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 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
Massachusetts 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 Massachusetts
Municipal Money Fund
Semi-Annual Report
September 30, 2003
[LOGO] Merrill Lynch Investment Managers
CMA Massachusetts 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
Kevin A. Schiatta, 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 MASSACHUSETTS 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 MASSACHUSETTS 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 Massachusetts Municipal
Money Fund paid shareholders a net annualized yield of .41%.* As of September
30, 2003, the Fund's seven-day yield was .39%.
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 Commonwealth of Massachusetts during the period.
Economic growth in Massachusetts was anemic during the period with no real
stabilization in the job market. Businesses remained hesitant to hire and invest
given the uncertain macroeconomic environment. Key high-paying industries
continued to cut workers, which has weighed on income growth while negatively
impacting consumer spending in the Commonwealth.
How did you manage the Fund during the period?
With the expectation that short-term interest rates would remain stable for the
foreseeable future, we were able to take advantage of the additional yield that
fixed rate notes offered over variable rate securities. We sought to preserve
the Fund's weighting in fixed rate notes at approximately 24% of total assets.
As maturing notes rolled off the portfolio, we sought to buy new securities
whenever possible, ultimately extending the Fund's average life from 35 days at
the beginning of the period to the 55-day range by the end of the period.
As interest rates continued their decline throughout the period, we generally
reinvested at lower rates, which put downward pressure on the Fund's yield.
Nevertheless, this investment approach allowed us to maintain an overweighting
in fixed rate securities relative to the 21% average of funds in our iMoneyNet,
Inc. category, while at the same time increasing the portfolio's average life
from the 40-day range to the 50-day range. We believe this overweighting in
fixed rate securities can help stabilize the Fund's yield and reduce the
volatility that comes from holding large positions in variable rate demand
notes.
How would you characterize the portfolio's position at the close of the period?
We continue to take a neutral approach to the Massachusetts short-term municipal
market while taking advantage of opportunities to buy longer-dated fixed notes,
when available, to provide shareholders with added yield. We believe this
strategy can help extend the Fund's average life and bring it to the upper range
of our investment strategy.
* Based on a constant investment throughout the period, with dividends
compounded daily, and reflecting a net return to the investor after all
expenses.
4 CMA MASSACHUSETTS MUNICIPAL MONEY FUND SEPTEMBER 30, 2003
In the months ahead, we will continue to monitor developments in the national
and Massachusetts economies, maintaining 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 do not expect
any meaningful shift in interest rates until the middle of 2004 at the earliest,
we will be ready to respond with changes to our investment approach as needed.
Kevin A. Schiatta
Vice President and Portfolio Manager
October 9, 2003
CMA MASSACHUSETTS MUNICIPAL MONEY FUND SEPTEMBER 30, 2003 5
[LOGO] Merrill Lynch Investment Managers
Schedule of Investments (in Thousands)
Face
State Amount Municipal Bonds Value
===================================================================================================================================
Massachusetts--98.2% $ 6,000 Blackstone Valley, Massachusetts, Vocational Regional School District, GO, BAN,
1.75% due 7/15/2004 ............................................................... $ 6,035
925 Boston, Massachusetts, Industrial Financing Authority, IDR (Acme Bookbinding Co.),
AMT, VRDN, 1.10% due 9/01/2006 (a) ................................................ 925
5,000 Boston, Massachusetts, Water and Sewer Commission Revenue Bonds, FLOATS, VRDN,
Series SG-75, 1.06% due 11/01/2019 (a) ............................................ 5,000
5,500 Bridgewater, Massachusetts, GO, RAN, 2% due 5/25/2004 ............................. 5,532
Clipper Tax-Exempt Trust, VRDN, COP (a):
5,320 Series 1998-8, 1.13% due 7/20/2007 .......................................... 5,320
4,520 Series 2000-2, 1.15% due 1/01/2008 .......................................... 4,533
5,630 Eagle Tax-Exempt Trust, Massachusetts, Water Revenue Bonds, VRDN, Series 2103,
1.08% due 12/01/2015 (a) .......................................................... 5,630
2,268 Essex, Massachusetts, GO, BAN, 2.25% due 12/19/2003 ............................... 2,273
Haverhill, Massachusetts, GO, BAN:
1,703 3% due 12/05/2003 ........................................................... 1,708
8,000 3% due 4/16/2004 ............................................................ 8,073
5,000 Hull, Massachusetts, GO, BAN, 1.75% due 7/15/2004 ................................. 5,029
2,500 Lynn, Massachusetts, GO, Refunding, BAN, 2.25% due 1/23/2004 ...................... 2,507
3,000 Massachusetts Bay Transportation Authority, Revenue Refunding Bonds, FLOATS, VRDN,
Series 431, 1.08% due 3/01/2019 (a) ............................................... 3,000
2,750 Massachusetts State Development Finance Agency, Assisted Living Facility Revenue
Refunding Bonds (Whalers Cove Project), VRDN, AMT, Series A, 1.11% due 9/01/2034 (a) 2,750
Massachusetts State Development Finance Agency, IDR, VRDN, AMT (a):
3,500 (Cell Signaling Technology), 1.10% due 12/01/2010 ........................... 3,500
2,845 (Cleveland Motion Controls), 1.25% due 6/01/2021 ............................ 2,845
4,000 (Concord Foods Issue), 1.10% due 4/01/2021 .................................. 4,000
2,300 (Seafood Services Inc. Project), Series A, 1.10% due 12/01/2023 ............. 2,300
4,320 (V&S Taunton Galvanizing), 1.25% due 12/01/2023 ............................. 4,320
1,405 (Ward Hill Central Products Inc.), 1.25% due 8/01/2016 ...................... 1,405
Massachusetts State Development Finance Agency Revenue Bonds, VRDN (a):
9,045 (Bancroft School Issue), 1.08% due 9/01/2031 ................................ 9,045
5,000 (Boston College HS Issue), 1.08% due 8/01/2033 .............................. 5,000
8,000 (Draper Laboratory Issue), 1.10% due 6/01/2030 (b) .......................... 8,000
2,100 (Fiba Technologies), AMT, 1.10% due 5/01/2023 ............................... 2,100
4,810 (New Bedford Waste Services), AMT, 1.20% due 6/01/2021 ...................... 4,810
2,000 (New Jewish High School Project), 1.08% due 6/01/2032 ....................... 2,000
3,300 (Saint Peter--Marian Issue), 1.10% due 10/01/2032 ........................... 3,300
3,100 (Ursuline Academy Dedham), 1.05% due 5/01/2032 .............................. 3,100
1,000 (Walnut Hill School District), 1.05% due 7/01/2032 .......................... 1,000
7,500 (Worcester Academy Issue), 1.08% due 10/01/2030 ............................. 7,500
5,475 (Worcester YMCA Issue), 1.10% due 1/01/2031 ................................. 5,475
3,500 (Xinetics Issue), AMT, 1.10% due 6/01/2021 .................................. 3,500
Massachusetts State Development Finance Agency, Revenue Refunding Bonds, VRDN (a):
2,300 (Brandon Residential Treatment Center), 1.08% due 4/01/2028 ................. 2,300
7,055 (Clark University), 1.05% due 10/01/2030 (c) ................................ 7,055
3,935 (Gordon College), 1.08% due 9/01/2032 ....................................... 3,935
4,000 (Marine Biological Lab), 1.08% due 2/01/2030 ................................ 4,000
10,000 (Phillips Academy), 1.05% 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, 1.10% due 7/01/2031 (a) .............. 3,500
Portfolio Abbreviations for CMA Massachusetts Municipal Money Fund
AMT Alternative Minimum Tax (subject to)
BAN Bond Anticipation Notes
COP Certificates of Participation
CP Commercial Paper
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
SAAN Student Aid Anticipation Notes
VRDN Variable Rate Demand Notes
6 CMA MASSACHUSETTS MUNICIPAL MONEY FUND SEPTEMBER 30, 2003
Schedule of Investments (continued) (in Thousands)
Face
State Amount Municipal Bonds Value
===================================================================================================================================
Massachusetts $12,000 Massachusetts State Development Finance Agency, Solid Waste Disposal Revenue
(continued) Refunding Bonds (Newark Group Project), VRDN, AMT, Series A, 1.10%
due 7/01/2028 (a) ................................................................. $ 12,000
3,255 Massachusetts State FLOATS, VRDN, Series SG-126, 1.06% due 8/01/2018 (a) .......... 3,255
Massachusetts State, GO, Refunding, VRDN (a):
1,456 FLOATS, Series 716D, 1.08% due 8/01/2018 (b) ................................ 1,456
6,885 PUTTERS, Series 338, 1.05% due 11/01/2017 (b) ............................... 6,885
6,540 PUTTERS, Series 340, 1.05% due 1/01/2017 (b) ................................ 6,540
4,995 ROCS, Series II-R-180, 1.08% due 11/01/2015 (d) ............................. 4,995
Massachusetts State, GO, VRDN (a):
4,700 (Central Artery), Series A, 1.15% due 12/01/2030 ............................ 4,700
900 (Central Artery), Series B, 1.15% due 12/01/2030 ............................ 900
2,790 Series O, 1.10% due 11/01/2014 .............................................. 2,790
Massachusetts State Health and Educational Facilities Authority Revenue Bonds,
VRDN (a):
4,705 (Becker College), Series A-1, 1.10% due 7/01/2028 ........................... 4,705
1,100 (Capital Asset Program), Series E, 1.10% due 1/01/2035 ...................... 1,100
9,325 (Sherrill House Inc.), Series A-1, 1.05% due 1/01/2032 ...................... 9,325
7,860 Massachusetts State Health and Educational Facilities Authority, Revenue Refunding
Bonds (The Boston Home Inc.), VRDN, Series B, 1.08% due 6/01/2032 (a) ............. 7,860
1,955 Massachusetts State Industrial Finance Agency, IDR (Hi-Tech Mold & Tool), VRDN,
1.10% due 6/01/2018 (a) ........................................................... 1,955
Massachusetts State Industrial Finance Agency, Industrial Revenue Bonds, VRDN,
AMT (a):
2,310 (AFC Cable Systems Inc. Issue), 1.10% due 7/01/2016 ......................... 2,310
1,800 (BBB Esquire LLC), 1.10% due 12/01/2016 ..................................... 1,800
3,400 (Bodwell Project), 1.10% due 7/01/2017 ...................................... 3,400
4,100 (Constitution Project), 1.10% due 6/01/2018 ................................. 4,100
1,735 (Garlock Printing Corp.), 1.10% due 12/01/2017 .............................. 1,735
2,730 (Gem Group Inc. Issue), 1.10% due 7/01/2016 ................................. 2,730
2,300 (Hazen Paper Company), 1.10% due 3/01/2008 .................................. 2,300
1,825 (Insco Corporation Issue), 1.10% due 9/01/2008 .............................. 1,825
1,770 (Lavigne), 1.10% due 8/01/2008 .............................................. 1,770
2,100 (Mercer Paper Tube Corp.), 1.22% due 11/01/2011 ............................. 2,100
2,100 (OCT Co. Inc. Project), 1.10% due 12/01/2017 ................................ 2,100
2,300 (Tamasi Family Issue), 1.20% due 5/01/2013 .................................. 2,300
543 (Techprint/Techgraphics), 1.20% due 6/01/2017 ............................... 543
2,300 (Telcom USA Inc. Issue), 1.10% due 8/01/2016 ................................ 2,300
1,730 (Valkyrie Co. Inc.), 1.10% due 5/01/2013 .................................... 1,730
800 (WBC Extrusion Products Issue), 1.10% due 4/01/2006 ......................... 800
2,240 Massachusetts State Industrial Finance Agency, Industrial Revenue Refunding Bonds
(New England Biolabs), VRDN, AMT, 1.10% due 3/01/2016 (a) ......................... 2,240
1,555 Massachusetts State Industrial Finance Agency Revenue Bonds (Heritage at Dartmouth),
VRDN, AMT, 1.10% due 12/01/2028 (a) ............................................... 1,555
Massachusetts State Industrial Finance Agency, Revenue Refunding Bonds, VRDN (a):
485 (Easy Day Realty Trust Project), Series A, 1.05% due 7/01/2006 .............. 485
5,000 (Lightolier Inc. Project), 1.05% due 7/29/2010 .............................. 5,000
2,680 (Mount Ida College Issue), 1.08% 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 1.10% due 1/01/2011 ......................................................... 1,680
2,055 1.10% due 6/01/2013 ......................................................... 2,055
CMA MASSACHUSETTS MUNICIPAL MONEY FUND SEPTEMBER 30, 2003 7
[LOGO] Merrill Lynch Investment Managers
Schedule of Investments (concluded) (in Thousands)
Face
State Amount Municipal Bonds Value
===================================================================================================================================
Massachusetts $ 2,000 Massachusetts State Port Authority Revenue Bonds, CP, Series B, 0.90%
(concluded) due 11/12/2003 .................................................................... $ 2,000
Massachusetts State Turnpike Authority, Metropolitan Highway System Revenue Bonds,
FLOATS, VRDN (a):
9,000 Series SG-124, 1.06% due 1/01/2029 .......................................... 9,000
9,600 Refunding, VRDN, Series 334, 1.08% due 1/01/2037 (b) ........................ 9,600
4,446 Massachusetts State Water Resources Authority Revenue Refunding Bonds, FLOATS, VRDN,
Series 742D, 1.13% due 8/01/2019 (a)(e) ........................................... 4,446
340 Municipal Security Trust Certificates Revenue Bonds, AMT, Series 2001-155, VRDN,
Class A, 1.18% due 4/28/2016 (a)(c) ............................................... 340
7,000 Nashoba, Massachusetts, Regional School District, GO, BAN, 3% due 12/04/2003 ...... 7,014
New Bedford, Massachusetts, GO, BAN:
4,250 1.75% due 6/25/2004 ......................................................... 4,276
2,500 1.75% due 6/25/2004 ......................................................... 2,513
7,500 Norwell, Massachusetts, GO, BAN, 2.25% due 2/20/2004 .............................. 7,531
2,000 Pembroke, Massachusetts, GO, BAN, 2% due 8/05/2004 ................................ 2,016
5,000 Quincy, Massachusetts, GO, RAN, 1.50% due 5/14/2004 ............................... 5,013
Springfield, Massachusetts, GO, BAN:
10,000 3% due 6/18/2004 ............................................................ 10,131
9,000 2.50% due 7/08/2004 ......................................................... 9,089
8,725 University of Massachusetts, Building Authority, Project Revenue Refunding Bonds,
ROCS, VRDN, Series II R-4522, 0.99% due 11/01/2020 (a)(c) ......................... 8,725
7,000 Wachusett, Massachusetts, Regional School District, GO, RAN, 1.50% due 6/30/2004 .. 7,024
1,700 Westfield, Massachusetts, GO, SAAN, 1.75% due 3/17/2004 ........................... 1,706
8,000 Worcester, Massachusetts, GO, BAN, 2% due 8/31/2004 ............................... 8,063
===================================================================================================================================
Puerto Rico--1.5% 5,912 Puerto Rico Public Buildings Authority, Revenue Refunding Bonds, FLOATS,
Series 747D, 1.08% due 7/01/2017 (a)(f) ........................................... 5,912
===================================================================================================================================
Total Investments (Cost--$384,708*)--99.7% ........................................ 384,708
Other Assets Less Liabilities--0.3% ............................................... 1,293
--------
Net Assets--100.0% ................................................................ $386,001
========
(a) 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.
(b) MBIA Insured.
(c) AMBAC Insured.
(d) FGIC Insured.
(e) FSA Insured.
(f) CIFG Insured
* Cost for Federal income tax purposes.
See Notes to Financial Statements.
8 CMA MASSACHUSETTS MUNICIPAL MONEY FUND SEPTEMBER 30, 2003
Statement of Assets and Liabilities
As of September 30, 2003
==========================================================================================================
Assets
- ----------------------------------------------------------------------------------------------------------
Investments, at value (identified cost -- $384,707,730) $384,707,730
Cash .................................................. 165,842
Receivables:
Interest ........................................... $1,094,315
Beneficial interest sold ........................... 165,795 1,260,110
----------
Prepaid registration fees and other assets ............ 19,339
------------
Total assets .......................................... 386,153,021
------------
==========================================================================================================
Liabilities
- ----------------------------------------------------------------------------------------------------------
Payables:
Distributor ........................................ 106,530
Other affiliates ................................... 23,980
Investment adviser ................................. 21,371
----------
Total liabilities ..................................... 151,881
------------
Net Assets ............................................ $386,001,140
============
==========================================================================================================
Net Assets Consist of
- ----------------------------------------------------------------------------------------------------------
Shares of beneficial interest, $.10 par value,
unlimited number of shares authorized ................ $ 38,598,159
Paid-in capital in excess of par ...................... 347,383,328
Undistributed realized capital gains -- net ........... 19,653
------------
Net Assets -- Equivalent to $1.00 per share
based on 385,981,585 shares of beneficial
interest outstanding ................................ $386,001,140
============
See Notes to Financial Statements.
CMA MASSACHUSETTS 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 $2,247,585
=========================================================================================================
Expenses
- ---------------------------------------------------------------------------------------------------------
Investment advisory fees ............................... $1,006,734
Distribution fees ...................................... 249,966
Accounting services .................................... 44,375
Professional fees ...................................... 38,009
Transfer agent fees .................................... 25,390
Registration fees ...................................... 14,144
Printing and shareholder reports ....................... 10,006
Custodian fees ......................................... 7,421
Pricing fees ........................................... 6,014
Trustees' fees and expenses ............................ 1,808
Other .................................................. 6,411
----------
Total expenses ......................................... 1,410,278
----------
Investment income -- net ............................... 837,307
----------
Net Increase in Net Assets Resulting from Operations ... $ 837,307
==========
See Notes to Financial Statements.
10 CMA MASSACHUSETTS 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 ............................................... $ 837,307 $ 3,346,993
Realized gain on investments -- net .................................... -- 20,803
-----------------------------------
Net increase in net assets resulting from operations ................... 837,307 3,367,796
-----------------------------------
===================================================================================================================================
Dividends to Shareholders
- -----------------------------------------------------------------------------------------------------------------------------------
Investment income -- net ............................................... (837,307) (3,347,797)
-----------------------------------
===================================================================================================================================
Beneficial Interest Transactions
- -----------------------------------------------------------------------------------------------------------------------------------
Net proceeds from sale of shares ....................................... 782,543,720 1,390,362,656
Value of shares issued to shareholders in reinvestment of dividends .... 837,602 3,347,691
-----------------------------------
783,381,322 1,393,710,347
Cost of shares redeemed ................................................ (818,998,449) (1,423,400,124)
-----------------------------------
Net decrease in net assets derived from beneficial interest transactions (35,617,127) (29,689,777)
-----------------------------------
===================================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
Total decrease in net assets ........................................... (35,617,127) (29,669,778)
Beginning of period .................................................... 421,618,267 451,288,045
-----------------------------------
End of period .......................................................... $ 386,001,140 $ 421,618,267
===================================
See Notes to Financial Statements.
CMA MASSACHUSETTS 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 and distributions:
Investment income -- net ............... --++ (.01) (.02) (.03) (.03)
Realized gain on investments -- net .... -- -- -- -- --++
--------------------------------------------------------------------
Total dividends and distributions ........ --++ (.01) (.02) (.03) (.03)
--------------------------------------------------------------------
Net asset value, end of period ........... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
====================================================================
Total Investment Return .................. .41%* .79% 1.70% 3.34% 2.80%
====================================================================
================================================================================================================================
Ratios to Average Net Assets
- --------------------------------------------------------------------------------------------------------------------------------
Expenses ................................. .70%* .69% .70% .70% .70%
====================================================================
Investment income -- net ................. .42%* .78% 1.74% 3.28% 2.76%
====================================================================
================================================================================================================================
Supplemental Data
- --------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) . $ 386,001 $ 421,618 $ 451,288 $ 525,563 $ 409,700
====================================================================
* Annualized.
+ Amount is less than $.01 per share.
++ Amount is less than $(.01) per share.
See Notes to Financial Statements.
12 CMA MASSACHUSETTS MUNICIPAL MONEY FUND SEPTEMBER 30, 2003
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 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.
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.
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 $4,302 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.
CMA MASSACHUSETTS MUNICIPAL MONEY FUND SEPTEMBER 30, 2003 13
[LOGO] Merrill Lynch Investment Managers
Notes to Financial Statements (concluded)
3. Shares of Beneficial Interest:
The number of shares sold, reinvested and redeemed during the period 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.
14 CMA MASSACHUSETTS 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 MASSACHUSETTS 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 Massachusetts Municipal Money Fund
of CMA Multi-State Municipal Series Trust
Box 9011
Princeton, NJ
08543-9011
#11283 -- 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 Massachusetts Municipal Money Fund of CMA Multi-State Municipal
Series Trust
By: /s/ Terry K. Glenn
-----------------------------
Terry K. Glenn,
President of
CMA Massachusetts 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 Massachusetts 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 Massachusetts 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.