UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-03111
811-21301
Name of Fund: CMA Tax-Exempt Fund
Master Tax-Exempt 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, CMA Tax-Exempt Fund and Master Tax-Exempt 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: 03/31/07
Date of reporting period: 04/01/06 - 09/30/06
Item 1 - Report to Stockholders
Semi-Annual Report
September 30, 2006
CMA Tax-Exempt Fund
This report is not authorized for use as an offer of sale or a solicitation
of an offer to buy shares of the Fund unless accompanied or preceded by the
Fund's current prospectus. An investment in the Fund is not insured or
guaranteed by the Federal Deposit Insurance Corporation or any other
government agency. Although the Fund seeks to preserve the value of your
investment at $1.00 per share, it is possible to lose money by investing in
the Fund. Past performance results shown in this report should not be
considered a representation of future performance, which will fluctuate.
Statements and other information herein are as dated and are subject to change.
A description of the policies and procedures that the Fund uses to determine
how to vote proxies relating to portfolio securities is available (1)
without charge, upon request, by calling toll-free 1-800-441-7762; (2) at
www.blackrock.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.blackrock.com and (2)
on the Securities and Exchange Commission's Web site at http://www.sec.gov.
CMA Tax-Exempt Fund
Box 9011
Princeton, NJ 08543-9011
(GO PAPERLESS...logo)
It's Fast, Convenient, & Timely!
CMA Tax-Exempt Fund
Portfolio Holdings*
Put Bonds--3%
Fixed Rate Notes--10%
Tax-Exempt Commercial Paper--8%
Variable Rate Demand Obligations--79%
* Based on total market value of Master Tax-Exempt Trust as of September 30,
2006. Investments are valued at amortized cost, which approximates market
value.
Proxy Results
During the six-month period ended September 30, 2006, CMA Tax-Exempt Fund's
shareholders voted on the following proposals. On July 31, 2006 and August 31,
2006, the meetings were adjourned with respect to Proposals 1 and 3 until
September 15, 2006, at which time they passed. A description of the proposals
and number of shares voted were as follows:
Shares Voted Shares Voted Shares Voted
For Against Abstain
1. To approve a new investment advisory agreement
with BlackRock Advisors, Inc. 4,110,335,225 155,958,259 108,854,339
3. To approve a contingent subadvisory agreement
with BlackRock Advisors, Inc. 4,086,515,801 171,125,163 117,506,859
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
A Letter to Shareholders
Dear Shareholder
It is my pleasure to welcome you to BlackRock.
On September 29, 2006, BlackRock, Inc. ("BlackRock") and Merrill Lynch
Investment Managers, L.P. ("MLIM") united to form one of the largest asset
management firms in the world. Now with more than $1 trillion in assets under
management, over 4,000 employees in 18 countries and representation in key
markets worldwide, BlackRock's global presence means greater depth and scale
to serve you.
The new BlackRock unites some of the finest money managers in the industry.
Our ranks include more than 500 investment professionals globally - portfolio
managers, research analysts, risk management professionals and traders. With
offices strategically located around the world, our investment professionals
have in-depth local knowledge and the ability to leverage our global presence
and robust infrastructure to deliver focused investment solutions. BlackRock's
professional investors are supported by disciplined investment processes and
best-in-class technology, ensuring that our portfolio managers are well
equipped to research, uncover and capitalize on the opportunities the world's
markets have to offer.
The BlackRock culture emphasizes excellence, teamwork and integrity in the
management of a variety of equity, fixed income, cash management, alternative
investment and real estate products. Our firm's core philosophy is grounded in
the belief that experienced investment and risk professionals using disciplined
investment processes and sophisticated analytical tools can consistently add
value to client portfolios.
As you probably are aware, most former MLIM investment products now carry the
"BlackRock" name. This is reflected in newspapers and online fund reporting
resources. Your account statements, as of the October month-end reporting
period, also reflect the BlackRock name. Unless otherwise communicated to you,
your funds maintain the same investment objectives that they did prior to the
combination of MLIM and BlackRock. Importantly, this union does not affect
your brokerage account or your relationship with your financial advisor.
Clients of Merrill Lynch remain clients of Merrill Lynch.
We view this combination of asset management leaders as a complementary union
that reinforces our commitment to shareholders. Individually, each firm made
investment performance its single most important mission. Together, we are
even better prepared to capitalize on market opportunities on behalf of our
shareholders. Our focus on investment excellence is accompanied by an
unwavering commitment to service, enabling us to assist clients, in cooperation
with their financial professionals, in working toward their investment goals.
We thank you for allowing us the opportunity, and we look forward to serving
your investment needs in the months and years ahead as the new BlackRock.
Sincerely,
(Robert C. Doll, Jr.)
Robert C. Doll, Jr.
Vice Chairman
BlackRock, Inc.
Data, including assets under management, are as of June 30, 2006.
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
A Discussion With Your Fund's Portfolio Manager
We maintained a neutral investment strategy throughout the period, given the
continued uncertainty surrounding monetary policy, and we were able to preserve
investor capital while offering a competitive yield relative to our peers.
How did the Fund perform during the period?
For the six-month period ended September 30, 2006, CMA Tax-Exempt Fund paid
shareholders a net annualized yield of 3.03%. As of September 30, 2006, the
Fund's seven-day yield was 3.18%.
The Fund continued to offer a competitive yield relative to its iMoneyNet,
Inc. peer group average. Continued uncertainty with respect to the path of the
Federal Reserve Board's (the Fed) monetary policy led us to maintain a
relatively neutral investment strategy. This approach allowed the Fund to
maintain a stable net asset value within the context of a high credit quality
portfolio.
Describe market and economic conditions during the semi-annual period.
Uncertainty about economic growth, inflation and interest rates remained the
focus for investors throughout the period. In the first three months, the
Federal Open Market Committee (FOMC) met twice and voted both times to
increase the federal funds target rate, which reached 5% in May and 5.25% in
June. Despite signs of an economic slowdown, the central bank remained
vigilant in targeting inflationary pressures during this time. The Fed, often
sending mixed messages, was challenged to lay the groundwork for a pause in
monetary tightening.
During the second half of the period, investors struggled with evidence of
slowing economic growth. Commodity prices collapsed - crude oil dropped to
near $60 per barrel from earlier highs of approximately $78 per barrel, and
natural gas prices plummeted. Housing activity also continued its descent.
Amid these conditions, the Fed opted to pause at its August and September
meetings, leaving the federal funds rate at 5.25% and ending a two-year streak
of 17 consecutive 25 basis point (.25%) interest rate hikes.
The pause in monetary tightening sparked a market rally, with bonds posting
their strongest quarterly performance in several years. Bond yields, which
move opposite their prices, fell significantly. Investor sentiment also shifted
markedly, as expectations that the Fed could raise interest rates further
during 2006 turned to anticipation of a cut in interest rates by early 2007.
While only moving slightly, the Treasury yield curve continued its flattening
trend and ended the period inverted, with the six-month Treasury offering the
highest yield on the curve at 5.02%, versus the 10-year Treasury yield of
4.64%. The London InterBank Offered Rate (LIBOR) was separated by only 25
basis points between one year and 10 years. The municipal curve also flattened
during the six-month period, as price gains on longer-dated securities
outpaced the gains on securities with shorter maturities. Unlike the Treasury
curve, however, the municipal curve maintained a positive slope, with the
yield on one-year municipal securities ending the period at 3.46% versus a
10-year municipal yield of 4.04%.
Although economic activity has slowed, positive revenue streams have reduced
municipalities' need to borrow in the short-term municipal market. Reduced
municipal issuance and a positive market backdrop caused yield ratios on fixed
rate municipal notes to approach historically low levels, at close to 65% of
their taxable counterparts. Yields on variable rate demand notes remained
volatile, and their ratios fluctuated between 60% and 70% of their taxable
counterparts.
How did you manage the portfolio during the period?
As we began the period, the portfolio was well positioned to meet the seasonal
tax-related redemptions that normally occur during April and May. As the
period progressed, however, tax-related redemptions were lighter than in
previous years. As such, we shifted to a more neutral investment strategy in
anticipation of a pause in the Fed's monetary tightening campaign. This
involved increasing the Fund's average maturity to bring it closer to its peer
group average.
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Notably, state and local municipalities addressed their annual financing needs
during the six-month period. As they did, we looked to participate in the
various opportunities, primarily at the outset of the period when rates were
cheaper. In doing so, we focused particularly on longer-dated fixed rate
municipal notes. However, reduced issuance and expensive ratios relative to
taxable bonds limited our participation later in the period. As an alternative,
we concentrated on locking in attractive rates for periods of 30 days - 90 days
with tax-exempt commercial paper, when available. Variable-rate demand note
securities continued to play an important role in our strategy. Given the
rapidly changing nature of these securities, they often provided more
attractive yields than fixed rate municipal investments. Overall, we continued
to focus on providing shareholders with an attractive tax-exempt yield while
maintaining a stable net asset value.
How would you characterize the portfolio's position at the close of the
period?
Given the possibility of a Fed policy change, we will continue to monitor
economic data to gauge the future direction of interest rates. We remain
relatively neutral in our approach, seeking to increase our fixed rate note
exposure during periods of market weakness. Should the economy show signs of
extreme weakness, we would look to extend the Fund's maturity and become
slightly more aggressive. When available, we will continue to utilize tax-
exempt commercial paper to lock in attractive rates for short periods of time.
Finally, we will continue to closely monitor the credit quality of the Fund's
portfolio while seeking to provide our shareholders with an attractive tax-
exempt yield.
Peter J. Hayes
Vice President and Portfolio Manager
October 13, 2006
CMA TAX-EXEMPT FUND SEPTEMBER 30, 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 April 1, 2006 and
held through September 30, 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 April 1, 2006
April 1, September 30, to September 30,
2006 2006 2006
Actual
CMA Tax-Exempt Fund $1,000 $1,015.10 $2.76
Hypothetical (5% annual return before expenses)**
CMA Tax-Exempt Fund $1,000 $1,022.16 $2.77
* Expenses are equal to the Fund's annualized expense ratio of .55%, 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.
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Statement of Assets and Liabilities CMA Tax-Exempt Fund
As of September 30, 2006
Assets
Investment in Master Tax-Exempt Trust (the "Trust"), at value
(identified cost--$8,264,261,004) $ 8,264,261,004
Prepaid expenses 475,755
---------------
Total assets 8,264,736,759
---------------
Liabilities
Payables:
Administrator $ 1,639,716
Distributor 1,248,497
Other affiliates 224,748
---------------
Total liabilities 3,112,961
---------------
Net Assets
Net assets $ 8,261,623,798
===============
Net Assets Consist of
Shares of beneficial interest, $.10 par value, unlimited number of shares authorized $ 826,406,396
Paid-in capital in excess of par 7,436,687,509
Accumulated realized capital losses allocated from the Trust--net (1,470,107)
---------------
Net Assets--Equivalent to $1.00 per share based on 8,264,063,956 shares of beneficial
interest outstanding $ 8,261,623,798
===============
See Notes to Financial Statements.
Statement of Operations CMA Tax-Exempt Fund
For the Six Months Ended September 30, 2006
Investment Income
Interest from affiliates $ 2,014
Net investment income allocated from the Trust:
Interest and amortization of premium and discount earned 150,793,284
Expenses (6,423,049)
---------------
Total income 144,372,249
---------------
Expenses
Administration fees $ 10,672,772
Distribution fees 5,297,828
Transfer agent fees 656,218
Registration fees 262,573
Printing and shareholder reports 54,255
Professional fees 32,722
Other 12,339
---------------
Total expenses 16,988,707
---------------
Investment income--net 127,383,542
---------------
Realized Gain Allocated from the Trust--Net
Realized gain on investments--net 254,862
---------------
Net Increase in Net Assets Resulting from Operations $ 127,638,404
===============
See Notes to Financial Statements.
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Statements of Changes in Net Assets CMA Tax-Exempt Fund
For the Six For the
Months Ended Year Ended
September 30, March 31,
Increase (Decrease) in Net Assets: 2006 2006
Operations
Investment income--net $ 127,383,542 $ 192,840,950
Realized gain (loss)--net 254,862 (386,763)
---------------- ----------------
Net increase in net assets resulting from operations 127,638,404 192,454,187
---------------- ----------------
Dividends to Shareholders
Dividends to shareholders from investment income--net (127,383,542) (192,840,950)
---------------- ----------------
Beneficial Interest Transactions
Net proceeds from sale of shares 22,768,990,484 42,771,723,313
Value of shares issued to shareholders in reinvestment of dividends 127,389,569 192,841,208
---------------- ----------------
Total shares issued 22,896,380,053 42,964,564,521
Cost of shares redeemed (23,396,119,507) (43,232,343,557)
---------------- ----------------
Net decrease in net assets derived from beneficial interest transactions (499,739,454) (267,779,036)
---------------- ----------------
Net Assets
Total decrease in net assets (499,484,592) (268,165,799)
Beginning of period 8,761,108,390 9,029,274,189
---------------- ----------------
End of period $ 8,261,623,798 $ 8,761,108,390
================ ================
See Notes to Financial Statements.
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Financial Highlights CMA Tax-Exempt Fund
For the Six
The following per share data and ratios Months Ended
have been derived from information September 30, For the Year Ended March 31,
provided in the financial statements. 2006 2006 2005 2004 2003++++++ 2002
Per Share Operating Performance
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
----------- ----------- ----------- ----------- ----------- -----------
Investment income--net .01 .02 .01 .01 .01 .02
Realized gain (loss)--net --++ --++++ --++++ --++++ --++++ --++
----------- ----------- ----------- ----------- ----------- -----------
Total from investment operations .01 .02 .01 .01 .01 .02
----------- ----------- ----------- ----------- ----------- -----------
Less dividends from investment income--net (.01) (.02) (.01) (.01) (.01) (.02)
----------- ----------- ----------- ----------- ----------- -----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
=========== =========== =========== =========== =========== ===========
Total investment return 1.51%** 2.24% .93% .54% .93% 1.76%
=========== =========== =========== =========== =========== ===========
Ratios to Average Net Assets
Expenses .55%*+++ .55%+++ .55%+++ .55%+++ .55%+++ .55%
=========== =========== =========== =========== =========== ===========
Investment income and realized gain
(loss)--net 2.99%*+++ 2.21%+++ .91%+++ .55%+++ .93%+++ 1.78%
=========== =========== =========== =========== =========== ===========
Supplemental Data
Net assets, end of period
(in thousands) $ 8,261,624 $ 8,761,108 $ 9,029,274 $ 9,522,055 $10,587,794 $10,545,626
=========== =========== =========== =========== =========== ===========
* Annualized.
** Aggregate total investment return.
++ Amount is less than $.01 per share.
++++ Amount is less than $(.01) 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 and/or investment income and realized
gain (loss)--net.
See Notes to Financial Statements.
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Notes to Financial Statements CMA Tax-Exempt Fund
1. Significant Accounting Policies:
CMA Tax-Exempt 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 Tax-Exempt 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. These unaudited financial statements reflect all adjustments, which
are, in the opinion of management, necessary to present a fair statement of
the results for the interim period. All such adjustments are of a normal,
recurring nature. The percentage of the Trust owned by the Fund at September
30, 2006 was 91%. 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) Recent accounting pronouncement--In July 2006, the Financial Accounting
Standards Board ("FASB") issued interpretation No. 48 ("FIN 48") entitled
"Accounting for Uncertainty in Income Taxes - an interpretation of FASB
Statement No. 109." FIN 48 prescribes the minimum recognition threshold a tax
position must meet in connection with accounting for uncertainties in income
tax positions taken or expected to be taken by an entity including mutual
funds before being measured and recognized in the financial statements.
Adoption of FIN 48 is required for fiscal years beginning after December 15,
2006. The impact on the Fund's financial statements, if any, is currently
being assessed.
(e) Prepaid registration fees--Prepaid registration fees are charged to
expense as the related shares are issued.
(f) 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 are declared from the total of net investment income. Distributions
of net realized gain, if any, on investments are paid at least annually.
(g) Investment transactions--Investment transactions 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.
Pursuant to the Distribution and Shareholder Servicing Plan in compliance with
Rule 12b-1 under the Investment Company Act of 1940, Merrill Lynch, Pierce,
Fenner & Smith Incorporated ("MLPF&S"), an affiliate of FAM, 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 whose Fund accounts are serviced by MLPF&S financial advisors,
whether maintained through MLPF&S or directly with each Fund's transfer agent.
The distribution fee is to compensate MLPF&S for providing, or arranging for
the provision of, account maintenance and sales and promotional activities and
services with respect to shares of the Fund.
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Notes to Financial Statements (concluded) CMA Tax-Exempt Fund
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 beneficial share
activity, which results in uninvested net proceeds from the sales of Fund
shares.
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 closed
September 29, 2006.
On September 15, 2006, shareholders of the Fund approved a new Investment
Advisory Agreement for the Trust, with BlackRock Advisors, Inc. (the
"Manager"), a wholly owned subsidiary of BlackRock, Inc. BlackRock Advisors,
Inc. was reorganized into BlackRock Advisors, LLC. The new advisory agreement
became effective on September 29, 2006 and the investment advisory fee is
unchanged. In addition, the Manager will provide administrative services and
the administrative fee is unchanged.
Prior to the closing, certain officers and/or trustees of the Fund are
officers and/or directors of FAM, PSI, FDS, and/or ML & Co.
Commencing September 29, 2006, certain officers and/or trustees of the Fund
are officers and/or directors of BlackRock, Inc. or its affiliates.
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.
4. Capital Loss Carryforward:
On March 31, 2006, the Fund had a net capital loss carryforward of $1,725,003,
of which $72,081 expires in 2008, $144,287 expires in 2011, $220,231 expires
in 2012, $232,331 expires in 2013 and $1,056,073 expires in 2014. This amount
will be available to offset like amounts of any future taxable gains.
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Schedule of Investments Master Tax-Exempt Trust (in Thousands)
Face
Amount Municipal Bonds Value
Alabama--3.1%
$ 59,405 Alabama Special Care Facilities Financing Authority,
Mobile Revenue Refunding Bonds (Ascension
Health Credit), VRDN, Series B, 3.72%
due 11/15/2039 (j) $ 59,405
71,400 Birmingham, Alabama, Special Care Facilities,
Financing Authority, Revenue Refunding Bonds
(Ascension Health Credit), VRDN, Series B, 3.68%
due 11/15/2039 (j) 71,400
20,000 Columbia, Alabama, IDB Revenue Bonds (Alabama
Power Company Project), VRDN, AMT, 3.88%
due 11/01/2021 (j) 20,000
11,950 Daphne, Alabama, Special Care Facilities Financing
Authority, Revenue Refunding Bonds (Presbyterian),
VRDN, Series B, 3.79% due 8/15/2023 (a)(j) 11,950
1,000 Decatur, Alabama, IDB, Environmental Facilities
Revenue Bonds (BP Amoco Chemical Company
Project), VRDN, AMT, 3.83% due 11/01/2035 (j) 1,000
4,255 Eagle Tax-Exempt Trust, Birmingham, Alabama, Water
and Sewer, VRDN, Series 2002-6009, Class A, 3.79%
due 1/01/2043 (f)(j) 4,255
Eagle Tax-Exempt Trust, Jefferson County, Alabama,
Sewer Revenue Refunding Bonds, VRDN, Series
2002 (b)(j):
7,835 Class 6015, 3.79% due 2/01/2032 7,835
3,000 Class 6016, 3.79% due 2/01/2038 3,000
91,600 Jefferson County, Alabama, Limited Obligation
School Warrants, VRDN, Series B, 3.77%
due 1/01/2027 (a)(j) 91,600
5,000 Jefferson County, Alabama, Sewer Revenue
Refunding Bonds, VRDN, Series C-6, 3.75%
due 2/01/2040 (j)(n) 5,000
8,100 Lehman Municipal Trust Receipts, Alabama Housing
Finance Authority, FLOATS, VRDN, Series 2006-K41,
3.83% due 10/01/2037 (o) 8,100
Alaska--2.1%
19,400 Alaska Industrial Development and Export Authority
Revenue Bonds, ROCS, VRDN, Series II-R-320,
3.78% due 4/01/2034 (e)(j) 19,400
80,000 Alaska State Housing Financing Corporation,
Collateralized Revenue Bonds (Veterans Mortgage
Program), AMT, 3.43% due 12/01/2006 (i) 80,000
2,210 Anchorage, Alaska, Electric Utility Revenue Refunding
Bonds, PUTTERS, VRDN, Series 1128, 3.78%
due 6/01/2013 (f)(j)(o) 2,210
Face
Amount Municipal Bonds Value
Alaska (concluded)
Anchorage, Alaska, GO:
$ 6,215 PUTTERS, VRDN, Series 552, 3.78%
due 6/01/2012 (f)(j) $ 6,215
18,700 TAN, 4.50% due 12/28/2006 18,752
Valdez, Alaska, Marine Terminal Revenue Refunding
Bonds, VRDN (j):
1,200 (BP Pipelines Inc. Project), Series A, 3.80%
due 6/01/2037 1,200
7,225 (BP Pipelines Inc. Project), Series B, 3.80%
due 7/01/2037 7,225
3,085 (BP Pipelines Inc. Project), Series C, 3.80%
due 7/01/2037 3,085
3,580 (ConocoPhillips Company Project), 3.77%
due 5/01/2007 3,580
49,650 (ConocoPhillips Company Project), Series C,
3.68% due 6/01/2007 49,650
Arizona--1.6%
33,000 Apache County, Arizona, IDA, IDR (Tucson Electric
Power Co.), VRDN, Series 83-A, 3.72%
due 12/15/2018 (j) 33,000
Arizona Health Facilities Authority, Revenue Refunding
Bonds (Banner Health System), VRDN (j):
5,000 Series A, 3.74% due 1/01/2029 (f) 5,000
4,440 Series B, 3.73% due 1/01/2035 (b) 4,440
10,000 Maricopa County, Arizona, IDA, Health Facilities
Revenue Bonds, PUTTERS, VRDN, Series 420,
3.79% due 1/01/2010 (j) 10,000
15,211 Maricopa County, Arizona, IDA, S/F Mortgage Revenue
Bonds, FLOATS, VRDN, AMT, Series 1165, 3.80%
due 2/01/2008 (j) 15,211
20,000 McAllister Academic Village, LLC, Arizona,
Revenue Bonds (Arizona State University Project),
VRDN, Series A, 3.75% due 7/01/2045 (a)(j) 20,000
42,290 Morgan Keegan Municipal Products, Inc., Maricopa
County, Arizona, IDA, VRDN, AMT, Series A, 3.84%
due 2/02/2009 (j) 42,290
Phoenix, Arizona, Civic Improvement Corporation,
State of Arizona Distribution Revenue Bonds,
VRDN (b)(j):
2,400 PUTTERS, Series 1306, 3.81%
due 1/01/2026 2,400
4,775 TOCS, Series Z-11, 3.81% due 5/08/2034 4,775
Portfolio Abbreviations for Master Tax-Exempt Trust
ACES (SM) Adjustable Convertible Extendible Securities
AMT Alternative Minimum Tax (subject to)
BAN Bond Anticipation Notes
COP Certificates of Participation
CP Commercial Paper
EDA Economic Development Authority
EDR Economic Development Revenue Bonds
FLOATS Floating Rate Securities
GO General Obligation Bonds
HDA Housing Development Authority
HFA Housing Finance Agency
IDA Industrial Development Authority
IDB Industrial Development Board
IDR Industrial Development Revenue Bonds
M/F Multi-Family
MERLOTS Municipal Exempt Receipts Liquidity
Optional Tenders
MSTR Municipal Securities Trust Receipts
PCR Pollution Control Revenue Bonds
PUTTERS Puttable Tax-Exempt Receipts
RAN Revenue Anticipation Notes
ROCS Reset Option Certificates
S/F Single-Family
TAN Tax Anticipation Notes
TOCS Tender Option Certificates
TRAN Tax Revenue Anticipation Notes
VRDN Variable Rate Demand Notes
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands)
Face
Amount Municipal Bonds Value
Arizona (concluded)
$ 4,085 Phoenix, Arizona, IDA, Government Office Lease
Revenue Refunding Bonds, PUTTERS, VRDN,
Series 1119, 3.78% due 9/15/2013 (a)(j) $ 4,085
8,692 Pima County, Arizona, IDA, S/F Mortgage Revenue
Bonds, VRDN, 5.27% due 2/04/2012 (j) 8,692
Arkansas--1.0%
62,792 Arkansas State Development Finance Authority,
S/F Mortgage Revenue Bonds, FLOATS, VRDN, AMT,
Series 1139, 3.81% due 2/01/2008 (j) 62,792
20,595 Morgan Keegan Municipal Products, Inc., Arkansas
State Development Finance Authority, VRDN, AMT,
Series D, 3.83% due 2/01/2010 (j) 20,595
10,695 University of Arkansas, University Revenue
Bonds, FLOATS, VRDN, Series 1397, 3.78%
due 11/01/2036 (a)(j) 10,695
California--0.8%
4,964 California Health Facilities Financing Authority
Revenue Bonds, FLOATS, VRDN, Series 591, 3.78%
due 3/01/2014 (f)(j) 4,964
17,500 California State Economic Recovery, GO, FLOATS, VRDN,
Series L27, 3.66% due 7/01/2017 (j) 17,500
8,090 California State, GO, MERLOTS, VRDN, Series B-45,
3.77% due 10/01/2029 (j) 8,090
10,500 California Statewide Communities Development
Authority, M/F Housing Revenue Bonds, FLOATS,
VRDN, Series 54TP, 3.83% due 1/01/2049 (j) 10,500
30,485 Los Angeles, California, S/F Home Mortgage Revenue
Bonds, VRDN, AMT, 4.53% due 12/01/2006 (j) 30,485
4,800 San Francisco, California, City and County Airport
Commission, International Airport Revenue Refunding
Bonds, VRDN, Second Series, Issue 33J, 3.55%
due 5/01/2026 (j)(n) 4,800
Colorado--2.5%
7,725 Adams County, Colorado, School District Number 012,
GO, ROCS, VRDN, Series II-R-1045, 3.78%
due 12/15/2022 (e)(j) 7,725
3,200 Colorado Department of Transportation Revenue
Bonds, ROCS, VRDN, Series II-R-4046, 3.78%
due 12/15/2016 (a)(j) 3,200
10,030 Colorado Department of Transportation Revenue
Refunding Bonds, PUTTERS, VRDN, Series 318,
3.78% due 6/15/2015 (f)(j) 10,030
Colorado Educational and Cultural Facilities Authority,
Revenue Refunding Bonds (National Jewish
Federation Bond Program Project), VRDN (j):
23,510 Series A-1, 3.83% due 9/01/2033 23,510
11,590 Series A-6, 3.83% due 2/01/2025 11,590
24,335 Series A-8, 3.83% due 9/01/2035 24,335
16,515 Series C-1, 3.83% due 9/01/2035 16,515
3,795 Colorado Health Facilities Authority, Revenue Refunding
Bonds (Catholic Health Initiatives), VRDN, Series B-1,
3.75% due 3/01/2023 (j) 3,795
6,900 Colorado School Mines Development Corporation,
Revenue Refunding Bonds, VRDN, 3.91%
due 9/01/2026 (j) 6,900
40,000 Colorado State, General Fund, RAN, 4.50%
due 6/27/2007 40,206
Face
Amount Municipal Bonds Value
Colorado (concluded)
Denver, Colorado, City and County Airport Revenue
Refunding Bonds, VRDN (b)(j):
$ 9,500 FLOATS, Series 63-TP, 3.78% due 11/15/2025 $ 9,500
5,830 MERLOTS, AMT, Series A61, 3.83%
due 11/15/2012 5,830
7,647 Denver, Colorado, City and County S/F Mortgage
Revenue Refunding Bonds, VRDN, AMT, Series A,
5.252% due 10/25/2006 (j) 7,647
2,966 E-470 Public Highway Authority, Colorado, Revenue
Bonds, TOCS, VRDN, Series Z-9, 3.81%
due 10/01/2021 (f)(j) 2,966
2,835 E-470 Public Highway Authority, Colorado, Revenue
Refunding Bonds, FLOATS, VRDN, Series 997, 3.81%
due 3/01/2036 (f)(j) 2,835
224 El Paso County, Colorado, S/F Mortgage Revenue
Bonds, FLOATS, VRDN, AMT, Series 1136, 3.81%
due 11/01/2008 (j) 224
Pitkin County, Colorado, IDR, Refunding (Aspen
Skiing Company Project), VRDN (j):
7,900 AMT, Series B, 3.93% due 4/01/2014 7,900
14,700 Series A, 3.83% due 4/01/2016 14,700
18,200 Platte River Power Authority, Colorado, Electric
Revenue Refunding Bonds, VRDN, Sub-Lien,
Series S-1, 3.73% due 6/01/2018 (j) 18,200
6,500 University of Colorado Hospital Authority Revenue
Bonds, ROCS, VRDN, Series II-R-573CE, 3.79%
due 11/15/2040 (j) 6,500
Connecticut--0.3%
13,070 Connecticut State Health and Educational Facilities
Authority, Revenue Refunding Bonds (Ascension
Health Credit), Series B, 3.68% due 11/15/2029 (j) 13,070
14,800 Eagle Tax-Exempt Trust, Connecticut, GO, VRDN,
Series 96-0701, 3.78% due 11/15/2007 (j) 14,800
Delaware--0.9%
44,600 Delaware State, EDA, Revenue Bonds (Hospital Billing
and Collection), VRDN, Series C, 3.68%
due 12/01/2015 (j) 44,600
Delaware State Housing Authority Revenue Bonds,
VRDN (j):
3,685 MERLOTS, Series B10, 3.83%
due 7/01/2031 (f) 3,685
2,095 ROCS, AMT, Series II-R-359, 3.81%
due 7/01/2035 (e) 2,095
GS Pool Trust, Delaware, AMT, FLOATS, VRDN (j):
15,243 Series 1, 3.87% due 6/02/2012 15,243
12,390 Series 35TP, 3.87% due 8/01/2049 12,390
4,000 Series 56TP, 3.84% due 7/01/2048 4,000
District of Columbia--0.9%
4,000 District of Columbia, Ballpark Revenue Bonds,
PUTTERS, VRDN, Series 1325, 3.78%
due 2/01/2014 (b)(j) 4,000
District of Columbia, GO, Refunding, VRDN (j):
17,350 MSTR, Series SGA-62, 3.81% due 6/01/2017 (a) 17,350
21,195 Series C, 3.77% due 6/01/2026 (b) 21,195
16,605 District of Columbia, Hospital Revenue Bonds,
FLOATS, VRDN, Series 712, 3.78%
due 7/15/2019 (j) 16,605
26,265 District of Columbia, Water and Sewer Authority,
Public Utility Revenue Bonds, FLOATS, VRDN,
Series 1125, 3.78% due 10/01/2033 (b)(j) 26,265
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands)
Face
Amount Municipal Bonds Value
Florida--4.1%
$ 11,695 Collier County, Florida, School Board, COP,
ROCS, VRDN, Series II-R-7032, 3.78%
due 2/15/2024 (e)(j) $ 11,695
15,500 Eagle Tax-Exempt Trust, Florida State Board of
Education, GO, VRDN, Series 2005-0057, Class A,
3.79% due 6/01/2035 (j) 15,500
4,995 Eclipse Funding Trust, Solar Eclipse Certificates,
Gainesville, Florida, Utilities System Revenue
Refunding Bonds, VRDN, Series 2006-0027,
3.77% due 10/01/2013 (e)(j) 4,995
5,480 Florida Housing Finance Corporation, M/F Mortgage
Revenue Bonds, ROCS, VRDN, Series II-R-600CE,
3.82% due 7/01/2043 (j) 5,480
Florida Local Government Finance Commission, CP:
19,076 3.58% due 10/31/2006 19,076
7,500 3.58% due 11/01/2006 7,500
8,000 Florida State Board of Education, GO, MSTR, VRDN,
Series SGA-139, 3.79% due 6/01/2032 (f)(j) 8,000
3,475 Florida State Board of Education, GO, Refunding,
ROCS, VRDN, Series II-R-6087, 3.78%
due 6/01/2025 (j) 3,475
Florida State Board of Education, Lottery Revenue
Bonds, VRDN (j):
6,220 FLOATS, Series 858, 3.78% due 1/01/2017 (f) 6,220
2,835 ROCS, Series II-R-4521, 3.78% due 7/01/2020 (b) 2,835
27,915 Florida State, Revenue Refunding Bonds, MERLOTS,
VRDN, Series A-22, 3.35% due 7/01/2027 (j) 27,915
4,100 Gainesville, Florida, Utilities System Revenue
Refunding Bonds, VRDN, Series C, 3.80%
due 10/01/2026 (j) 4,100
6,000 Highlands County, Florida, Health Facilities Authority,
Hospital Revenue Refunding Bonds (Adventist
Health System), VRDN, Series C, 3.77%
due 11/15/2021 (j) 6,000
3,955 Hillsborough County, Florida, Aviation Authority,
Revenue Refunding Bonds, MERLOTS, VRDN, AMT,
Series A18, 3.83% due 10/01/2013 (f)(j) 3,955
15,000 Jacksonville, Florida, Electric Authority, CP, 3.55%
due 11/08/2006 15,000
34,925 Jacksonville, Florida, Electric Authority Revenue
Bonds (Electric System), VRDN, Series B, 3.83%
due 10/01/2030 (j) 34,925
10,000 Miami-Dade County, Florida, CP, 3.70%
due 10/02/2006 10,000
5,840 Miami-Dade County, Florida, GO, ROCS, VRDN,
Series II-R-387, 3.79% due 7/01/2028 (b)(j) 5,840
60,000 Miami-Dade County, Florida, School District, TAN,
4.50% due 6/28/2007 60,328
6,000 Miami-Dade County, Florida, Special Obligation
Revenue Bonds, TOCS, VRDN, Series Z-9, 3.81%
due 4/17/2015 (f)(j) 6,000
15,700 North Broward, Florida, Hospital District Revenue
Refunding Bonds, VRDN, Series B, 3.74%
due 1/15/2031 (g)(j) 15,700
Orange County, Florida, Health Facilities Authority
Revenue Bonds, FLOATS, VRDN (j):
32,195 Series 532, 3.78% due 11/15/2015 (a) 32,195
17,245 Series 830, 3.78% due 11/15/2022 (e) 17,245
Orlando-Orange County Expressway Authority,
Florida, Expressway Revenue Bonds, VRDN (a)(j):
2,250 Sub-Series A-2, 3.72% due 7/01/2040 2,250
8,000 Sub-Series C, 3.70% due 7/01/2040 8,000
Face
Amount Municipal Bonds Value
Florida (concluded)
$ 19,000 Orlando-Orange County Expressway Authority, Florida,
Expressway Revenue Refunding Bonds, VRDN,
Series D, 3.72% due 7/01/2032 (e)(j) $ 19,000
10,000 Palm Beach County, Florida, CP, 3.67%
due 2/22/2007 10,000
Volusia County, Florida, School Board, COP,
VRDN (f)(j):
2,130 PUTTERS, Series 970, 3.78% due 2/01/2013 2,130
5,485 ROCS, Series II-R-2212, 3.78% due 8/01/2023 5,485
Georgia--2.1%
4,005 Albany-Dougherty County, Georgia, Hospital Authority
Revenue Refunding Bonds, FLOATS, VRDN, Series L3J,
3.78% due 9/01/2020 (a)(j) 4,005
16,300 Appling County, Georgia, Development Authority, PCR
(Georgia Power Plant Hatch), VRDN, Second Series,
3.85% due 12/01/2018 (j) 16,300
12,500 Atlanta, Georgia, Subordinate Lien Tax Allocation Bonds
(Atlantic Station), VRDN, 3.84% due 12/01/2024 (j) 12,500
4,000 Atlanta, Georgia, Urban Residential Finance Authority,
M/F Housing Revenue Bonds (Lindbergh City Center
Apartment Project), AMT, VRDN, 3.81%
due 11/01/2044 (j) 4,000
Atlanta, Georgia, Water and Wastewater
Revenue Bonds, VRDN (j):
4,200 FLOATS, Series 1355, 3.78% due 11/01/2034 (e) 4,200
3,000 MSTR, SGA-145, 3.79% due 11/01/2033 (f) 3,000
8,000 Augusta, Georgia, Water and Sewer Revenue
Refunding Bonds, MSTR, VRDN, Series SGS-140,
3.79% due 10/01/2032 (e)(j) 8,000
Clayton County, Georgia, Development Authority,
Special Facilities Revenue Bonds (Delta Air Lines
Project), VRDN (j):
10,545 AMT, Series B, 3.89% due 5/01/2035 10,545
6,500 AMT, Series C, 3.89% due 5/01/2035 6,500
10,135 Series A, 3.82% due 6/01/2029 10,135
50,000 Cobb County, Georgia, School District, VRDN, 4.50%
due 12/29/2006 (j) 50,158
4,490 DeKalb County, Georgia, Public Safety and Judicial
Facilities Authority, Special Tax Revenue Bonds,
FLOATS, VRDN, Series 1459, 3.78%
due 12/01/2034 (j) 4,490
9,100 Eagle Tax-Exempt Trust, Atlanta, Georgia, Water
and Wastewater Revenue Bonds, VRDN, Series
2005-0009, Class A, 3.79% due 11/01/2043 (e)(j) 9,100
6,815 Georgia Municipal Electric Authority, Power Revenue
Bonds (MACON Trust), VRDN, Series E, 3.80%
due 1/01/2017(e)(j) 6,815
2,150 Georgia State, GO, PUTTERS, VRDN, Series 1420,
3.78% due 6/01/2012 (j) 2,150
2,580 Gwinnett County, Georgia, Development Authority,
COP, ROCS, VRDN, Series II-R-6009, 3.78%
due 1/01/2021 (f)(j) 2,580
13,000 Macon-Bibb County, Georgia, Urban Development
Authority, Revenue Bonds, (Bibb County Law
Enforcement Center Project), VRDN, 3.75%
due 7/01/2025 (j) 13,000
20,000 Monroe County, Georgia, Development Authority,
PCR (Georgia Power Company - Scherer),
VRDN, Second Series 95, 3.76% due 6/01/2007 (j) 20,000
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands)
Face
Amount Municipal Bonds Value
Hawaii--0.4%
$ 7,930 Eagle Tax-Exempt Trust, Hawaii, VRDN, Series 2001,
Class 1101, 3.79% due 7/01/2011 (e)(j) $ 7,930
7,500 Hawaii Pacific Health, Special Purpose Revenue
Refunding Bonds (Wilcox Memorial Hospital),
VRDN, Series B-2, 3.85% due 7/01/2033 (h)(j) 7,500
1,990 Hawaii State, Revenue Bonds, ROCS, VRDN,
Series II-R-6504, 3.78% due 10/01/2024 (f)(j) 1,990
15,995 Municipal Securities Trust Certificates Revenue Bonds,
VRDN, AMT, Series 2002-186, Class A, 3.79%
due 2/25/2021 (f)(j) 15,995
Illinois--7.3%
14,285 ABN AMRO MuniTops Certificates Trust, Chicago,
Illinois, GO, VRDN, Series 2001-31, 3.77%
due 1/01/2009 (b)(j) 14,285
Aurora, Illinois, S/F Mortgage Revenue Bonds,
FLOATS, VRDN, AMT (j):
29,164 Series 1152, 3.81% due 6/01/2040 29,164
1,815 Series 1154, 3.81% due 6/01/2040 1,815
4,980 Boone, McHenry & DeKalb Counties, Illinois,
Community Unit School District Number 100, GO,
FLOATS, Series 1138, 3.81% due 12/01/2020 (f)(j) 4,980
6,000 Chicago, Illinois, Board of Education, GO, TOCS, VRDN,
Series Z-8, 3.81% due 10/28/2025 (b)(j) 6,000
Chicago, Illinois, GO, VRDN (j):
10,100 3.35% due 12/07/2006 10,100
9,635 Series B, 3.75% due 1/01/2012 9,635
2,995 TOCS, Series Z-10, 3.81% due 6/29/2029 (b) 2,995
7,000 Chicago, Illinois, Metropolitan Water Reclamation
District of Greater Chicago, GO, FLOATS, VRDN,
Series A, 3.78% due 12/01/2035 (j) 7,000
5,755 Chicago, Illinois, Motor Fuel Tax Revenue Refunding
Bonds, ROCS, VRDN, Series II-R-2021, 3.78%
due 1/01/2020 (a)(j) 5,755
Chicago, Illinois, O'Hare International Airport, Revenue
Bonds, VRDN (j):
6,330 (MACON Trust), VRDN, Series A, 3.78%
due 1/01/2018 (f) 6,330
3,700 ROCS, AMT, Series II-R-239, 3.80%
due 1/01/2022 (e) 3,700
5,995 ROCS, AMT, Series II-R-250, 3.81%
due 1/01/2034 (g) 5,995
9,375 ROCS, Series II-R-556, 3.78%
due 1/01/2029 (f) 9,375
5,115 ROCS, Series II-R-605PB, 3.80%
due 1/01/2033 (b) 5,115
6,725 Chicago, Illinois, Park District, GO, Refunding, ROCS,
VRDN, Series II-R-4002, 3.78% due 1/01/2023 (b)(j) 6,725
3,350 Cook County, Illinois, GO, Refunding, ROCS, VRDN,
Series II-R-2063, 3.78% due 11/15/2021 (f)(j) 3,350
11,000 Eagle Tax-Exempt Trust, Chicago Board of Education,
VRDN, Series 01, Class 1309, 3.79%
due 12/01/2026 (j) 11,000
Eagle Tax-Exempt Trust, Chicago, Illinois, GO, VRDN (j):
9,900 Series 98, Class 1301, 3.79%
due 1/01/2017 (b) 9,900
7,155 Series 2006-0001 Class-A, 3.79%
due 1/01/2034 (e) 7,155
Face
Amount Municipal Bonds Value
Illinois (continued)
$ 30,000 Eagle Tax-Exempt Trust, Cook County, Illinois,
VRDN, Series 02, Class 1303, 3.79%
due 11/15/2025 (a)(j) $ 30,000
Eagle Tax-Exempt Trust, Illinois State, GO, VRDN (j):
11,000 Series 01, Class 1307, 3.79% due 11/01/2022 11,000
11,100 Series 02, Class 1302, 3.79% due 2/01/2027 11,100
3,000 Eagle Tax-Exempt Trust, Metropolitan Pier and
Exposition Authority, Illinois, Dedicated State Tax
Revenue Bonds, VRDN, Series 2004-0030, Class A,
3.79% due 6/15/2042 (f)(j) 3,000
5,000 Eagle Tax-Exempt Trust, Metropolitan Pier and
Exposition Authority, Illinois, VRDN, Series
2002-6001, Class A, 3.79% due 12/15/2028 (f)(j) 5,000
10,740 Eclipse Funding Trust, Solar Eclipse Certificates,
Illinois, GO, Refunding, VRDN, Series 2006-0038, 3.77%
due 1/01/2028 (e)(j) 10,740
9,755 Illinois Development Finance Authority Revenue
Bonds (Jewish Federation of Metropolitan Chicago
Project), VRDN, Series A, 3.83% due 9/01/2032 (a)(j) 9,755
5,000 Illinois Development Finance Authority, Water Facilities
Revenue Refunding Bonds (Illinois American Water
Company), VRDN, AMT, 3.88% due 3/01/2032 (f)(j) 5,000
8,450 Illinois Educational Facilities Authority
Revenue Bonds (Art Institute of Chicago), VRDN,
3.78% due 3/01/2027 (j) 8,450
Illinois HDA, M/F Housing Revenue Bonds (Danbury
Court Apartments), VRDN, AMT (j):
6,225 Series A, 3.81% due 5/01/2037 6,225
445 Series B, 3.88% due 5/01/2037 445
50,000 Illinois Health Facilities Authority, CP, 3.60%
due 11/06/2006 50,000
10,000 Illinois Health Facilities Authority Revenue Bonds,
Revolving Fund, Pooled, VRDN, Series B, 3.77%
due 8/01/2020 (j) 10,000
2,940 Illinois State Dedicated Tax (Macon Trust), VRDN,
Series N, 3.84% due 12/15/2020 (a)(j) 2,940
Illinois State Finance Authority, Revenue Refunding
Bonds, VRDN Series B (j):
12,500 (Central DuPage Health System), 3.77%
due 11/01/2038 12,500
5,640 (Northwestern Memorial Hospital), 3.80%
due 8/15/2038 5,640
Illinois State, GO, VRDN (j):
1,750 (MACON Trust), Series L, 3.78% due 1/01/2031 1,750
8,970 MERLOTS, Series B04, 3.78% due 12/01/2024 (e) 8,970
Illinois State, GO, Refunding, VRDN (f)(j):
16,375 FLOATS, Series 743D, 3.78% due 8/01/2015 (n) 16,375
5,800 MERLOTS, Series A49, 3.78% due 8/01/2013 5,800
16,605 Illinois Student Assistance Commission, Student Loan
Revenue Bonds, VRDN, AMT, Series A-I, 3.85%
due 9/01/2034 (f)(j) 16,605
5,705 Kane County, Illinois, School District Number 129
(Aurora West Side), GO, Refunding, PUTTERS, VRDN,
Series 1113, 3.78% due 2/01/2013 (b)(j) 5,705
Metropolitan Pier and Exposition Authority, Illinois,
Dedicated State Tax Revenue Bonds, FLOATS,
VRDN (f)(j):
7,040 Series 2006-6Z, 3.81% due 12/15/2032 7,040
5,030 Series 2006-9Z, 3.81% due 12/15/2034 5,030
6,250 Municipal Securities Trust Certificates, Chicago,
Illinois, Board of Education, GO, VRDN, Series
2005-237, Class A, 3.82% due 1/04/2024 (b)(j) 6,250
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands)
Face
Amount Municipal Bonds Value
Illinois (concluded)
$ 29,950 Municipal Securities Trust Certificates, Chicago
O'Hare Airport, Illinois, Revenue Bonds, VRDN,
AMT, Series 2001-151, Class A, 3.83%
due 6/30/2015 (a)(j) $ 29,950
Municipal Securities Trust Certificates, Cook County,
Illinois, GO, Refunding, VRDN (b)(j):
29,085 Series 2001-145, Class A, 3.79%
due 11/15/2029 29,085
33,895 Series 2002-191, Class A, 3.79%
due 3/18/2019 33,895
31,615 Municipal Securities Trust Certificates, Metropolitan
Pier and Exposition Authority, Illinois, Revenue
Refunding Bonds, VRDN, Series 2001-157, Class A,
3.79% due 10/05/2017 (b)(j) 31,615
26,045 Municipal Securities Trust Certificates, Revenue
Refunding Bonds, Chicago O'Hare International
Airport, Illinois, VRDN, AMT, Series 2000-93,
Class A, 3.83% due 10/04/2012 (a)(j)(m) 26,045
7,815 Municipal Securities Trust Certificates, Revenue
Refunding Bonds, VRDN, Series 2006-253, Class A,
3.79% due 5/12/2014 (a)(j) 7,815
17,620 Municipal Securities Trust Certificates, Will County,
Illinois, Community High School District Number
210, VRDN, Series 2006-265, Class A, 3.82%
due 4/08/2021 (e)(j) 17,620
2,170 Regional Transportation Authority, Illinois, GO,
MERLOTS, VRDN, Series A41, 3.78%
due 6/01/2017 (b)(j) 2,170
2,755 Regional Transportation Authority, Illinois, Revenue
Bonds (MACON Trust), VRDN, Series K, 3.78%
due 7/01/2026 (f)(j) 2,755
32,823 Regional Transportation Authority, Illinois, Revenue
Refunding Bonds, FLOATS, VRDN, Series 818-D,
3.78% due 7/01/2033 (b)(j) 32,823
22,000 University of Illinois, University Revenue Refunding
Bonds (South Campus Project), VRDN, Series A,
3.80% due 1/15/2022 (b)(j) 22,000
2,065 Will County, Illinois, Community Unit School District
Number 365-U (Valley View), GO, Refunding, TOCS,
VRDN, Series Z-10, 3.81% due 4/15/2020 (e)(j) 2,065
10,000 Will County, Illinois, M/F Housing Redevelopment,
Revenue Refunding Bonds (Woodlands Crest Hill),
VRDN, AMT, 3.81% due 2/15/2031 (d)(j) 10,000
Indiana--4.7%
5,370 Carmel, Indiana, School Building Corporation Revenue
Bonds, ROCS, VRDN, Series II-R-2065, 3.78%
due 7/15/2020 (f)(j) 5,370
13,000 Goshen, Indiana, EDR, Refunding (Goshen College
Project), VRDN, 3.80% due 10/01/2037 (j) 13,000
6,000 Hobart, Indiana, Building Corporation, First Mortgage
Revenue Bonds, MERLOTS, VRDN, Series D-3, 3.78%
due 1/15/2029 (b)(j) 6,000
23,400 Indiana Bond Bank, Advance Funding Program
Revenue Notes, Series A, 4.50% due 2/01/2007 23,492
54,400 Indiana Health Facilities Financing Authority, Hospital
Revenue Bonds (Clarian Health Obligation Group),
VRDN, Series C, 3.77% due 12/12/2006 (j)(p) 54,400
Face
Amount Municipal Bonds Value
Indiana (concluded)
Indiana Health Facilities Financing Authority, Hospital
Revenue Refunding Bonds (Clarian Health Partners),
VRDN (j)(p):
$ 51,800 Series B, 3.77% due 12/12/2006 $ 51,800
50,800 Series C, 3.77% due 12/12/2006 50,800
150 Indiana Health Facilities Financing Authority, Revenue
Bonds (Capital Access Designated Pool), VRDN,
3.77% due 1/01/2012 (j) 150
Indiana Health Facilities Financing Authority, Revenue
Refunding Bonds (Ascension Health Credit Group),
VRDN (j):
9,000 Series A-3, 3.35% due 1/30/2007 9,000
34,500 Series B, 3.68% due 11/15/2039 34,500
40,250 Indiana State Development Finance Authority,
Environmental Revenue Bonds (PSI Energy Inc.
Projects), VRDN, AMT, Series A, 3.95%
due 12/01/2038 (j) 40,250
2,000 Indiana State Development Finance Authority, IDR
(Republic Services, Inc. Project), VRDN, AMT, 4.10%
due 11/01/2035 (j) 2,000
5,265 Indiana State Office Building Commission, Facilities
Revenue Bonds, ROCS, VRDN, Series II-R-4534,
3.78% due 7/01/2020 (j) 5,265
1,984 Indiana Transportation Finance Authority, Highway
Revenue Refunding Bonds, FLOATS, VRDN, Series 942D,
3.78% due 12/01/2022 (b)(j) 1,984
4,240 Indianapolis, Indiana, Local Public Improvement Bond
Bank, Revenue Refunding Bonds (MACON Trust),
VRDN, Series S, 3.78% due 1/01/2021 (f)(j) 4,240
34,995 Municipal Securities Trust Certificates, Indianapolis,
Indiana, Local Tax-Exempt, GO, VRDN, Series
2002-192, Class A, 3.77% due 6/18/2014 (f)(j) 34,995
7,720 New Albany-Floyd County, Indiana, Independent
School Building Corporation, Revenue Refunding
Bonds, PUTTERS, VRDN, Series 879, 3.78%
due 6/01/2013 (e)(j) 7,720
6,575 Pike County, Indiana, Multi-School Building
Corporation, Revenue Refunding Bonds, PUTTERS,
VRDN, Series 1122, 3.78% due 7/15/2012 (f)(j) 6,575
41,635 Saint Joseph County, Indiana, Industrial Educational
Facilities, Revenue Refunding Bonds (University
of Notre Dame du Lac Project), VRDN, 3.65%
due 3/01/2040 (j) 41,635
35,500 Whiting, Indiana, Environmental Facilities Revenue
Refunding Bonds (BP Products Project), VRDN,
AMT, Series C, 3.83% due 7/01/2034 (j) 35,500
Iowa--0.4%
22,000 Iowa Finance Authority, Revenue Refunding Bonds
(Trinity Health Credit Group), VRDN, Series D, 3.73%
due 12/01/2030 (j) 22,000
10,000 Louisa County, Iowa, PCR, Refunding (Iowa-Illinois
Gas and Electric), VRDN, Series A, 3.85%
due 9/01/2016 (j) 10,000
Kansas--0.7%
3,965 Kansas State Department of Transportation, Highway
Revenue Bonds, ROCS, VRDN, Series II-R-6020,
3.78% due 3/01/2019 (e)(j) 3,965
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands)
Face
Amount Municipal Bonds Value
Kansas (concluded)
$ 19,700 Kansas State Department of Transportation, Highway
Revenue Refunding Bonds, VRDN, Series C-1,
3.70% due 9/01/2019 (j) $ 19,700
Kansas State Development Financing Authority,
Revenue Bonds (Sisters of Charity of Leavenworth
Health System), VRDN (j):
1,250 Series C, 3.83% due 12/01/2019 1,250
30,700 Series D, 3.83% due 12/01/2031 30,700
7,775 Lehman Municipal Trust Receipts, Sedgwick
and Shawnee Counties, Kansas, FLOATS,
VRDN, Series 2006-P33U, 3.83%
due 6/01/2038 (c)(i)(j) 7,775
Kentucky--3.3%
3,775 Boyd County, Kentucky, Sewer and Solid Waste
Revenue Bonds (Air Products and Chemicals
Project), VRDN, AMT, 3.85% due 7/01/2021 (j) 3,775
23,520 Breckinridge County, Kentucky, Lease Program
Revenue Bonds (Kentucky Association of Counties
Leasing Trust), VRDN, Series A, 3.83%
due 2/01/2032 (j) 23,520
20,930 Carroll County, Kentucky, Solid Waste, CP, 3.67%
due 11/14/2006 20,930
14,000 Eagle Tax-Exempt Trust, Louisville and Jefferson
Counties, Kentucky, Metropolitan Sewer District,
Sewer and Drain System Revenue Bonds,
VRDN, Series 2006-0053 Class A, 3.79%
due 5/15/2033 (b)(j) 14,000
Jefferson County, Kentucky, CP:
12,500 3.58% due 12/05/2006 12,500
35,000 3.60% due 12/05/2006 35,000
2,200 Kenton County, Kentucky, Airport Board, Special
Facilities Revenue Refunding Bonds, VRDN,
Series B, 3.82% due 10/01/2030 (j) 2,200
16,470 Kentucky State Property and Buildings Commission,
Revenue Refunding Bonds, PUTTERS, VRDN,
Series 739, 3.77% due 2/01/2018 (f)(j) 16,470
36,475 Kentucky State Turnpike Authority, Resource Recovery
Road Revenue Bonds, FLOATS, Series 488, 3.78%
due 7/01/2007 (e)(j) 36,475
6,395 Louisville and Jefferson Counties, Kentucky,
Metropolitan Sewer District, Sewer and Drain
System Revenue Bonds, ROCS, VRDN,
Series II-R-304, 3.77% due 5/15/2037 (b)(j) 6,395
50,650 Louisville and Jefferson Counties, Kentucky,
Metropolitan Sewer District, Sewer and Drain
System Revenue Refunding Bonds, VRDN, Series B,
3.73% due 5/15/2023 (e)(j) 50,650
61,600 Public Energy Authority of Kentucky, Inc., Gas Supply
Revenue Bonds (BP Corporation of North America),
VRDN, Series A, 3.81% due 8/01/2016 (j) 61,600
14,295 Shelby County, Kentucky, Lease Revenue Bonds,
VRDN, Series A, 3.83% due 9/01/2034 (j) 14,295
Louisiana--1.9%
17,700 Ascension Parish, Louisiana, Revenue Bonds (BASF
Corporation Project), VRDN, AMT, 3.93%
due 3/01/2025 (j) 17,700
3,625 East Baton Rouge, Louisiana, Mortgage Finance
Authority, S/F Revenue Bonds, FLOATS, VRDN, AMT,
Series 996, 3.84% due 6/02/2008 (j) 3,625
17,349 Jefferson Parish, Louisiana, Home Mortgage Authority,
S/F Mortgage Revenue Bonds, VRDN, Series B, 4.531%
due 12/03/2007 (j) 17,349
Face
Amount Municipal Bonds Value
Louisiana (concluded)
Jefferson Parish, Louisiana, Hospital Service District
Number 001, Hospital Revenue Bonds, VRDN (j):
$ 10,000 PUTTERS, Series 522, 3.80% due 12/01/2008 $ 10,000
25,000 (West Jefferson Medical Center), Series B, 3.76%
due 1/01/2028 (e) 25,000
Louisiana HFA, Mortgage Revenue Refunding Bonds,
FLOATS, VRDN, AMT (j):
855 Series 1066, 3.84% due 3/01/2036 855
37,294 Series 1069, 3.84% due 12/01/2047 37,294
248 Louisiana HFA, S/F Mortgage Revenue Refunding
Bonds, VRDN, AMT, 5.03% due 3/01/2036 (j) 248
6,000 Louisiana Local Government, Environmental Facilities,
Community Development Authority Revenue Bonds
(Honeywell International Inc. Project), VRDN, AMT,
3.94% due 12/01/2037 (j) 6,000
Louisiana Public Facilities Authority, Advanced Funding
Revenue Bonds:
4,965 Series A, 4.50% due 10/19/2006 4,969
3,475 Series D, 4.50% due 10/19/2006 3,478
300 Series E, 4.50% due 10/19/2006 300
Louisiana Public Facilities Authority Revenue Bonds,
VRDN (j):
2,850 (Air Products and Chemicals Project), AMT, 3.85%
due 12/01/2039 2,850
12,655 (Equipment and Capital Facilities Loan Program),
Series C, 3.79% due 7/01/2024 12,655
15,500 Louisiana State Municipal Natural Gas Purchasing
and Distribution Authority Revenue Bonds, PUTTERS,
VRDN, Series 1411Q, 3.80% due 3/15/2014 (j) 15,500
8,080 New Orleans, Louisiana, Ernest N. Morial Exhibit Hall
Authority, Special Tax, ROCS, VRDN, Series II-R-4038,
3.81% due 7/15/2023 (a)(j) 8,080
3,000 New Orleans, Louisiana, Finance Authority, S/F Mortgage
Revenue Refunding Bonds, FLOATS, VRDN, AMT,
Series 1137, 3.83% due 12/01/2044 (j) 3,000
4,400 South Louisiana Port Commission, Port Revenue
Refunding Bonds (Occidental Petroleum), VRDN,
3.75% due 7/01/2018 (j) 4,400
Maryland--1.7%
35,700 Baltimore, Maryland, Port Facilities Revenue
Bonds (Occidental Petroleum), FLOATS, VRDN,
3.50% due 10/14/2011 (j) 35,700
8,900 Maryland State Community Development Administration,
Revenue Refunding Bonds (Department of Housing
and Community Development), VRDN, Series F, 3.12%
due 11/24/2006 (j) 8,900
36,360 Maryland State Health and Higher Educational
Facilities Authority Revenue Refunding Bonds, FLOATS,
VRDN, Series 867, 3.78% due 7/01/2019 (b)(j) 36,360
48,480 Metropolitan Washington Airports Authority, D.C.,
Airport System Revenue Refunding Bonds, MERLOTS,
VRDN, AMT, Series C35, 3.83%
due 10/01/2014 (f)(j) 48,480
9,225 Metropolitan Washington Airports Authority, D.C.,
System Revenue Bonds, ROCS, VRDN, Series II-R-195,
3.81% due 10/01/2032 (b)(j) 9,225
14,000 Montgomery County, Maryland, EDR (Riderwood
Village Inc. Project), Refunding, VRDN, 3.78%
due 3/01/2034 (j) 14,000
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands)
Face
Amount Municipal Bonds Value
Massachusetts--1.4%
$ 10,000 Eagle Tax-Exempt Trust, Massachusetts Commuter
Facilities, VRDN, Series 2001, Class 2101, 3.79%
due 6/15/2033 (j) $ 10,000
7,495 Eagle Tax-Exempt Trust, Massachusetts State Water
Resources Authority, Revenue Refunding Bonds,
VRDN, Series 2006-0054 Class A, 3.79%
due 8/01/2036 (a)(j) 7,495
20,000 Easton, Massachusetts, GO, BAN, 4.25%
due 10/20/2006 20,013
12,000 Lawrence, Massachusetts, GO, BAN, 4.50%
due 12/22/2006 12,028
Massachusetts State Development Finance Agency, CP:
10,500 3.60% due 12/11/2006 10,500
20,400 3.62% due 12/12/2006 20,400
7,935 Massachusetts State Development Finance Agency,
Revenue Bonds (Suffolk University), VRDN,
Series A, 3.79% due 7/01/2035 (j)(k) 7,935
700 Massachusetts State, GO (Central Artery), VRDN,
Series A, 3.80% due 12/01/2030 (j) 700
2,700 Massachusetts State, GO, Refunding, VRDN, Series A,
3.70% due 9/01/2016 (j) 2,700
39,250 Massachusetts State Industrial Finance Agency, CP,
3.65% due 1/11/2007 39,250
Michigan--3.1%
4,615 Detroit, Michigan, City School District, GO, VRDN,
Series A, 3.82% due 5/01/2029 (e)(j) 4,615
3,800 Detroit, Michigan, Sewer Disposal Revenue Bonds,
FLOATS, VRDN, Series 60, 3.78% due 7/01/2036 (b)(j) 3,800
9,755 Detroit, Michigan, Sewer Disposal Revenue Refunding
Bonds, MSTR, VRDN, SGB 47-A, 3.78%
due 7/01/2028 (e)(j) 9,755
Detroit, Michigan, Water Supply System Revenue
Bonds, FLOATS, VRDN (e)(j):
17,000 Series 61, 3.77% due 7/01/2034 17,000
6,495 Series 68, 3.78% due 7/01/2034 6,495
6,900 Eagle Tax-Exempt Trust, Grand Rapids Michigan,
Sanitation Sewer System, VRDN, Series A, 3.79%
due 1/01/2022 (b)(j)(m) 6,900
8,080 Eagle Tax-Exempt Trust, Michigan State Building
Authority, Revenue Refunding Bonds, VRDN,
Series 2006-0113, Class A, 3.79%
due 10/15/2036 (b)(j) 8,080
37,810 Kent, Michigan, Hospital Finance Authority, Revenue
Refunding Bonds (Spectrum Health), VRDN, Series A,
3.74% due 1/15/2029 (b)(j) 37,810
Michigan State Building Authority, Revenue
Refunding Bonds, VRDN (j):
3,750 FLOATS, Series 71, 3.78%
due 10/15/2036 (b) 3,750
4,975 ROCS, Series II-R-550, 3.78%
due 10/15/2024 (a)(f) 4,975
4,260 ROCS, Series II-R-2064, 3.78% due 10/15/2021 (f) 4,260
Michigan State Hospital Finance Authority Revenue
Bonds, VRDN (j):
64,600 (Ascension Health), Series B-1, 3.68%
due 11/15/2033 64,600
8,400 (Trinity Health Credit Group), Series F, 3.82%
due 11/01/2018 8,400
30,995 (Trinity Health Credit Group), Series H, 3.82%
due 11/01/2040 (g) 30,995
Face
Amount Municipal Bonds Value
Michigan (concluded)
Michigan State Hospital Finance Authority, Revenue
Refunding Bonds, VRDN (j):
$ 22,000 MERLOTS, Series K, 3.78% due 11/15/2023 (f) $ 22,000
32,610 (Trinity Health Credit Group), Series E, 3.75%
due 12/01/2030 (a) 32,610
5,615 Michigan State Strategic Fund, Limited Obligation
Revenue Refunding Bonds (Dow Chemical Project),
VRDN, Series B-1, 3.85% due 6/01/2014 (j) 5,615
7,755 Royal Oak, Michigan, Hospital Finance Authority,
Hospital Revenue Refunding Bonds (William
Beaumont Hospital), VRDN, Series T, 3.80%
due 1/01/2020 (a)(j) 7,755
3,555 Whitmore Lake, Michigan, Public School District,
GO, ROCS, VRDN, Series II-R-4515, 3.78%
due 5/01/2023 (j) 3,555
Minnesota--1.5%
16,757 Duluth, Minnesota, EDA, Health Care Facilities
Revenue Refunding Bonds, FLOATS, VRDN,
Series 895, 3.78% due 2/15/2020 (a)(j) 16,758
14,000 Minneapolis, Minnesota, Health Care System, Revenue
Refunding Bonds (Fairview Health Services Project),
VRDN, Series B, 3.74% due 11/15/2029 (a)(j) 14,000
3,585 Minnesota Public Facilities Authority, Drinking Water
Revenue Refunding Bonds, FLOATS, VRDN, Series
1467, 3.78% due 3/01/2017 (j) 3,585
1,685 Minnesota State, GO, ROCS, VRDN, Series II-R-4065,
3.78% due 8/01/2023 (j) 1,685
Rochester, Minnesota, Health Care, CP:
36,750 3.55% due 11/09/2006 36,750
66,500 3.58% due 12/14/2006 66,500
Mississippi--2.1%
3,520 Mississippi Business Finance Corporation,
Mississippi, Solid Waste Disposal Revenue
Refunding Bonds (Mississippi Power Company
Project), VRDN, AMT, 3.82% due 5/01/2028 (j) 3,520
57,551 Mississippi Development Bank, Special Obligation
Revenue Bonds (Municipal Gas Authority of
Mississippi--Natural Gas Supply Project), VRDN,
3.75% due 7/01/2015 (j) 57,551
89,191 Mississippi Home Corporation, S/F Revenue Bonds,
FLOATS, VRDN, AMT, Series 1212, 3.81%
due 12/01/2008 (j) 89,191
25,900 Mississippi Hospital Equipment and Facilities Authority
Revenue Bonds (Mississippi Baptist Medical Center),
VRDN, 3.77% due 7/01/2012 (j) 25,900
6,780 Mississippi State, Capital Improvement, GO, VRDN,
3.76% due 9/01/2025 (j) 6,780
5,950 University of Mississippi Educational Building
Corporation Revenue Bonds (The University of
Mississippi Medical Center Pediatric and Research
Facilities Project), VRDN, 3.75% due 6/01/2034 (a)(j) 5,950
Missouri--0.5%
4,645 Jackson County, Missouri, Special Obligation
Revenue Bonds, ROCS, VRDN, Series II-R-9013,
3.78% due 12/01/2029 (a)(j) 4,645
3,190 Kansas City, Missouri, Municipal Assistance
Corporation Revenue Bonds, FLOATS, VRDN,
Series Z-15, 3.81% due 11/12/2025 (a)(j) 3,190
5,220 Lehman Municipal Trust Receipts, St. Louis, Missouri,
Industrial Development Authority, M/F Housing
Revenue Bonds, FLOATS, VRDN, AMT, Series
2006-K50, 3.83% due 12/20/2044 (j)(l)(o) 5,220
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands)
Face
Amount Municipal Bonds Value
Missouri (concluded)
$ 6,470 Missouri Development Finance Board, Cultural
Facilities Revenue Bonds (Nelson Gallery
Foundation), VRDN, Series B, 3.82% due
12/01/2031 (f)(j) $ 6,470
3,160 Missouri-Illinois Bi-State Development Agency,
Subordinate Mass Transit Revenue Bonds (Metrolink
Cross County Extension Project), VRDN, Series A,
3.75% due 10/01/2035 (j) 3,160
5,770 Missouri Joint Municipal Electric Utility Commission,
Power Project Revenue Bonds, ROCS, VRDN,
Series II-R-620PB, 3.80% due 1/01/2034 (a)(j) 5,770
5,750 Missouri State Health and Educational Facilities
Authority, Health Facilities Revenue Bonds (BJC
Health System), VRDN, Series B, 3.83%
due 5/15/2034 (j) 5,750
5,190 Missouri State Housing Development Commission,
S/F Mortgage Revenue Refunding Bonds, VRDN,
AMT, Series A, 4.59% due 9/01/2038 (j) 5,190
Montana--0.2%
14,000 Montana Facility Finance Authority Revenue
Bonds (Sisters of Charity of Leavenworth
Health System), VRDN, Series A, 3.83%
due 12/01/2025 (j) 14,000
Nebraska--1.7%
American Public Energy Agency, Nebraska, Gas
Supply Revenue Bonds, VRDN (j):
70,500 (National Public Gas Agency Project), Series B,
3.73% due 2/01/2014 70,500
19,411 Series A, 3.75% due 12/01/2015 19,411
2,000 Eagle Tax-Exempt Trust, Nebraska Public Power District
Revenue Bonds, VRDN, Series 1016, Class A, 3.79%
due 1/01/2035 (a)(j) 2,000
5,980 Eclipse Funding Trust, Solar Eclipse Certificates,
Omaha, Nebraska, Public Power District Revenue
Bonds, VRDN, Series 2006-0025, 3.77%
due 2/01/2036 (a)(j) 5,980
4,355 Municipal Energy Agency of Nebraska, Power Supply
System Revenue Bonds, ROCS, VRDN, Series II-R-2051,
3.78% due 4/01/2022 (e)(j) 4,355
36,000 Nebraska Public Power District, CP, 3.50%
due 10/06/2006 36,000
4,995 Nebraska Public Power District Revenue Refunding
Bonds, ROCS, VRDN, Series II-R-209, 3.78%
due 1/01/2012 (f)(j) 4,995
Omaha Public Power District, Nebraska, Electric
System Revenue Bonds, VRDN (j):
5,500 FLOATS, Series 73, 3.78% due 2/01/2034 5,500
7,890 ROCS, Series II-R-9031, 3.78% due 2/01/2039 7,890
Nevada--1.0%
29,185 ABN AMRO MuniTops Certificates Trust, Clark
County, Nevada, Airport Revenue Bonds, VRDN,
Series 1999-15, 3.77% due 1/02/2008 (f)(j) 29,185
5,700 Clark County, Nevada, Airport System Subordinate
Lien Revenue Refunding Bonds, VRDN, Series C,
3.74% due 7/01/2029 (b)(j) 5,700
20,450 Clark County, Nevada, CP, 3.60% due 1/18/2007 20,450
2,495 Clark County, Nevada, IDR, Refunding, PUTTERS,
VRDN, AMT, Series 722, 3.81% due 12/01/2012 (b)(j) 2,495
4,700 Clark County, Nevada, School District, GO, PUTTERS,
VRDN, Series 1429, 3.78% due 12/15/2013 (e)(j) 4,700
Face
Amount Municipal Bonds Value
Nevada (concluded)
$ 9,030 Las Vegas Valley, Nevada, Water District, GO,
Refunding, MERLOTS, VRDN, Series B 10, 3.78%
due 6/01/2024 (f)(j) $ 9,030
5,850 Nevada State Department of Business and Industry,
Solid Waste Disposal Revenue Bonds (Republic
Services Inc. Project), VRDN, AMT, 4.15%
due 12/01/2034 (j) 5,850
9,330 Truckee Meadows, Nevada, Water Authority, Water
Revenue Refunding Bonds, ROCS, VRDN,
Series II-R-6078, 3.78% due 1/01/2027 (e)(j) 9,330
7,215 Washoe County, Nevada, School District, GO,
ROCS, VRDN, Series II-R-2012, 3.78%
due 6/01/2020 (b)(j) 7,215
New Hampshire--1.3%
5,800 New Hampshire Health and Educational Facilities
Authority, Revenue Refunding Bonds (Dartmouth
Hitchcock Obligation), VRDN, Series A, 3.70%
due 8/01/2031 (e)(j) 5,800
New Hampshire Higher Educational and Health
Facilities Authority Revenue Refunding Bonds,
FLOATS, VRDN (b)(j):
5,139 Series 772, 3.78% due 1/01/2017 5,139
10,120 Series 866, 3.77% due 8/15/2021 10,120
7,415 New Hampshire State Business Finance Authority,
Resource Recovery Revenue Refunding Bonds
(Wheelabrator), VRDN, Series A, 3.77%
due 1/01/2018 (j) 7,415
New Hampshire State Business Fund, CP:
20,000 3.72% due 10/11/2006 20,000
50,600 3.73% due 11/09/2006 50,600
Strafford County, New Hampshire, GO, TAN:
4,650 4% due 12/28/2006 4,657
10,500 4.50% due 12/28/2006 10,529
New Jersey--1.6%
16,754 East Brunswick Township, New Jersey, GO, BAN,
4.25% due 1/05/2007 16,793
Municipal Securities Trust Certificates, New Jersey
State Transportation Trust Fund Authority,
Transportation System Revenue Bonds, VRDN,
Class A (j)(m):
5,855 Series 2006-3010, 3.82% due 6/13/2024 (a) 5,855
11,265 Series 2006-3013, 3.82% due 11/05/2026 (b) 11,265
14,740 New Jersey EDA, Revenue Bonds (Presbyterian Homes),
VRDN, Series B, 3.74% due 12/01/2032 (j) 14,740
12,000 New Jersey EDA, Revenue Refunding Bonds
(Presbyterian Homes), VRDN, Series B, 3.73%
due 4/01/2016 (j) 12,000
7,257 New Jersey Health Care Facilities Financing Authority
Revenue Bonds, FLOATS, VRDN, Series 702, 3.79%
due 7/01/2014 (f)(j) 7,257
New Jersey State Transportation Trust Fund Authority
Revenue Bonds, VRDN (j):
4,960 FLOATS, Series 15Z, 3.80% due 12/15/2031 (b) 4,960
15,620 PUTTERS, Series 1365, 3.81% due 6/15/2023 (f) 15,620
New Jersey State Turnpike Authority, Turnpike
Revenue Bonds, VRDN (e)(j):
22,325 Series C-1, 3.70% due 1/01/2024 22,325
6,895 Series C-2, 3.70% due 1/01/2024 6,895
30,000 Passaic, New Jersey, GO, Refunding, BAN, 4.50%
due 6/08/2007 30,186
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands)
Face
Amount Municipal Bonds Value
New Mexico--0.4%
$ 7,355 New Mexico Finance Authority, Revenue Refunding
Bonds, ROCS, VRDN, Series II-R-7509, 3.78%
due 6/15/2023 (a)(j) $ 7,355
27,118 New Mexico Mortgage Finance Authority, S/F
Mortgage Program Revenue Bonds, VRDN, AMT,
4.53% due 7/01/2007 (j) 27,118
New York--6.0%
7,000 Aurora, New York, GO, BAN, 4% due 7/25/2007 7,000
10,000 Carmel, New York, Central School District, GO, BAN,
4.50% due 6/29/2007 10,045
24,000 Commack, New York, Union Free School District, GO,
Refunding, BAN, 4.25% due 11/17/2006 24,034
24,700 Eagle Tax-Exempt Trust, New York State Dormitory
Authority (Memorial Sloan), VRDN, Series 98,
Class 3202, 3.78% due 7/01/2023 (j) 24,700
7,000 Hempstead, New York, Union Free School District,
GO, TAN, 4.50% due 6/28/2007 7,034
127,300 Metropolitan Transportation Authority, New York,
Dedicated Tax Fund, Revenue Refunding Bonds,
VRDN, Series B, 3.65% due 11/01/2022 (e)(j) 127,300
9,390 Monroe County, New York, GO, BAN, 4.75%
due 7/18/2007 9,446
13,995 Municipal Securities Trust Certificates Revenue Bonds,
New York City, New York, City Transitional Finance
Authority, VRDN, Series 2002-202, Class A, 3.76%
due 10/21/2010 (b)(j) 13,995
13,000 New York City, New York, City Housing Development
Corporation, M/F Rental Housing Revenue Bonds
(Brittany Development), VRDN, AMT, Series A, 3.80%
due 6/15/2029 (d)(j) 13,000
24,000 New York City, New York, City IDA, Liberty Revenue
Bonds (One Bryant Park LLC Project), VRDN, Series A,
3.77% due 11/01/2039 (j) 24,000
5,500 New York City, New York, City IDA, Revenue
Bonds, ROCS, VRDN, Series II-R-619, 3.77%
due 1/01/2036 (a)(j) 5,500
30,000 New York City, New York, City Municipal Water Finance
Authority, CP, 3.65% due 10/05/2006 30,000
6,260 New York City, New York, City Municipal Water Finance
Authority, Water and Sewer System Revenue
Refunding Bonds, MSTR, VRDN, Series SGB-27,
3.76% due 6/15/2024 (e)(j) 6,260
2,500 New York City, New York, City Transitional
Finance Authority, Future Tax Secured Revenue
Refunding Bonds, VRDN, Sub-Series C5, 3.80%
due 8/01/2031 (j) 2,500
11,500 New York City, New York, City Transitional Finance
Authority, Special Tax Revenue Refunding Bonds,
VRDN, Series C, 3.72% due 2/01/2032 (j) 11,500
25,000 New York City, New York, GO, ROCS, VRDN,
Series II-R-251A, 3.78% due 12/15/2033 (j) 25,000
5,700 New York City, New York, Sales Tax Asset Receivable
Corporation Revenue Bonds, ROCS, VRDN,
Series II-R-6084, 3.77% due 10/01/2023 (f)(j) 5,700
1,500 New York State Dormitory Authority, Mental Health
Facilities Improvement Revenue Refunding Bonds,
VRDN, Series F-2B, 3.73% due 2/15/2021 (e)(j) 1,500
6,500 New York State HFA, Service Contract Revenue
Refunding Bonds, VRDN, Series G, 3.75%
due 3/15/2028 (j) 6,500
Face
Amount Municipal Bonds Value
New York (concluded)
$ 6,500 New York State Local Government Assistance
Corporation, Revenue Refunding Bonds, Sub-Lien,
VRDN, Series 3V, 3.75% due 4/01/2024 (b)(j) $ 6,500
11,000 New York State Thruway Authority, State Personal
Income Tax, Revenue Refunding Bonds, FLOATS,
VRDN, Series 1194, 3.77% due 3/15/2023 (e)(j) 11,000
10,000 Niagara-Wheatfield, New York, Central School District,
GO, BAN, 4.50% due 2/15/2007 10,032
11,000 Oceanside, New York, Union Free School District,
GO, TAN, 4.50% due 6/27/2007 11,057
5,930 Plainedge, New York, Union Free School District,
GO, TAN, 4.50% due 6/27/2007 5,961
20,000 Sachem Central School District (Holbrook), New York,
GO, BAN, 4.50% due 6/27/2007 20,105
4,000 Tobacco Settlement Financing Corporation of New
York Revenue Bonds, FLOATS, VRDN, Series 1457,
3.84% due 6/01/2022 (j) 4,000
Triborough Bridge and Tunnel Authority, New York,
General Purpose Revenue Bonds, VRDN (j):
47,100 Series A, 3.77% due 11/01/2035 47,100
18,985 Series B, 3.71% due 1/01/2033 18,985
Triborough Bridge and Tunnel Authority, New York,
Special Obligation Revenue Refunding Bonds,
VRDN (e)(j):
5,300 Series C, 3.70% due 1/01/2031 5,300
20,280 Series D, 3.70% due 1/01/2031 20,280
25,000 William Floyd Union Free School District of
Mastics-Moriches-Shirley, GO, TAN, 4.50%
due 6/29/2007 25,119
North Carolina--2.0%
38,500 Chapel Hill University, North Carolina, Hospital
Revenue Refunding Bonds, VRDN, Series B, 3.80%
due 2/15/2031 (j) 38,500
19,995 Municipal Securities Trust Certificates, North Carolina
Eastern Municipal Power Agency, GO, Refunding,
VRDN, Series 2002-201, Class A, 3.77%
due 4/12/2017 (j) 19,995
4,025 North Carolina Eastern Municipal Power Agency,
Power System Revenue Bonds, MERLOTS, Series A22,
3.78% due 1/01/2024 (j) 4,025
3,200 North Carolina HFA, Home Ownership Revenue
Bonds, MERLOTS, VRDN, AMT, Series B12, 3.83%
due 7/01/2037 (j) 3,200
49,500 North Carolina Medical Care Commission, Health
Care Facilities Revenue Bonds (Novant Health
Group), VRDN, Series A, 3.74% due 11/01/2034 (j) 49,500
38,525 North Carolina Medical Care Commission, Health
Care Facilities, Revenue Refunding Bonds (University
Health Systems of Eastern Carolina), VRDN,
Series C1, 3.70% due 12/01/2036 (a)(j) 38,525
North Carolina Medical Care Commission, Hospital
Revenue Bonds, VRDN (j):
15,000 (Moses H. Cone Memorial Health System),
Series A, 3.70% due 10/01/2035 15,000
3,000 (Moses H. Cone Memorial Health System),
VRDN, Series B, 3.70% due 10/01/2035 3,000
4,100 (Pooled Equipment Financing Project), ACES,
3.78% due 12/01/2025 (f) 4,100
4,500 North Carolina State, GO, MERLOTS, VRDN, Series A23,
3.78% due 3/01/2027 (j) 4,500
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands)
Face
Amount Municipal Bonds Value
North Carolina (concluded)
$ 3,500 Wake County, North Carolina, Industrial Facilities
and Pollution Control Financing Authority Revenue
Bonds (Solid Waste Disposal - Highway 55), VRDN,
AMT, 3.85% due 9/01/2013 (j) $ 3,500
Ohio--1.6%
12,425 Dublin, Ohio, City School District, School Construction,
GO, Refunding, BAN, 4.25% due 11/16/2006 12,437
4,000 Eagle Tax-Exempt Trust, Cincinnati, Ohio, City School
District, GO, VRDN, Series 2004-34, Class A, 3.79%
due 12/01/2031 (e)(j) 4,000
5,000 Franklin County, Ohio, Health Care Facilities Revenue
Refunding Bonds (Ohio Presbyterian Services), VRDN,
Series A, 3.78% due 7/01/2036 (h)(j) 5,000
6,000 Greene County, Ohio, GO, BAN, 4.50% due 12/14/2006 6,013
28,000 Hamilton County, Ohio, Health Care Facilities Revenue
Bonds (Twin Towers and Twin Lakes), VRDN,
Series A, 3.76% due 7/01/2023 (j) 28,000
9,000 Hamilton County, Ohio, Student Housing Revenue
Bonds (Block 3 Community Urban Redevelopment
Corporation Project), VRDN, 3.79% due 8/01/2036 (j) 9,000
14,500 Marysville, Ohio, Wastewater Treatment System
Revenue Bonds, BAN, 4.50% due 12/21/2006 (q) 14,536
4,500 Montgomery County, Ohio, Revenue Refunding Bonds
(Miami Valley Hospital), VRDN, Series A, 3.83%
due 11/15/2022 (j) 4,500
2,370 Municipal Securities Trust Certificates, Princeton,
Ohio, City School District, GO, VRDN, Series
SGB 50-A, 3.78% due 12/01/2030 (f)(j) 2,370
Ohio State Air Quality Development Authority,
Revenue Refunding Bonds (Cincinnati Gas and
Electric), VRDN (j):
7,900 Series A, 3.90% due 9/01/2030 7,900
16,300 Series B, 3.95% due 9/01/2030 16,300
23,955 Ohio State, GO, Common Schools, VRDN, Series A,
3.75% due 3/15/2025 (j) 23,955
2,500 Ohio State Solid Waste Revenue Bonds (Republic
Services, Inc. Project), VRDN, AMT, 4.04%
due 11/01/2035 (j) 2,500
3,000 Ohio State Water Development Authority, Pollution
Control Revenue Refunding Bonds (Ohio Edison
Company), VRDN, Series A, 3.90% due 6/01/2033 (j) 3,000
3,000 Shaker Heights, Ohio, GO, BAN, 4.50%
due 12/08/2006 3,006
5,830 Trumbull County, Ohio, Health Care Facilities
Revenue Bonds (Shepherd of the Valley), VRDN,
3.80% due 10/01/2031 (h)(j) 5,830
Oklahoma--1.1%
3,300 Cleveland County, Oklahoma, Home Loan Authority,
S/F Mortgage Revenue Refunding Bonds, VRDN,
Series A, 5.29% due 4/25/2007 (j) 3,300
Comanche County, Oklahoma, Home Finance Authority,
S/F Mortgage Revenue Bonds, VRDN, Series A (j):
17,087 5.028% due 10/02/2006 17,087
3,584 3.99% due 5/01/2007 3,584
34,985 Morgan Keegan Municipal Products, Inc., Oklahoma
County, Oklahoma, HFA, S/F Revenue Bonds, VRDN,
AMT, Series A, 3.84% due 5/01/2009 (j) 34,985
Face
Amount Municipal Bonds Value
Oklahoma (concluded)
Oklahoma State Development Finance Authority
Revenue Bonds (ConocoPhillips Company Project),
VRDN, AMT (j):
$ 7,500 3.45% due 12/01/2006 $ 7,500
2,500 Series B, 3.84% due 8/01/2037 2,500
24,020 Oklahoma State Industries Authority, Revenue
Refunding Bonds (Integris Baptist), VRDN, Series B,
3.83% due 8/15/2029 (f)(j) 24,020
10,000 Oklahoma State Turnpike Authority, Second Senior
Revenue Refunding Bonds, VRDN, Series E, 3.78%
due 1/01/2028 (j)(n) 10,000
Oregon--0.4%
11,730 ABN AMRO MuniTops Certificates Trust, Portland,
Oregon, GO, VRDN, Series 2001-4, 3.78%
due 6/01/2009 (f)(j) 11,730
22,000 Oregon State, GO, VRDN, Series 73-G, 3.80%
due 12/01/2018 (j) 22,000
Pennsylvania--3.5%
Allegheny County, Pennsylvania, Hospital
Development Authority, Revenue Bonds, VRDN (j):
27,490 PUTTERS, Series 1281, 3.78%
due 1/15/2011 (b) 27,490
7,500 (University of Pittsburgh Medical Center),
Series B-1, 3.86% due 12/01/2016 7,500
7,800 Arkansas State Development Finance Authority,
M/F Housing Revenue Bonds (Chapelridge Benton
Project), VRDN, AMT, Series C, 3.82%
due 6/01/2032 (j) 7,800
19,850 Delaware Valley Regional Finance Authority,
Pennsylvania, Local Government Revenue Bonds,
VRDN, Series D, 3.75% due 12/01/2020 (j) 19,850
Emmaus, Pennsylvania, General Authority Revenue
Bonds, VRDN, Series A (j):
11,925 3.77% due 3/01/2024 11,925
13,200 (Pennsylvania Loan Program), 3.76%
due 3/01/2030 (e) 13,200
9,897 Erie County, Pennsylvania, Hospital Authority Revenue
Bonds, FLOATS, VRDN, Series 820, 3.78%
due 7/01/2022 (f)(j) 9,897
17,000 Erie, Pennsylvania, City School District, GO, TRAN,
4.50% due 6/29/2007 17,064
11,550 Geisinger Health System, Pennsylvania, Revenue
Bonds, VRDN, 3.82% due 11/15/2032 (j) 11,550
12,000 Lackawanna County, Pennsylvania, GO, MSTR, VRDN,
Series SGB-38, 3.77% due 9/15/2020 (j) 12,000
4,995 Mount Lebanon, Pennsylvania, School District, GO,
MERLOTS, VRDN, Series B19, 3.78%
due 2/15/2027 (f)(j) 4,995
6,700 Pennsylvania Economic Development Financing
Authority, Wastewater Treatment Revenue Refunding
Bonds (Sunoco Inc. - R & M Project), VRDN, AMT,
Series B, 3.94% due 10/01/2034 (j) 6,700
15,150 Pennsylvania State Turnpike Commission, Turnpike
Revenue Bonds, FLOATS, VRDN, Series 1402, 3.78%
due 12/01/2024 (a)(j) 15,150
8,290 Pennsylvania State Turnpike Commission, Turnpike
Revenue Refunding Bonds, VRDN, Series B, 3.74%
due 12/01/2012 (j) 8,290
40,400 Philadelphia, Pennsylvania, Gas Works Revenue
Refunding Bonds, VRDN, Series 6, 3.78%
due 8/01/2031 (e)(j) 40,400
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands)
Face
Amount Municipal Bonds Value
Pennsylvania (concluded)
$ 13,615 Philadelphia, Pennsylvania, Hospitals and Higher
Education Facilities Authority, Hospital Revenue
Refunding Bonds (Children's Hospital Project),
VRDN, Series A, 3.82% due 2/15/2014 (j) $ 13,615
Philadelphia, Pennsylvania, Water and Wastewater
Revenue Refunding Bonds, VRDN (e)(j):
37,170 3.73% due 6/15/2023 37,170
14,950 Series B, 3.73% due 8/01/2018 14,950
5,000 Southcentral General Authority, Pennsylvania, Revenue
Refunding Bonds (Wellspan Health - York Hospital),
VRDN, Series A, 3.73% due 6/07/2023 (a)(j) 5,000
18,000 Temple University of the Commonwealth System of
Higher Education, Pennsylvania, University
Funding Obligations, Revenue Refunding Bonds,
5% due 4/26/2007 18,131
10,640 Washington County, Pennsylvania, IDA, Health
Care Facilities Revenue Bonds (Presbyterian Senior
Care), VRDN, 3.73% due 1/01/2030 (h)(j) 10,640
Rhode Island--1.1%
5,345 Rhode Island Housing and Mortgage Finance
Corporation Revenue Bonds, ROCS, VRDN,
Series II-R-599, 3.78% due 4/01/2033 (j) 5,345
13,700 Rhode Island State Health and Educational
Building Corporation, Higher Education Facilities
Revenue Bonds (Brown University), VRDN, Series A,
3.70% due 5/01/2035 (j) 13,700
39,810 Rhode Island State Health and Educational Building
Corporation, Hospital Financing Revenue Bonds
(Butler Hospital), VRDN, Series A, 3.80%
due 9/01/2032 (j) 39,810
Rhode Island State and Providence Plantations, GO,
FLOATS, VRDN (j):
26,035 Series 568, 3.78% due 9/01/2017 (f) 26,035
15,895 Series 720, 3.78% due 11/01/2022 (b) 15,895
South Carolina--1.4%
12,195 ABN AMRO MuniTops Certificates Trust, Lexington
County, South Carolina, GO, VRDN, Series 2001-37,
3.78% due 2/01/2010 (b)(j) 12,195
3,685 Charleston Educational Excellence Financing
Corporation, South Carolina, ROCS, VRDN,
Series II-R-515, 3.77% due 12/01/2030 (j)(k) 3,685
11,500 Eagle Tax-Exempt Trust, South Carolina State Public
Service Authority, Revenue Bonds, VRDN, Series
2006-0007, Class A, 3.79% due 1/01/2036 (f)(j) 11,500
9,500 Eagle Tax-Exempt Trust, South Carolina State Public
Service Authority, Revenue Refunding Bonds,
VRDN, Series 2006-0019, Class A, 3.79%
due 1/01/2039 (f)(j) 9,500
6,380 Florence County, South Carolina, Solid Waste Disposal
and Wastewater Treatment Revenue Bonds (Roche
Carolina Inc. Project), VRDN, AMT, 3.84%
due 4/01/2027 (j) 6,380
Greenville Hospital System, South Carolina, Hospital
Facilities Revenue Bonds, VRDN (a)(j):
23,700 Series A, 3.73% due 5/01/2035 23,700
22,750 Series B, 3.73% due 5/01/2035 22,750
8,035 Medical University Hospital Authority, South Carolina,
Hospital Facilities, Revenue Refunding Bonds, VRDN,
Series A-5, 3.79% due 8/15/2027 (f)(j)(l) 8,035
Face
Amount Municipal Bonds Value
South Carolina (concluded)
South Carolina Housing Finance and Development
Authority, Mortgage Revenue Bonds, VRDN, AMT (j):
$ 5,320 PUTTERS, Series 1388, 3.81%
due 7/01/2010 (a) $ 5,320
2,085 ROCS, Series II-R-398, 3.81% due 7/01/2034 (e) 2,085
6,250 South Carolina Jobs EDA, EDR (Holcim (US) Inc.
Project), VRDN, AMT, 3.91% due 12/01/2033 (j) 6,250
South Carolina Transportation Infrastructure Bank
Revenue Bonds, VRDN (a)(j):
12,500 FLOATS, Series 728, 3.78% due 10/01/2022 12,500
4,190 ROCS, Series II-R-9016, 3.77% due 10/01/2033 4,190
Tennessee--4.5%
Blount County, Tennessee, Public Building Authority,
Local Government Public Improvement Revenue
Bonds, VRDN (j):
58,285 Series A-4-A, 3.79% due 6/01/2032 58,285
4,175 Series D1F, 3.80% due 6/01/2030 (a) 4,175
4,000 Series D-7-C, 3.80% due 6/01/2032 (n) 4,000
Clarksville, Tennessee, Public Building Authority
Revenue Bonds, Pooled Financing (Tennessee
Municipal Bond Fund), VRDN (j):
30,850 3.74% due 11/01/2027 30,850
57,630 3.74% due 6/01/2029 57,630
1,460 Jackson, Tennessee, Health, Educational and Housing
Facilities Board, M/F Housing Revenue Bonds
(Villages at Old Hickory Project), VRDN, AMT,
4.15% due 12/01/2006 (j) 1,460
8,100 Loudon, Tennessee, IDB, PCR, Refunding (A.E. Staley
Manufacturing Company Project), VRDN,
3.75% due 6/01/2023 (j) 8,100
6,020 Memphis, Tennessee, Health, Educational and Housing
Facility Board Revenue Bonds (Not-for-Profit M/F
Program), VRDN, 3.95% due 8/01/2032 (j) 6,020
Montgomery County, Tennessee, Public Building
Authority, Pooled Financing Revenue Bonds, VRDN (j):
2,980 (Montgomery County Loan Pool), 3.74%
due 7/01/2019 2,980
9,475 (Tennessee County Loan Pool), 3.80%
due 7/01/2034 9,475
33,050 Morgan Keegan Municipal Products, Inc., Tennessee
HDA, Revenue Bonds, VRDN, AMT, Series C, 3.84%
due 8/09/2007 (j) 33,050
10,000 Municipal Securities Trust Certificates, Tennessee
Energy Acquisition Corporation, Revenue Bonds,
VRDN, Series 2006-276 Class A, 3.79%
due 8/30/2022 (j)(m) 10,000
Sevier County, Tennessee, Public Building Authority,
Local Government Public Improvement Revenue
Bonds, VRDN (j):
16,550 AMT, Series III-A, 3.85% due 6/01/2028 (a) 16,550
7,100 Series II-A-1, 3.76% due 6/01/2024 (a) 7,100
10,000 Series III-D-2, 3.76% due 6/01/2017 (a) 10,000
3,970 Series III-D-6, 3.76% due 6/01/2020 (a) 3,970
18,825 Series III-E-1, 3.76% due 6/01/2025 18,825
10,000 Series III-E-4, 3.76% due 6/01/2025 (a) 10,000
6,000 Series IV-A-4, 3.80% due 6/01/2020 (e) 6,000
6,500 Series IV-F-2, 3.80% due 6/01/2020 (a) 6,500
12,000 Series VI-B-1, 3.80% due 6/01/2024 12,000
10,000 Series VI-C-2, 3.80% due 6/01/2039 (a) 10,000
9,600 Series VI-D-2, 3.80% due 6/01/2024 (a) 9,600
6,625 Series VI-E-1, 3.80% due 6/01/2020 (a) 6,625
5,850 Series VI-F-3, 3.80% due 6/01/2030 (n) 5,850
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands)
Face
Amount Municipal Bonds Value
Tennessee (concluded)
$ 3,620 Sevier County, Tennessee, Public Building Authority,
Local Government Public Improvement, Revenue
Refunding Bonds, VRDN, Series II-E-2, 3.76%
due 6/01/2021 (a)(j) $ 3,620
4,575 Shelby County, Tennessee, GO, Refunding, ROCS,
VRDN, Series II-R-3023, 3.78% due 4/01/2020 (f)(j) 4,575
10,000 Shelby County, Tennessee, Public Improvement
and Schools, GO, VRDN, Series B, 3.80%
due 4/01/2030 (j) 10,000
38,290 The Tennergy Corporation, Tennessee, Gas Revenue
Bonds, PUTTERS, VRDN, Series 1258Q, 3.80%
due 11/01/2013 (j) 38,290
Texas--13.0%
13,500 ABN AMRO MuniTops Certificates Trust, San Antonio,
Texas, Electric and Gas Revenue Bonds, VRDN,
Series 1998-22, 3.79% due 1/03/2007 (f)(j) 13,500
29,950 ABN AMRO MuniTops Certificates Trust, San Antonio,
Texas, Independent School District, VRDN, Series
1999-10, 3.77% due 3/07/2007 (j) 29,950
9,030 ABN AMRO MuniTops Certificates Trust, Texas
Permanent School Fund, Independent School District,
GO, VRDN, Series 2001-8, 3.79% due 2/15/2007 (j) 9,030
4,485 Austin, Texas, Water and Wastewater System, Revenue
Refunding Bonds, ROCS, VRDN, Series II-R-6029,
3.78% due 11/15/2024 (a)(j) 4,485
Bell County, Texas, Health Facilities Development
Corporation, Hospital Revenue Bonds (Scott &
White Memorial Hospital), VRDN (f)(j):
1,280 Series 2001-1, 3.83% due 8/15/2031 1,280
5,625 Series B-2, 3.83% due 8/15/2029 5,625
10,000 Brazos River Authority, Texas, Harbor Navigational
District, Brazoria County Revenue Bonds
(BASF Corp.), VRDN, AMT, 3.88%
due 4/01/2032 (j) 10,000
Brazos River Harbor Navigation District, Texas,
Brazoria County Environmental Revenue Bonds
(Dow Chemical Company), VRDN (j):
4,200 Series A-2, 3.93% due 5/15/2033 4,200
2,400 Series B-1, 3.88% due 5/15/2033 2,400
25,000 Brazos River, Texas, Harbor Industrial Development
Corporation Revenue Bonds (BASF Corporation
Project), VRDN, AMT, 3.80% due 5/01/2038 (j) 25,000
1,990 Brownsville, Texas, Utility System Revenue Refunding
Bonds, ROCS, VRDN, Series II-R-4074, 3.78%
due 9/01/2024 (a)(j) 1,990
3,588 Central Texas Housing Finance Corporation,
S/F Mortgage Revenue Bonds, VRDN, AMT, Series A,
5.03% due 7/01/2008 (j) 3,588
10,925 Collin County, Texas, GO, FLOATS, VRDN, Series 42-TP,
3.78% due 2/15/2026 (j) 10,925
7,295 Corpus Christi, Texas, Business and Job Development
Corporation, Sales Tax Revenue Refunding Bonds,
ROCS, VRDN, Series II-R-2001, 3.78%
due 9/01/2017 (a)(j) 7,295
3,710 Corpus Christi, Texas, Utility System Revenue
Refunding Bonds, ROCS, VRDN, Series II-R-2149,
3.78% due 7/15/2024 (e)(j) 3,710
Face
Amount Municipal Bonds Value
Texas (continued)
Dallas-Fort Worth, Texas, International Airport
Revenue Bonds, VRDN, AMT (j):
$ 4,408 FLOATS, Series 824, 3.81% due 11/01/2015 (a) $ 4,408
7,140 PUTTERS, Series 350, 3.81% due 5/01/2011 (f) 7,140
2,500 PUTTERS, Series 351, 3.81% due 5/01/2008 (e) 2,500
4,995 PUTTERS, Series 385, 3.81% due 5/01/2008 (b) 4,995
3,000 ROCS, Series II-R-268, 3.81% due 11/01/2033 (f) 3,000
3,425 Dallas-Fort Worth, Texas, International Airport
Revenue Refunding Bonds, PUTTERS, VRDN, AMT,
Series 1019, 3.81% due 5/01/2010 (b)(j) 3,425
Dallas-Fort Worth, Texas, Regional Airport Revenue
Bonds, MSTR, VRDN, AMT (f)(j):
25,300 Series SGB-49, 3.83% due 11/01/2023 25,300
9,495 Series SGB-52, 3.81% due 11/01/2017 9,495
23,885 Dallas-Fort Worth, Texas, Regional Airport Revenue
Refunding Bonds, MSTR, VRDN, AMT, Series SGB-46,
3.81% due 11/01/2020 (f)(j) 23,885
2,820 Dallas, Texas, Area Rapid Transit Revenue Refunding
Bonds, ROCS, VRDN, Series II-R-2078, 3.78%
due 12/01/2022 (a)(j) 2,820
2,500 Denton, Texas, Independent School District, GO,
VRDN, Series 2005-A, 3.78% due 8/01/2035 (j) 2,500
8,435 Eagle Tax-Exempt Trust, Dallas-Fort Worth, Texas,
International Airport Revenue Bonds, VRDN,
AMT, Series 2003-0020, Class A, 3.82%
due 11/01/2032 (a)(j) 8,435
6,000 Eagle Tax-Exempt Trust, Dallas, Texas, VRDN,
Series 01, Class 4310, 3.79% due 12/01/2026 (a)(j) 6,000
4,915 Eagle Tax-Exempt Trust, San Antonio, Texas, VRDN,
Series 01, Class 4311, 3.79% due 8/15/2026 (j) 4,915
14,500 Eagle Tax-Exempt Trust, San Antonio, Texas, Water
Revenue Refunding Bonds, VRDN, Series 2006-0005,
Class A, 3.79% due 5/15/2040 (f)(j) 14,500
4,500 Fort Bend County, Texas, GO, MSTR, VRDN, SGB-46-A,
3.78% due 3/01/2032 (f)(j) 4,500
3,295 Fort Bend, Texas, Independent School District,
GO, FLOATS, VRDN, Series 1455, 3.78%
due 8/15/2025 (j) 3,295
5,300 Grapevine, Texas, Industrial Development
Corporation, Airport Revenue Refunding Bonds
(Southern Air Transport), VRDN, 3.80%
due 3/01/2010 (j) 5,300
19,000 Gulf Coast Waste Disposal Authority, Texas,
Environmental Facilities Revenue Bonds
(American Aeryl LP Project), VRDN, AMT,
3.80% due 5/01/2038 (j) 19,000
Gulf Coast Waste Disposal Authority, Texas, Revenue
Bonds, VRDN, AMT (j):
2,200 (Air Products Project), 3.85% due 12/01/2039 2,200
2,500 (Waste Management Inc.), Series A, 3.79%
due 4/01/2019 2,500
10,470 Harris County-Houston, Texas, Sports Authority,
Special Revenue Refunding Bonds, TOCS, VRDN,
Series Z-3, 3.81% due 11/15/2025 (f)(j) 10,470
27,060 Harris County, Texas, Health Facilities Development
Corporation, Hospital Revenue Bonds (Texas
Children's Hospital), VRDN, Series B-1, 3.86%
due 10/01/2029 (f)(j) 27,060
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands)
Face
Amount Municipal Bonds Value
Texas (continued)
Harris County, Texas, Health Facilities Development
Corporation, Revenue Refunding Bonds, VRDN (j):
$ 127,200 (Methodist Hospital System), Series A, 3.83%
due 12/01/2032 $ 127,200
14,000 (Saint Luke's Episcopal Hospital), Series A,
3.80% due 2/15/2032 (b) 14,000
49,900 (Saint Luke's Episcopal Hospital), Series B,
3.83% due 2/15/2031 49,900
17,940 Harris County, Texas, Health Facilities Development
Corporation, Special Facilities Revenue Bonds
(Texas Medical Center Project), VRDN, Series B,
3.83% due 5/15/2029 (e)(j) 17,940
31,350 Harris County, Texas, Industrial Development
Corporation, Solid Waste Disposal Revenue Bonds
(Deer Park Limited Partnership), VRDN, AMT, 3.89%
due 2/01/2023 (j) 31,350
10,215 Harris County, Texas, Revenue Refunding Bonds,
ROCS, VRDN, Series II-R-1030, 3.78%
due 8/15/2017 (e)(j) 10,215
15,000 Houston, Texas, CP, 3.55% due 12/07/2006 15,000
29,675 Houston, Texas, Independent School District, GO,
VRDN, 3.63% due 6/15/2007 (j) 29,675
Houston, Texas, Utility System Revenue Refunding
Bonds, VRDN (e)(j):
5,350 ROCS, Series II-R-4063, 3.78% due 5/15/2021 5,350
6,000 TOCS, Series A, 3.78% due 5/25/2012 6,000
5,295 Houston, Texas, Water & Sewer System Revenue
Refunding Bonds, ROCS, VRDN, Series II-R-630,
3.79% due 12/01/2020 (e)(j) 5,295
4,965 Lewisville, Texas, Independent School District, GO,
Refunding, PUTTERS, VRDN, Series 701, 3.78%
due 8/15/2010 (b)(j) 4,965
10,395 Municipal Securities Trust Certificates, Austin, Texas,
Water Revenue Refunding Bonds, VRDN, Series
2001-134, Class A, 3.79% due 5/15/2010 (e)(j) 10,395
8,620 Municipal Securities Trust Certificates, Houston, Texas,
Independent School District, GO, VRDN, Refunding,
Series 233, Class A, 3.82% due 1/09/2014 (j) 8,620
32,000 North Central Texas, CP, 3.54% due 11/03/2006 32,000
8,450 North Texas Municipal Water District, Texas,
Water System Revenue Bonds, ROCS, VRDN,
Series II-R-593PB, 3.80% due 9/01/2035 (f)(j) 8,450
3,395 Plano, Texas, Independent School District, GO,
PUTTERS, VRDN, Series 1428, 3.78%
due 8/15/2010 (j) 3,395
17,335 Port Arthur, Texas, Navigation District, Environmental
Facilities Revenue Refunding Bonds (Motiva
Enterprises Project), VRDN, AMT, 3.90%
due 12/01/2027 (j) 17,335
Port Arthur, Texas, Navigation District, Industrial
Development Corporation, Exempt Facilities Revenue
Bonds (Air Products and Chemicals Project),
VRDN, AMT (j):
10,000 3.85% due 4/01/2036 10,000
8,400 3.84% due 5/01/2040 8,400
Port Arthur, Texas, Navigation District Revenue Bonds,
VRDN, AMT (j):
20,000 (BASF Corporation Project), 3.93% due 4/01/2033 20,000
10,000 Multi-Mode (Atofina Petrochemicals), Series B,
3.90% due 4/01/2027 10,000
Face
Amount Municipal Bonds Value
Texas (concluded)
$ 10,500 Port of Corpus Christi Authority, Texas, Nueces County
Solid Waste Disposal Revenue Bonds (Flint Hills
Resources LP Project), VRDN, AMT, 4.05%
due 1/01/2030 (j) $ 10,500
50,000 Port of Corpus Christi Authority, Texas, Nueces
County Solid Waste Disposal, Revenue Refunding
Bonds (Flint Hills Resources LP Project), VRDN, AMT,
Series A, 4.05% due 7/01/2029 (j) 50,000
5,900 San Antonio, Texas, Hotel Occupancy Revenue
Bonds, FLOATS, VRDN, Series SG-51, 3.77%
due 8/15/2019 (j) 5,900
4,145 Socorro, Texas, Independent School District, GO, ROCS,
VRDN, Series II-R-2222, 3.78% due 8/15/2022 (j) 4,145
6,000 Southeast Texas Housing Finance Corporation, Revenue
Refunding Bonds, VRDN, AMT, Series A-2, 3.60%
due 2/16/2007 (c)(i)(j) 6,000
1,600 Southwest Texas, Higher Education Authority
Incorporated Revenue Refunding Bonds
(Southern Methodist University), VRDN, 3.80%
due 7/01/2015 (j) 1,600
32,500 Texas Municipal Power Agency Revenue Bonds,
Series 91, CP, 3.60% due 10/04/2006 32,500
6,870 Texas Municipal Power Agency, Revenue Refunding
Bonds, PUTTERS, VRDN, Series 1323, 3.78%
due 3/01/2014 (f)(j) 6,870
10,000 Texas Public Finance Authority, CP, 3.58%
due 12/06/2006 10,000
14,900 Texas State Affordable Housing Corporation,
M/F Housing Revenue Bonds, FLOATS, VRDN,
Series 12TP, 3.78% due 3/01/2032 (f)(j) 14,900
54,160 Texas State, GO, Refunding, VRDN, AMT, 3.93%
due 7/02/2007 (j) 54,160
172,055 Texas State, TRAN, 4.50% due 8/31/2007 173,494
20,575 Texas State Turnpike Authority, Central Texas
Turnpike System, First Tier Revenue Bonds, VRDN,
Series B, 3.73% due 8/15/2042 (a)(j) 20,575
5,410 Texas State University, System Financing Revenue
Refunding Bonds, ROCS, VRDN, Series II-R-1011,
3.78% due 3/15/2019 (e)(j) 5,410
3,798 Travis County, Texas, Housing Finance Corporation,
S/F Mortgage Revenue Bonds, VRDN, Series 2001-1,
4% due 5/01/2007 (j) 3,798
3,984 Victoria County, Texas, Hospital Revenue Refunding
Bonds, FLOATS, VRDN, Series 959, 3.78%
due 1/01/2016 (a)(j) 3,984
Utah--2.2%
6,500 Emery County, Utah, PCR, Refunding (PacifiCorp
Projects), VRDN, 3.83% due 11/01/2024 (a)(j) 6,500
13,050 Intermountain Power Agency, Utah, Power Supply
Revenue Bonds, VRDN, Series F, 3.60%
due 7/01/2018 (a)(j) 13,050
Murray City, Utah, Hospital Revenue Bonds (IHC
Health Services, Inc.), VRDN (j):
25,300 Series A, 3.78% due 5/15/2036 25,300
36,000 Series A, 3.83% due 5/15/2037 36,000
52,605 Series B, 3.83% due 5/15/2037 52,605
20,100 Series C, 3.83% due 5/15/2036 20,100
8,915 Salt Lake County, Utah, PCR, Refunding (Service
Station Holdings Project), VRDN, Series B,
3.82% due 8/01/2007 (j) 8,915
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands)
Face
Amount Municipal Bonds Value
Utah (concluded)
$ 3,200 Utah Transit Authority, Sales Tax Revenue Bonds,
ROCS, VRDN, Series II-R-609PB, 3.80%
due 6/15/2032 (e)(j) $ 3,200
8,300 Utah Water Finance Agency, Tender Option
Revenue Bonds, VRDN, Series A-9, 3.79%
due 7/01/2034 (a)(j) 8,300
22,720 Weber County, Utah, Hospital Revenue Bonds
(IHC Health Services), VRDN, Series C, 3.83%
due 2/15/2035 (j) 22,720
Vermont--0.2%
4,050 Vermont Educational and Health Buildings
Financing Agency, Revenue Bonds (Middlebury
College Project), VRDN, Series A, 3.16%
due 11/01/2006 (j) 4,050
1,800 Vermont HFA, S/F Revenue Bonds, VRDN, AMT,
Series 16 A, 3.87% due 5/01/2032 (e)(j) 1,800
8,000 Vermont State Student Assistance Corporation,
Student Loan Revenue Bonds, FLOATS, VRDN,
3.66% due 1/01/2008 (j) 8,000
Virginia--0.9%
6,055 Eagle Tax-Exempt Trust, Richmond, Virginia, Public
Utilities Revenue Bonds, VRDN, Series 2006-0050,
Class A, 3.79% due 1/15/2035 (e)(j) 6,055
6,570 Morgan Keegan Municipal Products, Inc., Virginia State,
HDA, VRDN, Series E, 3.78% due 12/01/2010 (j) 6,570
Norfolk, Virginia, CP:
20,000 3.55% due 10/02/2006 20,000
15,000 3.63% due 12/07/2006 15,000
30,150 Norfolk, Virginia, Industrial Development Authority,
CP, 3.54% due 12/04/2006 30,150
3,000 Virginia State, HDA, Revenue Bonds, MERLOTS,
VRDN, AMT, Series B-19, 3.83% due 4/01/2033 (j) 3,000
Washington--3.1%
12,620 Central Puget Sound, Washington, Regional Transit
Authority, Sales and Use Tax Revenue Bonds,
ROCS, VRDN, Series II-R-7510, 3.78%
due 11/01/2023 (a)(j) 12,620
22,900 Clark County, Washington, Public Utility District
Number 001, Generating System Revenue Refunding
Bonds, MSTR, VRDN, Series SGA-118, 3.81%
due 1/01/2025 (e)(j) 22,900
3,000 Eagle Tax-Exempt Trust, Bellevue, Washington, GO,
Refunding, Series 2004-1011, Class A, 3.79%
due 12/01/2043 (f)(j) 3,000
19,000 Energy Northwest, Washington, Electric Revenue
Refunding Bonds (Project Number 3), VRDN,
Series D-3-1, 3.73% due 7/01/2018 (e)(j) 19,000
8,885 Grant County, Washington, Public Utility District
Number 002, Electric Revenue Refunding
Bonds, ROCS, VRDN, Series II-R-2039, 3.78%
due 1/01/2019 (e)(j) 8,885
5,210 King County, Washington, School District Number 410,
Snoqualmie Valley, GO, ROCS, VRDN, Series II-R-4513,
3.78% due 12/01/2020 (e)(j) 5,210
14,745 King County, Washington, Sewer Revenue Refunding
Bonds, FLOATS, VRDN, Series 554, 3.78%
due 7/01/2009 (b)(j) 14,745
Face
Amount Municipal Bonds Value
Washington (concluded)
$ 2,260 Lewis County, Washington, Public Utility District
Number 001, Cowlitz Falls Hydroelectric Revenue
Refunding Bonds, VRDN, Series II-R-4026, 3.78%
due 10/01/2023 (f)(j) $ 2,260
14,070 Municipal Securities Trust Certificates, Washington
State Motor Vehicle Fuel Tax, GO, VRDN,
Series 2001-112, Class A, 3.81% due 1/07/2021 (j) 14,070
4,935 Port of Seattle, Washington, Revenue Bonds,
MERLOTS, VRDN, AMT, Series B04, 3.83%
due 9/01/2015 (b)(j) 4,935
5,600 Port of Seattle, Washington, Revenue Refunding
Bonds, PUTTERS, VRDN, Series 1462, 3.78%
due 2/01/2014 (j)(n) 5,600
30,000 Port of Tacoma, Washington, Subordinate Lien
Revenue Bonds, VRDN, AMT, 3.90%
due 12/01/2036 (j)(n) 30,000
4,935 Seattle, Washington, Water System Revenue
Refunding Bonds, ROCS, VRDN, Series II-R-4006,
3.78% due 9/01/2022 (f)(j) 4,935
3,455 Spokane County, Washington, Spokane School
District Number 081, GO, ROCS, VRDN,
Series II-R-4000, 3.78% due 12/01/2019 (e)(j) 3,455
5,585 Tacoma, Washington, Convention Center and
Parking Revenue Bonds, ROCS, VRDN,
Series II-R-2144, 3.78% due 12/01/2022 (f)(j) 5,585
13,955 Tacoma, Washington, Water Revenue Refunding
Bonds, FLOATS, VRDN, Series 555, 3.78%
due 12/01/2009 (b)(j) 13,955
8,770 Washington State, GO, Refunding, PUTTERS, VRDN,
Series 1399, 3.78% due 1/01/2013 (a)(j) 8,770
Washington State, GO, VRDN (j):
2,725 FLOATS, Series 1140, 3.81% due 6/01/2016 (b) 2,725
15,075 PUTTERS, Series 333, 3.81% due 12/01/2014 (f) 15,075
9,565 PUTTERS, Series 1312, 3.78% due 1/01/2013 (e) 9,565
11,800 PUTTERS, Series 1422, 3.78% due 7/01/2014 (e) 11,800
17,500 ROCS, Series II-R-614, 3.78% due 1/01/2030 (a)(e) 17,500
4,190 ROCS, Series II-R-4082, 3.77% due 7/01/2023 (e) 4,190
10,375 ROCS, Series II-R-6061, 3.78% due 1/01/2022 (a) 10,375
4,380 ROCS, Series II-R-7035, 3.78% due 7/01/2024 (e) 4,380
6,400 Washington State Housing Finance Commission,
M/F Housing Revenue Bonds (Arbors on the Park
Project), VRDN, AMT, 3.86% due 10/01/2024 (j) 6,400
5,000 Washington State Public Power Supply Systems,
Electric Revenue Refunding Bonds (Project Number 3),
VRDN, Series 3-A, 3.77% due 7/01/2018 (f)(j) 5,000
Washington State University Revenue Bonds,
VRDN (a)(j):
10,595 FLOATS, Series 1406, 3.78% due 10/01/2036 10,595
2,105 ROCS, Series II-R-595PB, 3.80% due 10/01/2031 2,105
West Virginia--0.2%
10,695 ABN AMRO MuniTops Certificates Trust, West Virginia
State, GO, VRDN, Series 2000-12, 3.77%
due 6/04/2008 (f)(j) 10,695
9,900 Eagle Tax-Exempt Trust, West Virginia Higher
Education Policy Commission, Revenue Refunding
Bonds, VRDN, Series 2005-0018, Class A, 3.79%
due 4/01/2034 (b)(j) 9,900
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Schedule of Investments (concluded) Master Tax-Exempt Trust (in Thousands)
Face
Amount Municipal Bonds Value
Wisconsin--1.4%
$ 1,995 Hartland, Wisconsin, IDR (Commercial
Communications Inc. Project), VRDN, AMT,
3.85% due 8/01/2009 (j) $ 1,995
2,000 Lehman Municipal Trust Receipts, Wisconsin, GO,
Refunding, FLOATS, VRDN, AMT, Series 2006-K40,
3.83% due 5/01/2031(f)(j) 2,000
2,675 Manitowoc, Wisconsin, Electric Revenue Bonds, ROCS,
VRDN, Series II-R-2177, 3.78% due 10/01/2024 (b)(j) 2,675
42,600 Racine, Wisconsin, Unified School District, TRAN,
4.50% due 7/13/2007 42,846
5,985 Wisconsin Public Power Inc., Power Supply System
Revenue Bonds, PUTTERS, VRDN, Series 1150,
3.78% due 7/01/2013 (a)(j) 5,985
Wisconsin State, GO, CP:
5,855 3.54% due 11/01/2006 5,855
25,000 3.55% due 12/05/2006 25,000
40,000 3.56% due 12/05/2006 40,000
Face
Amount Municipal Bonds Value
Wyoming--2.0%
$ 24,200 Sweetwater County, Wyoming, PCR, Refunding
(Idaho Power Company Project), VRDN, Series B,
3.88% due 7/15/2026 (j) $ 24,200
150,000 Wyoming State Education Fund, TRAN, Series A,
4.50% due 6/27/2007 150,867
Puerto Rico--0.2%
3,080 Puerto Rico Commonwealth Infrastructure
Financing Authority, Special Obligation
Revenue Bonds, TOCS, VRDN, Series Z-6,
3.80% due 6/26/2037 (b)(j) 3,080
12,800 Puerto Rico Electric Power Authority, Power
Revenue Bonds, MSTR, VRDN, Series SGA-43,
3.72% due 7/01/2022 (f)(j) 12,800
Total Investments (Cost--$9,006,329*)--99.4% 9,006,329
Other Assets Less Liabilities--0.6% 55,519
-----------
Net Assets--100.0% $ 9,061,848
===========
* Cost for federal income tax purposes.
(a) AMBAC Insured.
(b) FGIC Insured.
(c) FHLMC Collateralized.
(d) FNMA Collateralized.
(e) FSA Insured.
(f) MBIA Insured.
(g) CIFG Insured.
(h) Radian Insured.
(i) FNMA/GNMA Collateralized.
(j) Security may have a maturity of more than one year at time of issuance,
but has variable rate and demand features that qualify it as a short-term
security. The rate disclosed is that currently in effect. This rate
changes periodically based upon prevailing market rates.
(k) Assured Guaranty Insured.
(l) FHA Insured.
(m) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(n) XL Capital Insured.
(o) GNMA Collateralized.
(p) Prerefunded.
(q) Escrowed to maturity.
See Notes to Financial Statements.
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Statement of Assets and Liabilities Master Tax-Exempt Trust
As of September 30, 2006
Assets
Investments in unaffiliated securities, at value (identified cost--$9,006,328,805) $ 9,006,328,805
Cash 55,151
Receivables:
Interest $ 56,854,293
Securities sold 350 56,854,643
---------------
Prepaid expenses 40,010
---------------
Total assets 9,063,278,609
---------------
Liabilities
Payables:
Investment adviser 965,894
Withdrawals 106,143
Other affiliates 91,398 1,163,435
---------------
Accrued expenses 267,360
---------------
Total liabilities 1,430,795
---------------
Net Assets
Net assets $ 9,061,847,814
===============
Net Assets Consist of
Investors' capital $ 9,061,847,814
---------------
Net Assets $ 9,061,847,814
===============
See Notes to Financial Statements.
Statement of Operations Master Tax-Exempt Trust
For the Six Months Ended September 30, 2006
Investment Income
Interest and amortization of premium and discount earned $ 165,011,578
Expenses
Investment advisory fees $ 6,275,361
Accounting services 442,756
Custodian fees 113,494
Professional fees 55,557
Pricing fees 39,697
Trustees' fees and expenses 29,033
Printing and shareholder reports 1,341
Other 70,633
---------------
Total expenses 7,027,872
---------------
Investment income--net 157,983,706
---------------
Realized Gain--Net
Realized gain on investments--net 279,278
---------------
Net Increase in Net Assets Resulting from Operations $ 158,262,984
===============
See Notes to Financial Statements.
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Statements of Changes in Net Assets Master Tax-Exempt Trust
For the Six For the
Months Ended Year Ended
September 30, March 31,
Increase (Decrease) in Net Assets: 2006 2006
Operations
Investment income--net $ 157,983,706 $ 247,385,747
Realized gain (loss)--net 279,278 (414,731)
---------------- ----------------
Net increase in net assets resulting from operations 158,262,984 246,971,016
---------------- ----------------
Capital Transactions
Proceeds from contributions 28,642,883,177 52,632,134,510
Fair value of withdrawals (29,264,035,200) (53,104,175,686)
---------------- ----------------
Net decrease in net assets derived from capital transactions (621,152,023) (472,041,176)
---------------- ----------------
Net Assets
Total decrease in net assets (462,889,039) (225,070,160)
Beginning of period 9,524,736,853 9,749,807,013
---------------- ----------------
End of period $ 9,061,847,814 $ 9,524,736,853
================ ================
See Notes to Financial Statements.
Financial Highlights Master Tax-Exempt Trust
For the Six For the Period
The following per share data and ratios Months Ended February 13, 2003++
have been derived from information September 30, For the Year Ended March 31, to March 31,
provided in the financial statements. 2006 2006 2005 2004 2003
Total Investment Return
Total investment return 1.71%+++ 2.64% 1.33% .94% .68%*
=========== =========== =========== =========== ===========
Ratios to Average Net Assets
Expenses .15%* .15% .15% .15% .21%*
=========== =========== =========== =========== ===========
Investment income and realized
gain (loss)--net 3.39%* 2.61% 1.31% .94% 1.04%*
=========== =========== =========== =========== ===========
Supplemental Data
Net assets, end of period (in thousands) $ 9,061,848 $ 9,524,737 $ 9,749,807 $10,252,630 $10,591,179
=========== =========== =========== =========== ===========
* Annualized.
++ Commencement of operations.
+++ Aggregate total investment return.
See Notes to Financial Statements.
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Notes to Financial Statements Master Tax-Exempt Trust
1. Significant Accounting Policies:
Master Tax-Exempt 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. These unaudited financial
statements reflect all adjustments, which are, in the opinion of management,
necessary to present a fair statement of the results for the interim period.
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--Investments are valued at amortized cost, which
approximates market value. For the purpose of valuation, the maturity of a
variable rate demand instrument is deemed to be the demand notice payment
period. In the case of a floating rate instrument, the remaining maturity is
the next coupon date on which the interest rate is to be adjusted.
(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) Recent accounting pronouncement--In July 2006, the Financial Accounting
Standards Board ("FASB") issued Interpretation No. 48 ("FIN 48") entitled
"Accounting for Uncertainty in Income Taxes - an interpretation of FASB
Statement No. 109." FIN 48 prescribes the minimum recognition threshold a tax
position must meet in connection with accounting for uncertainties in income
tax positions taken or expected to be taken by an entity including mutual
funds before being measured and recognized in the financial statements.
Adoption of FIN 48 is required for fiscal years beginning after December 15,
2006. The impact on the Trust's financial statements, if any, is currently
being assessed.
(d) Security transactions and investment income--Security transactions are
recorded on the dates the trans-actions 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, 2006, the Trust reimbursed FAM $97,197
for certain accounting services.
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 closed on
September 29, 2006.
On September 15, 2006, the shareholders of each of the investors of the Trust
approved a new Investment Advisory Agreement with BlackRock Advisors, Inc.
(the "Manager"), a wholly owned subsidiary of BlackRock, Inc. BlackRock
Advisors, Inc. was reorganized into BlackRock Advisors, LLC. The new advisory
agreement became effective on September 29, 2006, and the investment advisory
fee is unchanged. In addition, the Manager has entered into a sub-advisory
agreement with BlackRock Investment Management, LLC, an affiliate under which
the Manager pays the Sub-Adviser for services it provides a fee equal to 59%
of the management fee paid to the Manager.
Prior to the closing, certain officers and/or trustees of the Trust are
officers and/or directors of FAM, PSI, and/or ML & Co.
Commencing September 29, 2006, certain officers and/or trustees of the Trust
are officers and/or directors of BlackRock, Inc. or its affiliates.
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Disclosure of Investment Advisory Agreement
Disclosure of FAM Management Agreement
The Board of Trustees of Master Tax-Exempt Trust (the "Trust") and the Board
of Trustees of CMA Tax-Exempt Fund (the "Fund") met in August 2006 to consider
approval of the management agreement between the Trust, on behalf of the Fund,
and Fund Asset Management, L.P. ("FAM"), the Trust's manager at that time.
Activities and Composition of the Board of Trustees
All but one member of each Board of Trustees is an independent trustee whose
only association with FAM or other Merrill Lynch affiliates was as a trustee
of the Fund and the Trust and as a trustee or director of certain other funds
advised by FAM or its affiliates. The Chairman of each Board is also an
independent trustee. New trustee nominees are chosen by a Nominating Committee
comprised of independent trustees. All independent trustees also are members
of the respective Board's Audit Committee, and the independent trustees meet
in executive session at each in-person Board meeting. The Boards and the Audit
Committees meet in person for at least two days each quarter and conduct other
in-person and telephone meetings throughout the year, some of which are formal
Board meetings and some of which are informational meetings. The independent
counsel to the independent trustees attends all in-person Board and Audit
Committee meetings and other meetings at the independent trustees' request.
FAM Management Agreement--Matters Considered by the Boards
Every year, each Board reviews and considers approval of the Trust's
management agreement on behalf of the Fund. Each Board assesses the nature,
scope and quality of the services provided to the Fund and the Trust by the
personnel of the manager and its affiliates, including administrative
services, shareholder services, oversight of fund accounting, marketing
services and assistance in meeting legal and regulatory requirements. Each
Board also receives and assesses information regarding the services provided
to the Fund and the Trust by certain unaffiliated service providers.
At various times throughout the year, each Board also considers a range of
information in connection with its oversight of the services provided by the
manager and its affiliates. Among the matters considered are: (a) fees (in
addition to management fees) paid to the manager and its affiliates by the
Fund and/or the Trust, such as transfer agency fees and fees for marketing and
distribution; (b) Trust/Fund operating expenses paid to third parties; (c) the
resources devoted to and compliance reports relating to the Trust's/Fund's
investment objective, policies and restrictions, and the Trust's/Fund's
compliance with its Code of Ethics and compliance policies and procedures; and
(d) the nature, cost and character of non-investment management services
provided by the manager and its affiliates.
The Boards noted their view of FAM as one of the most experienced global asset
management firms and considered the overall services provided by FAM to be of
high quality. The Boards also noted their view of FAM as financially sound and
well managed and noted FAM's affiliation with one of America's largest
financial firms. The Boards work closely with the manager in overseeing the
manager's efforts to achieve good performance. As part of this effort, each
Board discusses portfolio manager effectiveness and, when performance is not
satisfactory, discusses with the manager taking steps such as changing
investment personnel.
Annual Consideration of Approval by the Boards
In the period prior to the Board meeting to consider renewal of the management
agreement, each Board requests and receives materials specifically relating to
the management agreement. These materials include (a) information compiled by
Lipper Inc. ("Lipper") on the fees and expenses and the investment performance
of the Trust/Fund or its predecessor (which had the same investment objectives
and strategies as the Trust/Fund) as compared to a comparable group of funds
as classified by Lipper; (b) a discussion by the Trust's/Fund's portfolio
management team regarding investment strategies used by the Trust/Fund during
its most recent fiscal year; (c) information on the profitability to the
manager and its affiliates of the management agreement and certain other
relationships with the Trust and/or the Fund; and (d) information provided by
the manager concerning management fees charged to other clients, such as
institutional clients, under similar investment mandates. Each Board also
considers other matters it deems important to the approval process, such as
payments made to the manager or its affiliates relating to the distribution of
Fund shares, services related to the valuation and pricing of Trust/Fund
portfolio holdings, allocation of Trust/Fund brokerage fees, and direct and
indirect benefits to the manager and its affiliates from their relationship
with the Fund and the Trust. Neither Board identified any particular
information as controlling, and each member of the Board may have attributed
different weights to the various items considered.
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Certain Specific Renewal Data
In connection with the most recent renewal of the management agreement between
the Trust, on behalf of the Fund, and FAM (the "FAM Management Agreement") in
August 2006, the independent trustees' and Boards' review included the
following:
Services Provided by the Manager--Each Board reviewed the nature, extent and
quality of services provided by FAM, including the management services and the
resulting performance of the Trust/Fund. The Boards use data provided by
Lipper and by management in their review of advisory services. The Boards
compared Trust/Fund performance - both including and excluding the effects of
the Trust's/Fund's fees and expenses - to the performance of a comparable
group of mutual funds and the performance of a relevant index or combination
of indexes. While each Board reviews performance data at least quarterly, the
Board attaches more importance to performance over relatively long periods of
time, typically three to five years. The Boards concluded that the comparative
data indicated that the Fund's performance was competitive. Considering all
these factors, each Board concluded that the Trust's/Fund's performance and
the nature and quality of the services provided supported the continuation of
the FAM Management Agreement.
FAM's Personnel and Investment Process--Each Board reviewed the Trust's/Fund's
investment objectives and strategies. The Boards discussed with FAM's senior
management responsible for investment operations and the senior management of
FAM's municipal investing group the strategies being used to achieve the stated
objectives. Among other things, the Boards considered the size, education and
experience of FAM's investment staff, its use of technology, and FAM's approach
to training and retaining portfolio managers and other research, advisory and
management personnel. The Boards also reviewed FAM's compensation policies and
practices with respect to the Trust's/Fund's portfolio manager. The Boards also
considered the experience of the Trust's/Fund's portfolio manager and noted
that Mr. Hayes has more than 25 years experience investing in municipal
securities. Each Board considered the extensive experience of FAM and its
investment staff in analyzing and managing the types of investments used by
the Trust and the Fund and concluded that the Trust and the Fund benefit from
that experience.
Management Fees and Other Expenses--Each Board reviews the Trust's/Fund's
contractual management fee rate and actual management fee rate as a percentage
of total assets at common asset levels - the actual rate includes advisory and
administrative service fees and the effects of any fee waivers - compared to
the other funds in its Lipper category. It also compares the Trust's/Fund's
total expenses to those of other comparable funds. Each Board determined that
the Fund's contractual and actual management fee rates, as well as total
expenses, were competitive with those of comparable funds. Each Board concluded
that the Fund's management fee rate and overall expense ratio were reasonable.
Profitability--Each Board considers the cost of the ser-vices provided to the
Trust and the Fund by the manager and the manager's and its affiliates' profits
relating to the management and distribution of the Trust and the Fund and the
funds advised by the manager and its affiliates. As part of its analysis, each
Board reviewed FAM's methodology in allocating its costs to the management of
the Trust and the Fund and concluded that there was a reasonable basis for the
allocation. Each Board also considered federal court decisions discussing an
investment adviser's profitability and profitability levels considered to be
reasonable in those decisions. The Boards concluded that the profits of FAM
and its affiliates were acceptable in relation to the nature and quality of
services provided and given the level of fees and expenses overall.
Economies of Scale--Each Board considered the extent to which economies of
scale might be realized as the assets of the Trust and the Fund increase and
whether there should be changes in the management fee rate or structure in
order to enable the Trust and the Fund to participate in these economies of
scale. Each Board concluded that the Trust's/Fund's management fee rate
schedule, which includes breakpoints, appropriately allows shareholders to
participate in the benefits of economies of scale. The Boards determined that
no changes were currently necessary.
Conclusion
After the independent trustees of the Fund and the independent trustees of the
Trust deliberated in executive session, each entire Board, including all of
the independent trustees, approved the renewal of the existing FAM Management
Agreement, concluding that the advisory fee was reasonable in relation to the
services provided and that a contract renewal was in the best interests of the
shareholders.
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Disclosure of New Investment Advisory Agreement
New BlackRock Management Agreement--Matters Considered by the Boards
In connection with the combination of Merrill Lynch's investment advisory
business, including Fund Asset Management, L.P. (the "Previous Manager"), with
that of BlackRock, Inc. ("BlackRock") to create a new independent company
("New BlackRock") (the "Transaction"), the Board of Trustees of the Trust, on
behalf of the Fund, considered and approved a new management agreement (the
"BlackRock Management Agreement") between the Trust and BlackRock Advisors,
LLC ("BlackRock Advisors"). Because the Fund is a feeder fund that invests all
of its assets in the Trust, the Board of Trustees of the Fund also considered
the BlackRock Management Agreement. Shareholders subsequently approved the
BlackRock Management Agreement, and it became effective on September 29, 2006,
replacing the management agreement with the Previous Manager (the "Previous
Management Agreement").
Each Board discussed the BlackRock Management Agreement at telephonic and in-
person meetings held during April and May 2006. Each Board, including the
independent trustees, approved the BlackRock Management Agreement at an in-
person meeting held on May 12, 2006.
To assist each Board in its consideration of the BlackRock Management
Agreement, BlackRock provided materials and information about BlackRock,
including its financial condition and asset management capabilities and
organization, and Merrill Lynch provided materials and information about the
Transaction. The independent trustees, through their independent legal
counsel, also requested and received additional information from Merrill Lynch
and BlackRock in connection with their consideration of the BlackRock
Management Agreement. The additional information was provided in advance of
the May 12, 2006 meetings. In addition, the independent trustees consulted
with their counsel and counsel for the Fund and the Trust on numerous
occasions, discussing, among other things, the legal standards and certain
other considerations relevant to each Board's deliberations.
At each Board meeting, the trustees discussed with Merrill Lynch management
and certain BlackRock representatives the Transaction, its strategic rationale
and BlackRock's general plans and intentions regarding the Fund and the Trust.
At these Board meetings, representatives of Merrill Lynch and BlackRock made
presentations to and responded to questions from each Board. Each Board also
inquired about the plans for and anticipated roles and responsibilities of
certain employees and officers of the Previous Manager, and of its affiliates,
to be transferred to BlackRock in connection with the Transaction. The
independent trustees also conferred separately and with their counsel about
the Transaction and other matters related to the Transaction on a number of
occasions, including in connection with the April and May 2006 meetings. After
the presentations and after reviewing the written materials provided, the
independent trustees met in executive sessions with their counsel to consider
the BlackRock Management Agreement.
In connection with each Board's review of the BlackRock Management Agreement,
Merrill Lynch and/or BlackRock advised the Boards about a variety of matters.
The advice included the following, among other matters:
* that there was not expected to be any diminution in the nature, quality and
extent of services provided to the Fund and the Trust and their shareholders
by BlackRock Advisors, including compliance services;
* that operation of New BlackRock as an independent investment management
firm would enhance its ability to attract and retain talented professionals;
* that the Fund and the Trust were expected to benefit from having access to
BlackRock's state of the art technology and risk management analytic tools,
including investment tools, provided under the BlackRock Solutions (R) brand
name;
* that BlackRock had no present intention to alter any applicable expense
waivers or reimbursements that were currently in effect and, while it
reserved the right to do so in the future, it would seek the approval of
each Board before making any changes;
* that BlackRock and Merrill Lynch would enter into an agreement, for an
initial three-year period and automatically renewable from year to year
thereafter, in connection with the Transaction under which Merrill Lynch-
affiliated broker-dealers would continue to offer the Fund as an investment
product;
* that BlackRock Advisors would have substantially the same access to the
Merrill Lynch sales force when distributing shares of the Fund as was
currently being provided to the Previous Manager and that other arrangements
between the Previous Manager and Merrill Lynch sales channels would be
preserved;
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
* that in connection with the Transaction, Merrill Lynch and BlackRock had
agreed to conduct, and use reasonable best efforts to cause their respective
affiliates to conduct, their respective businesses in compliance with the
conditions of Section 15(f) of the Investment Company Act of 1940 (the "1940
Act") in relation to any public funds advised by BlackRock or the Previous
Manager (or affiliates), respectively; and
* that Merrill Lynch and BlackRock would derive benefits from the Transaction
and that, as a result, they had a financial interest in the matters being
considered that was different from that of Fund or Trust shareholders.
Each Board considered the information provided by Merrill Lynch and BlackRock
above, and, among other factors, the following:
* the potential benefits to Fund and Trust shareholders from being part of a
combined fund family with BlackRock-sponsored funds, including possible
economies of scale and access to investment opportunities;
* the reputation, financial strength and resources of BlackRock and its
investment advisory subsidiaries and the anticipated financial strength and
resources of New BlackRock;
* the compliance policies and procedures of BlackRock Advisors;
* the terms and conditions of the BlackRock Management Agreement, including
the fact that the schedule of the Fund's/Trust's total advisory and
administrative fees would not increase under the BlackRock Management
Agreement, but would remain the same;
* that in August 2005, each Board had performed a full annual review of each
respective Previous Management Agreement, as required by the 1940 Act, and
had determined that the Previous Manager had the capabilities, resources
and personnel necessary to provide the advisory and administrative services
that were then being provided to the Fund/Trust; and that the advisory
and/or management fees paid by the Fund/Trust, taking into account any
applicable agreed-upon fee waivers and breakpoints, had represented
reasonable compensation to the Previous Manager in light of the services
provided, the costs to the Previous Manager of providing those services,
economies of scale, the fees and other expenses paid by similar funds
(including information provided by Lipper), and such other matters as the
trustees had considered relevant in the exercise of their reasonable
judgment; and
* that Merrill Lynch had agreed to pay all expenses of the Fund and Trust in
connection with the Board's consideration of the BlackRock Management
Agreement and related agreements and all costs of shareholder approval of
the BlackRock Management Agreement and as a result the Fund and the Trust
would bear no costs in obtaining shareholder approval of the BlackRock
Management Agreement.
Certain of these considerations are discussed in more detail below.
In its review of the BlackRock Management Agreement, each Board assessed the
nature, quality and scope of the services to be provided to the Fund and the
Trust by the personnel of BlackRock Advisors and its affiliates, including
administrative services, shareholder services, oversight of fund accounting,
marketing services and assistance in meeting legal and regulatory requirements.
In its review of the BlackRock Management Agreement, each Board also considered
a range of information in connection with its oversight of the services to be
provided by BlackRock Advisors and its affiliates. Among the matters considered
were: (a) fees (in addition to management fees) to be paid to BlackRock
Advisors and its affiliates by the Fund and the Trust; (b) Fund and Trust
operating expenses paid to third parties; (c) the resources devoted to and
compliance reports relating to the Fund's and the Trust's investment objective,
policies and restrictions, and their compliance with their Code of Ethics and
BlackRock Advisors' compliance policies and procedures; and (d) the nature,
cost and character of non-investment management services to be provided by
BlackRock Advisors and its affiliates.
In the period prior to the Board meetings to consider renewal of the Previous
Management Agreement, each Board had requested and received materials
specifically relating to the Previous Management Agreement. These materials
included (a) information compiled by Lipper on the fees and expenses and the
investment performance of the Fund as compared to a comparable group of funds
as classified by Lipper; (b) a discussion by the Trust's portfolio management
team on investment strategies used by the Trust during its most recent fiscal
year; (c) information on the profitability to the Previous Manager of the
Previous Management Agreement and other payments received by the Previous
Manager and its affiliates from the Fund and the Trust; and (d) information
provided by the Previous Manager concerning services related to the valuation
and pricing of the Trust's portfolio holdings, allocation of Trust brokerage
fees, the Trust's portfolio turnover statistics, and direct and indirect
benefits to the Previous Manager and its affiliates from their relationship
with the Fund and the Trust.
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Disclosure of New Investment Advisory Agreement (continued)
In its deliberations, each Board considered information received in connection
with its most recent approval of the continuance of the Previous Management
Agreement, in addition to information provided by BlackRock and BlackRock
Advisors in connection with their evaluation of the terms and conditions of
the BlackRock Management Agreement. The trustees did not identify any
particular information that was all-important or controlling, and each trustee
attributed different weights to the various factors. Each Board, including a
majority of the Board's independent trustees, concluded that the terms of the
BlackRock Management Agreement are appropriate, that the fees to be paid are
reasonable in light of the services to be provided to the Fund/Trust, and that
the BlackRock Management Agreement should be approved and recommended to
Fund/Trust shareholders.
Nature, Quality and Extent of Services Provided--Each Board reviewed the
nature, quality and extent of services provided by the Previous Manager,
including the investment advisory services and the resulting performance of
the Fund and the Trust, as well as the nature, quality and extent of services
expected to be provided by BlackRock Advisors. Each Board focused primarily on
the Previous Manager's investment advisory services and the investment
performance of the Fund and the Trust, but also considered certain areas in
which both the Previous Manager and the Fund/Trust received services as part
of the Merrill Lynch complex. Each Board compared the Fund's performance - both
including and excluding the effects of fees and expenses - to the performance
of a comparable group of mutual funds, and the performance of a relevant index
or combination of indexes. While each Board reviews performance data at least
quarterly, consistent with the Previous Manager's investment goals, the Board
attaches more importance to performance over relatively long periods of time,
typically three to five years.
In evaluating the nature, quality and extent of the services to be provided by
BlackRock Advisors under the BlackRock Management Agreement, each Board
considered, among other things, the expected impact of the Transaction on the
operations, facilities, organization and personnel of New BlackRock and how it
would affect the Fund and the Trust; the ability of BlackRock Advisors to
perform its duties after the Transaction; and any anticipated changes to the
investment and other practices of the Fund or the Trust.
Each Board was given information with respect to the potential benefits to the
Fund and the Trust and their shareholders from having access to BlackRock's
state of the art technology and risk management analytic tools, including the
investment tools provided under the BlackRock Solutions brand name.
Each Board was advised that, as a result of Merrill Lynch's equity interest in
BlackRock after the Transaction, the Fund and the Trust would continue to be
subject to restrictions concerning certain transactions involving Merrill
Lynch affiliates (for example, transactions with a Merrill Lynch broker-dealer
acting as principal) absent revised or new regulatory relief. Each Board was
advised that a revision of existing regulatory relief with respect to these
restrictions was being sought from the Securities and Exchange Commission and
was advised of the possibility of receipt of such revised regulatory relief.
Based on their review of the materials provided and the assurances they had
received from the management of Merrill Lynch and of BlackRock, the trustees
determined that the nature and quality of services to be provided to the
Fund/Trust under the BlackRock Management Agreement were expected to be as
good as or better than that provided under the Previous Management Agreement.
The trustees were advised that BlackRock Advisors did not plan to change the
Fund's/Trust's portfolio management team upon the closing of the Transaction.
It was noted, however, that other changes in personnel were expected to follow
the Transaction and the combination of the operations of the Previous Manager
and its affiliates with those of BlackRock. The trustees noted that if
portfolio managers or other personnel were to cease to be available prior to
the closing of the Transaction, each Board would consider all available
options, including seeking the investment advisory or other services of
BlackRock affiliates. Accordingly, each Board concluded that, overall, the
Board was satisfied at the present time with assurances from BlackRock and
BlackRock Advisors as to the expected nature, quality and extent of the
services to be provided to the Fund/Trust under the BlackRock Management
Agreement.
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Costs of Services Provided and Profitability--It was noted that, in
conjunction with the most recent review of the Previous Management Agreement,
each Board had received, among other things, a report from Lipper comparing
the Fund's fees and expenses to those of a peer group selected by Lipper and
information as to the fees charged by the Previous Manager or its affiliates
to other registered investment company clients for investment management
services. Each Board reviewed the Fund's/Trust's contractual management fee
rate and actual management fee rate as a percentage of total assets at common
asset levels - the actual rate includes advisory and administrative service
fees and the effects of any fee waivers - compared to the other funds in the
Fund's Lipper category. Each Board also compared the Fund's total expenses to
those of other comparable funds. Each Board concluded that the Fund's/Trust's
management fee and fee rate and overall expense ratio are reasonable compared
to those of other comparable funds.
In evaluating the costs of the services to be provided by BlackRock Advisors
under the BlackRock Management Agreement, each Board considered, among other
things, whether advisory and administrative fees or other expenses would
change as a result of the Transaction.
The Fund's Board noted that in addition to the BlackRock Management Agreement,
it was considering a new administration agreement with BlackRock Advisors as
administrator to replace the Fund's administration agreement under which the
Previous Manager was serving as administrator. Based on its review of the
materials provided, and the fact that the BlackRock Management Agreement and
the new administration agreement are substantially similar to the corresponding
previous agreement in all material respects, including the rate of
compensation, each Board determined that the Transaction should not increase
the total fees payable, including any fee waivers and expense reimbursements,
for advisory and administrative services. Each Board noted that it was not
possible to predict how the Transaction would affect BlackRock Advisor's
profitability from its relationship with the Fund and the Trust.
Each Board discussed with BlackRock Advisors its general methodology to be
used in determining New BlackRock's profitability with respect to its
relationship with the Fund and the Trust. The trustees noted that they expect
to receive profitability information from BlackRock Advisors on at least an
annual basis and thus be in a position to evaluate whether any adjustments in
fees and/or fee breakpoints would be appropriate.
Fees and Economies of Scale--Each Board considered the extent to which
economies of scale might be realized as the assets of the Fund and the Trust
increase and whether there should be changes in the management fee rate or
structure in order to enable the Fund and the Trust to participate in these
economies of scale. Each Board determined that changes were not currently
necessary.
In reviewing the Transaction, each Board considered, among other things,
whether advisory and administrative fees or other expenses would change as a
result of the Transaction. Based on the fact that the BlackRock Management
Agreement was substantially similar to the Previous Management Agreement in
all material respects, including the rate of compensation, and the fact that
the proposed new administration agreement with BlackRock Advisors was also
substantially similar to the administration agreement then in effect, each
Board determined that as a result of the Transaction, the Fund's/Trust's total
advisory and administrative fees would be no higher than the fees under the
corresponding Previous Management Agreement and administration agreement. Each
Board noted that in conjunction with the most recent deliberations concerning
the Previous Management Agreement, the trustees had determined that the total
fees for advisory and administrative services for the Fund and the Trust were
reasonable in light of the services provided. It was noted that in conjunction
with the most recent review of the Previous Management Agreement, the Boards
had received, among other things, a report from Lipper comparing the fees,
expenses and performance of the Fund/Trust to those of a peer group selected
by Lipper and information as to the fees charged by the Previous Manager to
other registered investment company clients for investment management
services. Each Board concluded that because the rates for advisory and
administrative fees for the Fund/Trust would be no higher than the fee rates
in effect at the time, the proposed management fee structure, including any
fee waivers, was reasonable and that no additional changes were currently
necessary.
Fall-Out Benefits--In evaluating the fall-out benefits to be received by
BlackRock Advisors under the BlackRock Management Agreement, each Board
considered whether BlackRock Advisors would experience such benefits to the
same extent that the Previous Manager was experiencing such benefits under the
Previous Management Agreement. Based on their review of the materials
provided, including materials received in connection with their most recent
approval of the continuance of the Previous Management Agreement, and their
discussions with management of the Previous Manager and BlackRock, the
trustees determined that BlackRock Advisors' fall-out benefits could include
increased ability for BlackRock to distribute shares of its funds and other
investment products. Each Board noted that fall-out benefits were difficult to
quantify with certainty at this time, and indicated that the Board would
continue to evaluate them going forward.
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Disclosure of New Investment Advisory Agreement (concluded)
Investment Performance--Each Board considered investment performance for the
Fund and the Trust. Each Board compared the performance of the Fund and the
Trust - both including and excluding the effects of fees and expenses - to the
performance of a comparable group of mutual funds, and the performance of a
relevant index or combination of indexes. The comparative information showed
Fund performance at various levels within the range of performance of
comparable funds over different time periods. While each Board reviews
performance data at least quarterly, consistent with the Previous Manager's
investment goals, the Board attaches more importance over relatively long
periods of time, typically three to five years. Each Board believed the Fund's
performance was satisfactory. Also, each Board took into account the
investment performance of funds advised by BlackRock Advisors. Each Board
considered comparative information from Lipper which showed that the
performance of the funds advised by BlackRock Advisors was within the range of
performance of comparable funds over different time periods. Each Board noted
BlackRock's considerable investment management experience and capabilities,
but was unable to predict what effect, if any, consummation of the Transaction
would have on the future performance of the Fund.
Conclusion--After the independent trustees of the Fund and the independent
trustees of the Trust deliberated in executive session, each entire Board,
including the independent trustees, approved the BlackRock Management
Agreement, concluding that the advisory fee rate was reasonable in relation to
the services provided and that the BlackRock Management Agreement was in the
best interests of the shareholders. In approving the BlackRock Management
Agreement, each Board noted that it anticipated reviewing the continuance of
the agreement in advance of the expiration of the initial two-year period.
New BlackRock Sub-Advisory Agreement--Matters Considered by the Boards
At an in-person meeting held on August 14-16, 2006, each Board, including the
independent trustees, discussed and approved the sub-advisory agreement with
respect to the Trust (the "BlackRock Sub-Advisory Agreement") between
BlackRock Advisors and BlackRock Investment Management, LLC, an affiliate of
BlackRock Advisors (the "Sub-Adviser"). The BlackRock Sub-Advisory Agreement
became effective on September 29, 2006, at the same time the BlackRock
Management Agreement became effective.
Pursuant to the BlackRock Sub-Advisory Agreement, the Sub-Adviser receives a
monthly fee from BlackRock Advisors equal to 59% of the advisory fee received
by BlackRock Advisors from the Trust. BlackRock Advisors pays the Sub-Adviser
out of its own resources, and there is no increase in Fund or Trust expenses
as a result of the BlackRock Sub-Advisory Agreement.
In approving the BlackRock Sub-Advisory Agreement at the August in person
meeting, each Board reviewed its considerations in connection with its
approval of the BlackRock Management Agreement in May 2006. The Boards relied
on the same information and considered the same factors as those discussed
above in connection with the approval of the BlackRock Management Agreement
and came to the same conclusion. In reviewing the sub-advisory fee rate
provided in the BlackRock Sub-Advisory Agreement, each Board noted the fact
that BlackRock Advisors and the Sub-Adviser each have significant
responsibilities under their respective advisory agreements. BlackRock
Advisors remains responsible for oversight of the Fund's and the Trust's
operations and administration, and the Sub-Adviser provides advisory services
to the Fund/Trust and is responsible for the day-to-day management of the
Fund's/Trust's portfolio under the BlackRock Sub-Advisory Agreement. The
Boards also took into account the fact that there is no increase in total
advisory fees paid by the Fund or the Trust as a result of the BlackRock Sub-
Advisory Agreement. Under all of the circumstances, each Board concluded that
it was a reasonable allocation of fees for the Sub-Adviser to receive 59% of
the advisory fee paid by the Trust to BlackRock Advisors.
After the independent trustees of the Fund and the independent trustees of the
Trust deliberated in executive session, each entire Board, including the
independent trustees, approved each BlackRock Sub-Advisory Agreement,
concluding that the sub-advisory fee was reasonable in relation to the
services provided and that the BlackRock Sub-Advisory Agreement was in the
best interests of Fund/Trust shareholders.
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Officers and Trustees
Robert C. Doll, Jr., President and Trustee
Ronald W. Forbes, Trustee
Cynthia A. Montgomery, Trustee
Jean Margo Reid, Trustee
Roscoe S. Suddarth, Trustee
Richard R. West, Trustee
Edward D. Zinbarg, Trustee
Donald C. Burke, Vice President and Treasurer
Kenneth A. Jacob, Senior Vice President
John M. Loffredo, Senior Vice President
Peter J. Hayes, Vice President
Jeffrey Hiller, Fund Chief Compliance Officer
Alice A. Pellegrino, 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).
CMA TAX-EXEMPT FUND SEPTEMBER 30, 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.
Electronic Delivery
Electronic copies of most financial reports and prospectuses are available on
the Fund's Web site. Shareholders can sign up for e-mail notifications of
quarterly statements, annual and semi-annual reports and prospectuses by
enrolling in the Fund's electronic delivery program.
To enroll:
Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:
Please contact your financial adviser. Please note that not all investment
advisers, banks or brokerages may offer this service.
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former
fund investors and individual clients (collectively, "Clients") and to
safeguarding their nonpublic personal information. The following information
is provided to help you understand what personal information BlackRock
collects, how we protect that information and why in certain cases we share
such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations
require BlackRock to provide you with additional or different privacy-related
rights beyond what is set forth below, then BlackRock will comply with those
specific laws, rules or regulations.
BlackRock obtains or verifies personal nonpublic information from and about
you from different sources, including the following: (i) information we
receive from you or, if applicable, your financial intermediary, on
applications, forms or other documents; (ii) information about your
transactions with us, our affiliates, or others; (iii) information we receive
from a consumer reporting agency; and (iv) from visits to our Web sites.
BlackRock does not sell or disclose to nonaffiliated third parties any
nonpublic personal information about its Clients, except as permitted by law
or as is necessary to service Client accounts. These nonaffiliated third
parties are required to protect the confidentiality and security of this
information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to
provide you with information about other BlackRock products or services that
may be of interest to you. In addition, BlackRock restricts access to
nonpublic personal information about its Clients to those BlackRock employees
with a legitimate business need for the information. BlackRock maintains
physical, electronic and procedural safeguards that are designed to protect
the nonpublic personal information of its Clients, including procedures
relating to the proper storage and disposal of such information.
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006
Item 2 - Code of Ethics - Not Applicable to this semi-annual report
Item 3 - Audit Committee Financial Expert - Not Applicable to this semi-
annual report
Item 4 - Principal Accountant Fees and Services - Not Applicable to this
semi-annual report
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 - The
registrant's Nominating Committee will consider nominees to the
Board recommended by shareholders when a vacancy becomes available.
Shareholders who wish to recommend a nominee should send
nominations which include biographical information and sets forth
the qualifications of the proposed nominee to the registrant's
Secretary. There have been no material changes to these
procedures.
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 last 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 - Not Applicable to this semi-annual report
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.
CMA Tax-Exempt Fund and Master Tax-Exempt Trust
By: /s/ Robert C. Doll, Jr.
-----------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
CMA Tax-Exempt Fund and Master Tax-Exempt Trust
Date: November 17, 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
CMA Tax-Exempt Fund and Master Tax-Exempt Trust
Date: November 17, 2006
By: /s/ Donald C. Burke
-----------------------
Chief Financial Officer of
CMA Tax-Exempt Fund and Master Tax-Exempt Trust
Date: November 17, 2006