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 811-5011
Name of Fund: CMA Massachusetts Municipal Money Fund
CMA Multi-State Municipal Series Trust
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Terry K. Glenn, President, CMA
Massachusetts Municipal Money Fund, 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: 03/31/03
Date of reporting period: 04/01/02 - 3/31/03
Item 1 - Attach shareholder report
[LOGO] Merrill Lynch Investment Managers
Annual Report
March 31, 2003
CMA Massachusetts
Municipal Money Fund
www.mlim.ml.com
TO OUR SHAREHOLDERS:
- --------------------------------------------------------------------------------
For the year ended March 31, 2003, CMA Massachusetts Municipal Money Fund paid
shareholders a net annualized yield of .79%.* As of March 31, 2003, the Fund's
7-day yield was .57%.
Economic Environment
During the six-month period ended March 31, 2003, the economic downturn
experienced in the commonwealth of Massachusetts has not shown significant signs
of abating. Job growth was virtually non-existent across all major industries,
as continuous unemployment claims remained high. Weak economic conditions have
impacted consumer confidence, as the Consumer Price Index fell to its lowest
level in 6.5 years. In addition, a cold and active winter, combined with the
overhang of an impending Middle East conflict, contributed to a rise in energy
costs that inflated business costs, while impacting consumer habits. However,
Massachusetts' exports, led by strength in technology, were on the rise, which
helped offset a portion of economic weakness. The combination of a federal
fiscal stimulus package, as well as the anticipated increase in defense
spending, should help Massachusetts' economy in the coming months.
This prolonged decline in economic activity has affected the commonwealth's
revenue stream. However, despite the lack of revenue growth, Massachusetts
managed to avoid the need to borrow additional funds in the short-term municipal
market to finance daily operations. In addition, the commonwealth's various
municipalities are experiencing the effects of a sluggish economic environment
as municipal issuance increased to $1.4 billion for the period.
Investment Strategy
During the six months ended March 31, 2003, we continued to employ a neutral
investment strategy. The period began with a volatile short-term municipal yield
curve as interest rates on variable rate demand note (VRDN) securities
outperformed those on longer-dated municipal notes. With the Fund's net assets
remaining relatively stable for the first half of the period, we limited our
pursuit of longer-dated municipal notes and concentrated on the attractive
yields offered by VRDN securities. Our focus in pursuing longer-dated municipal
notes was to maintain our holdings percentage by replacing maturing securities,
while selectively purchasing attractively priced municipal notes when
opportunities presented themselves. This strategy proved successful. However, at
the November 6, 2002 Federal Open Market Committee meeting, the Federal Reserve
Board lowered the Federal Funds rate 50 basis points (.50%). This reduction in
short-term interest rates forced investors to scramble to purchase a limited
supply of longer-dated municipal notes, as they rallied almost 40 basis points
to the 1.20% level by early December 2002 and again to the 1.10% level by March
31, 2003. Yields on VRDN securities followed suit, but at a slower pace.
At the beginning of January 2003, the Fund experienced its seasonal increase in
subscriptions. With municipal note yield levels at historical lows and the
short-term municipal yield curve extremely flat, we concentrated on meeting new
subscriptions by purchasing VRDN securities. This investment strategy was
utilized for the remainder of the period as a
* Based on a constant investment throughout the period, with dividends
compounded daily, and reflecting a net return to the investor after all
expenses.
1
limited amount of attractive opportunities existed in longer-dated municipal
note offerings. In addition, with the Middle East conflict unfolding and
domestic economic activity neutralized by the hostilities, there continued to be
a limited amount of investment opportunities in the short-term municipal market.
We allowed the Fund's average life to decline from the 55-day range to the
40-day range by the end of the period. The Fund continued to perform well in a
challenging market environment and despite historically low yield levels, the
Fund offered an attractive tax-exempt yield compared to its taxable
counterparts.
Going forward, we will continue to pursue a neutral investment strategy to the
short-term municipal market. With yields on longer-dated municipal notes at
historical lows, the incentive to pursue such issues has been limited. We are
observing the Middle East conflict and its effects on the domestic economy as
well as the Federal Reserve Board's reaction, as we pursue our investment
strategy. With the coming tax season, we anticipate there will be attractive
investment opportunities in the short-term municipal market. In addition, as the
various municipalities begin their budget processes and address the impact that
the weak economy is having on their revenue base, we will continue to monitor
the credit quality of the Fund, while pursuing attractive yield opportunities
where they exist.
In Conclusion
We thank you for your support of CMA Massachusetts Municipal Money Fund, and we
look forward to serving your investment needs in the future.
Sincerely,
/s/ Terry K. Glenn
Terry K. Glenn
President and Trustee
/s/ Kenneth A. Jacob
Kenneth A. Jacob
Senior Vice President
/s/ John M. Loffredo
John M. Loffredo
Senior Vice President
/s/ Kevin A. Schiatta
Kevin A. Schiatta
Portfolio Manager
April 16, 2003
2
CMA MASSACHUSETTS MUNICIPAL MONEY FUND
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2003 (IN THOUSANDS)
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Face
State Amount Issue Value
- ------------------------------------------------------------------------------------------------------------------------------------
Massachusetts-- $ 1,225 Boston, Massachusetts, Industrial Financing Authority, IDR (Acme
98.2% Bookbinding Co.), AMT, VRDN, 1.15% due 9/01/2006 (a) ................................... $ 1,225
5,000 Boston, Massachusetts, Water and Sewer Commission Revenue Bonds, FLOATS,
VRDN, Series SG-75, 1.12% due 11/01/2019 (a) ........................................... 5,000
Clipper Tax-Exempt Trust, VRDN, COP (a):
5,507 Series 1998-8, 1.20% due 7/20/2007 ................................................. 5,507
4,520 Series 2000-2, 1.60% due 1/01/2008 ................................................. 4,535
5,630 Eagle Tax-Exempt Trust, Massachusetts, Water Revenue Bonds, VRDN, Series 2103,
1.15% due 12/01/2015 (a) ............................................................... 5,630
2,268 Essex, Massachusetts, GO, BAN, 2.25% due 12/19/2003 .................................... 2,282
8,000 Fitchburg, Massachusetts, GO, RAN, 2.75% due 6/30/2003 ................................. 8,022
4,000 Greater Attleboro-Taunton, Massachusetts, Regional Transit Authority, GO, RAN,
2.75% due 8/08/2003 .................................................................... 4,016
Haverhill, Massachusetts, BAN:
3,000 3% due 4/16/2003 ................................................................... 3,002
1,703 GO, 3% due 12/05/2003 .............................................................. 1,720
6,000 Hull, Massachusetts, GO, BAN, 3% due 7/15/2003 ......................................... 6,019
2,500 Lynn, Massachusetts, GO, Refunding, BAN, 2.25% due 1/23/2004 ........................... 2,518
1,594 Mashpee, Massachusetts, GO, BAN, 2.50% due 9/16/2003 ................................... 1,601
3,000 Massachusetts Bay Transportation Authority, Revenue Refunding Bonds, FLOATS,
VRDN, Series 431, 1.15% due 3/01/2028 (a) .............................................. 3,000
2,750 Massachusetts State Development Finance Agency, Assisted Living Facility
Revenue Bonds (Whalers Cove Project), VRDN, Series A, 1.22% due 9/01/2034 (a) .......... 2,750
Massachusetts State Development Finance Agency, IDR, VRDN, AMT (a):
3,500 (Cell Signaling Technology), 1.15% due 12/01/2010 .................................. 3,500
2,885 (Cleveland Motion Controls), 1.35% due 6/01/2021 ................................... 2,885
4,000 (Concord Foods Issue), 1.15% due 4/01/2021 ......................................... 4,000
2,300 (Seafood Services Inc. Project), Series A, 1.15% due 12/01/2023 .................... 2,300
4,320 (V&S Taunton Galvanizing), 1.35% due 12/01/2023 .................................... 4,320
1,435 (Ward Hill Central Products Inc.), 1.35% due 8/01/2016 ............................. 1,435
Massachusetts State Development Finance Agency Revenue Bonds, VRDN (a):
9,235 (Bancroft School Issue), 1.20% due 9/01/2031 ....................................... 9,235
8,000 (Draper Laboratory Issue), 1.10% due 6/01/2030 (b) ................................. 8,000
6,000 (Meadowbrook School Issue), 1.15% due 8/01/2030 .................................... 6,000
5,000 (New Bedford Waste Services), AMT, 1.25% due 6/01/2021 ............................. 5,000
2,000 (New Jewish High School Project), 1.15% due 6/01/2032 .............................. 2,000
3,300 (Saint Peter-Marian Issue), 1.15% due 10/01/2032 ................................... 3,300
3,100 (Ursuline Academy Dedham), 1.15% due 5/01/2032 ..................................... 3,100
1,000 (Walnut Hill School District), 1.15% due 7/01/2032 ................................. 1,000
7,500 (Worcester Academy Issue), 1.20% due 10/01/2030 .................................... 7,500
5,475 (Worcester YMCA Issue), 1.15% due 1/01/2031 ........................................ 5,475
3,500 (Xinetics Issue), AMT, 1.15% due 6/01/2021 ......................................... 3,500
Portfolio Abbreviations for CMA Massachusetts Municipal Money Fund
AMT Alternative Minimum Tax (subject to)
BAN Bond Anticipation Notes
COP Certificates of Participation
FLOATS Floating Rate Securities
GO General Obligation Bonds
IDR Industrial Development Revenue Bonds
PUTTERS Puttable Tax-Exempt Receipts
RAN Revenue Anticipation Notes
ROCS Reset Option Certificates
VRDN Variable Rate Demand Notes
3
CMA MASSACHUSETTS MUNICIPAL MONEY FUND
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2003 (CONTINUED) (IN THOUSANDS)
- --------------------------------------------------------------------------------
Face
State Amount Issue Value
- ------------------------------------------------------------------------------------------------------------------------------------
Massachusetts Massachusetts State Development Finance Agency, Revenue Refunding
(continued) Bonds, VRDN (a):
$ 7,055 (Clark University), 1.15% due 10/01/2030 (c) ....................................... $ 7,055
4,000 (Gordon College), 1.15% due 9/01/2032 .............................................. 4,000
4,000 (Marine Biological Lab), 1.20% due 2/01/2030 ....................................... 4,000
10,000 (Phillips Academy), 1.10% due 9/01/2033 ............................................ 10,000
3,500 Massachusetts State Development Finance Agency, Solid Waste Disposal
Revenue Bonds (Newark Group Project), VRDN, AMT, Series A, 1.15% due 7/01/2031 (a) ..... 3,500
12,000 Massachusetts State Development Finance Agency, Solid Waste Disposal
Revenue Refunding Bonds (Newark Group Project), VRDN, AMT, Series A,
1.15% due 7/01/2028 (a) ................................................................ 12,000
3,255 Massachusetts State, FLOATS, VRDN, Series SG-126, 1.12% due 8/01/2018 (a) .............. 3,255
Massachusetts State, GO (Central Artery), VRDN (a):
1,620 Series A, 1.15% due 12/01/2030 ..................................................... 1,620
15,700 Series B, 1.15% due 12/01/2030 ..................................................... 15,700
Massachusetts State, GO, VRDN, Refunding (a):
1,459 FLOATS, Series 716D, 1.15% due 8/01/2018 (b) ....................................... 1,459
6,895 PUTTERS, Series 338, 1.20% due 11/01/2017 (b) ...................................... 6,895
6,555 PUTTERS, Series 340, 1.20% due 1/01/2017 (b) ....................................... 6,555
8,995 ROCS, Series II-R-180, 1.15% due 11/01/2015 (d) .................................... 8,995
5,000 Series A, 1.15% due 9/01/2016 ...................................................... 5,000
2,790 Massachusetts State, GO, VRDN, Series O, 1.18% due 11/01/2014 (a) ...................... 2,790
Massachusetts State Health and Educational Facilities Authority Revenue
Bonds, VRDN (a):
4,865 (Becker College), Series A-1, 1.15% due 7/01/2028 .................................. 4,865
9,200 (Capital Asset Program), Series E, 1.15% due 1/01/2035 ............................. 9,200
9,325 (Sherrill House Inc.), Series A-1, 1.10% due 1/01/2032 ............................. 9,325
7,860 Massachusetts State Health and Educational Facilities Authority, Revenue
Refunding Bonds (The Boston Home Inc.), VRDN, Series A, 1.15% due 6/01/2032 (a) ........ 7,860
2,135 Massachusetts State Industrial Finance Agency, IDR (Hi-Tech Mold & Tool), VRDN,
1.20% due 6/01/2018 (a) ................................................................ 2,135
Massachusetts State Industrial Finance Agency, Industrial Revenue
Bonds, VRDN, AMT (a):
2,490 (AFC Cable Systems Inc. Issue), 1.15% due 7/01/2016 ................................ 2,490
1,800 (BBB Esquire LLC), 1.15% due 12/01/2016 ............................................ 1,800
3,400 (Bodwell Project), 1.15% due 7/01/2017 ............................................. 3,400
4,100 (Constitution Project), 1.15% due 6/01/2018 ........................................ 4,100
1,735 (Garlock Printing Corp.), 1.15% due 12/01/2017 ..................................... 1,735
2,940 (Gem Group Inc. Issue), 1.15% due 7/01/2016 ........................................ 2,940
2,300 (Hazen Paper Company), 1.15% due 3/01/2008 ......................................... 2,300
2,190 (Insco Corporation Issue), 1.15% due 9/01/2008 ..................................... 2,190
2,125 (Lavigne), 1.15% due 8/01/2008 ..................................................... 2,125
2,100 (Mercer Paper Tube Corp.), 1.30% due 11/01/2011 .................................... 2,100
2,100 (OCT Co. Inc. Project), 1.15% due 12/01/2017 ....................................... 2,100
1,900 (Tamasi Family Issue), 1.20% due 5/01/2013 ......................................... 1,900
568 (Techprint/Techgraphics), 1.30% due 6/01/2017 ...................................... 568
2,475 (Telcom USA Inc. Issue), 1.15% due 8/01/2016 ....................................... 2,475
2,000 (Valkyrie Co. Inc.), 1.15% due 5/01/2013 ........................................... 2,000
1,035 (WBC Extrusion Products Issue), 1.15% due 4/01/2006 ................................ 1,035
2,240 Massachusetts State Industrial Finance Agency, Industrial Revenue Refunding
Bonds (New England Biolabs), VRDN, AMT, 1.15% due 3/01/2016 (a) ........................ 2,240
Massachusetts State Industrial Finance Agency Revenue Bonds, VRDN (a):
1,555 (Heritage at Dartmouth), AMT, 1.15% due 12/01/2028 ................................. 1,555
1,458 (Lower Mills Association II L.P.), 1.15% due 12/01/2020 ............................ 1,458
1,150 (Whitehead Institute Biomed Research), 1.05% due 7/01/2026 ......................... 1,150
4
CMA MASSACHUSETTS MUNICIPAL MONEY FUND
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 2003 (CONCLUDED) (IN THOUSANDS)
- --------------------------------------------------------------------------------
Face
State Amount Issue Value
- ------------------------------------------------------------------------------------------------------------------------------------
Massachusetts Massachusetts State Industrial Finance Agency, Revenue Refunding Bonds,
(concluded) VRDN (a):
$ 565 (Easy Day Realty Trust Project), Series A, 1.10% due 7/01/2006 ..................... $ 565
5,000 (Lightolier Inc. Project), 1.15% due 7/29/2010 ..................................... 5,000
2,680 (Mount Ida College Issue), 1.15% due 12/01/2027 .................................... 2,680
Massachusetts State Industrial Finance Agency, Solid Waste Disposal Revenue
Bonds (E.L. Harvey & Sons Inc.), VRDN, AMT (a):
1,680 1.15% due 1/01/2011 ................................................................ 1,680
2,265 1.15% due 6/01/2013 ................................................................ 2,265
9,000 Massachusetts State Turnpike Authority, Metropolitan Highway System Revenue
Bonds, FLOATS, VRDN, Series SG-124, 1.12% due 1/01/2029 (a) ............................ 9,000
9,600 Massachusetts State Turnpike Authority, Metropolitan Highway System, Revenue
Refunding Bonds, FLOATS, VRDN, Series 334, 1.15% due 1/01/2037 (a)(b) .................. 9,600
4,200 Massachusetts State Water Resource Authority Revenue Bonds, VRDN, Series A,
1.05% due 8/01/2028 (a)(c) ............................................................. 4,200
Massachusetts State Water Resource Authority, Revenue Refunding Bonds, VRDN (a):
4,455 FLOATS, Series 742D, 1.20% due 8/01/2019 (e) ....................................... 4,455
300 Sub-Series C, 1.15% due 8/01/2020 .................................................. 300
1,100 Sub-Series D, 1.10% due 8/01/2017 .................................................. 1,100
340 Municipal Security Trust Certificates, Massachusetts State Port Authority,
Special Facility Revenue Bonds, VRDN, AMT, Series 2001-155, Class A,
1.22% due 4/28/2016 (a)(c) ............................................................. 340
7,000 Nashoba, Massachusetts, Regional School District, GO, BAN, 3% due 12/04/2003 ........... 7,054
4,900 Nashoba Valley, Massachusetts, Technical High School District, GO, BAN,
1.50% due 8/15/2003 .................................................................... 4,907
Norwell, Massachusetts, GO, BAN:
4,000 2% due 7/15/2003 ................................................................... 4,010
7,500 2.25% due 2/20/2004 ................................................................ 7,569
10,000 Old Rochester, Massachusetts, Regional School District, GO, BAN, 2.80% due 5/02/2003 ... 10,006
Pembroke, Massachusetts, GO, BAN:
4,000 1.75% due 8/07/2003 ................................................................ 4,009
10,000 2.75% due 8/07/2003 ................................................................ 10,039
8,008 Plympton, Massachusetts, BAN, 2.75% due 7/10/2003 ...................................... 8,025
2,500 Southborough, Massachusetts, GO, BAN, 3% due 5/08/2003 ................................. 2,503
4,250 Spencer East Brookfield, Massachusetts, Regional School District, GO, BAN,
3% due 4/17/2003 ....................................................................... 4,251
8,000 Springfield, Massachusetts, GO, BAN, 3% due 4/14/2003 .................................. 8,006
3,300 Worcester, Massachusetts, BAN, Series A, 2.50% due 8/29/2003 ........................... 3,312
1,750 Wrentham, Massachusetts, GO, BAN, 1.75% due 6/03/2003 .................................. 1,751
- ------------------------------------------------------------------------------------------------------------------------------------
Puerto Rico-- 5,912 Puerto Rico Public Buildings Authority Revenue Refunding Bonds, FLOATS, VRDN,
1.4% Series 747D, 1.15% due 7/01/2017 (a) ................................................... 5,912
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost--$419,786*)--99.6% ............................................. 419,786
Other Assets Less Liabilities--0.4% .................................................... 1,832
--------
Net Assets--100.0% ..................................................................... $421,618
========
====================================================================================================================================
(a) The interest rate is subject to change periodically based upon prevailing
market rates. The interest rate shown is the rate in effect at March 31,
2003.
(b) MBIA Insured.
(c) AMBAC Insured.
(d) FGIC Insured.
(e) FSA Insured.
* Cost for Federal income tax purposes.
See Notes to Financial Statements.
5
CMA MASSACHUSETTS MUNICIPAL MONEY FUND
STATEMENT OF ASSETS AND LIABILITIES AS OF MARCH 31, 2003
- --------------------------------------------------------------------------------
Assets:
Investments, at value (identified cost--$419,786,189) ......................................... $419,786,189
Cash .......................................................................................... 165,078
Interest receivable ........................................................................... 1,824,995
Prepaid registration fees and other assets .................................................... 134,510
------------
Total assets .................................................................................. 421,910,772
------------
Liabilities:
Payables:
Investment adviser .......................................................................... $ 178,791
Distributor ................................................................................. 76,494 255,285
---------
Accrued expenses and other liabilities ........................................................ 37,220
------------
Total liabilities ............................................................................. 292,505
------------
Net Assets .................................................................................... $421,618,267
============
Net Assets Consist of:
Shares of beneficial interest, $.10 par value, unlimited number of shares authorized .......... $ 42,159,871
Paid-in capital in excess of par .............................................................. 379,438,743
Undistributed realized capital gains--net ..................................................... 19,653
------------
Net Assets--Equivalent to $1.00 per share based on 421,598,712 shares of beneficial
interest outstanding .......................................................................... $421,618,267
============
See Notes to Financial Statements.
6
CMA MASSACHUSETTS MUNICIPAL MONEY FUND
STATEMENT OF OPERATIONS FOR THE YEAR ENDED MARCH 31, 2003
- --------------------------------------------------------------------------------
Investment Income:
Interest and amortization of premium and discount earned ....................... $ 6,315,288
Expenses:
Investment advisory fees ....................................................... $ 2,136,115
Distribution fees .............................................................. 531,847
Accounting services ............................................................ 94,892
Professional fees .............................................................. 68,531
Transfer agent fees ............................................................ 53,990
Registration fees .............................................................. 21,691
Printing and shareholder reports ............................................... 19,757
Custodian fees ................................................................. 12,790
Pricing fees ................................................................... 10,890
Trustees' fees and expenses .................................................... 4,166
Other .......................................................................... 13,626
-----------
Total expenses ................................................................. 2,968,295
-----------
Investment income--net ......................................................... 3,346,993
Realized Gain on Investments--Net .............................................. 20,803
-----------
Net Increase in Net Assets Resulting from Operations ........................... $ 3,367,796
===========
See Notes to Financial Statements.
7
CMA MASSACHUSETTS MUNICIPAL MONEY FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
For the Year Ended March 31,
---------------------------------------
Increase (Decrease) in Net Assets: 2003 2002
- -----------------------------------------------------------------------------------------------------------------------------------
Operations:
Investment income--net ............................................................. $ 3,346,993 $ 8,216,050
Realized gain (loss) on investments--net ........................................... 20,803 (1,150)
--------------- ---------------
Net increase in net assets resulting from operations ............................... 3,367,796 8,214,900
--------------- ---------------
Dividends to Shareholders:
Investment income--net ............................................................. (3,347,797) (8,216,050)
--------------- ---------------
Beneficial Interest Transactions:
Net proceeds from sale of shares ................................................... 1,390,362,656 1,663,566,207
Value of shares issued to shareholders in reinvestment of dividends ................ 3,347,691 8,216,157
--------------- ---------------
1,393,710,347 1,671,782,364
Cost of shares redeemed ............................................................ (1,423,400,124) (1,746,055,948)
--------------- ---------------
Net decrease in net assets derived from beneficial interest transactions ........... (29,689,777) (74,273,584)
--------------- ---------------
Net Assets:
Total decrease in net assets ....................................................... (29,669,778) (74,274,734)
Beginning of year .................................................................. 451,288,045 525,562,779
--------------- ---------------
End of year* ....................................................................... $ 421,618,267 $ 451,288,045
--------------- ---------------
Undistributed investment income--net ............................................... -- $ 804
=============== ===============
See Notes to Financial Statements.
8
CMA MASSACHUSETTS MUNICIPAL MONEY FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The following per share data and ratios have been derived
from information provided in the financial statements. For the Year Ended March 31,
---------------------------------------------------------------------
Increase (Decrease) in Net Asset Value: 2003 2002 2001 2000 1999
- -----------------------------------------------------------------------------------------------------------------------------------
Per Share Operating Performance:
Net asset value, beginning of year ........................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- --------- --------- --------- ---------
Investment income--net .................................... .01 .02 .03 .03 .03
Realized gain (loss) on investments--net .................. --+ --+ --+ --+ --
--------- --------- --------- --------- ---------
Total from investment operations .......................... .01 .02 .03 .03 .03
--------- --------- --------- --------- ---------
Less dividends and distributions:
Investment income--net .................................. (.01) (.02) (.03) (.03) (.03)
Realized gain on investments--net ....................... -- -- -- --+ --
--------- --------- --------- --------- ---------
Total dividends and distributions ......................... (.01) (.02) (.03) (.03) (.03)
--------- --------- --------- --------- ---------
Net asset value, end of year .............................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========= ========= ========= ========= =========
Total Investment Return ................................... .79% 1.70% 3.34% 2.80% 2.77%
========= ========= ========= ========= =========
Ratios to Average Net Assets:
Expenses .................................................. .69% .70% .70% .70% .72%
========= ========= ========= ========= =========
Investment income--net .................................... .78% 1.74% 3.28% 2.76% 2.72%
========= ========= ========= ========= =========
Supplemental Data:
Net assets, end of year (in thousands) .................... $ 421,618 $ 451,288 $ 525,563 $ 409,700 $ 331,437
========= ========= ========= =========== =========
+ Amount is less than $.01 per share.
See Notes to Financial Statements.
9
CMA MASSACHUSETTS MUNICIPAL MONEY FUND
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1. Significant Accounting Policies:
CMA Massachusetts Municipal Money Fund (the "Fund") is part of CMA Multi State
Municipal Series Trust (the "Trust"). The Fund is registered under the
Investment Company Act of 1940 as a non-diversified, open-end management
investment company. The Fund's financial statements are prepared in conformity
with accounting principles generally accepted in the United States of America,
which may require the use of management accruals and estimates. The following is
a summary of significant accounting policies followed by the Fund.
(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 -- 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.
(c) Security transactions and investment income -- Security transactions are
recorded on the dates the transactions are entered into (the trade dates).
Realized gains and losses on security transactions are determined on the
identified cost basis. Interest income (including amortization of premium and
discount) is recognized on the accrual basis.
(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, excluding
discounts earned other than original issue discounts. Net realized capital
gains, if any, are normally distributed annually after deducting prior years'
loss carryforward. The Fund may distribute capital gains more frequently than
annually in order to maintain the Fund's net asset value at $1.00 per share.
(f) Expenses -- Certain expenses have been allocated to the individual Funds in
the Trust on a pro rata basis based upon the respective aggregate net asset
value of each Fund included in the Trust.
2. Investment Advisory Agreement and Transactions with Affiliates:
The Fund 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 Fund's portfolio and provides the
necessary
10
CMA MASSACHUSETTS MUNICIPAL MONEY FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
- --------------------------------------------------------------------------------
personnel, facilities, equipment and certain other services necessary to the
operations of the Fund. For such services, the Fund pays a monthly fee based
upon the average daily value of the Fund's net assets, at the following annual
rates: .50% of the first $500 million of average daily net assets; .425% of
average daily net assets in excess of $500 million but not exceeding $1 billion;
and .375% of average daily net assets in excess of $1 billion.
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") receives a distribution fee from the Fund
at the end of each month at the annual rate of .125% of average daily net assets
of the Fund. The distribution fee is to compensate MLPF&S financial advisors and
other directly involved branch office personnel for selling shares of the Fund
and for providing direct personal services to shareholders. The distribution fee
is not compensation for the administrative and operational services rendered to
the Fund by MLPF&S in processing share orders and administering shareholder
accounts.
Financial Data Services, Inc. ("FDS"), a wholly-owned subsidiary of ML & Co., is
the Fund's transfer agent.
For the year ended March 31, 2003, the Fund reimbursed FAM $8,781 for certain
accounting services.
Certain officers and/or trustees of the Fund are officers and/or directors of
FAM, PSI, FDS, and/or ML & Co.
3. 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. Distributions to Shareholders:
The tax character of distributions paid during the fiscal years ended March 31,
2003 and March 31, 2002 was as follows:
- --------------------------------------------------------------------------------
3/31/2003 3/31/2002
- --------------------------------------------------------------------------------
Distributions paid from:
Tax-exempt
income ............................. $3,347,797 $8,216,050
---------- ----------
Total distributions .................... $3,347,797 $8,216,050
========== ==========
- --------------------------------------------------------------------------------
As of March 31, 2003, there were no significant differences between the book and
tax components of net assets.
11
CMA MASSACHUSETTS MUNICIPAL MONEY FUND
INDEPENDENT AUDITORS' REPORT
- --------------------------------------------------------------------------------
To the Shareholders and Board of Trustees
of CMA Massachusetts Municipal Money
Fund of CMA Multi-State Municipal
Series Trust:
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of CMA Massachusetts Municipal Money Fund as of
March 31, 2003, and the related statement of operations for the year then ended,
the statements of changes in net assets for each of the two years in the period
then ended, and the financial highlights for each of the five years in the
period then ended. These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities owned as of March 31, 2003, by correspondence with the custodian. An
audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of CMA
Massachusetts Municipal Money Fund as of March 31, 2003, the results of its
operations for the year then ended, the changes in its net assets for each of
the two years in the period then ended and its financial highlights for each of
the five years in the period then ended in conformity with accounting principles
generally accepted in the United States of America.
Deloitte & Touche LLP
Princeton, New Jersey
May 8, 2003
CMA MASSACHUSETTS MUNICIPAL MONEY FUND
IMPORTANT TAX INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
All of the net investment income distributions paid by CMA Massachusetts
Municipal Money Fund of CMA Multi-State Municipal Series Trust during the
taxable year ended March 31, 2003 qualify as tax-exempt interest dividends for
Federal income tax purposes.
Please retain this information for your records.
12
CMA MASSACHUSETTS MUNICIPAL MONEY FUND
OFFICERS AND TRUSTEES
- --------------------------------------------------------------------------------
Number of
Portfolios Other
in Fund Director-
Position(s) Length Complex ships
Held of Time Overseen by Held by
Name, Address & Age with Fund Served Principal Occupation(s) During Past 5 Years Trustee Trustee
- ------------------------------------------------------------------------------------------------------------------------------------
Interested Trustee
====================================================================================================================================
Terry K. Glenn* President 1999 to President and Chairman of Merrill Lynch 118 Funds None
P.O. Box 9011 and present Investment Managers, L.P. ("MLIM")/Fund 162 Portfolios
Princeton, NJ 08543-9011 Trustee and Asset Management, L.P. ("FAM")--Advised
Age: 62 1997 to Funds since 1999; Chairman (Americas Region)
present of MLIM from 2000 to 2002; Executive Vice
President of MLIM and FAM (which terms as
used herein include their corporate predecessors)
from 1983 to 2002; President of FAM Distributors,
Inc. ("FAMD") from 1986 to 2002 and Director
thereof from 1991 to 2002; Executive Vice
President and Director of Princeton Services,
Inc. ("Princeton Services") from 1993 to 2002;
President of Princeton Administrators, L.P. from
1988 to 2002; Director of Financial Data Services,
Inc. from 1985 to 2002.
- ------------------------------------------------------------------------------------------------------------------------------------
* Mr. Glenn is a director, trustee or member of an advisory board of certain other investment companies for which FAM or MLIM
acts as investment adviser. Mr. Glenn is an "interested person," as described in the Investment Company Act, of the Fund based
on his former positions with FAM, MLIM, FAMD, Princeton Services and Princeton Administrators, L.P. The Trustee's term is
unlimited. Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.
As Fund President, Mr. Glenn serves at the pleasure of the Board of Trustees.
- ------------------------------------------------------------------------------------------------------------------------------------
Number of
Portfolios Other
in Fund Director-
Position(s) Length Complex ships
Held of Time Overseen by Held by
Name, Address & Age with Fund Served* Principal Occupation(s) During Past 5 Years Trustee Trustee
- ------------------------------------------------------------------------------------------------------------------------------------
Independent Trustees
====================================================================================================================================
Ronald W. Forbes Trustee 1988 to Professor Emeritus of Finance, School of Business, 45 Funds None
P.O. Box 9095 present State University of New York at Albany since 2000 51 Portfolios
Princeton, NJ 08543-9095 and Professor thereof from 1989 to 2000;
Age: 62 International Consultant, Urban Institute
from 1995 to 1999.
- ------------------------------------------------------------------------------------------------------------------------------------
Cynthia A. Montgomery Trustee 1994 to Professor, Harvard Business School since 1989; 45 Funds Unum
P.O. Box 9095 present Director, Unum Provident Corporation since 1990; 51 Portfolios Provident
Princeton, NJ 08543-9095 Director, Newell Rubbermaid, Inc. since 1995. Corporation;
Age: 50 Newell
Rubbermaid,
Inc.
- ------------------------------------------------------------------------------------------------------------------------------------
Charles C. Reilly Trustee 1990 to Self-employed financial consultant since 1990. 45 Funds None
P.O. Box 9095 present 51 Portfolios
Princeton, NJ 08543-9095
Age: 71
- ------------------------------------------------------------------------------------------------------------------------------------
Kevin A. Ryan Trustee 1992 to Founder and Director Emeritus of The Boston 45 Funds None
P.O. Box 9095 present University Center for the Advancement of Ethics 51 Portfolios
Princeton, NJ 08543-9095 and Character; Professor of Education at Boston
Age: 70 University from 1982 to 1999 and Professor
Emeritus since 1999.
- ------------------------------------------------------------------------------------------------------------------------------------
13
CMA MASSACHUSETTS MUNICIPAL MONEY FUND
OFFICERS AND TRUSTEES (CONTINUED)
- --------------------------------------------------------------------------------
Number of
Portfolios Other
in Fund Director-
Position(s) Length Complex ships
Held of Time Overseen by Held by
Name, Address & Age with Fund Served* Principal Occupation(s) During Past 5 Years Trustee Trustee
- ------------------------------------------------------------------------------------------------------------------------------------
Independent Trustees (concluded)
====================================================================================================================================
Roscoe S. Suddarth Trustee 2000 to President, Middle East Institute from 1995 to 2001; 45 Funds None
P.O. Box 9095 present Foreign Service Officer, United States Foreign 51 Portfolios
Princeton, NJ 08543-9095 Service from 1961 to 1995; Career Minister from
Age: 67 1989 to 1995; Deputy Inspector General, U.S.
Department of State from 1991 to 1994; U.S.
Ambassador to the Hashemite Kingdom of Jordan
from 1987 to 1990.
- ------------------------------------------------------------------------------------------------------------------------------------
Richard R. West Trustee 1988 to Dean Emeritus of New York University, Leonard N. 45 Funds Bowne & Co.,
P.O. Box 9095 present Stern School of Business Administration 51 Portfolios Inc.; Vornado
Princeton, NJ 08543-9095 since 1994. Operating
Age: 65 Company;
Vornado
Realty
Trust;
Alexander's,
Inc.
- ------------------------------------------------------------------------------------------------------------------------------------
Edward D. Zinbarg Trustee 2000 to Self-employed financial consultant since 1994. 45 Funds None
P.O. Box 9095 present 51 Portfolios
Princeton, NJ 08543-9095
Age: 68
- ------------------------------------------------------------------------------------------------------------------------------------
* The Trustee's term is unlimited. Trustees serve until their resignation, removal or death, or until December 31 of the year in
which they turn 72.
- ------------------------------------------------------------------------------------------------------------------------------------
Position(s) Length
Held of Time
Name, Address & Age with Fund Served* Principal Occupation(s) During Past 5 Years
- ------------------------------------------------------------------------------------------------------------------------------------
Fund Officers
====================================================================================================================================
Donald C. Burke Vice 1993 to First Vice President of MLIM and FAM since 1997 and Treasurer thereof
P.O. Box 9011 President present since 1999; Senior Vice President and Treasurer of Princeton Services since
Princeton, NJ 08543-9011 and and 1999; Vice President of FAMD since 1999; Director of MLIM Taxation
Age: 42 Treasurer 1999 to since 1990.
present
- ------------------------------------------------------------------------------------------------------------------------------------
Kenneth A. Jacob Senior 2002 to Managing Director of MLIM since 2000; Director (Tax-Exempt Fixed Income)
P.O. Box 9011 Vice present of MLIM from 1997 to 2000.
Princeton, NJ 08543-9011 President
Age: 51
- ------------------------------------------------------------------------------------------------------------------------------------
John M. Loffredo Senior 2002 to Managing Director of MLIM since 2000; Director (Tax-Exempt Fixed Income)
P.O. Box 9011 Vice present of MLIM from 1998 to 2000.
Princeton, NJ 08543-9011 President
Age: 39
- ------------------------------------------------------------------------------------------------------------------------------------
14
CMA MASSACHUSETTS MUNICIPAL MONEY FUND
OFFICERS AND TRUSTEES (CONCLUDED)
- --------------------------------------------------------------------------------
Position(s) Length
Held of Time
Name, Address & Age with Fund Served* Principal Occupation(s) During Past 5 Years
- ------------------------------------------------------------------------------------------------------------------------------------
Fund Officers (concluded)
====================================================================================================================================
Phillip S. Gillespie Secretary 2000 to First Vice President of MLIM since 2001; Director (Legal Advisory) of MLIM from
P.O. Box 9011 present 2000 to 2001; Vice President of MLIM from 1999 to 2000 and Attorney associated
Princeton, NJ 08543-9011 with MLIM since 1998; Assistant General Counsel of Chancellor LGT Asset
Age: 39 Management, Inc. from 1997 to 1998.
- ------------------------------------------------------------------------------------------------------------------------------------
* Officers of the Fund serve at the pleasure of the Board of Trustees.
- ------------------------------------------------------------------------------------------------------------------------------------
Further information about the Fund's Officers and Trustees is available in the
Fund's Statement of Additional Information, which can be obtained without charge
by calling 1-800-MER-FUND.
Custodian
State Street Bank and Trust Company
P.O. Box 351
Boston, MA 02101
Transfer Agent
Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
800-221-7210+
+ For inquiries regarding
your CMA account, call
800-CMA-INFO or
800-262-4636.
15
[LOGO] Merrill Lynch Investment Managers
[GRAPHICS OMITTED]
This report is not authorized for use as an offer of sale or a solicitation of
an offer to buy shares of the Fund unless accompanied or preceded by the Fund's
current prospectus. An investment in the Fund is not insured or guaranteed by
the Federal Deposit Insurance Corporation or any other Government agency.
Although the Fund seeks to preserve the value of your investment at $1.00 per
share, it is possible to lose money by investing in the Fund. Past performance
results shown in this report should not be considered a representation of future
performance, which will fluctuate. Statements and other information herein are
as dated and are subject to change.
CMA Massachusetts Municipal Money Fund
of CMA Multi-State Municipal Series Trust
Box 9011
Princeton, NJ
08543-9011
[RECYCLED LOGO] Printed on post-consumer recycled paper #11283--3/03
Item 2 - Did registrant adopt a code of ethics, as of the end of the period
covered by this report, that applies to the registrant's principal
executive officer, principal financial officer, principal accounting
officer or controller, or persons performing similar functions,
regardless of whether these individuals are employed by the registrant
or a third party? If not, why not? Briefly describe any amendments or
waivers that occurred during the period. State here if code of
ethics/amendments/waivers are on website and give website address-.
State here if fund will send code of ethics to shareholders without
charge upon request-- N/A (not answered until July 15, 2003 and only
annually for funds)
Item 3 - Did the registrant's board of directors determine that the registrant
either: (i) has at least one audit committee financial expert serving
on its audit committee; or (ii) does not have an audit committee
financial expert serving on its audit committee? If yes, disclose name
of financial expert and whether he/she is "independent," (fund may, but
is not required, to disclose name/independence of more than one
financial expert) If no, explain why not. -N/A (not answered until July
15, 2003 and only annually for funds)
Item 4 - Disclose annually only (not answered until December 15, 2003)
(a) Audit Fees - Disclose aggregate fees billed for each of the last two
fiscal years for professional services rendered by the
principal accountant for the audit of the registrant's
annual financial statements or services that are
normally provided by the accountant in connection with
statutory and regulatory filings or engagements for
those fiscal years. N/A.
(b) Audit-Related Fees - Disclose aggregate fees billed in each of the
last two fiscal years for assurance and related
services by the principal accountant that are
reasonably related to the performance of the
audit of the registrant's financial statements
and are not reported under paragraph (a) of this
Item. Registrants shall describe the nature of
the services comprising the fees disclosed under
this category. N/A.
(c) Tax Fees - Disclose aggregate fees billed in each of the last two
fiscal years for professional services rendered by the
principal accountant for tax compliance, tax advice, and
tax planning. Registrants shall describe the nature of the
services comprising the fees disclosed under this category.
N/A.
(d) All Other Fees - Disclose aggregate fees billed in each of the last
two fiscal years for products and services provided
by the principal accountant, other than the services
reported in paragraphs (a) through (c) of this Item.
Registrants shall describe the nature of the
services comprising the fees disclosed under this
category. N/A.
(e)(1) Disclose the audit committee's pre-approval policies and procedures
described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. N/A.
(e)(2) Disclose the percentage of services described in each of paragraphs
(b) through (d) of this Item that were approved by the audit
committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of
Regulation S-X. N/A.
(f) If greater than 50%, disclose the percentage of hours expended on
the principal accountant's engagement to audit the registrant's
financial statements for the most recent fiscal year that were
attributed to work performed by persons other than the principal
accountant's full-time, permanent employees. N/A.
(g) Disclose the aggregate non-audit fees billed by the registrant's
accountant for services rendered to the registrant, and rendered to
the registrant's investment adviser (not including any sub-adviser
whose role is primarily portfolio management and is subcontracted
with or overseen by another investment adviser), and any entity
controlling, controlled by, or under common control with the adviser
that provides ongoing services to the registrant for each of the
last two fiscal years of the registrant. N/A.
(h) Disclose whether the registrant's audit committee has considered
whether the provision of non-audit services that were rendered to
the registrant's investment adviser (not including any subadviser
whose role is primarily portfolio management and is subcontracted
with or overseen by another investment adviser), and any entity
controlling, controlled by, or under common control with the
investment adviser that provides ongoing services to the registrant
that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule
2-01 of Regulation S-X is compatible with maintaining the principal
accountant's independence. N/A.
Item 5 - If the registrant is a listed issuer as defined in Rule 10A-3 under the
Exchange Act, state whether or not the registrant has a
separately-designated standing audit committee established in
accordance with Section 3(a)(58)(A) of the Exchange Act. If the
registrant has such a committee, however designated, identify each
committee member. If the entire board of directors is acting as the
registrant's audit committee in Section 3(a)(58)(B) of the Exchange
Act, so state.
If applicable, provide the disclosure required by Rule 10A-3(d) under
the Exchange Act regarding an exemption from the listing standards for
audit committees.
(Listed issuers must be in compliance with the new listing rules by the
earlier of their first annual shareholders meeting after January 2004,
or October 31, 2004 (annual requirement))
Item 6 - Reserved
Item 7 - For closed-end funds that contain voting securities in their portfolio,
describe the policies and procedures that it uses to determine how to
vote proxies relating to those portfolio securities. N/A (not answered
until July 1, 2003)
Item 8 -- Reserved
Item 9(a) - Disclose the conclusions of the registrant's principal executive
officer or officers and principal financial officer or officers,
or persons performing similar functions, about the effectiveness
of the registrant's disclosure controls and procedures (as defined
in Rule 30a-2(c) under the Act (17 CFR 270.30a-2(c))) based on
their evaluation of these controls and procedures as of a date
within 90 days of the filing date of the report that includes the
disclosure required by this paragraph. N/A (not answered until
July 15, 2003 and only annually for funds)
Item 9(b) -- There were no significant changes in the registrant's internal
controls or in other factors that could significantly affect these
controls subsequent to the date of their evaluation, including any
corrective actions with regard to significant deficiencies and
material weaknesses.
Item 10 - Exhibits
10(a) - Attach code of ethics or amendments/waivers, unless code of ethics or
amendments/waivers is on website or offered to shareholders upon request
without charge. N/A.
10(b) - Attach certifications pursuant to Section 302 of the Sarbanes-Oxley Act.
Attached hereto.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
CMA Massachusetts Municipal Money Fund
By: /s/ Terry K. Glenn
--------------------------------------
Terry K. Glenn,
President of
CMA Massachusetts Municipal Money Fund
Date: May 21, 2003
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ Terry K. Glenn
--------------------------------------
Terry K. Glenn,
President of
CMA Massachusetts Municipal Money Fund
Date: May 21, 2003
By: /s/ Donald C. Burke
--------------------------------------
Donald C. Burke,
Chief Financial Officer of
CMA Massachusetts Municipal Money Fund
Date: May 21, 2003
Attached hereto as an exhibit are the certifications pursuant to Section 906 of
the Sarbanes-Oxley Act.