is just a matter of time before rates move
upward.
Equity markets, in the meantime, continued to provide attractive
returns. For the six-month and 12-month periods ended March 31,
2004, the Standard & Poor's 500 Index returned +14.08% and
+35.12%, respectively. Much of the boost came from improving
economic conditions throughout the past year. Significant fiscal
and monetary stimulus, including the low interest rates and tax
cuts, has opened the door to consumer spending, capital spending,
increases in exports and long-awaited job growth. As expected, these
positive developments have led the way to improvements in corporate
earnings - a positive for stock markets.
The events and efforts of the past year leave us with a much
stronger economy today. With all of this in mind, we believe it is
time for investors to consider what can go right in 2004. We
encourage you to revisit your portfolio and your asset allocation
strategy to ensure you are well positioned to take advantage of the
opportunities that lie ahead. Your financial advisor can help you
develop a strategy designed to perform through all types of market
and economic cycles.
We thank you for trusting Merrill Lynch Investment Managers with
your investment assets, and we look forward to serving you in the
months and years ahead.
Sincerely,
(Terry K. Glenn)
Terry K. Glenn
President and Trustee
CMA TREASURY FUND, MARCH 31, 2004
A Discussion With Your Fund's Portfolio Manager
With interest rates at historical lows, our strategy was to remain
liquid in the front end of the money market yield curve while
seeking higher interest rates on the longer end.
How did the Fund perform during the fiscal year in light of the
existing market conditions?
For the year ended March 31, 2004, CMA Treasury Fund paid
shareholders a net annualized dividend of .41%.* The Fund's
seven-day yield as of March 31, 2004 was .30%.
The average portfolio maturity for CMA Treasury Fund at March 31,
2004 was 63 days, compared to 66 days at September 30, 2003.
As the Fund's fiscal year began, the U.S. economy was relatively
weak, registering 1.4% gross domestic product growth in the first
quarter of 2003. The Federal Reserve Board, in order to prevent any
further deterioration in economic conditions, was bound to maintain
its accommodative monetary policy - and investors began to price in
further interest rate cuts. The result was a flattening of the front
end of the yield curve.
As the period progressed, economic conditions improved, consumer
confidence strengthened and equity markets rallied. May 2003 brought
the passage of a Federal tax-cut plan. In June, the Federal Reserve
Board, focused on preventing deflation, dropped the Federal Funds
rate to 1%, its lowest level in 45 years. On the heels of the fiscal
and monetary stimulus, the economy grew at an astounding annualized
rate of 8.2% in the third quarter of 2003 and 4.1% in the fourth
quarter. A similar rate of growth is expected in the first quarter
of 2004. Despite the generally positive economic news, it was clear
that an improvement in employment would be essential to sustain
above-trend economic growth.
We expect short-term interest rates to remain at current low levels
for some time, as the Federal Reserve Board has promised to be
"patient" in raising interest rates in order to ensure the economy's
strength. With that said, a marked improvement in the employment
picture could prompt the Federal Reserve Board to tighten sooner
than anticipated. We are cognizant of this and continue to monitor
the employment data.
*Based on a constant investment throughout the period, with
dividends compounded daily, and reflecting a net return to the
investor after all expenses.
Adding to the general market and economic dynamics during the period
were supply factors. Treasury supply continued to favor the longer
end, thus creating a steeper yield curve past the one-year sector.
In the front end, the U.S. Treasury has been more prudent in its
issuance of U.S. Treasury bills, which has held the front end of the
yield curve relatively flat.
Against this backdrop, we adopted a relatively conservative strategy
in managing the portfolio. On one hand, we could not expect interest
rates to remain at historic lows for a prolonged period of time.
Nevertheless, the lack of job growth gave us comfort that the
Federal Reserve Board would not shift monetary policy and increase
interest rates for some time.
How did you manage the portfolio during the period?
For most of the fiscal year, the average portfolio maturity was in
the 55-day - 65-day range. Our strategy involved the purchase of one-
month U.S. Treasury bills for liquidity and six-month bills for
incremental yield and price appreciation. We maintained this
barbelled strategy throughout the period, shifting our focus on the
longer side of the barbell as the yield curve steepened.
Although we participated actively in the short end, we found it
prudent in the low interest-rate environment to use the long end of
the curve to add yield. In the fall, the U.S. Treasury decreased
issuance of one-month bills, so we shifted our focus to the
three-month - six-month sector. The timing was actually convenient,
since we were looking to avoid issues maturing in December.
Traditionally, the Fund has experienced heavy cash inflows in
December, as many investors shift their assets into Treasury funds
for year-end tax advantages. Much of this money is generally
redeemed in January. Consequently, approaching the end of the
calendar year, we were careful to avoid issues maturing in December.
Instead, we placed maturities in January or later to generate yield
and meet the seasonal redemptions that follow the year-end influx.
CMA TREASURY FUND, MARCH 31, 2004
Early in 2004, as the spread between three-month and six-month bills
compressed, we concentrated more on the three-month sector.
Essentially, we were not achieving any greater yield by extending
further out, so we emphasized three-month issues while monitoring
the monthly economic and employment data for signals of an interest
rate increase. As the period closed, spreads began to widen and,
therefore, we purchased more six-month bills.
Of course, throughout the period, when occasional interest rate back-
ups occurred, we took the opportunity to purchase two-year notes for
trading positions. This was our favored sector for incremental yield
and price appreciation. Such an opportunity presented itself, for
example, in the spring/summer of 2003.
How would you characterize the portfolio's position at the close of
the period?
We believe the portfolio is well positioned going forward. We plan
to maintain an average life in the area of 65 days, as the Federal
Reserve Board has stated it will be slow to increase interest rates
to ensure the economy's recovery. At the same time, our liquidity
base offers us opportunities to become more involved if interest
rates move higher.
We will continue to look for trading opportunities in two-year notes
when interest rates back up. Such a scenario occurred shortly after
the conclusion of the period, when the U.S. Department of Labor
released better-than-expected employment data. The news prompted two-
year Treasury yields to rise from 1.63% to 1.92% in one day. In
general, we will continue to evaluate the 15-month - 18-month sector
for opportunities to pick up additional yield, but intend to remain
selective as we monitor economic conditions and Federal Reserve
Board comments.
Cindy V. Macaulay
Vice President and Portfolio Manager
April 6, 2004
CMA TREASURY FUND, MARCH 31, 2004
Statement of Assets and Liabilities CMA Treasury Fund
As of March 31, 2004
Assets
Investment in Master Treasury Trust, at value
(identified cost--$673,247,958) $ 673,529,996
Prepaid expenses 46,513
---------------
Total assets 673,576,509
---------------
Liabilities
Payables:
Distributor $ 147,983
Administrator 22,631
Other affiliates 14,740
--------------- 185,354
Accrued expenses and other liabilities 16,025
---------------
Total liabilities 201,379
---------------
Net Assets
Net assets $ 673,375,130
===============
Net Assets Consist of
Shares of beneficial interest, $.10 par value, unlimited number of
shares authorized $ 67,309,310
Paid-in capital in excess of par 605,783,782
Unrealized appreciation on investments allocated from the Trust--net 282,038
---------------
Net Assets--Equivalent to $1.00 per share based on 673,093,094 shares of
beneficial interest outstanding $ 673,375,130
===============
See Notes to Financial Statements.
CMA TREASURY FUND, MARCH 31, 2004
Statement of Operations CMA Treasury Fund
For the Year Ended March 31, 2004
Investment Income--Net
Interest $ 17,172
Net investment income allocated from the Trust:
Interest and amortization of premium and discount earned 10,175,167
Expenses (2,200,014)
---------------
Total income and net investment income allocated from the Trust 7,992,325
---------------
Expenses
Administration fees $ 2,408,231
Distribution fees 1,199,386
Registration fees 117,086
Transfer agent fees 108,281
Professional fees 45,330
Printing and shareholder reports 26,213
Accounting services 705
Pricing fees 44
Other 13,437
---------------
Total expenses 3,918,713
---------------
Investment income--net 4,073,612
---------------
Realized & Unrealized Gain (Loss) on Investments Allocated from the Trust--Net
Realized gain on investments allocated from the Trust--net 94,117
Change in unrealized appreciation on investments allocated from the
Trust--net (250,151)
---------------
Total realized and unrealized loss allocated from the Trust--net (156,034)
---------------
Net Increase in Net Assets Resulting from Operations $ 3,917,578
===============
See Notes to Financial Statements.
CMA TREASURY FUND, MARCH 31, 2004
Statements of Changes in Net Assets CMA Treasury Fund
For the Year Ended March 31,
Increase (Decrease) in Net Assets: 2004 2003++
Operations
Investment income--net $ 4,073,612 $ 15,893,821
Realized gain on investmentsand allocated from the Trust--net 94,117 168,340
Change in unrealized appreciation on investments and allocated from
the Trust--net (250,151) (675,537)
--------------- ---------------
Net increase in net assets resulting from operations 3,917,578 15,386,624
--------------- ---------------
Dividends & Distributions to Shareholders
Investment income--net (4,073,614) (15,893,821)
Realized gain on investments and allocated from the Trust--net (94,117) (168,339)
--------------- ---------------
Net decrease in net assets resulting from dividends and distributions
to shareholders (4,167,731) (16,062,160)
--------------- ---------------
Beneficial Interest Transactions
Net proceeds from sale of shares 3,559,949,883 5,730,013,423
Value of shares issued to shareholders in reinvestment of dividends
and distributions 4,167,336 16,062,015
--------------- ---------------
Total shares issued 3,564,117,219 5,746,075,438
--------------- ---------------
Cost of shares redeemed (3,769,283,841) (5,921,853,991)
Shares redeemed in connection with the bulk transfer of WCMA
shareholder assets (418,757,596) --
--------------- ---------------
Total shares redeemed (4,188,041,437) (5,921,853,991)
--------------- ---------------
Net decrease in net assets derived from beneficial interest transactions (623,924,218) (175,778,553)
--------------- ---------------
Net Assets
Total decrease in net assets (624,174,371) (176,454,089)
Beginning of year 1,297,549,501 1,474,003,590
--------------- ---------------
End of year $ 673,375,130 $ 1,297,549,501
=============== ===============
++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, MARCH 31, 2004
Financial Highlights CMA Treasury Fund
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: 2004 2003++ 2002 2001 2000
Per Share Operating Performance
Net asset value, beginning of year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ---------- ---------- ---------- ----------
Investment income--net .0040 .0111 .0248 .0530 .0434
Realized and unrealized gain (loss)
on investments and allocated from the
Trust--net (.0001) (.0004) .0004 .0007 .0004
---------- ---------- ---------- ---------- ----------
Total from investment operations .0039 .0107 .0252 .0537 .0438
---------- ---------- ---------- ---------- ----------
Less dividends and distributions:
Investment Income--net (.0040) (.0111) (.0248) (.0530) (.0434)
Realized gain on investments and
allocated from the Trust--net (.0001) (.0001) (.0003) (.0004) (.0001)
---------- ---------- ---------- ---------- ----------
Total dividends and distributions (.0041) (.0112) (.0251) (.0534) (.0435)
---------- ---------- ---------- ---------- ----------
Net asset value, end of year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ==========
Total Investment Return .41% 1.11% 2.48% 5.48% 4.44%
========== ========== ========== ========== ==========
Ratios to Average Net Assets
Expenses .63%++++ .61%++++ .61% .61% .57%
========== ========== ========== ========== ==========
Investment income and realized gain
on investments and allocated from the
Trust--net .43% 1.10% 2.43% 5.38% 4.38%
========== ========== ========== ========== ==========
Supplemental Data
Net assets, end of year (in thousands) $ 673,375 $1,297,550 $1,474,004 $1,532,543 $2,594,450
========== ========== ========== ========== ==========
++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, MARCH 31, 2004
Notes to Financial Statements
CMA Treasury Fund
1. Significant Accounting Policies:
CMA Treasury Fund (the "Fund") is registered under the Investment
Company Act of 1940, as amended, as a no load, diversified, open-end
management investment company. The Fund 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. 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, 2004 was 60.4%. The following is a summary of
significant accounting policies followed by the Fund.
(a) Valuation of investments--The Fund records its investment 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.
(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 in the Trust
are accounted for on a trade date basis.
(g) Reclassification--Accounting principles generally accepted in
the United States of America require that certain components of
net assets be adjusted to reflect permanent differences between
financial and tax reporting. These reclassifications have no effect
on net assets or net asset value per share. There were no
significant reclassifications in the current year.
2. Investment Advisory Agreement and Transactions with Affiliates:
The Fund has entered into an Administration Agreement with Fund
Asset Management, L.P. ("FAM"). The general partner of FAM is
Princeton Services, Inc. ("PSI"), a wholly-owned subsidiary of
Merrill Lynch & Co., Inc. ("ML & Co."), which is the limited
partner. 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.
CMA TREASURY FUND, MARCH 31, 2004
Notes to Financial Statements (concluded)
CMA Treasury Fund
For the year ended March 31, 2004, the Fund reimbursed FAM $705 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
periods 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. In addition, on August 18,
2003, $418,757,596 was transferred to WCMA Treasury Fund as planned,
following the formation of that Fund.
4. Distributions to Shareholders:
The tax character of distributions paid during the fiscal years
ended March 31, 2004 and March 31, 2003 was as follows:
3/31/2004 3/31/2003
Distributions paid from:
Ordinary income $ 4,167,731 $ 16,062,160
------------ ------------
Total taxable distributions $ 4,167,731 $ 16,062,160
============ ============
As of March 31, 2004, there were no significant differences between
the book and tax components of net assets.
CMA TREASURY FUND, MARCH 31, 2004
Independent Auditors' Report
CMA Treasury Fund
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, 2004, 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, 2004, 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 14, 2004
CMA TREASURY FUND, MARCH 31, 2004
Schedule of Investments Master Treasury Trust (In Thousands)
Face Interest Maturity
Issue Amount Rate Date Value
U.S. Government Obligations*--99.2%
U.S. Treasury Bills $ 5,685 .94 % 4/08/2004 $ 5,684
4,729 .851-.935 4/15/2004 4,727
130,392 .862-.94 4/22/2004 130,322
59,685 .895-1.02 4/29/2004 59,641
150,675 .896-.98 5/06/2004 150,539
110,760 .905-.925 5/13/2004 110,641
186,640 .91-.92 5/20/2004 186,413
76,400 .93 5/27/2004 76,292
125,516 .931-.94 6/10/2004 125,289
71,586 .92-.94 6/17/2004 71,444
9,147 .982 7/08/2004 9,124
15,301 1.00 7/29/2004 15,253
24,000 1.00 9/16/2004 23,889
20,000 .99 9/23/2004 19,903
U.S. Treasury Notes 66,750 3.375 4/30/2004 66,877
7,000 2.875 6/30/2004 7,033
5,000 2.25 7/31/2004 5,021
16,000 2.125 8/31/2004 16,074
5,500 2.125 10/31/2004 5,535
5,000 1.625 3/31/2005 5,024
7,400 1.625 10/31/2005 7,429
5,000 1.50 3/31/2006 4,992
Total U.S. Government Obligations (Cost--$1,106,891) 1,107,146
Total Investments (Cost--$1,106,891)--99.2% 1,107,146
Other Assets Less Liabilities--0.8% 8,586
----------
Net Assets--100.0% $1,115,732
==========
*U.S. Treasury Bills are traded on a discount basis; the interest
rates shown are the range of 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.
CMA TREASURY FUND, MARCH 31, 2004
Statement of Assets and Liabilities Master Treasury Trust
As of March 31, 2004
Assets
Investments, at value (identified cost--$1,106,890,982++) $ 1,107,145,503
Cash 25,098
Receivables:
Contributions $ 7,513,122
Interest 1,137,825 8,650,947
---------------
Prepaid expenses 8,299
---------------
Total assets 1,115,829,847
---------------
Liabilities
Payables:
Investment adviser 31,023
Other affiliates 6,369 37,392
---------------
Accrued expenses 60,897
---------------
Total liabilities 98,289
---------------
Net Assets
Net assets $ 1,115,731,558
===============
Net Assets Consist of
Investors' capital $ 1,115,477,037
Unrealized appreciation on investments--net 254,521
---------------
Net Assets $ 1,115,731,558
===============
++Cost for Federal income tax purposes. As of March 31, 2004, net
unrealized appreciation for Federal income tax purposes amounted to
$254,521, all of which related to appreciated securities.
See Notes to Financial Statements.
CMA TREASURY FUND, MARCH 31, 2004
Statement of Operations Master Treasury Trust
For the Year Ended March 31, 2004
Investment Income
Interest and amortization of premium and discount earned $ 12,952,256
Expenses
Investment advisory fees $ 2,433,099
Accounting services 253,187
Professional fees 50,431
Trustees' fees and expenses 42,539
Custodian fees 41,950
Pricing fees 4,499
Printing and shareholder reports 1,722
Other 21,733
---------------
Total expenses 2,849,160
---------------
Investment income--net 10,103,096
---------------
Realized & Unrealized Gain (Loss) on Investments--Net
Realized gain on investments--net 125,886
Change in unrealized appreciation on investments--net (277,669)
---------------
Total realized and unrealized loss on investments--net (151,783)
---------------
Net Increase in Net Assets Resulting from Operations $ 9,951,313
===============
See Notes to Financial Statements.
CMA TREASURY FUND, MARCH 31, 2004
Statements of Changes in Net Assets Master Treasury Trust
For the For the Period
Year Ended February 13, 2003++
March 31, to March 31,
Increase (Decrease) in Net Asset Value: 2004 2003
Operations
Investment income--net $ 10,103,096 $ 1,744,050
Realized gain on investments--net 125,886 8,642
Change in unrealized appreciation on investments--net (277,669) 13,495
--------------- ---------------
Net increase in net assets resulting from operations 9,951,313 1,766,187
--------------- ---------------
Capital Transactions
Proceeds from contributions 5,868,128,046 631,848,007
Fair value of net assets contributions -- 1,408,085,004
Fair value of withdrawals (6,060,463,520) (743,683,479)
--------------- ---------------
Net increase (decrease) in net assets derived from capital transactions (192,335,474) 1,296,249,532
--------------- ---------------
Net Assets
Total increase(decrease) in net assets (182,384,161) 1,298,015,719
Beginning of period 1,298,115,719 100,000
--------------- ---------------
End of period $ 1,115,731,558 $ 1,298,115,719
=============== ===============
++Commencement of operations.
See Notes to Financial Statements.
Financial Highlights Master Treasury Trust
For the For the Period
Year Ended February 13, 2003++
The following ratios have been derived from March 31, to March 31,
information provided in the financial statements. 2004 2003
Total Investment Return
Total investment return .81% .60%*
=============== ===============
Ratios to Average Net Assets
Expenses .23% .25%*
=============== ===============
Investment income and realized gain on investments--net .82% .98%*
=============== ===============
Supplemental Data
Net assets, end of period (in thousands) $ 1,115,732 $ 1,298,116
=============== ===============
*Annualized.
++Commencement of operations.
See Notes to Financial Statements.
CMA TREASURY FUND, MARCH 31, 2004
Notes to Financial Statements
Master Treasury Trust
1. Significant Accounting Policies:
Master Treasury Trust (the "Trust") is registered under the
Investment Company Act of 1940, as amended, and is organized as a
Delaware statutory trust. The Declaration of Trust permits the
Trustees to issue nontransferable interest in the Trust, subject to
certain limitations. 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. 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 year ended March 31, 2004, the Trust reimbursed FAM $25,467
for certain accounting services.
Certain officers and/or trustees of the Trust are officers and/or
directors of FAM, PSI, and/or ML & Co.
CMA TREASURY FUND, MARCH 31, 2004
Independent Auditors' Report
Master Treasury Trust
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, 2004, and the related statement of
operations for the year then ended and the statements of changes in
net assets and the financial highlights for the year then ended and
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 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. Our procedures included
confirmation of securities owned as of March 31, 2004, 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, 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, 2004,
the results of its operations for the year then ended, and the
changes in its net assets and its financial highlights for the year
then ended and 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 14, 2004
CMA TREASURY FUND, MARCH 31, 2004
Officers and Trustees (unaudited)
Number of
Portfolios in Other Public
Position(s) Length of Fund Complex Directorships
Held with Time Overseen by Held by
Name, Address & Age Fund Served Principal Occupation(s) During Past 5 Years Trustee Trustee
Interested Trustee
Terry K. Glenn* President 1999 to President of Merrill Lynch Investment 124 Funds None
P.O. Box 9011 and present Managers, L.P. ("MLIM")/Fund Asset 160 Portfolios
Princeton, Trustee and Management, L.P. ("FAM")--Advised Funds
NJ 08543-9011 1991 to since 1999; Chairman (Americas Region)
Age: 63 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. since 1985.
* Mr. Glenn is a director, trustee or member of an advisory board of
certain other investment companies for which MLIM or FAM 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 MLIM, FAM, 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 1991 to Professor Emeritus of Finance, School of 51 Funds None
P.O. Box 9095 present Business, State University of New York at 50 Portfolios
Princeton, Albany since 2000 and Professor thereof
NJ 08543-9095 from 1989 to 2000; International Consultant
Age: 63 at the Urban Institute from 1995 to 1999.
Cynthia A. Montgomery Trustee 1994 to Professor, Harvard Business School since 51 Funds Newell
P.O. Box 9095 present 1989. 50 Portfolios Rubbermaid, Inc.
Princeton,
NJ 08543-9095
Age: 51
Kevin A. Ryan Trustee 1992 to Director Emeritus of The Boston University 51 Funds None
P.O. Box 9095 present Center for the Advancement of Ethics and 50 Portfolios
Princeton, Character from 1989 to 1999; Professor of
NJ 08543-9095 Education at Boston University from 1982
Age: 71 to 1999 and Professor Emeritus thereof
since 1999.
Roscoe S. Suddarth Trustee 2000 to President of Middle East Institute from 51 Funds None
P.O. Box 9095 present 1995 to 2001; Foreign Service Officer of 50 Portfolios
Princeton, United States Foreign Service from 1961
NJ 08543-9095 to 1995 and Career Minister thereof from
Age: 68 1989 to 1995; Deputy Inspector General of
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, MARCH 31, 2004
Officers and Trustees (unaudited)(concluded)
Number of
Portfolios in Other Public
Position(s) Length of Fund Complex Directorships
Held with Time Overseen by Held by
Name, Address & Age Fund Served Principal Occupation(s) During Past 5 Years Trustee Trustee
Independent Trustees* (concluded)
Richard R. West Trustee 1991 to Professor of Finance, New York University, 51 Funds Bowne & Co.,
P.O. Box 9095 present Leonard N. Stern School of Business 50 Portfolios Inc.; Vornado
Princeton, Administration from 1982 to 1994 and Operating
NJ 08543-9095 Dean Emeritus thereof since 1994. Company;
Age: 66 Vornado Realty
Trust and
Alexander's, Inc.
Edward D. Zinbarg Trustee 2000 to Self-employed financial consultant since 51 Funds None
P.O. Box 9095 present 1994; Executive Vice President of The 50 Portfolios
Princeton, Prudential Insurance Company of America
NJ 08543-9095 from 1988 to 1994; Former Director of
Age: 69 Prudential Reinsurance Company and former
Trustee of The Prudential Foundation.
* 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.
Position(s) Length of
Held with Time
Name, Address & Age Fund Served* Principal Occupation(s) During Past 5 Years
Fund Officers
Donald C. Burke Vice 1993 to First Vice President of MLIM and FAM since 1997 and Treasurer thereof since
P.O. Box 9011 President present 1999; Senior Vice President and Treasurer of Princeton Services since 1999;
Princeton, and and Vice President of FAMD since 1999; Director of MLIM Taxation since 1990.
NJ 08543-9011 Treasurer 1999 to
Age: 43 present
Cindy V. Macaulay Vice 2002 to Vice President of MLIM since 1996.
P.O. Box 9011 President present
Princeton,
NJ 08543-9011
Age: 37
Phillip S. Gillespie Secretary 2000 to First Vice President of MLIM since 2001; Director (Legal Advisory) from 2000
P.O. Box 9011 present to 2001; Vice President from 1999 to 2000; Attorney associated with MLIM
Princeton, since 1998.
NJ 08543-9011
Age: 40
* 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 800-262-4363.
Charles C. Reilly, Trustee of CMA Treasury Fund, has recently
retired. The Fund's Board of Trustees wishes Mr. Reilly well in his
retirement.
CMA TREASURY FUND, MARCH 31, 2004
Item 2 - Code of Ethics - The registrant has adopted 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 and principal accounting officer, or persons
performing similar functions. A copy of the code of ethics
is available without charge upon request by calling toll-free
1-800-MER-FUND (1-800-637-3863).
Item 3 - Audit Committee Financial Expert - The registrant's board
of directors has determined that (i) the registrant has the
following audit committee financial experts serving on its audit
committee and (ii) each audit committee financial expert is
independent: (1) Ronald W. Forbes, (2) Richard R. West, and (3)
Edward D. Zinbarg.
Item 4 - Principal Accountant Fees and Services
Item 4 - Principal Accountant Fees and Services
(a) Audit Fees
CMA Treasury Fund Fiscal Year Ending March 31, 2004 - $11,400
Fiscal Year Ending March 31, 2003 - $16,067
Master Treasury Trust Fiscal Year Ending March 31, 2004 - $35,000
Fiscal Year Ending March 31, 2003 - $40,513
(b) Audit-Related Fees
CMA Treasury Fund Fiscal Year Ending March 31, 2004 - $0
Fiscal Year Ending March 31, 2003 - $0
Master Treasury Trust Fiscal Year Ending March 31, 2004 - $0
Fiscal Year Ending March 31, 2003 - $0
(c) Tax Fees
CMA Treasury Fund Fiscal Year Ending March 31, 2004 - $5,800
Fiscal Year Ending March 31, 2003 - $5,400
The nature of the services include tax compliance, tax advice and
tax planning.
Master Treasury Trust Fiscal Year Ending March 31, 2004 - $8,000
Fiscal Year Ending March 31, 2003 - $5,000
The nature of the services include tax compliance, tax advice and
tax planning.
(d) All Other Fees
CMA Treasury Fund Fiscal Year Ending March 31, 2004 - $0
Fiscal Year Ending March 31, 2003 - $0
Master Treasury Trust Fiscal Year Ending March 31, 2004 - $0
Fiscal Year Ending March 31, 2003 - $0
(e)(1) The registrant's audit committee (the "Committee") has
adopted policies and procedures with regard to the pre-approval of
services. Audit, audit-related and tax compliance services provided
to the registrant on an annual basis require specific pre-approval
by the Committee. The Committee also must approve other non-audit
services provided to the registrant and those non-audit services
provided to the registrant's affiliated service providers that
relate directly to the operations and the financial reporting of the
registrant. Certain of these non-audit services that the Committee
believes are a) consistent with the SEC's auditor independence rules
and b) routine and recurring services that will not impair the
independence of the independent accountants may be approved by the
Committee without consideration on a specific case-by-case basis
("general pre-approval"). However, such services will only be
deemed pre-approved provided that any individual project does not
exceed $5,000 attributable to the registrant or $50,000 for the
project as a whole. Any proposed services exceeding the pre-
approved cost levels will require specific pre-approval by the
Committee, as will any other services not subject to general pre-
approval (e.g., unanticipated but permissible services). The
Committee is informed of each service approved subject to general
pre-approval at the next regularly scheduled in-person board
meeting.
(e)(2) 0%
(f) Not Applicable
(g)
CMA Treasury Fund Fiscal Year Ending March 31, 2004 - $16,708,160
Fiscal Year Ending March 31, 2003 - $17,378,427
Master Treasury Trust
Fiscal Year Ending March 31, 2004 - $16,708,160
Fiscal Year Ending March 31, 2003 - $17,378,427
(h) The registrant's audit committee has considered and determined
that the provision of non-audit services that were rendered to
the registrant's 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.
Regulation S-X Rule 2-01(c)(7)(ii) - $541,640, 0%
Item 5 - Audit Committee of Listed Registrants - Not Applicable
Item 6 - Schedule of Investments - Not Applicable
Item 7 - Disclosure of Proxy Voting Policies and Procedures for
Closed-End Management Investment Companies - Not Applicable
Item 8 - Purchases of Equity Securities by Closed-End Management
Investment Company and Affiliated Purchasers - Not Applicable
Item 9 - Submission of Matters to a Vote of Security Holders - Not
Applicable
Item 10 - Controls and Procedures
10(a) - The registrant's certifying officers have reasonably
designed such disclosure controls and procedures to ensure material
information relating to the registrant is made known to us by others
particularly during the period in which this report is being
prepared. The registrant's certifying officers have determined that
the registrant's disclosure controls and procedures are effective
based on our evaluation of these controls and procedures as of a
date within 90 days prior to the filing date of this report.
10(b) - There were no changes in the registrant's internal control
over financial reporting (as defined in Rule 30a-3(d) under the Act
(17 CFR 270.30a-3(d)) that occurred during the second fiscal half-
year of the period covered by this report that has materially
affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.
Item 11 - Exhibits attached hereto
11(a)(1) - Code of Ethics - See Item 2
11(a)(2) - Certifications - Attached hereto
11(a)(3) - Not Applicable
11(b) - Certifications - 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 and Master Treasury Trust
By: _/s/ Terry K. Glenn_______
Terry K. Glenn,
President of
CMA Treasury Fund and Master Treasury Trust
Date: May 21, 2004
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 and Master Treasury Trust
Date: May 21, 2004
By: _/s/ Donald C. Burke________
Donald C. Burke,
Chief Financial Officer of
CMA Treasury Fund and Master Treasury Trust
Date: May 21, 2004