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 811-21199
811-21298
Name of Fund: WCMA Treasury Fund
Master Treasury Trust
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Robert C. Doll, Jr., Chief Executive
Officer, WCMA 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: 03/31/06
Date of reporting period: 04/01/05 - 03/31/06
Item 1 - Report to Stockholders
Annual Report
March 31, 2006
WCMA Treasury Fund
(BULL LOGO) Merrill Lynch Investment Managers
www.mlim.ml.com
Mercury Advisors
A Division of Merrill Lynch Investment Managers
www.mercury.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.
Refer to www.mlim.ml.com to obtain performance data current to the most
recent month-end. 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 1-800-637-3863; (2) at
www.mutualfunds.ml.com; and (3) on the Securities and Exchange Commission's
Web site at http://www.sec.gov. Information about how the Fund voted proxies
relating to securities held in the Fund's portfolio during the most recent
12-month period ended June 30 is available (1) at www.mutualfunds.ml.com and
(2) on the Securities and Exchange Commission's Web site at http://www.sec.gov.
WCMA Treasury Fund
Box 9011
Princeton, NJ 08543-9011
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WCMA Treasury Fund
Announcement to Shareholders
On February 15, 2006, BlackRock, Inc. ("BlackRock") and Merrill Lynch & Co.,
Inc. ("Merrill Lynch") entered into an agreement to contribute Merrill Lynch's
investment management business, Merrill Lynch Investment Managers, L.P. and
certain affiliates (including Fund Asset Management, L.P. and Merrill Lynch
Investment Managers International Limited), to BlackRock to create a new
independent company that will be one of the world's largest asset management
firms with over $1 trillion in assets under management (based on combined
assets under management as of March 31, 2006). The transaction is expected to
close in the third quarter of 2006, at which time the new company will operate
under the BlackRock name. If approved by the Fund's Board of Trustees and Fund
shareholders, the combined company that results from the transaction is
expected to become the investment adviser of the Fund.
Important Tax Information
Of the ordinary income distributions paid by WCMA Treasury Fund during the
year ended March 31, 2006, 99.63% was attributable to federal obligations.
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.
The following information is provided with respect to the ordinary income
distributions paid by WCMA Treasury Fund for the fiscal year ended March 31,
2006:
Interest-Related Dividends for Non-U.S. Residents
Month Paid: April 2005 - December 2005 99.46%*
January 2006 - March 2006 99.93%*
Qualified Short-Term Capital Gains for Non-U.S. Residents
Month Paid: April 2005 - December 2005 0.39%*
* Represents the portion of the taxable ordinary income dividends
eligible for exemption from U.S. withholding tax for nonresident
aliens and foreign corporations.
WCMA TREASURY FUND MARCH 31, 2006
A Letter From the President
Dear Shareholder
You may be aware that changes are on the horizon at Merrill Lynch Investment
Managers ("MLIM"). On February 15, 2006, Merrill Lynch announced plans to
combine the firm's investment advisory business, including MLIM, with another
highly regarded investment manager - BlackRock, Inc. ("BlackRock").
We believe this merger of asset management strength will benefit our
investors. MLIM is a leading investment management organization with over
$576 billion in assets under management globally and 2,757 employees in 17
countries. It offers over 100 investment strategies in vehicles ranging from
mutual funds to institutional portfolios. BlackRock is one of the largest
publicly traded investment management firms in the United States with
$463.1 billion in assets under management and 1,839 employees. It manages
assets on behalf of institutional and individual investors worldwide through a
variety of equity, fixed income, liquidity and alternative investment products.
At the completion of the transaction, which is expected in the third quarter
of this year, the resultant firm will be a top-10 investment manager worldwide
with over $1 trillion in assets under management.* The combined company will
provide a wider selection of high-quality investment solutions across a range
of asset classes and investment styles. MLIM and BlackRock possess
complementary capabilities that together create a well-rounded organization
uniting some of the finest money managers in the industry. At the same time,
the firms share similar values and beliefs - they are focused on delivering
excellence on behalf of clients, and both make investment performance their
single most important mission. In short, the merger only reinforces our
commitment to shareholders.
Most of MLIM's investment products - including mutual funds, separately
managed accounts, annuities and variable insurance funds - eventually will
carry the "BlackRock" name. As a shareholder in one or more MLIM-advised
mutual funds, you will receive a proxy package in the coming weeks in
connection with this transaction. After you receive this information, should
you have any questions or concerns, do not hesitate to contact your financial
advisor.
As always, we thank you for entrusting us with your investment assets, and we
look forward to continuing to serve your investment needs with even greater
strength and scale as the new BlackRock.
Sincerely,
(Robert C. Doll, Jr.)
Robert C. Doll, Jr.
President and Chief Investment Officer
Merrill Lynch Investment Managers
* $1.039 trillion in assets under management as of March 31, 2006.
Data, including assets under management, are as of March 31, 2006.
WCMA TREASURY FUND MARCH 31, 2006
A Discussion With Your Fund's Portfolio Manager
We maintained a relatively conservative approach as the Federal Reserve Board
continued raising interest rates and the supply of short-term Treasury issues
declined.
How did the Fund perform during the fiscal year in light of the existing
market conditions?
For the 12-month period ended March 31, 2006, WCMA Treasury Fund's Class 1,
Class 2, Class 3 and Class 4 Shares paid shareholders net annualized dividends
of 1.85%, 2.42%, 2.77% and 2.77%, respectively. For the six-month period ended
March 31, 2006, the Fund's Class 1, Class 2, Class 3 and Class 4 Shares paid
shareholders net annualized dividends of 2.33%, 2.92%, 3.29% and 3.29%,
respectively. The Fund's seven-day yields as of March 31, 2006 were: 2.80% for
Class 1, 3.37% for Class 2, 3.73% for Class 3 and 3.73% for Class 4.
The Fund's average portfolio maturity at March 31, 2006 was 35 days. This
compared to 60 days at September 30, 2005 and 48 days at March 31, 2005.
We employed a barbell strategy for some time, but were not inclined toward
that approach during the past year. Our appetite for longer-dated securities
waned as it became apparent that the Federal Reserve Board (the Fed) was not
through with its interest rate-hiking campaign. Under these circumstances, our
goal was to capture the greatest relative value that the market had to offer
at a particular point in time.
The Fed advanced its monetary tightening campaign with eight quarter-point
interest rate hikes during the 12-month period. This brought the federal
funds rate to 4.75% by period-end. The central bank - focused on combating
inflationary fears as energy prices moved higher - continued to raise interest
rates despite the untold economic damage wrought by the summer hurricanes. In
October, Dr. Ben Bernanke was named as the future replacement of longtime Fed
Chairman Alan Greenspan, and investors began to anticipate that perhaps the
measured interest rate-hiking campaign would soon come to an end. Although the
Fed did remove the critical word "measured" from the description of its
monetary tightening program, Bernanke's official induction in January was
accompanied by a quarter-point interest rate hike, followed by another on
March 28. Many observers predict that the Fed will tighten again at its
meeting in May.
In terms of supply, issuance of short-dated Treasury bills during the period
was lower than one year ago. Recently, the U.S. Treasury's focus has been on
the issuance of longer-dated securities, particularly with the reissuance of
the 30-year Treasury bond in February. The Treasury had stopped issuing the
long bond in 2001. The limited supply on the short end meant that prices were
at times elevated.
Finally, it is worth commenting on the shape of the Treasury yield curve.
After flattening dramatically during the course of the Fed's interest rate-
hiking campaign, the curve toyed with intermittent bouts of inversion
throughout the early months of 2006. At March 31, 2006, the curve was
relatively flat, with the six-month Treasury bill yielding 4.81%, while the
two-year Treasury note, the 10-year Treasury note and the 30-year Treasury
bond yielded 4.82%, 4.86% and 4.90%, respectively.
How did you manage the portfolio during the fiscal year?
The Fund's average portfolio maturity reached a high of 65 days and a low
of 35 days during the year. As the Fed tirelessly advanced its monetary
tightening policy, we were reluctant to pursue longer-dated money market
issues and focused primarily on capturing the greatest relative value at the
short end of the Treasury curve. This meant evaluating yields available in the
one-, three- and six-month sectors in an effort to enhance income and total
return potential within a fairly conservative framework. We also remained
cognizant of supply issues that intermittently caused prices on one-month
bills to become expensive.
While we generally wanted to avoid locking into longer securities as interest
rates steadily rose, we did selectively participate in the nine-month to
one-year sectors as yield-enhancement opportunities presented themselves.
Notably, we were able to take advantage of opportunities in these sectors in
November and December, when the market began to speculate that perhaps the
Fed was nearing the end of its interest rate-hiking campaign. We reverted
back to a more conservative approach shortly after Dr. Bernanke assumed the
role of Fed Chairman and monetary tightening moved forward uninterrupted.
WCMA TREASURY FUND MARCH 31, 2006
As is customary at calendar year-end, the Fund received heavy inflows as
investors shifted assets to Treasury funds for year-end tax advantages. Thus,
we began to target maturities in January and February, avoiding issues
maturing in December. Much of the new money was redeemed in January, so our
strategy in the final quarter of the fiscal year involved carefully managing
amid the asset flows in and out of the portfolio.
How would you characterize the portfolio's position at the close of the
period?
We maintained ample liquidity at period-end and would characterize our
position as cautiously optimistic. We believe the end of the Fed's tightening
cycle is within sight, perhaps toward summer, which could eventually give us
cause to become more aggressive.
Overall, the housing market still shows signs of decline, fears of increasing
gasoline prices still loom for summer travelers, and the market has yet to see
the type of explosive employment growth that would accompany projected 5%
gross domestic product growth in the first quarter. All of these variables
have been reflected in a decline in consumer confidence.
On the supply side, record U.S. deficits are expected to translate into
increased debt issuance, although we believe most of the supply will continue
to be skewed toward the long end. We anticipate that some of the Treasury's
needs will be met by higher tax receipts both on the corporate and individual
levels. However, if the economy slows, resulting in a downturn in tax
receipts, we would expect front-end issuance to increase.
Under these conditions, we intend to maintain our relatively conservative
approach in the immediate term. We will continue to monitor the economic data
and the yield curve for signs that a Fed pause is imminent, which would give
us greater reason to extend the portfolio's maturity.
The Trust's portfolio composition, as a percent of net assets, at the end of
March and as of our last report to shareholders is detailed below:
3/31/06 9/30/05
U.S. Government Obligations 99.0% 98.7%
Other Assets Less Liabilities 1.0 1.3
------ ------
Total 100.0% 100.0%
====== ======
Cindy V. Macaulay
Vice President and Portfolio Manager
April 11, 2006
WCMA TREASURY FUND MARCH 31, 2006
Disclosure of Expenses
Shareholders of this Fund may incur the following charges: (a) expenses
related to transactions, including sales charges, redemption fees and exchange
fees; and (b) operating expenses including advisory fees, distribution fees
including 12b-1 fees, and other Fund expenses. The following example (which is
based on a hypothetical investment of $1,000 invested on October 1, 2005 and
held through March 31, 2006) is intended to assist shareholders both in
calculating expenses based on an investment in the Fund and in comparing these
expenses with similar costs of investing in other mutual funds.
The first table below provides information about actual account values and
actual expenses. In order to estimate the expenses a shareholder paid during
the period covered by this report, shareholders can divide their account value
by $1,000 and then multiply the result by the number in the first line under
the heading entitled "Expenses Paid During the Period."
The second table below provides information about hypothetical account values
and hypothetical expenses based on the Fund's actual expense ratio and an
assumed rate of return of 5% per year before expenses. In order to assist
shareholders in comparing the ongoing expenses of investing in this Fund and
other funds, compare the 5% hypothetical example with the 5% hypothetical
examples that appear in other funds' shareholder reports.
The expenses shown in the table are intended to highlight shareholders'
ongoing costs only and do not reflect any transactional expenses, such as
sales charges, redemption fees or exchange fees. Therefore, the second table
is useful in comparing ongoing expenses only, and will not help shareholders
determine the relative total expenses of owning different funds. If these
transactional expenses were included, shareholder expenses would have been
higher.
Expenses Paid
Beginning Ending During the Period*
Account Value Account Value October 1, 2005 to
October 1, March 31, March 31,
2005 2006 2006
Actual
Class 1 $1,000 $1,011.50 $7.77
Class 2 $1,000 $1,014.50 $4.87
Class 3 $1,000 $1,016.30 $3.12
Class 4 $1,000 $1,016.30 $3.12
Hypothetical (5% annual return before expenses)**
Class 1 $1,000 $1,017.17 $7.80
Class 2 $1,000 $1,020.06 $4.89
Class 3 $1,000 $1,021.81 $3.13
Class 4 $1,000 $1,021.81 $3.13
* For each class of the Fund, expenses are equal to the annualized expense ratio for the class
(1.55% for Class 1, .97% for Class 2, .62% for Class 3 and .62% for Class 4), multiplied by
the average account value over the period, multiplied by 182/365 (to reflect the one-half year
period shown). Because the Fund is a feeder fund, the expense table example reflects the expenses
of both the feeder fund and the master trust in which it invests.
** Hypothetical 5% annual return before expenses is calculated by pro-rating the number of days in
the most recent fiscal half year divided by 365.
WCMA TREASURY FUND MARCH 31, 2006
Statement of Assets and Liabilities WCMA Treasury Fund
As of March 31, 2006
Assets
Investment in Master Treasury Trust (the "Trust"), at value (identified cost--$391,914,623) $ 391,751,863
Prepaid expenses 45,832
---------------
Total assets 391,797,695
---------------
Liabilities
Payables:
Administrator $ 79,429
Distributor 70,875
Other affiliates 4,994 155,298
---------------
Accrued expenses and other liabilities 10,475
---------------
Total liabilities 165,773
---------------
Net Assets
Net assets $ 391,631,922
===============
Net Assets Consist of
Class 1 Shares of beneficial interest, $.10 par value, unlimited number of
shares authorized $ 1,741,790
Class 2 Shares of beneficial interest, $.10 par value, unlimited number of
shares authorized 11,820,098
Class 3 Shares of beneficial interest, $.10 par value, unlimited number of
shares authorized 16,726,134
Class 4 Shares of beneficial interest, $.10 par value, unlimited number of
shares authorized 8,891,446
Paid-in capital in excess of par 352,615,214
Unrealized depreciation allocated from the Trust--net (162,760)
---------------
Net Assets $ 391,631,922
===============
Net Asset Value
Class 1--Based on net assets of $17,407,127 and 17,417,900 shares of beneficial
interest outstanding $ 1.00
===============
Class 2--Based on net assets of $118,142,041 and 118,200,978 shares of beneficial
interest outstanding $ 1.00
===============
Class 3--Based on net assets of $167,196,816 and 167,261,342 shares of beneficial
interest outstanding $ 1.00
===============
Class 4--Based on net assets of $88,885,938 and 88,914,463 shares of beneficial
interest outstanding $ 1.00
===============
See Notes to Financial Statements.
WCMA TREASURY FUND MARCH 31, 2006
Statement of Operations WCMA Treasury Fund
For the Year Ended March 31, 2006
Investment Income
Interest from affiliates $ 29,209
Net investment income allocated from the Trust:
Interest and amortization of premium and discount earned 13,371,061
Expenses (1,012,033)
---------------
Total income 12,388,237
---------------
Expenses
Administration fees $ 977,490
Account maintenance and distribution fees--Class 2 814,752
Account maintenance and distribution fees--Class 3 616,784
Account maintenance and distribution fees--Class 4 307,456
Account maintenance and distribution fees--Class 1 196,382
Registration fees 133,184
Printing and shareholder reports 31,215
Professional fees 21,241
Transfer agent fees--Class 3 11,397
Transfer agent fees--Class 2 8,317
Transfer agent fees--Class 4 5,777
Transfer agent fees--Class 1 1,369
Other 9,791
---------------
Total expenses before waiver 3,135,155
Waiver of expenses (1,074,634)
---------------
Total expenses after waiver 2,060,521
---------------
Investment income--net 10,327,716
---------------
Realized & Unrealized Gain Allocated from the Trust--Net
Realized gain on investments--net 20,987
Change in unrealized depreciation on investments--net 25,253
---------------
Total realized and unrealized gain--net 46,240
---------------
Net Increase in Net Assets Resulting from Operations $ 10,373,956
===============
See Notes to Financial Statements.
WCMA TREASURY FUND MARCH 31, 2006
Statements of Changes in Net Assets WCMA Treasury Fund
For the Year Ended March 31,
Increase (Decrease) in Net Assets: 2006 2005
Operations
Investment income--net $ 10,327,716 $ 3,093,847
Realized gain--net 20,987 9,066
Change in unrealized depreciation--net 25,253 (160,496)
--------------- ---------------
Net increase in net assets resulting from operations 10,373,956 2,942,417
--------------- ---------------
Dividends & Distributions to Shareholders
Investment income--net:
Class 1 (362,617) (53,371)
Class 2 (2,920,261) (827,425)
Class 3 (4,645,621) (1,567,468)
Class 4 (2,399,217) (645,583)
Realized gain--net:
Class 1 (1,118) (490)
Class 2 (6,846) (3,269)
Class 3 (8,972) (3,638)
Class 4 (4,051) (1,669)
--------------- ---------------
Net decrease in net assets resulting from dividends and distributions to shareholders (10,348,703) (3,102,913)
--------------- ---------------
Beneficial Interest Transactions
Net increase (decrease) in net assets derived from beneficial interest transactions 24,835,652 (75,194,795)
--------------- ---------------
Net Assets
Total increase (decrease) in net assets 24,860,905 (75,355,291)
Beginning of year 366,771,017 442,126,308
--------------- ---------------
End of year $ 391,631,922 $ 366,771,017
=============== ===============
See Notes to Financial Statements.
WCMA TREASURY FUND MARCH 31, 2006
Financial Highlights WCMA Treasury Fund
Class 1
For the Period
March 20, 2003++
The following per share data and ratios have been derived For the Year Ended March 31, to March 31,
from information provided in the financial statements. 2006 2005 2004 2003
Per Share Operating Performance
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00
------------ ------------ ------------ ------------
Investment income--net .0184 .0025 .0003 .0002
Realized and unrealized gain (loss)--net .0002 (.0004) (.0002) .0001
------------ ------------ ------------ ------------
Total from investment operations .0186 .0021 .0001 .0003
------------ ------------ ------------ ------------
Less dividends and distributions:
Investment income--net (.0184) (.0025) (.0003) (.0002)
Realized gain--net (.0001) --* (.0001) --
------------ ------------ ------------ ------------
Total dividends and distributions (.0185) (.0025) (.0004) (.0002)
------------ ------------ ------------ ------------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00
============ ============ ============ ============
Total investment return 1.87% .26% .04% .04%
============ ============ ============ ============
Ratios to Average Net Assets++++
Total expenses, net of waiver and/or reimbursement 1.55% 1.32% .96% .02%
============ ============ ============ ============
Total expenses 1.55% 1.56% 1.58% .02%
============ ============ ============ ============
Total investment income and realized gain--net 1.82% .25% .04% .02%
============ ============ ============ ============
Supplemental Data
Net assets, end of period (in thousands) $ 17,407 $ 23,145 $ 26,768 $ 25
============ ============ ============ ============
* Amount is less than $(.0001) per share.
++ Effective date of the Fund's registration.
++++ Includes the Fund's share of the Trust's allocated expenses and/or investment income and realized gain--net.
See Notes to Financial Statements.
WCMA TREASURY FUND MARCH 31, 2006
Financial Highlights (continued) WCMA Treasury Fund
Class 2
For the Period
March 20, 2003++
The following per share data and ratios have been derived For the Year Ended March 31, to March 31,
from information provided in the financial statements. 2006 2005 2004 2003
Per Share Operating Performance
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00
------------ ------------ ------------ ------------
Investment income--net .0241 .0060 .0007 .0002
Realized and unrealized gain (loss)--net .0001 (.0004) --** .0001
------------ ------------ ------------ ------------
Total from investment operations .0242 .0056 .0007 .0003
------------ ------------ ------------ ------------
Less dividends and distributions:
Investment income--net (.0241) (.0060) (.0007) (.0002)
Realized gain--net (.0001) --* (.0001) --
------------ ------------ ------------ ------------
Total dividends and distributions (.0242) (.0060) (.0008) (.0002)
------------ ------------ ------------ ------------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00
============ ============ ============ ============
Total investment return 2.45% .61% .08% .04%
============ ============ ============ ============
Ratios to Average Net Assets++++
Total expenses, net of waiver and/or reimbursement .98% .99% .92% .02%
============ ============ ============ ============
Total expenses 1.24% 1.24% 1.25% .02%
============ ============ ============ ============
Total investment income and realized gain--net 2.42% .59% .08% .02%
============ ============ ============ ============
Supplemental Data
Net assets, end of period (in thousands) $ 118,142 $ 123,994 $ 157,800 $ 25
============ ============ ============ ============
* Amount is less than $(.0001) per share.
** Amount is less than $.0001 per share.
++ Effective date of the Fund's registration.
++++ Includes the Fund's share of the Trust's allocated expenses and/or investment income and realized gain--net.
See Notes to Financial Statements.
WCMA TREASURY FUND MARCH 31, 2006
Financial Highlights (continued) WCMA Treasury Fund
Class 3
For the Period
March 20, 2003++
The following per share data and ratios have been derived For the Year Ended March 31, to March 31,
from information provided in the financial statements. 2006 2005 2004 2003
Per Share Operating Performance
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00
------------ ------------ ------------ ------------
Investment income--net .0277 .0094 .0035 .0002
Realized and unrealized gain (loss)--net .0001 (.0004) --** .0001
------------ ------------ ------------ ------------
Total from investment operations .0278 .0090 .0035 .0003
------------ ------------ ------------ ------------
Less dividends and distributions:
Investment income--net (.0277) (.0094) (.0035) (.0002)
Realized gain--net (.0001) --* (.0001) --
------------ ------------ ------------ ------------
Total dividends and distributions (.0278) (.0094) (.0036) (.0002)
------------ ------------ ------------ ------------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00
============ ============ ============ ============
Total investment return 2.81% .95% .36% .04%
============ ============ ============ ============
Ratios to Average Net Assets++++
Total expenses, net of waiver and/or reimbursement .63% .65% .64% .02%
============ ============ ============ ============
Total expenses .94% .94% .95% .02%
============ ============ ============ ============
Total investment income and realized gain--net 2.80% .95% .36% .02%
============ ============ ============ ============
Supplemental Data
Net assets, end of period (in thousands) $ 167,197 $ 162,092 $ 168,710 $ 25
============ ============ ============ ============
* Amount is less than $(.0001) per share.
** Amount is less than $.0001 per share.
++ Effective date of the Fund's registration.
++++ Includes the Fund's share of the Trust's allocated expenses and/or investment income and realized gain--net.
See Notes to Financial Statements.
WCMA TREASURY FUND MARCH 31, 2006
Financial Highlights (concluded) WCMA Treasury Fund
Class 4
For the Period
March 20, 2003++
The following per share data and ratios have been derived For the Year Ended March 31, to March 31,
from information provided in the financial statements. 2006 2005 2004 2003
Per Share Operating Performance
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00
------------ ------------ ------------ ------------
Investment income--net .0277 .0094 .0035 .0002
Realized and unrealized gain (loss)--net .0001 (.0003) --** .0001
------------ ------------ ------------ ------------
Total from investment operations .0278 .0091 .0035 .0003
------------ ------------ ------------ ------------
Less dividends and distributions:
Investment income--net (.0277) (.0094) (.0035) (.0002)
Realized gain--net (.0001) --* (.0001) --
------------ ------------ ------------ ------------
Total dividends and distributions (.0278) (.0094) (.0036) (.0002)
------------ ------------ ------------ ------------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00
============ ============ ============ ============
Total investment return 2.81% .95% .36% .04%
============ ============ ============ ============
Ratios to Average Net Assets++++
Total expenses, net of waiver and/or reimbursement .63% .65% .65% .02%
============ ============ ============ ============
Total expenses .93% .93% .96% .02%
============ ============ ============ ============
Total investment income and realized gain--net 2.86% .91% .36% .02%
============ ============ ============ ============
Supplemental Data
Net assets, end of period (in thousands) $ 88,886 $ 57,539 $ 88,849 $ 25
============ ============ ============ ============
* Amount is less than $(.0001) per share.
** Amount is less than $.0001 per share.
++ Effective date of the Fund's registration.
++++ Includes the Fund's share of the Trust's allocated expenses and/or investment income and realized gain--net.
See Notes to Financial Statements.
WCMA TREASURY FUND MARCH 31, 2006
Notes to Financial Statements WCMA Treasury Fund
1. Significant Accounting Policies:
WCMA 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 and strategies 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 U.S. generally accepted accounting
principles, which may require the use of management accruals and estimates.
Actual results may differ from these estimates. The percentage of the Trust
owned by the Fund at March 31, 2006 was 44.8%. The Fund is divided into four
classes, designated Class 1, Class 2, Class 3 and Class 4. Each Class 1, Class
2, Class 3 and Class 4 share represents interest in the same assets of the
Fund and has identical voting, dividend, liquidation and other rights and the
same terms and conditions, except that each class bears certain expenses
related to the account maintenance and the distribution of such shares and the
additional incremental transfer agency costs resulting from the conversion of
shares and has exclusive voting with respect to matters relating to such
account maintenance and distribution expenditures. Income, expenses (other
than expenses attributed to a specific class) and realized and unrealized
gains and losses are allocated daily to each class based on its relative net
assets. 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
1(a) 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 income and 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. 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"), an indirect, 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 Distribution Plans in compliance with Rule 12b-1 under
the Investment Company Act of 1940, pursuant to which Merrill Lynch, Pierce,
Fenner & Smith Incorporated ("MLPF&S"), an affiliate of FAM, receives account
maintenance and distribution fees from the Fund. The fees are accrued daily
and paid monthly at annual rates based upon the average daily net assets of
the shares of the Fund as follows:
Account
Maintenance Distribution
Fee Fee
Class 1 .25% .75%
Class 2 .25% .425%
Class 3 .25% .125%
Class 4 .25% .125%
WCMA TREASURY FUND MARCH 31, 2006
Notes to Financial Statements (continued) WCMA Treasury Fund
The ongoing account maintenance fee compensates MLPF&S for providing account
maintenance services to respective shareholders. The ongoing distribution fee
compensates MLPF&S for providing shareholder and distribution related services
to respective shareholders. The Fund has entered into a contractual
arrangement with FAM and MLPF&S to waive and/or reimburse a portion of the
Fund's fees and expenses to ensure that the net expenses for the Fund's Class
2 Shares is .35% higher than that of CMA Treasury Fund, and Class 3 and Class
4 Shares is equal to that of CMA Treasury Fund. The fee/expense waiver or
reimbursement includes account maintenance and distribution fees. This
arrangement has a one-year term and is renewable. The Distributor has
voluntarily agreed to waive a portion of its distribution fees in order to
ensure that each class of shareholders receives a positive yield on each daily
dividend. For year ended March 31, 2006, MLPF&S earned fees of $1,935,374, of
which $1,074,634 was waived.
Financial Data Services, Inc. ("FDS"), a wholly-owned subsidiary of ML & Co.,
is the Fund's transfer agent. Interest is earned by the Fund from FDS based on
the difference, if any, between estimated and actual daily beneficial share
activity, which results in uninvested net proceeds from sales of Fund shares.
Certain officers and/or trustees of the Fund are officers and/or directors of
FAM, PSI, FDS, and/or ML & Co.
In February 2006, ML & Co. and BlackRock, Inc. entered into an agreement to
merge ML & Co.'s investment management business, including FAM, with the
investment management business of BlackRock, Inc. The transaction is expected
to close in the third quarter of 2006.
3. Beneficial Interest Transactions:
Net increase (decrease) in net assets derived from beneficial interest
transactions was $24,835,652 and $(75,194,795) for the years ended March 31,
2006 and March 31, 2005, respectively.
Transactions in shares of beneficial interest for each class were as follows:
Class 1 Shares for the Year Dollar
Ended March 31, 2006 Shares Amount
Shares sold 329,395,758 $ 329,395,758
Shares issued to shareholders in
reinvestment of dividends and
distributions 363,724 363,724
--------------- ---------------
Total issued 329,759,482 329,759,482
Shares redeemed (335,500,098) (335,500,098)
--------------- ---------------
Net decrease (5,740,616) $ (5,740,616)
=============== ===============
Class 1 Shares for the Year Dollar
Ended March 31, 2005 Shares Amount
Shares sold 278,318,262 $ 278,318,262
Shares issued to shareholders in
reinvestment of dividends and
distributions 53,865 53,865
--------------- ---------------
Total issued 278,372,127 278,372,127
Shares redeemed (281,985,531) (281,985,531)
--------------- ---------------
Net decrease (3,613,404) $ (3,613,404)
=============== ===============
Class 2 Shares for the Year Dollar
Ended March 31, 2006 Shares Amount
Shares sold 620,968,152 $ 620,968,152
Shares issued to shareholders in
reinvestment of dividends and
distributions 2,927,107 2,927,107
--------------- ---------------
Total issued 623,895,259 623,895,259
Shares redeemed (629,756,903) (629,756,903)
--------------- ---------------
Net decrease (5,861,644) $ (5,861,644)
=============== ===============
Class 2 Shares for the Year Dollar
Ended March 31, 2005 Shares Amount
Shares sold 707,040,659 $ 707,040,659
Shares issued to shareholders in
reinvestment of dividends and
distributions 830,645 830,645
--------------- ---------------
Total issued 707,871,304 707,871,304
Shares redeemed (741,617,318) (741,617,318)
--------------- ---------------
Net decrease (33,746,014) $ (33,746,014)
=============== ===============
WCMA TREASURY FUND MARCH 31, 2006
Notes to Financial Statements (concluded) WCMA Treasury Fund
Class 3 Shares for the Year Dollar
Ended March 31, 2006 Shares Amount
Shares sold 1,335,060,352 $ 1,335,060,352
Shares issued to shareholders in
reinvestment of dividends and
distributions 4,654,593 4,654,593
--------------- ---------------
Total issued 1,339,714,945 1,339,714,945
Shares redeemed (1,334,623,614) (1,334,623,614)
--------------- ---------------
Net increase 5,091,331 $ 5,091,331
=============== ===============
Class 3 Shares for the Year Dollar
Ended March 31, 2005 Shares Amount
Shares sold 1,323,036,450 $ 1,323,036,450
Shares issued to shareholders in
reinvestment of dividends and
distributions 1,571,106 1,571,106
--------------- ---------------
Total issued 1,324,607,556 1,324,607,556
Shares redeemed (1,331,156,594) (1,331,156,594)
--------------- ---------------
Net decrease (6,549,038) $ (6,549,038)
=============== ===============
Class 4 Shares for the Year Dollar
Ended March 31, 2006 Shares Amount
Shares sold 1,020,029,299 $ 1,020,029,299
Shares issued to shareholders in
reinvestment of dividends and
distributions 2,403,267 2,403,267
--------------- ---------------
Total issued 1,022,432,566 1,022,432,566
Shares redeemed (991,085,985) (991,085,985)
--------------- ---------------
Net increase 31,346,581 $ 31,346,581
=============== ===============
Class 4 Shares for the Year Dollar
Ended March 31, 2005 Shares Amount
Shares sold 874,328,937 $ 874,328,937
Shares issued to shareholders in
reinvestment of dividends and
distributions 647,252 647,252
--------------- ---------------
Total issued 874,976,189 874,976,189
Shares redeemed (906,262,528) (906,262,528)
--------------- ---------------
Net decrease (31,286,339) $ (31,286,339)
=============== ===============
4. Distribution to Shareholders:
The tax character of distributions paid during the fiscal years ended
March 31, 2006 and March 31, 2005 was as follows:
3/31/2006 3/31/2005
Distributions paid from:
Ordinary income $ 10,348,703 $ 3,093,965
Net long-term capital gains -- 8,948
--------------- ---------------
Total taxable distributions $ 10,348,703 $ 3,102,913
=============== ===============
As of March 31, 2006, there were no significant differences between
the book and tax components of net assets.
WCMA TREASURY FUND MARCH 31, 2006
Report of Independent Registered Public Accounting Firm WCMA Treasury Fund
To the Shareholders and Board of Trustees
of WCMA Treasury Fund:
We have audited the accompanying statement of assets and liabilities of WCMA
Treasury Fund as of March 31, 2006, 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 respective periods 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 the standards of the Public Company
Accounting Oversight Board (United States). 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. The Fund is not required to have, nor were we engaged to
perform, an audit of its internal control over financial reporting. Our audits
included consideration of internal control over financial reporting as a basis
for designing audit procedures that are appropriate in the circumstances, but
not for the purpose of expressing an opinion on the effectiveness of the
Fund's internal control over financial reporting. Accordingly, we express no
such opinion. An audit also includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, 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 WCMA
Treasury Fund as of March 31, 2006, 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 respective
periods then ended, in conformity with U.S. generally accepted accounting
principles.
Deloitte & Touche LLP
Princeton, New Jersey
May 22, 2006
WCMA TREASURY FUND MARCH 31, 2006
Schedule of Investments Master Treasury Trust (In Thousands)
Face Interest Maturity
Issue Amount Rate(s) Date Value
U.S. Government Obligations*--99.0%
U.S. Treasury Bills $140,160 3.861 - 4.485 % 4/06/2006 $ 140,062
158,782 3.955 - 4.586 4/13/2006 158,532
172,889 4.005 - 4.58 4/20/2006 172,455
90,046 4.06 - 4.595 4/27/2006 89,750
18,648 4.351 5/04/2006 18,575
30,000 4.362 - 4.39 5/11/2006 29,857
4,501 4.442 5/18/2006 4,476
26,000 4.467 5/25/2006 25,831
38,000 4.162 - 4.172 6/08/2006 37,689
35,000 4.19 - 4.217 6/22/2006 34,653
30,877 4.34 - 4.38 7/27/2006 30,433
U.S. Treasury Notes 10,000 2.25 4/30/2006 9,981
57,000 2.00 5/15/2006 56,816
5,000 4.625 5/15/2006 5,000
30,000 2.50 5/31/2006 29,896
5,000 2.375 8/15/2006 4,956
4,700 2.50 10/31/2006 4,637
11,402 2.875 11/30/2006 11,255
Total Investments (Cost--$864,935**)--99.0% 864,854
Other Assets Less Liabilities--1.0% 8,683
-----------
Net Assets--100.0% $ 873,537
===========
* U.S. Treasury Bills are traded on a discount basis; the interest rates shown are the range of
discount rates paid at the time of purchase. U.S. Treasury Notes bear interest at the rates shown,
payable at fixed dates until maturity.
** The cost and unrealized appreciation (depreciation) of investments as of March 31, 2006,
as computed for federal income tax purposes, were as follows:
Aggregate cost $ 864,935
===============
Gross unrealized appreciation $ 23
Gross unrealized depreciation (104)
---------------
Net unrealized depreciation $ (81)
===============
See Notes to Financial Statements.
WCMA TREASURY FUND MARCH 31, 2006
Statement of Assets and Liabilities Master Treasury Trust
As of March 31, 2006
Assets
Investments in unaffiliated securities, at value (identified cost--$864,935,150) $ 864,853,868
Cash 25,581
Receivables:
Contributions $ 7,871,204
Interest 1,030,172 8,901,376
---------------
Prepaid expenses 5,506
---------------
Total assets 873,786,331
---------------
Liabilities
Payables:
Investment adviser 149,044
Other affiliates 8,565 157,609
---------------
Accrued expenses 91,924
---------------
Total liabilities 249,533
---------------
Net Assets
Net assets $ 873,536,798
===============
Net Assets Consist of
Investors' capital $ 873,618,080
Unrealized depreciation--net (81,282)
---------------
Net Assets $ 873,536,798
===============
See Notes to Financial Statements.
Statement of Operations Master Treasury Trust
For the Year Ended March 31, 2006
Investment Income
Interest and amortization of premium and discount earned $ 29,915,030
Expenses
Investment advisory fees $ 1,913,838
Accounting services 223,071
Professional fees 47,605
Trustees' fees and expenses 38,484
Custodian fees 31,548
Pricing fees 3,836
Printing and shareholder reports 273
Other 20,903
---------------
Total expenses 2,279,558
---------------
Investment income--net 27,635,472
---------------
Realized & Unrealized Gain--Net
Realized gain on investments--net 49,565
Change in unrealized depreciation on investments--net 55,776
---------------
Total realized and unrealized gain--net 105,341
---------------
Net Increase in Net Assets Resulting from Operations $ 27,740,813
===============
See Notes to Financial Statements.
WCMA TREASURY FUND MARCH 31, 2006
Statements of Changes in Net Assets Master Treasury Trust
For the Year Ended March 31,
Increase (Decrease) in Net Assets: 2006 2005
Operations
Investment income--net $ 27,635,472 $ 13,655,989
Realized gain--net 49,565 23,252
Change in unrealized depreciation--net 55,776 (391,579)
--------------- ---------------
Net increase in net assets resulting from operations 27,740,813 13,287,662
--------------- ---------------
Capital Transactions
Proceeds from contributions 4,793,985,856 5,338,064,437
Fair value of withdrawals (4,917,573,291) (5,497,700,237)
--------------- ---------------
Net decrease in net assets derived from capital transactions (123,587,435) (159,635,800)
--------------- ---------------
Net Assets
Total decrease in net assets (95,846,622) (146,348,138)
Beginning of year 969,383,420 1,115,731,558
--------------- ---------------
End of year $ 873,536,798 $ 969,383,420
=============== ===============
See Notes to Financial Statements.
Financial Highlights Master Treasury Trust
For the Period
February 13, 2003++
The following per share data and ratios have been derived For the Year Ended March 31, to March 31,
from information provided in the financial statements. 2006 2005 2004 2003
Total Investment Return
Total investment return 3.22% 1.35% .81% .60%*
============ ============ ============ ============
Ratios to Average Net Assets
Expenses .26% .25% .23% .25%*
============ ============ ============ ============
Investment income and realized gain--net 3.14% 1.34% .82% .98%*
============ ============ ============ ============
Supplemental Data
Net assets, end of period (in thousands) $ 873,537 $ 969,383 $ 1,115,732 $ 1,298,116
============ ============ ============ ============
* Annualized.
++ Commencement of operations.
See Notes to Financial Statements.
WCMA TREASURY FUND MARCH 31, 2006
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 interests
in the Trust, subject to certain limitations. The Trust's financial statements
are prepared in conformity with U.S. generally accepted accounting principles,
which may require the use of management accruals and estimates. Actual results
may differ from these 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
purposes 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 and assets for which market quotations are not available are
valued at fair value as determined in good faith by or under the direction of
the 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, 2006, the Trust reimbursed FAM $19,874 for
certain accounting services.
Certain officers and/or trustees of the Trust are officers and/or directors of
FAM, PSI, and/or ML & Co.
In February 2006, ML & Co. and BlackRock, Inc. entered into an agreement to
contribute ML & Co.'s investment management business, including FAM, to the
investment management business of BlackRock, Inc. The transaction is expected
to close in the third quarter of 2006.
WCMA TREASURY FUND MARCH 31, 2006
Report of Independent Registered Public Accounting Firm 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, 2006, 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 respective periods
then ended. 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 the standards of the Public Company
Accounting Oversight Board (United States). 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. The Trust is not required to have, nor were we engaged to
perform, an audit of its internal control over financial reporting. Our audits
included consideration of internal control over financial reporting as a basis
for designing audit procedures that are appropriate in the circumstances, but
not for the purpose of expressing an opinion on the effectiveness of the
Trust's internal control over financial reporting. Accordingly, we express no
such opinion.
An audit also includes examining, on a test basis, evidence supporting the
amounts and disclosures in the financial statements, assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. Our procedures
included confirmation of securities owned as of March 31, 2006, by
correspondence with the custodian. 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, 2006, the results of its operations for
the year then ended, and 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
respective periods then ended, in conformity with U.S. generally accepted
accounting principles.
Deloitte & Touche LLP
Princeton, New Jersey
May 22, 2006
WCMA TREASURY FUND MARCH 31, 2006
Officers and Trustees
Number of
Portfolios in Other Public
Position(s) Length of Fund Complex Directorships
Held with Time Overseen by Held by
Name, Address & Age Fund/Trust Served Principal Occupation(s) During Past 5 Years Trustee Trustee
Interested Trustee
Robert C. Doll, Jr.* President 2005 to President of MLIM/FAM-advised funds since 131 Funds None
P.O. Box 9011 and present 2005; President of MLIM and FAM since 2001; 177 Portfolios
Princeton, Trustee Co-Head (Americas Region) thereof from 2000
NJ 08543-9011 to 2001 and Senior Vice President from 1999
Age: 51 to 2001; President and Director of Princeton
Services, Inc. ("Princeton Services") since
2001; President of Princeton Administrators,
L.P. ("Princeton Administrators") since 2001;
Chief Investment Officer of OppenheimerFunds,
Inc. in 1999 and Executive Vice President
thereof from 1991 to 1999.
* Mr. Doll 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. Doll is an "interested person," as defined in the Investment Company Act,
of the Fund based on his positions with MLIM, FAM, Princeton Services and
Princeton Administrators. Trustees serve until their resignation, removal or
death, or until December 31 of the year in which they turn 72. As Fund/Trust
President, Mr. Doll serves at the pleasure of the Board of Trustees.
WCMA TREASURY FUND MARCH 31, 2006
Officers and Trustees (continued)
Number of
Portfolios in Other Public
Position(s) Length of Fund Complex Directorships
Held with Time Overseen by Held by
Name, Address & Age Fund/Trust Served Principal Occupation(s) During Past 5 Years Trustee Trustee
Independent Trustees*
Ronald W. Forbes** Trustee 2002 to Professor Emeritus of Finance, School of 49 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: 65 Urban Institute, Washington, D.C. from
1995 to 1999.
Cynthia A. Montgomery Trustee 2002 to Professor, Harvard Business School since 49 Funds Newell
P.O. Box 9095 present 1989; Associate Professor, J.L. Kellogg 50 Portfolios Rubbermaid, Inc.
Princeton, Graduate School of Management, Northwestern (manufacturing)
NJ 08543-9095 University from 1985 to 1989; Associate
Age: 53 Professor, Graduate School of Business
Administration, University of Michigan
from 1979 to 1985; Director, Harvard
Business School Publishing since 2005;
Director, McLean Hospital since 2005.
Jean Margo Reid Trustee 2004 to Self-employed consultant since 2001; 49 Funds None
P.O. Box 9095 present Counsel of Alliance Capital Management 50 Portfolios
Princeton, (investment adviser) in 2000; General
NJ 08543-9095 Counsel, Director and Secretary of
Age: 60 Sanford C. Bernstein & Co., Inc. (investment
adviser/broker-dealer) from 1997 to 2000;
Secretary, Sanford C. Bernstein Fund, Inc.
from 1994 to 2000; Director and Secretary
of SCB, Inc. since 1998; Director and
Secretary of SCB Partners, Inc. since 2000; and
Director of Covenant House from 2001 to 2004.
Roscoe S. Suddarth Trustee 2002 to President, Middle East Institute from 1995 49 Funds None
P.O. Box 9095 present to 2001; Foreign Service Officer, United 50 Portfolios
Princeton, States Foreign Service, from 1961 to 1995 and
NJ 08543-9095 Career Minister from 1989 to 1995; Deputy
Age: 70 Inspector General, U.S. Department of State,
from 1991 to 1994; U.S. Ambassador to the
Hashemite Kingdom of Jordan from 1987 to 1990.
Richard R. West Trustee 2002 to Professor of Finance from 1984 to 1995, 49 Funds Bowne & Co.,
P.O. Box 9095 present Dean from 1984 to 1993 and since 1995 50 Portfolios Inc. (financial
Princeton, Dean Emeritus of New York University printers);
NJ 08543-9095 Leonard N. Stern School of Business Vornado Realty
Age: 68 Administration. Trust (real estate
company);
Alexander's, Inc.
(real estate
company)
Edward D. Zinbarg Trustee 2002 to Self-employed financial consultant since 49 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: 71 Prudential Reinsurance Company and former
Trustee of the Prudential Foundation.
* Trustees serve until their resignation, removal or death, or until December 31
of the year in which they turn 72.
** Chairman of the Board of Trustees and the Audit Committee.
WCMA TREASURY FUND MARCH 31, 2006
Officers and Trustees (concluded)
Position(s) Length of
Held with Time
Name, Address & Age Fund/Trust Served Principal Occupation(s) During Past 5 Years
Fund Officers*
Donald C. Burke Vice 2003 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 Director since 2004; Vice President of FAM Distributors, Inc. ("FAMD")
NJ 08543-9011 Treasurer since 1999 and Director since 2004; Vice President of MLIM and FAM from 1990
Age: 45 to 1997; Director of Taxation of MLIM from 1990 to 2001; Vice President,
Treasurer and Secretary of the IQ Funds since 2004.
Cindy V. Macaulay Vice 2002 to Vice President of MLIM since 1996.
P.O. Box 9011 President present
Princeton,
NJ 08543-9011
Age: 39
Jeffrey Hiller Chief 2004 to Chief Compliance Officer of the MLIM/FAM-advised funds and First Vice
P.O. Box 9011 Compliance present President and Chief Compliance Officer of MLIM (Americas Region) since
Princeton, Officer 2004; Chief Compliance Officer of the IQ Funds since 2004; Global Director
NJ 08543-9011 of Compliance at Morgan Stanley Investment Management from 2002 to 2004;
Age: 54 Managing Director and Global Director of Compliance at Citigroup Asset
Management from 2000 to 2002; Chief Compliance Officer at Soros Fund
Management in 2000; Chief Compliance Officer at Prudential Financial from
1995 to 2000; Senior Counsel in the Commission's Securities and Exchange
Division of Enforcement in Washington, D.C. from 1990 to 1995.
Alice A. Pellegrino Secretary 2004 to Director (Legal Advisory) of MLIM since 2002; Vice President of MLIM from
P.O. Box 9011 present 1999 to 2002; Attorney associated with MLIM since 1997; Secretary of MLIM,
Princeton, FAM, FAMD and Princeton Services since 2004.
NJ 08543-9011
Age: 46
* Officers of the Fund/Trust 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 1-800-637-3863.
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 WCMA account,
call 800-262-4636.
WCMA TREASURY FUND MARCH 31, 2006
Availability of Quarterly Schedule of Investments
The Fund files its complete schedule of portfolio holdings with the Securities
and Exchange Commission ("SEC") for the first and third quarters of each fiscal
year on Form N-Q. The Fund's Forms N-Q are available on the SEC's Web site at
http://www.sec.gov. The Fund's Forms N-Q may also be reviewed and copied at the
SEC's Public Reference Room in Washington, DC. Information on the operation of
the Public Reference Room may be obtained by calling 1-800-SEC-0330.
WCMA TREASURY FUND MARCH 31, 2006
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 Web
site at 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.
WCMA TREASURY FUND MARCH 31, 2006
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
WCMA Treasury Fund
(a) Audit Fees - Fiscal Year Ending March 31, 2006 - $6,600
Fiscal Year Ending March 31, 2005 - $6,500
(b) Audit-Related Fees - Fiscal Year Ending March 31, 2006 - $0
Fiscal Year Ending March 31, 2005 - $0
(c) Tax Fees - Fiscal Year Ending March 31, 2006 - $6,000
Fiscal Year Ending March 31, 2005 - $6,300
The nature of the services include tax compliance, tax advice and
tax planning.
(d) All Other Fees - Fiscal Year Ending March 31, 2006 - $0
Fiscal Year Ending March 31, 2005 - $0
Master Treasury Trust
(a) Audit Fees - Fiscal Year Ending March 31, 2006 - $28,500
Fiscal Year Ending March 31, 2005 - $28,000
(b) Audit-Related Fees - Fiscal Year Ending March 31, 2006 - $0
Fiscal Year Ending March 31, 2005 - $0
(c) Tax Fees - Fiscal Year Ending March 31, 2006 - $9,200
Fiscal Year Ending March 31, 2005 - $8,700
The nature of the services include tax compliance, tax advice and
tax planning.
(d) All Other Fees - Fiscal Year Ending March 31, 2006 - $0
Fiscal Year Ending March 31, 2005 - $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 all of the registrants the Committee oversees. 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) Fiscal Year Ending March 31, 2006 - $3,754,550
Fiscal Year Ending March 31, 2005 - $10,018,400
(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) - $1,227,000, 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 - Portfolio Managers of Closed-End Management Investment Companies -
Not Applicable
Item 9 - Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers - Not Applicable
Item 10 - Submission of Matters to a Vote of Security Holders - Not Applicable
Item 11 - Controls and Procedures
11(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.
11(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 12 - Exhibits attached hereto
12(a)(1) - Code of Ethics - See Item 2
12(a)(2) - Certifications - Attached hereto
12(a)(3) - Not Applicable
12(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.
WCMA Treasury Fund and Master Treasury Trust
By: /s/ Robert C. Doll, Jr.
---------------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
WCMA Treasury Fund and Master Treasury Trust
Date: May 22, 2006
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/ Robert C. Doll, Jr.
---------------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
WCMA Treasury Fund and Master Treasury Trust
Date: May 22, 2006
By: /s/ Donald C. Burke
---------------------------
Donald C. Burke,
Chief Financial Officer of
WCMA Treasury Fund and Master Treasury Trust
Date: May 22, 2006