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 Connecticut Municipal Money Fund of 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 Connecticut Municipal Money Fund of CMA Multi-State Municipal Series Trust, 800 Scudders Mill Road, Plainsboro, NJ 08536. Mailing address: P.O. Box 9011, Princeton, NJ 08543-9011 Registrant's telephone number, including area code: (609) 282-2800 Date of fiscal year end: 03/31/04 Date of reporting period: 04/01/03 - 09/30/03 Item 1 - Attach shareholder report [LOGO] Merrill Lynch Investment Managers www.mlim.ml.com CMA Connecticut Municipal Money Fund Semi-Annual Report September 30, 2003 [LOGO] Merrill Lynch Investment Managers CMA Connecticut Municipal Money Fund Officers and Trustees Terry K. Glenn, President and Trustee Ronald W. Forbes, Trustee Cynthia A. Montgomery, Trustee Charles C. Reilly, Trustee Kevin A. Ryan, Trustee Roscoe S. Suddarth, Trustee Richard R. West, Trustee Edward D. Zinbarg, Trustee Kenneth A. Jacob, Senior Vice President John M. Loffredo, Senior Vice President Steven T. Lewis, Vice President Donald C. Burke, Vice President and Treasurer Phillip S. Gillespie, Secretary Custodian State Street Bank and Trust Company P.O. Box 351 Boston, MA 02101 Transfer Agent Financial Data Services, Inc. 4800 Deer Lake Drive East Jacksonville, FL 32246-6484 800-221-7210* * For inquiries regarding your CMA account, call 800-CMA-INFO (800-262-4636). 2 CMA CONNECTICUT MUNICIPAL MONEY FUND SEPTEMBER 30, 2003 A Letter From the President Dear Shareholder Now in its final quarter, 2003 has been a meaningful year in many respects. After one of the most significant equity market downturns in many investors' memories, this year finally brought hopeful signs for a sustainable economic recovery. Sub par economic growth of 1.4% in the first quarter of 2003 increased to projected growth of more than 4% in the second half of the year. With that good news, fixed income investments, which had become the asset class of choice during the long equity market decline, faced new challenges. The Federal Reserve Board continued its accommodative monetary policy, lowering the Federal Funds rate in June to 1%, its lowest level since 1958. With this move, the short end of the yield curve remained relatively flat and it became increasingly difficult to find attractive income opportunities. Through September 30, 2003, both the Bond Market Association (BMA) Index and the one-year Municipal Market Data (MMD) Index averaged 1.03% for the year. Rates on the BMA Index, which measures the shortest end of the yield curve, averaged .85% during the third quarter versus 1.16% in the second quarter. Rates on the one-year MMD Index averaged .98% in the third quarter, just below the second quarter average of 1%. Against this backdrop, our portfolio managers continued to work diligently to maximize tax-exempt returns consistent with the preservation of capital. With that said, remember also that the advice and guidance of a skilled financial advisor often can help you choose those investments that will best serve you as you plan for your financial future. Finally, I am proud to premiere a new look to our shareholder communications. Our portfolio manager commentaries have been trimmed and organized in such a way that you can get the information you need at a glance, in plain language. Today's markets are confusing enough. We want to help you put it all in perspective. The report's new size also allows us certain mailing efficiencies. Any cost savings in production or postage are passed on to the Fund and, ultimately, to Fund shareholders. We thank you for trusting Merrill Lynch Investment Managers with your investment assets, and we look forward to serving you in the months and years ahead. Sincerely, /s/ Terry K. Glenn Terry K. Glenn President and Trustee CMA CONNECTICUT MUNICIPAL MONEY FUND SEPTEMBER 30, 2003 3 [LOGO] Merrill Lynch Investment Managers A Discussion With Your Fund's Portfolio Manager With interest rates low and expected to remain that way for some time, we looked increasingly to the higher yields offered by fixed rate notes during the period. How did the Fund perform during the period in light of the existing market conditions? For the six-month period ended September 30, 2003, CMA Connecticut Municipal Money Fund paid shareholders a net annualized yield of .35%.* As of September 30, 2003, the Fund's seven-day yield was .37%. The Federal Reserve Board cut the Federal Funds rate once more during the six-month period, sending interest rates to their lowest levels in almost 50 years. Despite indications that the economy was strengthening gradually, the Federal Reserve Board emphasized its concern that deflation was a bigger threat to the economy than inflation, and reassured investors that it planned to keep short-term interest rates low until consistent growth in the economy and employment was evident. The expectation for a stable short-term interest rate environment created a strong demand for fixed rate notes with maturities of six months - one year. This caused yields on these notes to fall later in the period and somewhat flattened the yield curve when compared to variable rate demand securities. However, our aggressive pursuit of fixed rate notes earlier in the period enabled us to lock in a favorable spread above variable rate securities. This strategy enhanced the performance of the Fund during the six-month period. Describe conditions in the State of Connecticut during the period. Connecticut's economy remained sluggish in recent months. Weaker-than-forecasted personal income and corporate tax collections continued to place pressure on the state's already tight finances. Despite the economic weakness, the state unemployment rate of 5% as of August 2003 remained well below the national level of 6.1%. One bright spot in terms of growth has been in the biopharmaceutical industry, which continued to attract significant amounts of venture capital. How did you manage the Fund during the period? Our belief that interest rates would stay relatively consistent, as well as our desire to better align the Fund's composition with those funds in our iMoneyNet, Inc. category, led us to increase our weighting in fixed rate notes. As the period progressed, we increased the Fund's weighting in fixed notes from 12% of portfolio assets halfway through the period to 16.5% as of September 30, 2003. Our ability to further increase the Fund's note holdings and extend its average portfolio maturity was limited by a sharp drop in yields that took place in the middle of the year. In early July, strong demand for Connecticut notes pushed fixed yields down to .79%. We opted not to reinvest in fixed notes at that time because we believed the securities provided minimal relative value. As the period progressed, however, the demand for these securities lessened, and we took the opportunity to increase the Fund's position in fixed rate notes at more attractive yields. These notes provided yields ranging from .93% to 1.14% and offered valuable diversification and solid credit quality. Additionally, a substantial infusion of assets came into the Fund at a time when new supply of fixed Connecticut paper was limited. To remain fully invested, we purchased more variable rate demand notes than we would have preferred, which contributed to a shorter-than-desired average portfolio maturity for the Fund. How would you characterize the portfolio's position at the close of the period? At the end of the period, the Fund's average life was 35 days, up from 25 days as of March 31, 2003. Although Connecticut supply is often sparse, we do plan to take advantage of $800 million in expected issuance from Puerto Rico. (Debt issued by U.S. territories generally carries the same tax advantages as in-state paper.) We believe these securities, which mature in July 2004, can provide an opportunity to extend the Fund's average maturity, enhance portfolio diversification and improve credit quality. * Based on a constant investment through the period, with dividends compounded daily, and reflecting a net return to the investor after all expenses. 4 CMA CONNECTICUT MUNICIPAL MONEY FUND SEPTEMBER 30, 2003 In the months ahead, we will continue to monitor developments in the national and Connecticut economies as well as the credit quality of the Fund's holdings. We intend to maintain our basic investment strategy while shifting the Fund's allocation between fixed and variable rate notes in what we believe are the best interests of our shareholders. We also will keep a watchful eye on the Federal Reserve Board's monetary policy. Although we have a stable outlook for short-term interest rates, we will be ready to respond with changes to our investment approach as needed. Steven T. Lewis Vice President and Portfolio Manager October 9, 2003 CMA CONNECTICUT MUNICIPAL MONEY FUND SEPTEMBER 30, 2003 5 [LOGO] Merrill Lynch Investment Managers Schedule of Investments (in Thousands) Face State Amount Municipal Bonds Value =================================================================================================================================== Connecticut--86.2% $ 3,420 Berlin, Connecticut, GO, BAN, 1.50% due 6/18/2004 ................................. $ 3,434 2,865 Bridgeport, Connecticut, GO, Refunding, ROCS, Series II-R-182, 1.08% due 8/15/2016 (b)(d) .................................................................. 2,865 3,100 Connecticut State Development Authority, Airport Facility Revenue Bonds (LearJet Inc. Project), VRDN, AMT, 1.15% due 4/01/2026 (d) ................................. 3,100 17,000 Connecticut State Development Authority, Health Care Revenue Refunding Bonds (Independent Living Project), VRDN, 1.05% due 7/01/2015 (d) ....................... 17,000 Connecticut State Development Authority, IDR, VRDN (d): 4,000 (Cheshire CPL LLC), AMT, 1.10% due 12/01/2022 ............................... 4,000 2,300 (Reflexite Corporation Project), Series A, 1.10% due 8/01/2013 .............. 2,300 2,380 (Reflexite Corporation Project), Series B, 1.10% due 8/01/2013 .............. 2,380 5,620 (Wyre Wynd Corporation Project), AMT, 1.10% due 12/01/2008 .................. 5,620 19,200 Connecticut State Development Authority, PCR (Connecticut Light and Power Company Project), VRDN, AMT, Series A, 1.20% due 5/01/2031 (a)(d) ......................... 19,200 10,300 Connecticut State Development Authority Revenue Bonds (Solid Waste Project--Rand-Whitney Container Board), VRDN, AMT, 1.12% due 8/01/2023 (d) ........ 10,300 Connecticut State, GO: 6,795 PUTTERS, Series 320, 1.11% due 11/15/2020 (d) ............................... 6,795 20,000 Recovery Note, Series A, 2% due 12/01/2003 .................................. 20,031 3,625 Connecticut State, GO, Refunding, FLOATS, Series 515, 1.20% due 12/15/2013 (d) .... 3,625 Connecticut State, HFA, Revenue Bonds (Housing Mortgage Finance Program), VRDN (d): 21,700 AMT, Series D-3, 1.10% due 5/15/2033 (a) .................................... 21,700 11,823 Series D, 1.17% due 11/15/2024 .............................................. 11,823 10,000 Connecticut State, HFA, Revenue Refunding Bonds, VRDN, AMT, Sub-Series B-4, 1.09% due 5/15/2032 (a)(d) .............................................................. 10,000 Connecticut State Health and Educational Facilities Authority Revenue Bonds, VRDN (d): 5,300 (Greater Hartford YMCA), Series A, 1.10% due 7/01/2032 (a) .................. 5,300 7,400 (Greenwich Boys and Girls Club), Series A, 1.05% due 7/01/2033 .............. 7,400 12,675 (Hartford Hospital), Series B, 1.10% due 7/01/2031 .......................... 12,675 6,000 (Health Care Capital Asset), Series A-1, 1.10% due 7/01/2031 ................ 6,000 2,300 (Kent School Corporation), Series C, 1.05% due 7/01/2030 (c) ................ 2,300 8,005 (King & Low--Heywood Thomas School), Series A, 1.05% due 7/01/2033 .......... 8,005 4,750 (Klingberg Family Center), Series A, 1.10% due 7/01/2032 .................... 4,750 5,540 (Middlesex Hospital), Series J, 1% due 7/01/2026 ............................ 5,540 27,300 (Quinnipiac University), Series F, 1.10% due 7/01/2031 (g) .................. 27,300 6,960 (Rectory School), Series A, 1.05% due 7/01/2030 ............................. 6,960 2,860 (The Whitby School), Series A, 1.05% due 7/01/2021 .......................... 2,860 30,900 (Yale University), Series T-1, 1.10% due 7/01/2029 .......................... 30,900 1,000 (Yale University), Series X-3, 1.10% due 7/01/2037 .......................... 1,000 Portfolio Abbreviations for CMA Connecticut Municipal Money Fund AMT Alternative Minimum Tax (subject to) BAN Bond Anticipation Notes CP Commercial Paper FLOATS Floating Rate Securities GO General Obligation Bonds HFA Housing Finance Agency IDA Industrial Development Authority IDR Industrial Development Revenue Bonds M/F Multi-Family MSTR Municipal Securities Trust Receipts PCR Pollution Control Revenue Bonds PUTTERS Puttable Tax-Exempt Receipts ROCS Reset Option Certificates VRDN Variable Rate Demand Notes 6 CMA CONNECTICUT MUNICIPAL MONEY FUND SEPTEMBER 30, 2003 Schedule of Investments (continued) (in Thousands) Face State Amount Municipal Bonds Value =================================================================================================================================== Connecticut Connecticut State Health and Educational Facilities Authority, Revenue Refunding (concluded) Bonds, VRDN (d): $15,000 (Ascension Health Credit), Series B, 1.03% due 11/15/2029 ................... $ 15,000 1,760 (Charlotte Hungerford), Series C, 1.10% due 7/01/2013 ....................... 1,760 5,000 (Kingswood-Oxford School), Series B, 1.05% due 7/01/2030 .................... 5,000 32,140 Connecticut State Health and Educational Facilities Authority (Yale University), CP, 0.82% due 10/14/2003 .......................................................... 32,140 15,000 Connecticut State, IDA, New England Power, CP, 0.85% due 12/01/2003 ............... 15,000 Connecticut State Special Tax Obligation Revenue Bonds, Transportation Infrastructure: 500 Series A, 3% due 7/01/2004 .................................................. 507 33,800 VRDN, Second Lien, Series 1, 1.05% due 12/01/2010 (c)(d) .................... 33,800 21,000 VRDN, Series 1, 1.07% due 9/01/2020 (b)(d) .................................. 21,000 700 Eastern Connecticut State Regional Educational Service Center, GO, BAN, 2.25% due 12/15/2003 .................................................................... 701 5,100 Glastonbury, Connecticut, GO, BAN, 1.50% due 6/15/2004 ............................ 5,118 13,000 Hartford, Connecticut, GO, BAN, 1.50% due 7/15/2004 ............................... 13,058 20,145 Hartford, Connecticut, Redevelopment Agency, M/F Mortgage Revenue Refunding Bonds (Underwood Tower Project), VRDN, 1.10% due 6/01/2020 (c)(d) ....................... 20,145 10,000 Meriden, Connecticut, GO, Refunding, BAN, 2% due 8/06/2004 ........................ 10,072 6,785 Municipal Securities Trust Certificates Revenue Bonds, VRDN, AMT, Series 2001-128, Class A, 1.13% due 3/30/2015 (b)(d) ............................................... 6,785 4,670 New Britain, Connecticut, GO, VRDN, 1.05% due 4/01/2013 (a)(d) .................... 4,670 3,865 New Canaan, Connecticut, Housing Authority Revenue Bonds (Village at Waveny Care Center), VRDN, 1.07% due 1/01/2022 (d) ............................................ 3,865 12,500 New Haven, Connecticut, BAN, 1.75% due 1/30/2004 .................................. 12,530 5,000 North Canaan, Connecticut, Housing Authority Revenue Bonds (Geer Woods Project), VRDN, 1% due 8/01/2031 (d) ........................................................ 5,000 7,100 Seymour, Connecticut, GO, BAN, 2% due 1/29/2004 ................................... 7,120 15,000 Stamford, Connecticut, GO, BAN, 1.75% due 11/03/2003 .............................. 15,010 10,300 State of Connecticut Special Asset, 1.08% due 11/15/2020 (a) ...................... 10,300 5,690 Trumball, Connecticut, GO, BAN, 1.75% due 9/14/2004 ............................... 5,727 2,100 Waterbury, Connecticut, GO, Refunding, 2.50% due 2/01/2004 (h) .................... 2,108 3,000 Wolcott, Connecticut, GO, BAN, 1.25% due 2/20/2004 ................................ 3,004 CMA CONNECTICUT MUNICIPAL MONEY FUND SEPTEMBER 30, 2003 7 [LOGO] Merrill Lynch Investment Managers Schedule of Investments (concluded) (in Thousands) Face Amount Municipal Bonds Value =================================================================================================================================== Puerto Rico--13.9% Government Development Bank of Puerto Rico, CP: $ 4,250 0.80% due 10/10/2003 ........................................................ $ 4,250 7,389 0.85% due 11/06/2003 ........................................................ 7,389 11,000 1% due 12/03/2003 ........................................................... 11,000 5,103 0.95% due 1/21/2004 ......................................................... 5,103 4,545 Municipal Securities Trust Certificates, Revenue Bonds, VRDN, Series 2000-107, Class A, 1.05% due 5/19/2009 (c)(d) ............................................... 4,545 8,000 Puerto Rico Electric Power Authority, Power Revenue Bonds, MSTR, VRDN, Series SGA-43, 1.10% due 7/01/2022 (d)(e) ................................................ 8,000 Puerto Rico Public Buildings Authority, Revenue Refunding Bonds, FLOATS (d): 5,914 Series 747D, 1.08% due 7/01/2017 (f) ........................................ 5,914 7,329 Series 787, 1.05% due 7/08/2004 (f) ......................................... 7,328 8,095 Series 806, 1.08% due 7/01/2015 (b) ......................................... 8,095 21,470 Puerto Rico Public Finance Corporation, FLOATS, Series 705D, 1.08% due 8/01/2027 (a)(d) .................................................................. 21,470 =================================================================================================================================== Total Investments (Cost--$597,677*)--100.1% ....................................... 597,677 Liabilities in Excess of Other Assets--(0.1%) ..................................... (884) -------- Net Assets--100.0% ................................................................ $596,793 ======== (a) AMBAC Insured. (b) FGIC Insured. (c) FSA Insured. (d) The interest rate is subject to change periodically based upon prevailing market rates. The interest rate shown is the rate in effect at September 30, 2003. (e) MBIA Insured. (f) CIFG Insured. (g) Radian Insured. (h) XL Capital Insured. * Cost for Federal income tax purposes. See Notes to Financial Statements. 8 CMA CONNECTICUT MUNICIPAL MONEY FUND SEPTEMBER 30, 2003 Statement of Assets and Liabilities As of September 30, 2003 ================================================================================================================================ Assets - -------------------------------------------------------------------------------------------------------------------------------- Investments, at value (identified cost -- $597,677,261) .............. $ 597,677,261 Receivables: Securities sold ................................................... $ 4,005,000 Interest .......................................................... 1,110,313 5,115,313 --------------- Prepaid registration fees and other assets ........................... 27,955 --------------- Total assets ......................................................... 602,820,529 --------------- ================================================================================================================================ Liabilities - -------------------------------------------------------------------------------------------------------------------------------- Payables: Securities purchased .............................................. 5,628,690 Custodian bank .................................................... 197,790 Distributor ....................................................... 143,420 Investment adviser ................................................ 32,200 Other affiliates .................................................. 23,828 Beneficial interest redeemed ...................................... 1,620 --------------- Total liabilities .................................................... 6,027,548 --------------- Net Assets ........................................................... $ 596,792,981 =============== ================================================================================================================================ Net Assets Consist of - -------------------------------------------------------------------------------------------------------------------------------- Shares of beneficial interest, $.10 par value, unlimited number of shares authorized .................................................. $ 59,690,804 Paid-in capital in excess of par ..................................... 537,142,903 Accumulated realized capital losses -- net ........................... (40,726) --------------- Net Assets -- Equivalent to $1.00 per share based on 596,908,041 shares of beneficial interest outstanding .......................... $ 596,792,981 =============== See Notes to Financial Statements. CMA CONNECTICUT MUNICIPAL MONEY FUND SEPTEMBER 30, 2003 9 [LOGO] Merrill Lynch Investment Managers Statement of Operations For the Six Months Ended September 30, 2003 ================================================================================================================================ Investment Income - -------------------------------------------------------------------------------------------------------------------------------- Interest and amortization of premium and discount earned ............. $ 3,023,903 ================================================================================================================================ Expenses - -------------------------------------------------------------------------------------------------------------------------------- Investment advisory fees ............................................. $ 1,459,121 Distribution fees .................................................... 372,913 Accounting services .................................................. 62,619 Professional fees .................................................... 32,264 Transfer agent fees .................................................. 22,473 Registration fees .................................................... 11,368 Custodian fees ....................................................... 10,239 Printing and shareholder reports ..................................... 9,889 Pricing fees ......................................................... 3,380 Trustees' fees and expenses .......................................... 2,546 Other ................................................................ 7,211 --------------- Total expenses before waiver ......................................... 1,994,023 Waiver of expenses ................................................... (11,259) --------------- Total expenses after waiver .......................................... 1,982,764 --------------- Investment income -- net ............................................. 1,041,139 Realized Gain on Investments -- Net .................................. 13,682 --------------- Net Increase in Net Assets Resulting from Operations ................. $ 1,054,821 =============== See Notes to Financial Statements. 10 CMA CONNECTICUT MUNICIPAL MONEY FUND SEPTEMBER 30, 2003 Statements of Changes in Net Assets For the Six For the Months Ended Year Ended September 30, March 31, Increase (Decrease) in Net Assets: 2003 2003 ================================================================================================================================ Operations - -------------------------------------------------------------------------------------------------------------------------------- Investment income -- net ............................................. $ 1,041,139 $ 3,849,638 Realized gain on investments -- net .................................. 13,682 5,109 ----------------------------------- Net increase in net assets resulting from operations ................. 1,054,821 3,854,747 ----------------------------------- ================================================================================================================================ Dividends to Shareholders - -------------------------------------------------------------------------------------------------------------------------------- Dividends to shareholders from investment income -- net .............. (1,041,139) (3,849,638) ----------------------------------- ================================================================================================================================ Beneficial Interest Transactions - -------------------------------------------------------------------------------------------------------------------------------- Net proceeds from sale of shares ..................................... 965,833,988 1,647,220,106 Value of shares issued to shareholders in reinvestment of dividends .. 1,041,085 3,849,163 ----------------------------------- 966,875,073 1,651,069,269 Cost of shares redeemed .............................................. (905,404,145) (1,747,541,598) ----------------------------------- Net increase (decrease) in net assets derived from beneficial interest transactions ......................................................... 61,470,928 (96,472,329) ----------------------------------- ================================================================================================================================ Net Assets - -------------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets .............................. 61,484,610 (96,467,220) Beginning of period .................................................. 535,308,371 631,775,591 ----------------------------------- End of period ........................................................ $ 596,792,981 $ 535,308,371 =================================== See Notes to Financial Statements. CMA CONNECTICUT MUNICIPAL MONEY FUND SEPTEMBER 30, 2003 11 [LOGO] Merrill Lynch Investment Managers Financial Highlights The following per share data and ratios have been derived For the Six from information provided in the financial statements. Months Ended For the Year Ended March 31, September 30, ------------------------------------------------------ Increase (Decrease) in Net Asset Value: 2003 2003 2002 2001 2000 =================================================================================================================================== Per Share Operating Performance - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period ....... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 --------------------------------------------------------------------- Investment income -- net ................... --+ .01 .02 .03 .03 Realized gain (loss) on investments -- net . --+ --+ --+ --+ --+ --------------------------------------------------------------------- Total from investment operations ........... --+ .01 .02 .03 .03 --------------------------------------------------------------------- Less dividends from investment income -- net --++ (.01) (.02) (.03) (.03) --------------------------------------------------------------------- Net asset value, end of period ............. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ===================================================================== Total Investment Return .................... .35%* .70% 1.49% 3.21% 2.66% ===================================================================== =================================================================================================================================== Ratios to Average Net Assets - ----------------------------------------------------------------------------------------------------------------------------------- Expenses, net of waiver .................... .66%* .67% .67% .67% .67% ===================================================================== Expenses ................................... .67%* .67% .67% .67% .67% ===================================================================== Investment income -- net ................... .35%* .70% 1.50% 3.16% 2.63% ===================================================================== =================================================================================================================================== Supplemental Data - ----------------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) ... $ 596,793 $ 535,308 $ 631,776 $ 644,360 $ 623,491 ===================================================================== * Annualized. + Amount is less than $.01 per share. ++ Amount is less than $(.01) per share. See Notes to Financial Statements. 12 CMA CONNECTICUT MUNICIPAL MONEY FUND SEPTEMBER 30, 2003 Notes to Financial Statements 1. Significant Accounting Policies: CMA Connecticut 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 amended, 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. These unaudited financial statements reflect all adjustments, which are, in the opinion of management, necessary to a fair statement of the results for the interim period presented. All such adjustments are of a normal, recurring nature. The following is a summary of significant accounting policies followed by the 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. (g) Custodian bank -- The Fund recorded an amount payable to the custodian bank reflecting an overnight overdraft, which resulted from management estimates of available cash. 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 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. For the six months ended September 30, 2003, FAM earned fees of $1,459,121, of which $11,259 was waived. CMA CONNECTICUT MUNICIPAL MONEY FUND SEPTEMBER 30, 2003 13 [LOGO] Merrill Lynch Investment Managers Notes to Financial Statements (concluded) 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 six months ended September 30, 2003, the Fund reimbursed FAM $6,615 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. Capital Loss Carryforward: On March 31, 2003, the Fund had a net capital loss carryforward of $54,408, of which $33,851 expires in 2006 and $20,557 expires in 2008. This amount will be available to offset like amounts of any future taxable gains. 14 CMA CONNECTICUT MUNICIPAL MONEY FUND SEPTEMBER 30, 2003 Electronic Delivery The Fund is now offering electronic delivery of communications to its shareholders. In order to receive this service, you must register your account and provide us with e-mail information. To sign up for this service, simply access this website http://www.icsdelivery.com/live and follow the instructions. When you visit this site, you will obtain a personal identification number (PIN). You will need this PIN should you wish to update your e-mail address, choose to discontinue this service and/or make any other changes to the service. This service is not available for certain retirement accounts at this time. CMA CONNECTICUT MUNICIPAL MONEY FUND SEPTEMBER 30, 2003 15 [LOGO] Merrill Lynch Investment Managers www.mlim.ml.com This report is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Fund unless accompanied or preceded by the Fund's current prospectus. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund. Past performance results shown in this report should not be considered a representation of future performance, which will fluctuate. Statements and other information herein are as dated and are subject to change. CMA Connecticut Municipal Money Fund of CMA Multi-State Municipal Series Trust Box 9011 Princeton, NJ 08543-9011 #16055 -- 9/03 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 (annual requirement only) Item 3 - Did the registrant's board of directors determine that the registrant either: (i) has at least one audit committee financial expert serving on its audit committee; or (ii) does not have an audit committee financial expert serving on its audit committee? If yes, disclose name of financial expert and whether he/she is "independent," (fund may, but is not required, to disclose name/independence of more than one financial expert) If no, explain why not. - N/A (annual requirement only) Item 4 - Disclose annually only (not answered until December 15, 2003) (a) Audit Fees - Disclose aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. N/A. (b) Audit-Related Fees - Disclose aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category. N/A. (c) Tax Fees - Disclose aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category. N/A. (d) All Other Fees - Disclose aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category. N/A. (e)(1) Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. N/A. (e)(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. N/A. (f) If greater than 50%, disclose the percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees. N/A. (g) Disclose the aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant. N/A. (h) Disclose whether the registrant's audit committee has considered whether the provision of non-audit services that were rendered to the registrant's investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. N/A. Item 5 - If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act, state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant's audit committee in Section 3(a)(58)(B) of the Exchange Act, so state. If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act regarding an exemption from the listing standards for audit committees. N/A (Listed issuers must be in compliance with the new listing rules by the earlier of their first annual shareholders meeting after January 2004, or October 31, 2004 (annual requirement)) Item 6 - Reserved Item 7 - For closed-end funds that contain voting securities in their portfolio, describe the policies and procedures that it uses to determine how to vote proxies relating to those portfolio securities. N/A Item 8 -- Reserved Item 9(a) - The registrant's certifying officers have reasonably designed such disclosure controls and procedures to ensure material information relating to the registrant is made known to us by others particularly during the period in which this report is being prepared. The registrant's certifying officers have determined that the registrant's disclosure controls and procedures are effective based on our evaluation of these controls and procedures as of a date within 90 days prior to the filing date of this report. Item 9(b) -- There were no significant changes in the registrant's internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. Item 10 - Exhibits 10(a) - Attach code of ethics or amendments/waivers, unless code of ethics or amendments/waivers is on website or offered to shareholders upon request without charge. N/A. 10(b) - Attach certifications pursuant to Section 302 of the Sarbanes-Oxley Act. Attached hereto. Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. CMA Connecticut Municipal Money Fund of CMA Multi-State Municipal Series Trust By: /s/ Terry K. Glenn ------------------------------- Terry K. Glenn, President of CMA Connecticut Municipal Money Fund of CMA Multi-State Municipal Series Trust Date: November 21, 2003 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ Terry K. Glenn ------------------------------- Terry K. Glenn, President of CMA Connecticut Municipal Money Fund of CMA Multi-State Municipal Series Trust Date: November 21, 2003 By: /s/ Donald C. Burke ------------------------------- Donald C. Burke, Chief Financial Officer of CMA Connecticut Municipal Money Fund of CMA Multi-State Municipal Series Trust Date: November 21, 2003 Attached hereto as a furnished exhibit are the certifications pursuant to Section 906 of the Sarbanes-Oxley Act.