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 - 09/30/03
Item 1 - Attach shareholder report
(BULL LOGO)
Merrill Lynch Investment Managers
www.mlim.ml.com
CMA Treasury Fund
Semi-Annual Report
September 30, 2003
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
CMA Treasury Fund
Officers and Trustees
Terry K. Glenn, President and Trustee
Ronald W. Forbes, Trustee
Cynthia A. Montgomery, Trustee
Charles C. Reilly, Trustee
Kevin A. Ryan, Trustee
Roscoe S. Suddarth, Trustee
Richard R. West, Trustee
Edward D. Zinbarg, Trustee
Cindy V. Macaulay, Vice President
Donald C. Burke, Vice President and Treasurer
Phillip S. Gillespie, Secretary
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
(800-262-4636).
Electronic Delivery
The Fund is now offering 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, SEPTEMBER 30, 2003
A Letter From the President
Dear Shareholder
Now in its final quarter, 2003 has been a meaningful year in many
respects. After one of the most significant equity market downturns
in many investors' memories, this year finally brought hopeful signs
for a sustainable economic recovery. Sub par economic growth of 1.4%
in the first quarter of 2003 increased to projected growth of more
than 4% in the second half of the year. With that good news, fixed
income investments, which had become the asset class of choice
during the long equity market decline, faced new challenges.
Earlier in the year, the Federal Reserve Board continued its
accommodative monetary policy, lowering the Federal Funds rate in
June to 1%, its lowest level since 1958. With this move, long-term
interest rates continued to be volatile, as investors began to
anticipate the impact of future Federal Reserve Board moves and
economic revitalization. As of September 30, 2003, the ten-year
Treasury bond was yielding 3.96%. This compared to a yield of 3.83%
six months earlier and 3.63% one year ago.
Against this backdrop, our portfolio managers continued to work
diligently to deliver on our commitment to provide superior
performance within reasonable expectations for risk and return. With
that said, remember also that the advice and guidance of a skilled
financial advisor often can mean the difference between successful
and unsuccessful investing. A financial professional can help you
choose those investments that will best serve you as you plan for
your financial future.
Finally, I am proud to premiere a new look to our shareholder
communications. Our portfolio manager commentaries have been trimmed
and organized in such a way that you can get the information you
need at a glance, in plain language. Today's markets are confusing
enough. We want to help you put it all in perspective. The report's
new size also allows us certain mailing efficiencies. Any cost
savings in production or postage are passed on to the Fund and,
ultimately, to Fund shareholders.
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, SEPTEMBER 30, 2003
A Discussion With Your Fund's Portfolio Manager
We took advantage of declining interest rates during the period by
increasing our holdings in the longer end of the yield curve.
How did the Fund perform in light of the existing market conditions?
For the six-month period ended September 30, 2003, CMA Treasury Fund
paid shareholders a net annualized dividend of .47%.* The Fund's
seven-day yield as of September 30, 2003 was .34%.
The average portfolio maturity for CMA Treasury Fund at September
30, 2003 was 66 days, compared to 59 days at March 31, 2003.
At the start of the six-month period, investors were anticipating
that an economic recovery was imminent. Economic growth began to
show improvement, with 3.3% gross domestic product growth registered
in the second quarter of 2003 and projected growth of greater than
4% for the second half of 2003. In June, the Federal Reserve Board
continued its easing of monetary policy, dropping the Federal Funds
rate to 1%, its lowest level in 45 years.
Based on this scenario, we adopted a more conservative strategy in
managing the Fund. While Federal Reserve Board policy was extremely
accommodative, we would not expect interest rates to remain at
historical lows for a prolonged period of time. Nevertheless, fear
of deflation, coupled with lack of job growth, gave us comfort that
the Federal Reserve Board would not shift monetary policy and
increase interest rates for some time.
Adding to the general market and economic dynamics during the period
were supply factors. At the beginning of the period, the U.S.
Treasury was issuing more front-end Treasury bills and notes than
ever before to cover a growing deficit. This, and the reintroduction
of the three-year Treasury note in the refunding cycle, led to a
steeper yield curve, with higher yields on the longer end of the
curve.
*Based on a constant investment throughout the period, with
dividends compounded daily, and reflecting a net return to the
investor after all expenses.
How did you manage the Fund during the period?
At the beginning of the period we believed that interest rates were
at their height, so we increased our holdings in the longer end of
the yield curve (the one-year - two-year range). As the period
progressed and the yield curve steepened, we gradually moved our
average life from the 60-day range to the 70-day area.
Our sector of choice for yield and price appreciation became the two-
year sector. Although we participated actively in the short end, we
used the long end of the curve to add yield. Since we believed that
the yields would remain stable for the near term, we concentrated
more on the three-month - six-month sector in the shorter end of our
investment universe. Recently, decreased issuance of one-month bills
had us rolling fewer of those maturities and concentrating more
heavily in the three-month sector. As interest rates rallied late in
the period, interest rates between three-month and six-month
securities compressed, prompting us to favor the three-month bills
for relative value reasons.
How would you characterize the Fund's position at the close of the
period?
We believe the Fund is well positioned going forward. We plan to
maintain a longer average life, as the Federal Reserve Board has
stated it will be slow to increase interest rates to ensure the
economy's recovery. Our high liquidity base offers us opportunities
to become more involved if interest rates move higher.
We will continue to look for opportunities to add to the Fund's
average life and for trading opportunities in two-year notes when
interest rates back up. We expect that the Fund will experience
heavy cash inflows in December, as many investors shift their assets
into Treasury funds for year-end tax advantages. Because much of
this money will be redeemed in January, we have been careful to
avoid issues maturing in December and place maturities in January to
generate yield and meet the seasonal redemptions that follow the
year-end influx.
Cindy V. Macaulay
Vice President and Portfolio Manager
October 16, 2003
CMA TREASURY FUND, SEPTEMBER 30, 2003
Statement of Assets and Liabilities
As of September 30, 2003
Assets
Investments in Master Treasury Trust, at value
(identified cost--$756,044,778) $ 756,441,369
Prepaid registration fees and other assets 87,249
---------------
Total assets 756,528,618
---------------
Liabilities
Payables:
Distributor $ 263,150
Other affiliates 29,672
Administrator 20,285 313,107
---------------
Accrued expenses and other liabilities 10,756
---------------
Total liabilities 323,863
---------------
Net Assets
Net assets $ 756,204,755
===============
Net Assets Consist of
Shares of beneficial interest, $.10 par value, unlimited number of
shares authorized $ 75,580,816
Paid-in capital in excess of par 680,227,348
Unrealized appreciation on investments from the Trust--net 396,591
---------------
Net Assets--Equivalent to $1.00 per share based on 755,808,164 shares
of beneficial interest outstanding $ 756,204,755
===============
See Notes to Financial Statements.
CMA TREASURY FUND, SEPTEMBER 30, 2003
Statement of Operations
For the Six Months Ended September 30, 2003
Investment Income from the Trust
Net investment income allocated from the Trust:
Interest $ 6,312,998
Expenses (1,295,732)
---------------
Net investment income from the Trust 5,017,266
---------------
Expenses
Administration fees $ 1,423,681
Distribution fees 709,450
Registration fees 61,300
Transfer agent fees 50,628
Professional fees 21,369
Printing and shareholder reports 14,678
Accounting services 389
Pricing fees 24
Other 1,815
---------------
Total expenses 2,283,334
---------------
Investment income--net 2,733,932
---------------
Realized & Unrealized Gain (Loss) on Investments from the Trust--Net
Realized gain on investments from the Trust--net 45,024
Change in unrealized appreciation on investments from the Trust--net (135,598)
---------------
Total realized and unrealized loss from the Trust--net (90,574)
---------------
Net Increase in Net Assets Resulting from Operations $ 2,643,358
===============
See Notes to Financial Statements.
CMA TREASURY FUND, SEPTEMBER 30, 2003
Statements of Changes in Net Assets
For the Six For the
Months Ended Year Ended
September 30, March 31,
Increase (Decrease) in Net Assets: 2003 2003++
Operations
Investment income--net $ 2,733,932 $ 15,893,821
Realized gain on investmentsand from the Trust--net 45,024 168,340
Change in unrealized appreciation on investments and from the Trust--net (135,598) (675,537)
--------------- ---------------
Net increase in net assets resulting from operations 2,643,358 15,386,624
--------------- ---------------
Dividends & Distributions to Shareholders
Investment income--net (2,733,932) (15,893,821)
Realized gain on investments--net (45,024) (168,339)
--------------- ---------------
Net decrease in net assets resulting from dividends and distributions
to shareholders (2,778,956) (16,062,160)
--------------- ---------------
Beneficial Interest Transactions
Net proceeds from sale of shares 477,729,717 5,730,013,423
Value of shares issued to shareholders in reinvestment of dividends
and distributions 659,176 16,062,015
--------------- ---------------
Total shares issued 478,388,893 5,746,075,438
--------------- ---------------
Cost of shares redeemed (600,840,445) (5,921,853,991)
Shares redeemed in connection with the bulk transfer of WCMA
shareholder assets (418,757,596) --
--------------- ---------------
Total shares redeemed (1,019,598,041) (5,921,853,991)
--------------- ---------------
Net decrease in net assets derived from beneficial interest transactions (541,209,148) (175,778,553)
--------------- ---------------
Net Assets
Total decrease in net assets (541,344,746) (176,454,089)
Beginning of period 1,297,549,501 1,474,003,590
--------------- ---------------
End of period $ 756,204,755 $ 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, SEPTEMBER 30, 2003
Financial Highlights
The following per share data and ratios have been derived For the Six
from information provided in the financial statements. Months Ended
September 30, For the Year Ended March 31,
Increase (Decrease) in Net Asset Value: 2003 2003++ 2002 2001 2000
Per Share Operating Performance
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ---------- ---------- ---------- ----------
Investment income--net .0023 .0111 .0248 .0530 .0434
Realized and unrealized gain (loss)
on investments and from the Trust--net (.0001) .0004 .0004 .0007 .0004
---------- ---------- ---------- ---------- ----------
Total from investment operations .0022 .0107 .0252 .0537 .0438
---------- ---------- ---------- ---------- ----------
Less dividends and distributions:
Investment Income--net (.0023) (.0111) (.0248) (.0530) (.0434)
Realized gain on investments--net --** (.0001) (.0003) (.0004) (.0001)
---------- ---------- ---------- ---------- ----------
Total dividends and distributions (.0023) (.0112) (.0251) (.0534) (.0435)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ==========
Total Investment Return .47%* 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--net .49%* 1.10% 2.43% 5.38% 4.38%
========== ========== ========== ========== ==========
Supplemental Data
Net assets, end of period (in thousands) $ 756,205 $1,279,550 $1,474,004 $1,532,543 $2,594,450
========== ========== ========== ========== ==========
*Annualized.
**Amount is less than $(.0001) per share.
++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, SEPTEMBER 30, 2003
Notes to Financial Statements
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. These unaudited financial statements reflect
all adjustments, which are, in the opinion of management, necessary
to a fair statement of the results for the interim period presented.
All such adjustments are of a normal, recurring nature. The
percentage of the Trust owned by the Fund at September 30, 2003 was
64.6%. 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.
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.
For the six months ended September 30, 2003, the Fund reimbursed FAM
$389 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.
CMA TREASURY FUND, SEPTEMBER 30, 2003
Schedule of Investments Master Treasury Trust (In Thousands)
Face Interest Maturity
Issue Amount Rate Date Value
U.S. Government Obligations*--103.4%
U.S. Treasury Bills $115,733 0.91 - 0.96 % 10/02/2003 $ 115,727
81,431 0.86 - 0.881 10/09/2003 81,413
137,606 0.872 - 0.875 10/16/2003 137,553
140,393 0.855 - 0.912 10/23/2003 140,315
66,837 0.85 - 0.924 10/30/2003 66,791
26,392 0.94 11/13/2003 26,364
69,094 0.93 - 0.94 11/20/2003 69,009
30,000 0.98 11/28/2003 29,959
39,929 0.948 - 0.955 12/04/2003 39,867
200,025 0.93 - 0.985 12/11/2003 199,677
50,024 0.837 - 0.92 12/26/2003 49,913
53,700 0.93 - 0.94 1/02/2004 53,569
19,000 1.015 1/22/2004 18,943
47,000 0.975 - 0.985 1/29/2004 46,850
8,963 1.0 - 1.015 2/05/2004 8,933
25,000 1.025 2/12/2004 24,910
25,000 1.03 2/26/2004 24,899
U.S. Treasury Notes 15,000 3.25 12/31/2003 15,084
6,000 3.625 3/31/2004 6,078
19,750 3.375 4/30/2004 20,019
7,000 2.875 6/30/2004 7,096
5,000 2.25 7/31/2004 5,049
11,000 2.125 8/31/2004 11,107
5,500 2.125 10/31/2004 5,561
5,000 1.625 3/31/2005 5,031
Total U.S. Government Obligations (Cost--$1,209,275) 1,209,717
Total Investments (Cost--$1,209,275)--103.4% 1,209,717
Liabilities in Excess of Other Assets--(3.4%) (39,301)
-----------
Net Assets--100.0% $ 1,170,416
===========
*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, SEPTEMBER 30, 2003
Statement of Assets and Liabilities Master Treasury Trust
As of September 30, 2003
Assets
Investments, at value (identified cost--$1,209,274,755++) $ 1,209,717,132
Cash 5,293
Receivables:
Contributions $ 8,143,234
Interest 536,033 8,679,267
---------------
Prepaid expenses and other assets 24,146
---------------
Total assets 1,218,425,838
---------------
Liabilities
Payables:
Securities purchased 47,968,267
Investment advisor 25,857
Other affiliates 15,708 48,009,832
--------------- ---------------
Total liabilities 48,009,832
---------------
Net Assets
Net assets $ 1,170,416,006
===============
Net Assets Consist of
Investors' capital $ 1,169,973,629
Unrealized appreciation on investments--net 442,377
---------------
Net Assets $ 1,170,416,006
===============
++Cost for Federal income tax purposes. As of September 30, 2003,
net unrealized appreciation for Federal income tax purposes amounted
to $442,377, of which $443,918 related to appreciated securities and
$1,541 related to depreciated securities.
See Notes to Financial Statements.
CMA TREASURY FUND, SEPTEMBER 30, 2003
Statement of Operations Master Treasury Trust
For the Six Months Ended September 30, 2003
Investment Income
Interest and amortization of premium and discount earned $ 6,820,999
Expenses
Investment advisory fees $ 1,215,013
Accounting services 114,972
Custodian fees 23,537
Professional fees 22,364
Trustees' fees and expenses 22,068
Pricing fees 2,381
Other 13,767
---------------
Total expenses 1,414,102
---------------
Investment income--net 5,406,897
---------------
Realized & Unrealized Gain (Loss) on Investments--Net
Realized gain on investments--net 48,275
Change in unrealized appreciation on investments--net (89,813)
---------------
Total realized and unrealized loss on investments--net (41,538)
---------------
Net Increase in Net Assets Resulting from Operations $ 5,365,359
===============
See Notes to Financial Statements.
CMA TREASURY FUND, SEPTEMBER 30, 2003
Statements of Changes in Net Assets Master Treasury Trust
For the Six For the Period
Months Ended February 13, 2003++
September 30, to March 31,
Increase (Decrease) in Net Asset Value: 2003 2003
Operations
Investment income--net $ 5,406,897 $ 1,744,050
Realized gain on investments--net 48,275 8,642
Change in unrealized appreciation on investments--net (89,813) 13,495
--------------- ---------------
Net increase in net assets resulting from operations 5,365,359 1,766,187
--------------- ---------------
Capital Transactions
Proceeds from contributions 2,618,893,348 631,848,007
Fair value of net assets contributions -- 1,408,085,004
Fair value of withdrawals (2,751,958,420) (743,683,479)
--------------- ---------------
Net increase (decrease) in net assets derived from capital transactions (133,065,072) 1,296,249,532
--------------- ---------------
Net Assets
Total increase(decrease) in net assets (127,699,713) 1,298,015,719
Beginning of period 1,298,115,719 100,000
--------------- ---------------
End of period $ 1,170,416,006 $ 1,298,115,719
=============== ===============
++Commencement of operations.
See Notes to Financial Statements.
CMA TREASURY FUND, SEPTEMBER 30, 2003
Financial Highlights Master Treasury Trust
For the Six For the Period
Months Ended February 13, 2003++
The following ratios have been derived from September 30, to March 31,
information provided in the financial statements. 2003 2003
Total Investment Return
Total investment return .88%* .60%*
=============== ===============
Ratios to Average Net Assets
Expenses .23%* .25%*
=============== ===============
Investment income and realized gain on investments--net .88%* .98%*
=============== ===============
Supplemental Data
Net assets, end of period (in thousands) $ 1,170,416 $ 1,298,116
=============== ===============
*Annualized.
++Commencement of operations.
See Notes to Financial Statements.
CMA TREASURY FUND, SEPTEMBER 30, 2003
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. These unaudited financial statements reflect
all adjustments, which are, in the opinion of management, necessary
to a fair statement of the results for the interim period presented.
All such adjustments are of a normal, recurring nature. The
following is a summary of significant accounting policies followed
by the 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 six months ended September 30, 2003, the Trust reimbursed
FAM $13,884 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, SEPTEMBER 30, 2003
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 (annual requirement
only)
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 (annual requirement only)
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. N/A
(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
Item 8--Reserved
Item 9(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.
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 and Master Treasury Trust
By: _/s/ Terry K. Glenn_______
Terry K. Glenn,
President of
CMA Treasury Fund and Master Treasury Trust
Date: November 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 and Master Treasury Trust
Date: November 21, 2003
By: _/s/ Donald C. Burke________
Donald C. Burke,
Chief Financial Officer of
CMA Treasury Fund and Master Treasury Trust
Date: November 21, 2003
Attached hereto as a furnished exhibit are the certifications
pursuant to Section 906 of the Sarbanes-Oxley Act.