UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-21199
811-21298
Name of Fund: WCMA Treasury Fund
Master Treasury Trust
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Robert C. Doll, Jr., Chief Executive
Officer, WCMA Treasury Fund and Master Treasury Trust, 800 Scudders
Mill Road, Plainsboro, NJ, 08536. Mailing address: P.O. Box 9011,
Princeton, NJ, 08543-9011
Registrant's telephone number, including area code: (609) 282-2800
Date of fiscal year end: 03/31/07
Date of reporting period: 04/01/06 - 03/31/07
Item 1 - Report to Stockholders
Annual Report
March 31, 2007
WCMA Treasury Fund
This report is transmitted to shareholders only. It 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.
WCMA Treasury Fund
P.O. Box 9011
Princeton, NJ 08543-9011
(GO PAPERLESS... logo)
It's Fast, Convenient, & Timely!
WCMA Treasury Fund
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.
Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:
Please contact your financial advisor to enroll. Please note that not all
investment advisers, banks or brokerages may offer this service.
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.
WCMA TREASURY FUND MARCH 31, 2007
A Letter to Shareholders
Dear Shareholder
For most financial markets, 2007 opened just as 2006 ended - on a positive
trajectory. At the end of February and into March, however, global equity
markets registered their first significant decline since last summer. The
market jitters were triggered by a significant setback in the Chinese market
and were exacerbated by several concerns, notably a weakening economy, some
disappointing corporate earnings announcements, escalating geopolitical
concerns in the Middle East and increasing delinquencies in the subprime
mortgage market. Despite the recent spate of volatility, underlying stock
market fundamentals appear quite sound, supported by a generally favorable
global economic backdrop, tame inflation, relatively low interest rates and
attractive valuations.
Not unlike the equity market, the bond market also has seen volatility
recently as observers have attempted to interpret mixed economic signals. A
bond market rally late last year reversed itself early in 2007 as economic
data strengthened. Prices improved (and yields fell) again in February as
equities struggled, but retrenched slightly in March. Notably, the Treasury
curve remained inverted for much of 2006 and into 2007. The 30-year Treasury
yield stood at 4.84% at the end of March 2007, while the one-month Treasury
offered the highest yield on the curve at 5.07%.
For its part, the Federal Reserve Board (the Fed) has left the target short-
term interest rate on hold at 5.25% since first pausing in its interest rate-
hiking campaign on August 8, 2006. Although the central bankers continue to
express concern about potential inflationary pressures, they also have made
reference to signs of economic weakness in their public statements. Most
observers expect the Fed to keep interest rates on hold for now.
Notwithstanding some recent volatility, most major market indexes managed to
post positive returns for the annual and semi-annual reporting periods ended
March 31, 2007:
Total Returns as of March 31, 2007 6-month 12-month
U.S. equities (Standard & Poor's 500 Index) + 7.38% +11.83%
Small cap U.S. equities (Russell 2000 Index) +11.02 + 5.91
International equities (MSCI Europe, Australasia, Far East Index) +14.85 +20.20
Fixed income (Lehman Brothers Aggregate Bond Index) + 2.76 + 6.59
Tax-exempt fixed income (Lehman Brothers Municipal Bond Index) + 1.93 + 5.43
High yield bonds (Credit Suisse High Yield Index) + 7.59 +11.82
If recent market movements are any guide, 2007 could be a year of enhanced
market volatility. As you navigate the uncertainties of the financial markets,
we encourage you to review your investment goals with your financial
professional and to make portfolio changes, as needed. For more reflection on
the markets, please ask your financial professional for the latest issue of
"What's Ahead in 2007: First Quarter Update," or view it online at
www.blackrock.com/funds. We thank you for trusting BlackRock with your
investment assets, and we look forward to continuing to serve you in the
months and years ahead.
Sincerely,
(Robert C. Doll, Jr.)
Robert C. Doll, Jr.
Fund President and Trustee
WCMA TREASURY FUND MARCH 31, 2007
Disclosure of Expenses
Shareholders of this Fund may incur the following charges: (a) expenses
related to transactions, including sales charges, redemption fees and exchange
fees; and (b) operating expenses including advisory fees, distribution fees
including 12b-1 fees, and other Fund expenses. The following example (which is
based on a hypothetical investment of $1,000 invested on October 1, 2006 and
held through March 31, 2007) is intended to assist shareholders both in
calculating expenses based on an investment in the Fund and in comparing these
expenses with similar costs of investing in other mutual funds.
The first table below provides information about actual account values and
actual expenses. In order to estimate the expenses a shareholder paid during
the period covered by this report, shareholders can divide their account value
by $1,000 and then multiply the result by the number in the first line under
the heading entitled "Expenses Paid During the Period."
The second table below provides information about hypothetical account values
and hypothetical expenses based on the Fund's actual expense ratio and an
assumed rate of return of 5% per year before expenses. In order to assist
shareholders in comparing the ongoing expenses of investing in this Fund and
other funds, compare the 5% hypothetical example with the 5% hypothetical
examples that appear in other funds' shareholder reports.
The expenses shown in the table are intended to highlight shareholders'
ongoing costs only and do not reflect any transactional expenses, such as
sales charges, redemption fees or exchange fees. Therefore, the second table
is useful in comparing ongoing expenses only, and will not help shareholders
determine the relative total expenses of owning different funds. If these
transactional expenses were included, shareholder expenses would have been
higher.
Expenses Paid
Beginning Ending During the Period*
Account Value Account Value October 1, 2006
October 1, March 31, to March 31,
2006 2007 2007
Actual
Class 1 $1,000 $1,017.00 $7.95
Class 2 $1,000 $1,019.60 $5.24
Class 3 $1,000 $1,021.40 $3.48
Class 4 $1,000 $1,021.40 $3.43
Hypothetical (5% annual return before expenses)**
Class 1 $1,000 $1,017.02 $7.95
Class 2 $1,000 $1,019.71 $5.24
Class 3 $1,000 $1,021.46 $3.48
Class 4 $1,000 $1,021.51 $3.43
* For each class of the Fund, expenses are equal to the annualized expense ratio for the class
(1.58% for Class 1, 1.04% for Class 2, .69% for Class 3 and .68% for Class 4), multiplied by the
average account value over the period, multiplied by 182/365 (to reflect the one-half year period
shown). Because the Fund is a feeder fund, the expense table example reflects the expenses of both
the feeder fund and the master trust in which it invests.
** Hypothetical 5% annual return before expenses is calculated by pro-rating the number of days in the
most recent fiscal half year divided by 365.
WCMA TREASURY FUND MARCH 31, 2007
Statement of Assets and Liabilities WCMA Treasury Fund
As of March 31, 2007
Assets
Investment in Master Treasury Trust (the "Trust"), at value
(identified cost--$411,766,354) $ 411,714,940
Prepaid expenses 38,597
---------------
Total assets 411,753,537
---------------
Liabilities
Payables:
Administrator $ 77,213
Distributor 69,243 146,456
---------------
Accrued expenses and other liabilities 18,811
---------------
Total liabilities 165,267
---------------
Net Assets
Net assets $ 411,588,270
===============
Net Assets Consist of
Class 1 Shares of beneficial interests, $.10 par value, unlimited number of
shares authorized $ 1,425,805
Class 2 Shares of beneficial interests, $.10 par value, unlimited number of
shares authorized 9,892,683
Class 3 Shares of beneficial interests, $.10 par value, unlimited number of
shares authorized 17,174,958
Class 4 Shares of beneficial interests, $.10 par value, unlimited number of
shares authorized 12,670,203
Paid-in capital in excess of par 370,472,833
Undistributed realized capital gains allocated from the Trust--net $ 3,202
Unrealized depreciation allocated from the Trust--net (51,414)
---------------
Total accumulated losses--net (48,212)
---------------
Net Assets $ 411,588,270
===============
Net Asset Value
Class 1--Based on net assets of $14,251,321 and 14,258,047 shares of beneficial
interests outstanding $ 1.00
===============
Class 2--Based on net assets of $98,905,167 and 98,926,825 shares of beneficial
interests outstanding $ 1.00
===============
Class 3--Based on net assets of $171,738,619 and 171,749,582 shares of beneficial
interests outstanding $ 1.00
===============
Class 4--Based on net assets of $126,693,163 and 126,702,029 shares of beneficial
interests outstanding $ 1.00
===============
See Notes to Financial Statements.
WCMA TREASURY FUND MARCH 31, 2007
Statement of Operations WCMA Treasury Fund
For the Year Ended March 31, 2007
Investment Income
Interest from affiliates $ 50,797
Net investment income allocated from the Trust:
Interest and amortization of premium and discount earned 19,363,976
Expenses (1,030,087)
---------------
Total income 18,384,686
---------------
Expenses
Administration fees $ 990,200
Service and distribution fees--Class 2 745,147
Service and distribution fees--Class 3 654,625
Service and distribution fees--Class 4 336,862
Registration fees 209,240
Service and distribution fees--Class 1 166,345
Printing and shareholder reports 30,762
Professional fees 24,408
Transfer agent fees--Class 3 11,970
Transfer agent fees--Class 2 7,462
Transfer agent fees--Class 4 6,234
Transfer agent fees--Class 1 1,135
Other 12,634
---------------
Total expenses before waiver 3,197,024
Waiver of expenses (993,133)
---------------
Total expenses after waiver 2,203,891
---------------
Investment income--net 16,180,795
---------------
Realized & Unrealized Gain Allocated from the Trust--Net
Realized gain on investments--net 7,343
Change in unrealized depreciation on investments--net 111,346
---------------
Total realized and unrealized gain--net 118,689
---------------
Net Increase in Net Assets Resulting from Operations $ 16,299,484
===============
See Notes to Financial Statements.
WCMA TREASURY FUND MARCH 31, 2007
Statements of Changes in Net Assets WCMA Treasury Fund
For the Year Ended March 31,
Increase (Decrease) in Net Assets: 2007 2006
Operations
Investment income--net $ 16,180,795 $ 10,327,716
Realized gain--net 7,343 20,987
Change in unrealized depreciation--net 111,346 25,253
--------------- ---------------
Net increase in net assets resulting from operations 16,299,484 10,373,956
--------------- ---------------
Dividends & Distributions to Shareholders
Investment income--net:
Class 1 (559,201) (362,617)
Class 2 (4,268,325) (2,920,261)
Class 3 (7,457,120) (4,645,621)
Class 4 (3,896,149) (2,399,217)
Realized gain--net:
Class 1 (166) (1,118)
Class 2 (1,221) (6,846)
Class 3 (1,940) (8,972)
Class 4 (814) (4,051)
--------------- ---------------
Net decrease in net assets resulting from dividends and distributions to shareholders (16,184,936) (10,348,703)
--------------- ---------------
Beneficial Interests Transactions
Net increase in net assets derived from beneficial interests transactions 19,841,800 24,835,652
--------------- ---------------
Net Assets
Total increase in net assets 19,956,348 24,860,905
Beginning of year 391,631,922 366,771,017
--------------- ---------------
End of year $ 411,588,270 $ 391,631,922
=============== ===============
See Notes to Financial Statements.
WCMA TREASURY FUND MARCH 31, 2007
Financial Highlights WCMA Treasury Fund
Class 1
For the Period
March 20,
2003++ to
The following per share data and ratios have been derived For the Year Ended March 31, March 31,
from information provided in the financial statements. 2007 2006 2005 2004 2003
Per Share Operating Performance
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
----------- ----------- ----------- ----------- -----------
Investment income--net .0331 .0184 .0025 .0003 .0002
Realized and unrealized gain (loss)--net .0002 .0002 (.0004) (.0002) .0001
----------- ----------- ----------- ----------- -----------
Total from investment operations .0333 .0186 .0021 .0001 .0003
----------- ----------- ----------- ----------- -----------
Less dividends and distributions:
Investment income--net (.0331) (.0184) (.0025) (.0003) (.0002)
Realized gain--net --** (.0001) --** (.0001) --
----------- ----------- ----------- ----------- -----------
Total dividends and distributions (.0331) (.0185) (.0025) (.0004) (.0002)
----------- ----------- ----------- ----------- -----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
=========== =========== =========== =========== ===========
Total investment return 3.35% 1.87% .26% .04% .04%
=========== =========== =========== =========== ===========
Ratios to Average Net Assets*
Total expenses, net of waiver and/or reimbursement 1.57% 1.55% 1.32% .96% .02%
=========== =========== =========== =========== ===========
Total expenses 1.57% 1.55% 1.56% 1.58% .02%
=========== =========== =========== =========== ===========
Total investment income and realized gain--net 3.32% 3.82% .25% .04% .02%
=========== =========== =========== =========== ===========
Supplemental Data
Net assets, end of period (in thousands) $ 14,251 $ 17,407 $ 23,145 $ 26,768 $ 25
=========== =========== =========== =========== ===========
* Includes the Fund's share of the Trust's allocated expenses and/or investment income and
realized gain--net.
** Amount is less than $(.0001) per share.
++ Effective date of the Fund's registration.
See Notes to Financial Statements.
WCMA TREASURY FUND MARCH 31, 2007
Financial Highlights (continued) WCMA Treasury Fund
Class 2
For the Period
March 20,
2003++ to
The following per share data and ratios have been derived For the Year Ended March 31, March 31,
from information provided in the financial statements. 2007 2006 2005 2004 2003
Per Share Operating Performance
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
----------- ----------- ----------- ----------- -----------
Investment income--net .0385 .0241 .0060 .0007 .0002
Realized and unrealized gain (loss)--net .0003 .0001 (.0004) --*** .0001
----------- ----------- ----------- ----------- -----------
Total from investment operations .0388 .0242 .0056 .0007 .0003
----------- ----------- ----------- ----------- -----------
Less dividends and distributions:
Investment income--net (.0385) (.0241) (.0060) (.0007) (.0002)
Realized gain--net --** (.0001) --** (.0001) --
----------- ----------- ----------- ----------- -----------
Total dividends and distributions (.0385) (.0242) (.0060) (.0008) (.0002)
----------- ----------- ----------- ----------- -----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
=========== =========== =========== =========== ===========
Total investment return 3.91% 2.45% .61% .08% .04%
=========== =========== =========== =========== ===========
Ratios to Average Net Assets*
Total expenses, net of waiver and/or reimbursement 1.04% .98% .99% .92% .02%
=========== =========== =========== =========== ===========
Total expenses 1.26% 1.24% 1.24% 1.25% .02%
=========== =========== =========== =========== ===========
Total investment income and realized gain--net 3.85% 2.42% .59% .08% .02%
=========== =========== =========== =========== ===========
Supplemental Data
Net assets, end of period (in thousands) $ 98,905 $ 118,142 $ 123,994 $ 157,800 $ 25
=========== =========== =========== =========== ===========
* Includes the Fund's share of the Trust's allocated expenses and/or investment income and
realized gain--net.
** Amount is less than $(.0001) per share.
*** Amount is less than $.0001 per share.
++ Effective date of the Fund's registration.
See Notes to Financial Statements.
WCMA TREASURY FUND MARCH 31, 2007
Financial Highlights (continued) WCMA Treasury Fund
Class 3
For the Period
March 20,
2003++ to
The following per share data and ratios have been derived For the Year Ended March 31, March 31,
from information provided in the financial statements. 2007 2006 2005 2004 2003
Per Share Operating Performance
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
----------- ----------- ----------- ----------- -----------
Investment income--net .0421 .0277 .0094 .0035 .0002
Realized and unrealized gain (loss)--net .0003 .0001 (.0004) --*** .0001
----------- ----------- ----------- ----------- -----------
Total from investment operations .0424 .0278 .0090 .0035 .0003
----------- ----------- ----------- ----------- -----------
Less dividends and distributions:
Investment income--net (.0421) (.0277) (.0094) (.0035) (.0002)
Realized gain--net --** (.0001) --** (.0001) --
----------- ----------- ----------- ----------- -----------
Total dividends and distributions (.0421) (.0278) (.0094) (.0036) (.0002)
----------- ----------- ----------- ----------- -----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
=========== =========== =========== =========== ===========
Total investment return 4.28% 2.81% .95% .36% .04%
=========== =========== =========== =========== ===========
Ratios to Average Net Assets*
Total expenses, net of waiver and/or reimbursement .68% .63% .65% .64% .02%
=========== =========== =========== =========== ===========
Total expenses .96% .94% .94% .95% .02%
=========== =========== =========== =========== ===========
Total investment income and realized gain--net 4.23% 2.80% .95% .36% .02%
=========== =========== =========== =========== ===========
Supplemental Data
Net assets, end of period (in thousands) $ 171,739 $ 167,197 $ 162,092 $ 168,710 $ 25
=========== =========== =========== =========== ===========
* Includes the Fund's share of the Trust's allocated expenses and/or investment income and
realized gain--net.
** Amount is less than $(.0001) per share.
*** Amount is less than $.0001 per share.
++ Effective date of the Fund's registration.
See Notes to Financial Statements.
WCMA TREASURY FUND MARCH 31, 2007
Financial Highlights (concluded) WCMA Treasury Fund
Class 4
For the Period
March 20,
2003++ to
The following per share data and ratios have been derived For the Year Ended March 31, March 31,
from information provided in the financial statements. 2007 2006 2005 2004 2003
Per Share Operating Performance
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
----------- ----------- ----------- ----------- -----------
Investment income--net .0421 .0277 .0094 .0035 .0002
Realized and unrealized gain (loss)--net .0002 .0001 (.0003) --*** .0001
----------- ----------- ----------- ----------- -----------
Total from investment operations .0423 .0278 .0091 .0035 .0003
----------- ----------- ----------- ----------- -----------
Less dividends and distributions:
Investment income--net (.0421) (.0277) (.0094) (.0035) (.0002)
Realized gain--net --** (.0001) --** (.0001) --
----------- ----------- ----------- ----------- -----------
Total dividends and distributions (.0421) (.0278) (.0094) (.0036) (.0002)
----------- ----------- ----------- ----------- -----------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
=========== =========== =========== =========== ===========
Total investment return 4.28% 2.81% .95% .36% .04%
=========== =========== =========== =========== ===========
Ratios to Average Net Assets*
Total expenses, net of waiver and/or reimbursement .68% .63% .65% .65% .02%
=========== =========== =========== =========== ===========
Total expenses .95% .93% .93% .96% .02%
=========== =========== =========== =========== ===========
Total investment income and realized gain--net 4.24% 2.86% .91% .36% .02%
=========== =========== =========== =========== ===========
Supplemental Data
Net assets, end of period (in thousands) $ 126,693 $ 88,886 $ 57,539 $ 88,849 $ 25
=========== =========== =========== =========== ===========
* Includes the Fund's share of the Trust's allocated expenses and/or investment income and
realized gain--net.
** Amount is less than $(.0001) per share.
*** Amount is less than $.0001 per share.
++ Effective date of the Fund's registration.
See Notes to Financial Statements.
WCMA TREASURY FUND MARCH 31, 2007
Notes to Financial Statements WCMA Treasury Fund
1. Significant Accounting Policies:
WCMA Treasury Fund (the "Fund") is registered under the Investment Company Act
of 1940, as amended, as a no load, diversified, open-end management investment
company. The Fund seeks to achieve its investment objective by investing all
of its assets in Master Treasury Trust (the "Trust"), which has the same
investment objective and strategies as the Fund. The value of the Fund's
investment in the Trust reflects the Fund's proportionate interest in the net
assets of the Trust. The performance of the Fund is directly affected by the
performance of the Trust. The financial statements of the Trust, including the
Schedule of Investments, are included elsewhere in this report and should be
read in conjunction with the Fund's financial statements. The Fund's financial
statements are prepared in conformity with U.S. generally accepted accounting
principles, which may require the use of management accruals and estimates.
Actual results may differ from these estimates. The percentage of the Trust
owned by the Fund at March 31, 2007 was 47.1%. The Fund is divided into four
classes, designated Class 1, Class 2, Class 3 and Class 4. Each Class 1, Class
2, Class 3 and Class 4 share represents interest in the same assets of the
Fund and has identical voting, dividend, liquidation and other rights and the
same terms and conditions, except that each class bears certain expenses
related to the shareholder servicing and distribution of such shares and the
additional incremental transfer agency costs resulting from the conversion of
shares and has exclusive voting rights with respect to matters relating to
such servicing and distribution expenditures. Income, expenses (other than
expenses attributed to a specific class) and realized and unrealized gains and
losses are allocated daily to each class based on its relative net assets. The
following is a summary of significant accounting policies followed by the Fund.
(a) Valuation of investments--The Fund records its investment in the Trust at
fair value. Valuation of securities held by the Trust is discussed in Note
1(a) of the Trust's Notes to Financial Statements, which are included
elsewhere in this report.
(b) Investment income and expenses--The Fund records daily its proportionate
share of the Trust's income, expenses and realized and unrealized gains and
losses. In addition, the Fund accrues its own income and expenses.
(c) Income taxes--It is the Fund's policy to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its taxable income to its shareholders.
Therefore, no federal income tax provision is required.
(d) Prepaid registration fees--Prepaid registration fees are charged to
expense as the related shares are issued.
(e) Dividends and distributions to shareholders--The Fund declares dividends
daily and reinvests daily such dividends (net of non-resident alien tax and
backup withholding tax withheld) in additional fund shares at net asset value.
Dividends are declared from the total of net investment income. Distributions
of net realized gain, if any, on investments are paid at least annually.
(f) Investment transactions--Investment transactions in the Trust are
accounted for on a trade date basis.
(g) Recent accounting pronouncements--In July 2006, the Financial Accounting
Standards Board ("FASB") issued Interpretation No. 48 ("FIN 48"), "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 the last net asset value calculation in the first required
financial statement reporting period for fiscal years beginning after December
15, 2006. The impact on the Fund's financial statements, if any, is currently
being assessed.
In September 2006, "Statement of Financial Accounting Standards No. 157, Fair
Value Measurements" ("FAS 157"), was issued and is effective for fiscal years
beginning after November 15, 2007. FAS 157 defines fair value, establishes a
framework for measuring fair value and expands disclosures about fair value
measurements. At this time, management is evaluating the implications of FAS
157 and its impact on the Fund's financial statements, if any, has not been
determined.
In addition, in February 2007, FASB issued "Statement of Financial Accounting
Standards No. 159, The Fair Value Option for Financial Assets and Financial
Liabilities" ("FAS 159"), which is effective for fiscal years beginning after
November 15, 2007. Early adoption is permitted as of the beginning of a fiscal
year that begins on or before November 15, 2007, provided the entity also
elects to apply the provisions of FAS 157. FAS 159 permits entities to choose
to measure many financial instruments and certain other items at fair value
that are not currently required to be measured at fair value. FAS 159 also
establishes presentation and disclosure requirements designed to facilitate
comparisons between entities that choose different measurement attributes for
similar types of assets and liabilities. At this time, management is
evaluating the implications of FAS 159 and its impact on the Fund's financial
statements, if any, has not been determined.
WCMA TREASURY FUND MARCH 31, 2007
Notes to Financial Statements (continued) WCMA Treasury Fund
2. Transactions with Affiliates:
On September 29, 2006, BlackRock, Inc. and Merrill Lynch & Co., Inc. ("Merrill
Lynch") combined Merrill Lynch's investment management business, Merrill Lynch
Investment Managers, L.P. ("MLIM"), and its affiliates, including Fund Asset
Management, L.P. ("FAM"), with BlackRock, Inc. to create a new independent
company. Merrill Lynch has a 49.8% economic interest and a 45% voting interest
in the combined company and The PNC Financial Services Group, Inc. has
approximately a 34% economic and voting interest. The new company operates
under the BlackRock name and is governed by a board of directors with a
majority of independent members.
On September 15, 2006, shareholders of the Fund approved a new Investment
Advisory Agreement for the Trust with BlackRock Advisors, Inc., an indirect,
wholly owned subsidiary of BlackRock, Inc. BlackRock Advisors, Inc. was
recently reorganized into a limited liability company and renamed BlackRock
Advisors, LLC. The new Investment Advisory Agreement became effective on
September 29, 2006. Prior to September 29, 2006, FAM was the Trust's manager.
The general partner of FAM is Princeton Services, Inc. ("PSI"), an indirect,
wholly owned subsidiary of Merrill Lynch, which is the limited partner.
The Fund has entered into an Administration Agreement with BlackRock Advisors,
LLC (the "Administrator"). 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. Prior to September 29,
2006, FAM acted as the Fund's administrator and was compensated at the same
fee rate.
The Fund has adopted Distribution Plans in compliance with Rule 12b-1 under
the Investment Company Act of 1940, pursuant to which Merrill Lynch, Pierce,
Fenner & Smith Incorporated ("MLPF&S"), an affiliate of the Administrator,
receives service fees and distribution fees from the Fund.
The fees are accrued daily and paid monthly at annual rates based upon the
average daily net assets of the shares of the Fund as follows:
Service Distribution
Fee Fee
Class 1 .25% .75%
Class 2 .25% .425%
Class 3 .25% .125%
Class 4 .25% .125%
The ongoing service fee compensates MLPF&S for providing shareholder services
to respective shareholders. The on-going distribution fee compensates MLPF&S
for providing shareholder and distribution related services to respective
shareholders. The Fund has entered into a contractual arrangement with the
Administrator and MLPF&S to waive and/or reimburse a portion of the Fund's
fees and expenses to ensure that the net expenses for the Fund's Class 2
Shares is not more than .35% higher than that of CMA Treasury Fund, and Class
3 and Class 4 Shares is equal to that of CMA Treasury Fund. The fee/expense
waiver or reimbursement includes shareholder servicing and distribution fees.
This arrangement has a one-year term and is renewable. The Distributor has
voluntarily agreed to waive a portion of its distribution fees in order to
ensure that each class of shareholders receives a positive yield on each daily
dividend. For the year ended March 31, 2007, MLPF&S earned fees of $1,902,979,
of which $993,133 was waived.
Financial Data Services, Inc. ("FDS"), a wholly owned subsidiary of Merrill
Lynch, is the Fund's transfer agent. Interest is earned by the Fund from FDS
based on the difference, if any, between estimated and actual daily share
activity, which results in uninvested net proceeds from sales of Fund shares.
Prior to September 29, 2006 certain officers and/or trustees of the Fund were
officers and/or directors of MLIM, FAM, PSI, FDS, and/or Merrill Lynch.
Commencing September 29, 2006, certain officers and/or trustees of the Fund
are officers and/or directors of BlackRock, Inc. or its affiliates.
3. Beneficial Interests Transactions:
Net increase in net assets derived from beneficial interest transactions was
$19,841,800 and $24,835,652 for the years ended March 31, 2007 and March 31,
2006, respectively. Transactions in shares of beneficial interests for each
class were as follows:
WCMA TREASURY FUND MARCH 31, 2007
Notes to Financial Statements (concluded) WCMA Treasury Fund
Class 1 Shares for the Year Dollar
Ended March 31, 2007 Shares Amount
Shares sold 221,547,247 $ 221,547,247
Shares issued to shareholders in
reinvestment of dividends and
distributions 559,382 559,382
--------------- ---------------
Total issued 222,106,629 222,106,629
Shares redeemed (225,266,482) (225,266,482)
--------------- ---------------
Net decrease (3,159,853) $ (3,159,853)
=============== ===============
Class 1 Shares for the Year Dollar
Ended March 31, 2006 Shares Amount
Shares sold 329,395,758 $ 329,395,758
Shares issued to shareholders in
reinvestment of dividends and
distributions 363,724 363,724
--------------- ---------------
Total issued 329,759,482 329,759,482
Shares redeemed (335,500,098) (335,500,098)
--------------- ---------------
Net decrease (5,740,616) $ (5,740,616)
=============== ===============
Class 2 Shares for the Year Dollar
Ended March 31, 2007 Shares Amount
Shares sold 597,118,547 $ 597,118,547
Shares issued to shareholders in
reinvestment of dividends and
distributions 4,269,552 4,269,552
--------------- ---------------
Total issued 601,388,099 601,388,099
Shares redeemed (620,662,252) (620,662,252)
--------------- ---------------
Net decrease (19,274,153) $ (19,274,153)
=============== ===============
Class 2 Shares for the Year Dollar
Ended March 31, 2006 Shares Amount
Shares sold 620,968,152 $ 620,968,152
Shares issued to shareholders in
reinvestment of dividends and
distributions 2,927,107 2,927,107
--------------- ---------------
Total issued 623,895,259 623,895,259
Shares redeemed (629,756,903) (629,756,903)
--------------- ---------------
Net decrease (5,861,644) $ (5,861,644)
=============== ===============
Class 3 Shares for the Year Dollar
Ended March 31, 2007 Shares Amount
Shares sold 1,294,371,436 $ 1,294,371,436
Shares issued to shareholders in
reinvestment of dividends and
distributions 7,459,060 7,459,060
--------------- ---------------
Total issued 1,301,830,496 1,301,830,496
Shares redeemed (1,297,342,256) (1,297,342,256)
--------------- ---------------
Net increase 4,488,240 $ 4,488,240
=============== ===============
Class 3 Shares for the Year Dollar
Ended March 31, 2006 Shares Amount
Shares sold 1,335,060,352 $ 1,335,060,352
Shares issued to shareholders in
reinvestment of dividends and
distributions 4,654,593 4,654,593
--------------- ---------------
Total issued 1,339,714,945 1,339,714,945
Shares redeemed (1,334,623,614) (1,334,623,614)
--------------- ---------------
Net increase 5,091,331 $ 5,091,331
=============== ===============
Class 4 Shares for the Year Dollar
Ended March 31, 2007 Shares Amount
Shares sold 1,082,482,855 $ 1,082,482,855
Shares issued to shareholders in
reinvestment of dividends and
distributions 3,896,963 3,896,963
--------------- ---------------
Total issued 1,086,379,818 1,086,379,818
Shares redeemed (1,048,592,252) (1,048,592,252)
--------------- ---------------
Net increase 37,787,566 $ 37,787,566
=============== ===============
Class 4 Shares for the Year Dollar
Ended March 31, 2006 Shares Amount
Shares sold 1,020,029,299 $ 1,020,029,299
Shares issued to shareholders in
reinvestment of dividends and
distributions 2,403,267 2,403,267
--------------- ---------------
Total issued 1,022,432,566 1,022,432,566
Shares redeemed (991,085,985) (991,085,985)
--------------- ---------------
Net increase 31,346,581 $ 31,346,581
=============== ===============
4. Distributions to Shareholders
The tax character of distributions paid during the fiscal years ended
March 31, 2007 and March 31, 2006 was as follows:
3/31/2007 3/31/2006
Distributions paid from:
Ordinary income $ 16,184,936 $ 10,348,703
--------------- ---------------
Total taxable distributions $ 16,184,936 $ 10,348,703
=============== ===============
As of March 31, 2007, there were no significant differences between
book and tax components of net assets.
WCMA TREASURY FUND MARCH 31, 2007
Report of Independent Registered Public Accounting Firm WCMA Treasury Fund
To the Shareholders and Board of Trustees
of WCMA Treasury Fund:
We have audited the accompanying statement of assets and liabilities of WCMA
Treasury Fund as of March 31, 2007, and the related statement of operations
for the year then ended, the statements of changes in net assets for each of
the two years in the period then ended, and the financial highlights for each
of the respective periods then ended. These financial statements and financial
highlights are the responsibility of the Fund's management. Our responsibility
is to express an opinion on these financial statements and financial
highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material
misstatement. The Fund is not required to have, nor were we engaged to
perform, an audit of its internal control over financial reporting. Our audits
included consideration of internal control over financial reporting as a basis
for designing audit procedures that are appropriate in the circumstances, but
not for the purpose of expressing an opinion on the effectiveness of the
Fund's internal control over financial reporting. Accordingly, we express no
such opinion. An audit also includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
as well as evaluating the overall financial statement presentation. We believe
that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of WCMA
Treasury Fund as of March 31, 2007, the results of its operations for the year
then ended, the changes in its net assets for each of the two years in the
period then ended, and its financial highlights for each of the respective
periods then ended, in conformity with accounting principles generally
accepted in the United States of America.
Deloitte & Touche LLP
Princeton, New Jersey
May 21, 2007
Important Tax Information (unaudited)
The following information is provided with respect to the ordinary
income distributions paid by WCMA Treasury Fund for the fiscal year
ended March 31, 2007:
Federal Obligation Interest
Months Paid: April 2006 - March 2007 99.70%*
Interest-Related Dividends for Non-U.S. Residents
Months Paid: April 2006 - December 2006 99.71%**
January 2007 - March 2007 99.67%**
Qualified Short-Term Capital Gains for Non-U.S. Residents
Months Paid: April 2006 - August 2006 0.06%**
* The law varies in each state as to whether and what percentage of
dividend income attributable to federal obligations is exempt from
state income tax. We recommend that you consult your tax adviser
to determine if any portion of the dividends you received is exempt
from state income taxes. Additionally, at least 50% of the assets of
the Fund were invested in federal obligations at the end of each
fiscal quarter.
** Represents the portion of the taxable ordinary income dividends
eligible for exemption from U.S. withholding tax for nonresident
aliens and foreign corporations.
WCMA TREASURY FUND MARCH 31, 2007
Portfolio Information Master Treasury Trust
Portfolio Composition as a Percent of Net Assets
As of
3/31/07 9/30/06
U.S. Government Obligations 99.9% 99.7%
Other Assets Less Liabilities 0.1 0.3
------ ------
Total 100.0% 100.0%
====== ======
Schedule of Investments as of March 31, 2007 Master Treasury Trust (In Thousands)
Face Interest Maturity
Issue Amount Rate(s) Date Value
U.S. Government Obligations*--99.9%
U.S. Treasury Bills $ 90,633 5.065 - 5.14 % 4/05/2007 $ 90,556
295,125 5.085 - 5.16 4/12/2007 294,579
53,579 5.13 - 5.135 4/26/2007 53,373
4,435 5.002 - 5.016 5/03/2007 4,414
74,260 4.96 - 5.065 5/10/2007 73,853
104,547 5.027 - 5.03 5/17/2007 103,893
25,444 5.043 5/24/2007 25,262
42,300 4.94 - 5.042 5/31/2007 41,960
52,170 4.905 - 4.975 6/07/2007 51,701
17,000 4.96 6/14/2007 16,831
35,500 4.931 6/21/2007 35,113
35,900 4.90 7/19/2007 35,377
22,500 4.905 8/23/2007 22,063
U.S. Treasury Notes 25,000 3.125 5/15/2007 24,937
Total Investments (Cost--$873,726**)--99.9% 873,912
Other Assets Less Liabilities--0.1% 807
-----------
Net Assets--100.0% $ 874,719
===========
* U.S. Treasury Bills are traded on a discount basis; the interest rates
shown are the range of discount rates paid at the time of purchase.
U.S. Treasury Notes bear interest at the rates shown, payable at fixed
dates until maturity.
** Cost for federal income tax purposes.
See Notes to Financial Statements
WCMA TREASURY FUND MARCH 31, 2007
Statement of Assets and Liabilities Master Treasury Trust
As of March 31, 2007
Assets
Investments in unaffiliated securities, at value (identified cost--$873,726,210) $ 873,912,276
Cash 15,513
Receivables:
Contributions $ 740,314
Interest 291,279 1,031,593
---------------
Prepaid expenses 9,097
---------------
Total assets 874,968,479
---------------
Liabilities
Payables:
Investment adviser 151,069
Other affiliates 7,920 158,989
---------------
Accrued expenses 90,677
---------------
Total liabilities 249,666
---------------
Net Assets
Net assets $ 874,718,813
===============
Net Assets Consist of
Investors' capital $ 874,532,747
Unrealized appreciation--net 186,066
---------------
Net Assets $ 874,718,813
===============
See Notes to Financial Statements.
Statement of Operations Master Treasury Trust
For the Year Ended March 31, 2007
Investment Income
Interest and amortization of premium and discount earned $ 41,319,265
Expenses
Investment advisory fees $ 1,853,459
Accounting services 211,488
Professional fees 46,165
Trustees' fees and expenses 37,735
Custodian fees 27,404
Pricing fees 3,594
Printing and shareholder reports 359
Other 20,829
---------------
Total expenses 2,201,033
---------------
Investment income--net 39,118,232
---------------
Realized & Unrealized Gain--Net
Realized gain on investments--net 15,471
Change in unrealized appreciation/depreciation on investments--net 267,348
---------------
Total realized and unrealized gain--net 282,819
---------------
Net Increase in Net Assets Resulting from Operations $ 39,401,051
===============
See Notes to Financial Statements.
WCMA TREASURY FUND MARCH 31, 2007
Statements of Changes in Net Assets Master Treasury Trust
For the Year Ended March 31,
Increase (Decrease) in Net Assets: 2007 2006
Operations
Investment income--net $ 39,118,232 $ 27,635,472
Realized gain--net 15,471 49,565
Change in unrealized appreciation/depreciation--net 267,348 55,776
--------------- ---------------
Net increase in net assets resulting from operations 39,401,051 27,740,813
--------------- ---------------
Capital Transactions
Proceeds from contributions 4,626,183,593 4,793,985,856
Fair value of withdrawals (4,664,402,629) (4,917,573,291)
--------------- ---------------
Net decrease in net assets derived from capital transactions (38,219,036) (123,587,435)
--------------- ---------------
Net Assets
Total increase (decrease) in net assets 1,182,015 (95,846,622)
Beginning of year 873,536,798 969,383,420
--------------- ---------------
End of year $ 874,718,813 $ 873,536,798
=============== ===============
See Notes to Financial Statements.
Financial Highlights Master Treasury Trust
For the Period
February 13, 2003++
The following per share data and ratios have been derived For the Year Ended March 31, to March 31,
from information provided in the financial statements. 2007 2006 2005 2004 2003
Total Investment Return
Total investment return 4.70% 3.22% 1.35% .81% .60%*
=========== =========== =========== =========== ===========
Ratios to Average Net Assets
Expenses .26% .26% .25% .23% .25%*
=========== =========== =========== =========== ===========
Investment income and realized
gain--net 4.63% 3.14% 1.34% .82% .98%*
=========== =========== =========== =========== ===========
Supplemental Data
Net assets, end of period (in thousands) $ 874,719 $ 873,537 $ 969,383 $ 1,115,732 $ 1,298,116
=========== =========== =========== =========== ===========
* Annualized.
++ Commencement of operations.
See Notes to Financial Statements.
WCMA TREASURY FUND MARCH 31, 2007
Notes to Financial Statements Master Treasury Trust
1. Significant Accounting Policies:
Master Treasury Trust (the "Trust") is registered under the Investment Company
Act of 1940, as amended, and is organized as a Delaware statutory trust. The
Declaration of Trust permits the Trustees to issue nontransferable interests
in the Trust, subject to certain limitations. The Trust's financial statements
are prepared in conformity with U.S. generally accepted accounting principles,
which may require the use of management accruals and estimates. Actual results
may differ from these estimates. The following is a summary of significant
accounting policies followed by the Trust.
(a) Valuation of investments--Portfolio securities with remaining maturities
of greater than sixty days, for which market quotations are readily available,
are valued at market value. As securities transition from sixty-one to sixty
days to maturity, the difference between the valuation existing on the sixty-
first day before maturity and maturity value is amortized on a straight-line
basis to maturity. Securities maturing sixty days or less from their date of
acquisition are valued at amortized cost, which approximates market value.
Effective April 2, 2007, securities purchased with a maturity greater than 60
days may be valued at amortized cost. For purposes of valuation, the maturity
of a variable rate security is deemed to be the next coupon date on which the
interest rate is to be adjusted. Other investments and assets for which market
quotations are not available are valued at fair value as determined in good
faith by or under the direction of the Board of Trustees.
(b) Income taxes--The Trust is classified as a partnership for federal income
tax purposes. As such, each investor in the Trust is treated as owner of its
proportionate share of the net assets, income, expenses and realized and
unrealized gains and losses of the Trust. Therefore, no federal income tax
provision is required. It is intended that the Trust's assets will be managed
so an investor in the Trust can satisfy the requirements of Subchapter M of
the Internal Revenue Code.
(c) Security transactions and investment income--Security transactions are
recorded on the dates the 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.
(d) Recent accounting pronouncements--In July 2006, the Financial Accounting
Standards Board ("FASB") issued Interpretation No. 48 ("FIN 48"), "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 the last net asset value calculation in the first required
financial statement reporting period for fiscal years beginning after December
15, 2006. The impact on the Trust's financial statements, if any, is currently
being assessed.
In September 2006, "Statement of Financial Accounting Standards No. 157, Fair
Value Measurements" ("FAS 157"), was issued and is effective for fiscal years
beginning after November 15, 2007. FAS 157 defines fair value, establishes a
framework for measuring fair value and expands disclosures about fair value
measurements. At this time, management is evaluating the implications of FAS
157 and its impact on the Trust's financial statements, if any, has not been
determined.
In February 2007, FASB issued "Statement of Financial Accounting Standards No.
159, The Fair Value Option for Financial Assets and Financial Liabilities"
("FAS 159"), which is effective for fiscal years beginning after November 15,
2007. Early adoption is permitted as of the beginning of a fiscal year that
begins on or before November 15, 2007, provided the entity also elects to
apply the provisions of FAS 157. FAS 159 permits entities to choose to measure
many financial instruments and certain other items at fair value that are not
currently required to be measured at fair value. FAS 159 also establishes
presentation and disclosure requirements designed to facilitate comparisons
between entities that choose different measurement attributes for similar
types of assets and liabilities. At this time, management is evaluating the
implications of FAS 159 and its impact on the Trust's financial statements, if
any, has not been determined.
WCMA TREASURY FUND MARCH 31, 2007
Notes to Financial Statements (concluded) Master Treasury Trust
2. Investment Advisory Agreement and Transactions with Affiliates:
On September 29, 2006, BlackRock, Inc. and Merrill Lynch & Co., Inc. ("Merrill
Lynch") combined Merrill Lynch's investment management business, Merrill Lynch
Investment Managers, L.P. ("MLIM"), and its affiliates, including Fund Asset
Management, L.P. ("FAM"), with BlackRock, Inc. to create a new independent
company. Merrill Lynch has a 49.8% economic interest and a 45% voting interest
in the combined company and The PNC Financial Services Group, Inc. has
approximately a 34% economic and voting interest. The new company operates
under the BlackRock name and is governed by a board of directors with a
majority of independent members.
The shareholders of each of the investors of the Trust approved on August 31,
2006 and September 15, 2006, respectively, a new Investment Advisory Agreement
for the Trust with BlackRock Advisors, Inc. (the "Manager"), an indirect,
wholly owned subsidiary of BlackRock, Inc., which was reorganized into a
limited liability company and renamed BlackRock Advisors, LLC. The new
Investment Advisory Agreement between the Trust and the Manager became
effective on September 29, 2006. Prior to September 29, 2006, FAM was the
Trust's manager. The general partner of FAM is Princeton Services, Inc.
("PSI"), an indirect, wholly owned subsidiary of Merrill Lynch, which is the
limited partner.
The Manager 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. In addition, the Manager has entered
into a Sub-Advisory Agreement with BlackRock Institutional Management
Corporation, an affiliate of the Manager, under which the Manager pays the Sub-
Adviser for services it provides a monthly fee that is a percentage of the
management fee paid by the Trust to the Manager.
For the year ended March 31, 2007, the Trust reimbursed FAM and the Manager
$11,283 and $7,920, respectively, for certain accounting services.
Prior to September 29, 2006, certain officers and/or trustees of the Trust
were officers and/or directors of FAM, PSI, and/or Merrill Lynch.
Commencing September 29, 2006, certain officers and/or trustees of the Trust
are officers and/or directors of BlackRock, Inc. or its affiliates.
WCMA TREASURY FUND MARCH 31, 2007
Report of Independent Registered Public Accounting Firm Master Treasury Trust
To the Investors and Board of
Trustees of Master Treasury Trust:
We have audited the accompanying statement of assets and liabilities,
including the schedule of investments, of Master Treasury Trust (the "Trust")
as of March 31, 2007, and the related statement of operations for the year
then ended, the statements of changes in net assets for each of the two years
in the period then ended, and the financial highlights for each of the
respective periods then ended. These financial statements and financial
highlights are the responsibility of the Trust's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material
misstatement. The Trust is not required to have, nor were we engaged to
perform, an audit of its internal control over financial reporting. Our audits
included consideration of internal control over financial reporting as a basis
for designing audit procedures that are appropriate in the circumstances, but
not for the purpose of expressing an opinion on the effectiveness of the
Trust's internal control over financial reporting. Accordingly, we express no
such opinion.
An audit also includes examining, on a test basis, evidence supporting the
amounts and disclosures in the financial statements, assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. Our procedures
included confirmation of securities owned as of March 31, 2007, by
correspondence with the custodian. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
Master Treasury Trust as of March 31, 2007, the results of its operations for
the year then ended, and the changes in its net assets for each of the two
years in the period then ended, and its financial high-lights for each of the
respective periods then ended, in conformity with accounting principles
generally accepted in the United States of America.
Deloitte & Touche LLP
Princeton, New Jersey
May 21, 2007
Officers and Trustees
Number of
Funds and
Portfolios in Other Public
Position(s) Length of Fund Complex Directorships
Held with Time Overseen by Held by
Name, Address & Age Fund/Trust Served Principal Occupation(s) During Past 5 Years Trustee Trustee
Interested Trustee
Robert C. Doll, Jr.* President 2005 to Vice Chairman and Director of BlackRock, Inc., 122 Funds None
P.O. Box 9011 and present Global Chief Investment Officer for Equities, 168 Portfolios
Princeton, Trustee Chairman of the BlackRock Retail Operating
NJ 08543-9011 Committee, and member of the BlackRock
Age: 52 Executive Committee since 2006; President of
the funds advised by Merrill Lynch Investment
Managers, L.P. ("MLIM") and its affiliates ("MLIM/
FAM-advised funds") from 2005 to 2006 and Chief
Investment Officer thereof from 2001 to 2006;
President of MLIM and Fund Asset Management, L.P.
("FAM") from 2001 to 2006; Co-Head (Americas
Region) thereof from 2000 to 2001 and Senior Vice
President from 1999 to 2001; President and Director
of Princeton Services, Inc. ("Princeton Services") and
President of Princeton Administrators, L.P. ("Princeton
Administrators") from 2001 to 2006; Chief Investment
Officer of OppenheimerFunds, Inc. in 1999 and
Executive Vice President thereof from 1991 to 1999.
* Mr. Doll is a director, trustee or member of an advisory board of certain
other investment companies for which BlackRock Advisors, LLC, and its
affiliates act as investment adviser. Mr. Doll is an "interested person," as
defined in the Investment Company Act, of the Fund based on his positions with
BlackRock, Inc. and its affiliates. Trustees serve until their resignation,
removal or death, or until December 31 of the year in which they turn 72. As
Fund/Trust President, Mr. Doll serves at the pleasure of the Board of Trustees.
WCMA TREASURY FUND MARCH 31, 2007
Officers and Trustees (continued)
Number of
Funds and
Portfolios in Other Public
Position(s) Length of Fund Complex Directorships
Held with Time Overseen by Held by
Name, Address & Age Fund/Trust Served Principal Occupation(s) During Past 5 Years Trustee Trustee
Independent Trustees*
Ronald W. Forbes** Trustee 2002 to Professor Emeritus of Finance, School of 47 Funds None
P.O. Box 9095 present Business, State University of New York at 49 Portfolios
Princeton, Albany since 2000 and Professor thereof from
NJ 08543-9095 1989 to 2000; International Consultant, Urban
Age: 66 Institute, Washington, D.C. from 1995 to 1999.
Cynthia A. Montgomery++ Trustee 2002 to Professor, Harvard Business School since 1989; 47 Funds Newell
P.O. Box 9095 present Associate Professor, J.L. Kellogg Graduate 49 Portfolios Rubbermaid, Inc.
Princeton, School of Management, Northwestern (manufacturing)
NJ 08543-9095 University from 1985 to 1989; Associate
Age: 54 Professor, Graduate School of Business
Administration, University of Michigan from
1979 to 1985; Director, Harvard Business
School Publishing since 2005; Director,
McLean Hospital since 2005.
Jean Margo Reid Trustee 2004 to Self-employed consultant since 2001; Counsel 47 Funds None
P.O. Box 9095 present of Alliance Capital Management (investment 49 Portfolios
Princeton, adviser) in 2000; General Counsel, Director and
NJ 08543-9095 Secretary of Sanford C. Bernstein & Co., Inc.
Age: 61 (investment adviser/broker-dealer) from 1997 to
2000; Secretary, Sanford C. Bernstein Fund, Inc.
from 1994 to 2000; Director and Secretary of
SCB, Inc. since 1998; Director and Secretary of
SCB Partners, Inc. since 2000; and Director of
Covenant House from 2001 to 2004.
Roscoe S. Suddarth Trustee 2002 to President, Middle East Institute, from 1995 to 47 Funds None
P.O. Box 9095 present 2001; Foreign Service Officer, United States 49 Portfolios
Princeton, Foreign Service, from 1961 to 1995 and Career
NJ 08543-9095 Minister from 1989 to 1995; Deputy Inspector
Age: 71 General, U.S. Department of State, from 1991 to
1994; U.S. Ambassador to the Hashemite Kingdom
of Jordan from 1987 to 1990.
Richard R. West Trustee 2002 to Professor of Finance from 1984 to 1995, 47 Funds Bowne & Co.,
P.O. Box 9095 present Dean from 1984 to 1993 and since 1995 49 Portfolios Inc. (financial
Princeton, Dean Emeritus of New York University's printers);
NJ 08543-9095 Leonard N. Stern School of Business Vornado Realty
Age: 69 Administration. Trust (real
estate company);
Alexander's, Inc.
(real estate
company)
* Trustees serve until their resignation, removal or death, or until December 31
of the year in which they turn 72.
** Chairman of the Board of Trustees and the Audit Committee.
++ Chair of the Nominating Committee.
WCMA TREASURY FUND MARCH 31, 2007
Officers and Trustees (concluded)
Position(s) Length of
Held with Time
Name, Address & Age Fund/Trust Served Principal Occupation(s) During Past 5 Years
Fund Officers*
Donald C. Burke Vice 2003 to Managing Director of BlackRock, Inc. since 2006; Managing Director of Merrill
P.O. Box 9011 President present Lynch Investment Managers, L.P. ("MLIM") and Fund Asset Management, L.P. ("FAM")
Princeton, and in 2006; First Vice President of MLIM and FAM from 1997 to 2005 and Treasurer
NJ 08543-9011 Treasurer thereof from 1999 to 2006; Vice President of MLIM and FAM from 1990 to 1997.
Age: 46
Jeffrey Hiller Fund Chief 2004 to Managing Director of BlackRock, Inc. and Fund Chief Compliance Officer since
P.O. Box 9011 Compliance present 2006; Chief Compliance Officer of the MLIM/FAM-advised funds and First Vice
Princeton, Officer President and Chief Compliance Officer of MLIM (Americas Region) from 2004 to
NJ 08543-9011 2006; Chief Compliance Officer of the IQ Funds since 2004; Global Director of
Age: 55 Compliance at Morgan Stanley Investment Management from 2002 to 2004; Managing
Director and Global Director of Compliance at Citigroup Asset Management from
2000 to 2002; Chief Compliance Officer at Soros Fund Management in 2000; Chief
Compliance Officer at Prudential Financial from 1995 to 2000; Senior Counsel in
the Securities and Exchange Commission's Division of Enforcement in Washington,
D.C. from 1990 to 1995.
Alice A. Pellegrino Secretary 2004 to Director of BlackRock, Inc. since 2006; Director (Legal Advisory) of MLIM from
P.O. Box 9011 present 2002 to 2006; Vice President of MLIM from 1999 to 2002; Attorney associated with
Princeton, MLIM from 1997 to 1999; Secretary of MLIM, FAM, FAM Distributors, Inc. and
NJ 08543-9011 Princeton Services from 2004 to 2006.
Age: 47
* Officers of the Fund/Trust serve at the pleasure of the Board of Trustees.
Further information about the Fund's Officers and Trustees is
available in the Fund's Statement of Additional Information, which can
be obtained without charge by calling 1-800-637-3863.
Custodian
State Street Bank and Trust Company
P.O. Box 351
Boston, MA 02101
Transfer Agent
Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
800-221-7210*
* For inquiries regarding your WCMA account,
call 800-262-4636.
Effective January 1, 2007, Edward D. Zinbarg retired as a Trustee of WCMA
Treasury Fund and Master Treasury Trust. The Fund's/Trust's Board of Trustees
wishes Mr. Zinbarg well in his retirement.
Effective April 13, 2007, Jeffrey Hiller resigned his position as Chief
Compliance Officer of the Fund/Trust. Also effective April 13, 2007, Karen
Clark was appointed Chief Compliance Officer of the Fund/Trust. Ms. Clark has
been a Managing Director of BlackRock, Inc. since 2007. She was a Director
thereof from 2005 to 2007. Prior to that, Ms. Clark was a principal and senior
compliance officer at State Street Global Advisors from 2001 to 2005. Ms.
Clark was a principal consultant with PricewaterhouseCoopers, LLP from 1998 to
2001. From 1993 to 1998, Ms. Clark was Branch Chief, Division of Investment
Management and Office of Compliance Inspections and Examinations, with the
U.S. Securities and Exchange Commission.
WCMA TREASURY FUND MARCH 31, 2007
Item 2 - Code of Ethics - The registrant has adopted a code of ethics, as of
the end of the period covered by this report, that applies to the
registrant's principal executive officer, principal financial
officer and principal accounting officer, or persons performing
similar functions. A copy of the code of ethics is available
without charge at www.blackrock.com.
Item 3 - Audit Committee Financial Expert - The registrant's board of
directors has determined that (i) the registrant has the following
audit committee financial experts serving on its audit committee and
(ii) each audit committee financial expert is independent: (1)
Ronald W. Forbes, (2) Richard R. West, and (3) Edward D. Zinbarg
(retired as of December 31, 2006).
Item 4 - Principal Accountant Fees and Services
WCMA Treasury Fund
(a) Audit Fees - Fiscal Year Ending March 31, 2007 - $6,600
Fiscal Year Ending March 31, 2006 - $6,600
(b) Audit-Related Fees -
Fiscal Year Ending March 31, 2007 - $0
Fiscal Year Ending March 31, 2006 - $0
(c) Tax Fees - Fiscal Year Ending March 31, 2007 - $6,100
Fiscal Year Ending March 31, 2006 - $6,000
The nature of the services include tax compliance, tax advice and
tax planning.
(d) All Other Fees - Fiscal Year Ending March 31, 2007 - $0
Fiscal Year Ending March 31, 2006 - $0
Master Treasury Trust
(a) Audit Fees - Fiscal Year Ending March 31, 2007 - $28,500
Fiscal Year Ending March 31, 2006 - $28,500
(b) Audit-Related Fees -
Fiscal Year Ending March 31, 2007 - $0
Fiscal Year Ending March 31, 2006 - $0
(c) Tax Fees - Fiscal Year Ending March 31, 2007 - $9,200
Fiscal Year Ending March 31, 2006 - $9,200
The nature of the services include tax compliance, tax advice and
tax planning.
(d) All Other Fees - Fiscal Year Ending March 31, 2007 - $0
Fiscal Year Ending March 31, 2006 - $0
(e)(1) The registrant's audit committee (the "Committee") has
adopted policies and procedures with regard to the pre-approval of
services. Audit, audit-related and tax compliance services provided
to the registrant on an annual basis require specific pre-approval
by the Committee. The Committee also must approve other non-audit
services provided to the registrant and those non-audit services
provided to the registrant's affiliated service providers that
relate directly to the operations and the financial reporting of the
registrant. Certain of these non-audit services that the Committee
believes are a) consistent with the SEC's auditor independence rules
and b) routine and recurring services that will not impair the
independence of the independent accountants may be approved by the
Committee without consideration on a specific case-by-case basis
("general pre-approval"). However, such services will only be
deemed pre-approved provided that any individual project does not
exceed $5,000 attributable to the registrant or $50,000 for all of
the registrants the Committee oversees. Any proposed services
exceeding the pre-approved cost levels will require specific pre-
approval by the Committee, as will any other services not subject to
general pre-approval (e.g., unanticipated but permissible services).
The Committee is informed of each service approved subject to
general pre-approval at the next regularly scheduled in-person board
meeting.
(e)(2) 0%
(f) Not Applicable
(g) Fiscal Year Ended March 31, 2007 - $3,016,200
Fiscal Year Ended March 31, 2006 - $3,754,550
(h) The registrant's audit committee has considered and determined
that the provision of non-audit services that were rendered to the
registrant's investment adviser and any entity controlling,
controlled by, or under common control with the investment adviser
that provides ongoing services to the registrant that were not pre-
approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation
S-X is compatible with maintaining the principal accountant's
independence.
Regulation S-X Rule 2-01(c)(7)(ii) - $1,739,500, 0%
Item 5 - Audit Committee of Listed Registrants - Not Applicable
Item 6 - Schedule of Investments - Not Applicable
Item 7 - Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies - Not Applicable
Item 8 - Portfolio Managers of Closed-End Management Investment Companies -
Not Applicable
Item 9 - Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers - Not Applicable
Item 10 - Submission of Matters to a Vote of Security Holders - 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 second fiscal half-
year of the period covered by this report that has materially
affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.
Item 12 - Exhibits attached hereto
12(a)(1) - Code of Ethics - See Item 2
12(a)(2) - Certifications - Attached hereto
12(a)(3) - Not Applicable
12(b) - Certifications - Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
WCMA Treasury Fund and Master Treasury Trust
By: /s/ Robert C. Doll, Jr.
-----------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
WCMA Treasury Fund and Master Treasury Trust
Date: May 21, 2007
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on
the dates indicated.
By: /s/ Robert C. Doll, Jr.
-----------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
WCMA Treasury Fund and Master Treasury Trust
Date: May 21, 2007
By: /s/ Donald C. Burke
-------------------
Donald C. Burke,
Chief Financial Officer of
WCMA Treasury Fund and Master Treasury Trust
Date: May 21, 2007