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 Michigan 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 Michigan
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 Michigan
Municipal Money Fund
Semi-Annual Report
September 30, 2003
[LOGO] Merrill Lynch Investment Managers
CMA Michigan 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
John M. Loffredo, Senior Vice President
Kenneth A. Jacob, Senior Vice President
Darrin J. SanFillippo, 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 MICHIGAN 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 MICHIGAN 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 Michigan Municipal Money
Fund paid shareholders a net annualized yield of .45%.* As of September 30,
2003, the Fund's seven-day yield was .46%.
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 Michigan during the period.
Michigan was hit particularly hard in the recent market downturn, but signs have
emerged that the state's economy may have bottomed in recent months and is
primed for a rebound. Manufacturing appears to be stabilizing and employment in
every other major sector is improving. We saw an improvement in payroll
employment recently, although that has not presented itself in the state
unemployment rate. In August, Michigan's unemployment rate rose to 7.4%, by far
the highest level in the Midwest.
The state's finances remained weak during the period as reserves have been
depleted and revenues continued to decline. The weakness in revenues is largely
attributed to the economic downturn and previously passed cuts in personal
income tax. The governor and legislature agreed on a fiscal year 2004 budget in
July. A $1.7 billion gap was filled largely through broad-based spending cuts,
federal aid and smaller revenue enhancements. Looking ahead, we expect the state
economy to lag the national economy through year-end and rebound strongly in
2004 to match the pace of U.S. economic growth.
How did you manage the Fund during the period?
In the first half of the period, yields declined from already low levels as
investors worried about the potential for deflation and its impact on Federal
Reserve Board monetary policy. The falling yields happened to coincide with a
general lack of new issuance of Michigan short-term fixed rate securities. The
only major new supply at that time was a May issue of $1.2 billion from the
state of Michigan, of which we purchased $27.5 million. These securities had a
late-September maturity date, which did not enable us to extend the Fund's
average maturity as much as we would have liked.
The investing environment improved somewhat in the second half of the period,
when we saw an increase in short-term municipal supply. During this time, we
added longer-term, higher-yielding fixed paper to the portfolio when prudent,
purchasing approximately $47 million in fixed notes offering yields of 1% or
more. A large portion of the new purchases were Michigan Municipal Bond
Authority notes, which mature in August 2004 and offer a yield of 1.04%. The
ability to lock in these rates benefited Fund performance.
* 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 MICHIGAN MUNICIPAL MONEY FUND SEPTEMBER 30, 2003
During most of the past six months, we looked to maintain a larger percentage of
fixed rate paper than our peers. Early in the period, however, we were careful
to keep enough of the Fund's assets in short-maturity holdings to handle
anticipated tax-time shareholder redemptions and to take advantage of the
expected spike in yields on these securities. During September, municipal
issuance picked up. This coincided with the end of the quarter, when brokers
typically offer variable paper at somewhat more attractive yields. As a result,
we increasingly took inflows of cash and made investments in this area.
How would you characterize the portfolio's position at the close of the period?
The Fund ended the period with an average portfolio maturity of 46 days, five
days longer than the average of funds in its iMoneyNet, Inc. category. This
compared to an average life of 29 days at the beginning of the period, four days
longer than the iMoneyNet group's average maturity at that same time. As of
September 30, 2003, the Fund had $347.9 million in net assets, about a 1%
decline from March 31, 2003.
We continue to take a relatively neutral approach to the Michigan short-term
municipal market, given our expectation that the Federal Reserve Board will
leave interest rates unchanged for the foreseeable future. In the months ahead,
we will continue to monitor developments in the national and Michigan 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
and stand ready to respond with changes to our investment approach as needed.
Moreover, with a majority of fixed rate issuance behind us, we anticipate the
short-term tax-exempt yield curve will remain relatively flat for the near term.
Thus, unless the economy changes course and is weak enough to generate another
cut in the Federal Funds interest rate, we expect to purchase fewer fixed rate
securities than we did in the current period.
Darrin J. SanFillippo
Vice President and Portfolio Manager
October 9, 2003
CMA MICHIGAN MUNICIPAL MONEY FUND SEPTEMBER 30, 2003 5
[LOGO] Merrill Lynch Investment Managers
Schedule of Investments (in Thousands)
Face
State Amount Municipal Bonds Value
===================================================================================================================================
Michigan--98.9% $ 1,045 Battle Creek, Michigan, Housing Corporation, Housing Revenue Bonds, VRDN, Series
1997-A, 1.14% due 2/01/2027 (c) ................................................... $ 1,045
2,850 Berrien County, Michigan, Economic Development Corporation Revenue Bonds (Arlington
Corp. Project), VRDN, AMT, 1.35% due 9/01/2016 (c) ................................ 2,850
6,170 Clarkston, Michigan, Community Schools, GO, ROCS, VRDN, Series II-R-4519, 1.06%
due 5/01/2022 (c) ................................................................. 6,170
2,000 Detroit, Michigan, Capital Improvement, GO, Series A, 4.50% due 4/01/2004 (b) ..... 2,035
9,300 Detroit, Michigan, City School District, MERLOTS, VRDN, Series A-113, 1.15%
due 5/01/2029 (c) ................................................................. 9,300
12,060 Detroit, Michigan, MERLOTS, Series A-115, 1.05% due 7/07/2004 (c) ................. 12,060
Detroit, Michigan, Sewer Disposal Revenue Bonds, VRDN (a)(c):
8,995 Refunding, ROCS, Series II-R-4014, 1.15% due 7/01/2025 ...................... 8,995
8,000 Senior Lien, Series B, 1.15% due 7/01/2033 .................................. 8,000
Detroit, Michigan, Water Supply System Revenue Bonds, VRDN (b)(c):
4,545 FLOATS, Series 782, 1.14% due 7/01/2032 ..................................... 4,545
2,000 MSTR, Series SGB-6, 1.15% due 7/01/2025 ..................................... 2,000
15,840 Eagle Tax-Exempt Trust, Grand Rapids, Michigan, Sanitation Sewer System, VRDN,
Series A, 1.06% due 1/01/2022 (c) ................................................. 15,840
3,195 Eagle Tax-Exempt Trust, Kentwood, Michigan, Public Schools, GO, VRDN, Series
2003-0024, Class A, 1.15% due 5/01/2020 (b)(c) .................................... 3,195
5,200 East China School District, Michigan, SAN, 1.75% due 4/15/2004 .................... 5,218
400 Flint, Michigan, Economic Development Corporation, EDR (Plastics Research), VRDN,
AMT, 1.35% due 9/01/2004 (c) ...................................................... 400
1,450 Genesee County, Michigan, Economic Development Corporation, Limited Obligation
Revenue Bonds (Riegle Press Inc. Project), VRDN, AMT, 1.29% due 8/01/2015 (c) ..... 1,450
795 Grand Rapids, Michigan, IDR (Custom Printers), VRDN, AMT, 1.24% due 7/01/2015 (c) . 795
1,565 Grand Rapids, Michigan, IDR, Refunding (Etheridge Company Project), VRDN, AMT,
1.24% due 7/01/2009 (c) ........................................................... 1,565
2,000 Grand Rapids, Michigan, Water Supply Revenue Refunding Bonds, VRDN, 1.05% due
1/01/2020 (c)(f) .................................................................. 2,000
3,200 Jackson County, Michigan, Economic Development Corporation, Limited Obligation
Revenue Bonds (American Tooling Center Project), VRDN, AMT, 1.35% due 6/01/2011 (c) 3,200
4,000 Jackson County, Michigan, Economic Development Corporation, Limited Obligation
Revenue Refunding Bonds (Vista Grande Villa), VRDN, Series A, 1.15% due
11/01/2031 (c) .................................................................... 4,000
1,050 Jackson, Michigan, Public Schools, GO, SAN, 2% due 5/21/2004 ...................... 1,057
1,700 Macomb County, Michigan, Hospital Finance Authority, Hospital Revenue Refunding
Bonds (Mount Clemens General Hospital), VRDN, Series A-1, 1.15% due 10/01/2020 (c) 1,700
700 Marquette County, Michigan, Economic Development Corporation, Limited Obligation
Revenue Bonds (Pioneer Labs Inc. Project), VRDN, AMT, Series A, 1.24% due
6/01/2012 (c) ..................................................................... 700
460 Michigan Higher Education Facilities Authority, Limited Obligation Revenue Bonds
(Davenport College of Business Project), VRDN, 1.14% due 3/01/2027 (c) ............ 460
Michigan Municipal Bond Authority Revenue Bonds:
10,000 Series B-1, 2% due 8/20/2004 ................................................ 10,086
11,670 Series B-2, 2% due 8/23/2004 ................................................ 11,770
Michigan State, HDA (Bloomfield Partners), CP:
7,400 0.88% due 10/21/2003 ........................................................ 7,400
4,000 1.05% due 2/12/2004 ......................................................... 4,000
Michigan State, HDA, Limited Obligation Revenue Bonds, VRDN (c):
1,200 (Laurel Valley), TEAMS, 1.15% due 12/01/2007 ................................ 1,200
2,000 (Woodland Meadows Project), AMT, 1.10% due 3/01/3002 ........................ 2,000
Portfolio Abbreviations for CMA Michigan Municipal Money Fund
AMT Alternative Minimum Tax (subject to)
CP Commercial Paper
EDR Economic Development Revenue Bonds
FLOATS Floating Rate Securities
GO General Obligation Bonds
HDA Housing Development Authority
IDR Industrial Development Revenue Bonds
M/F Multi-Family
MERLOTS Municipal Extendible Receipt Liquidity Option Tender Securities
MSTR Municipal Securities Trust Receipts
PCR Pollution Control Revenue Bonds
ROCS Reset Option Certificates
SAN State Aid Notes
TEAMS Tax-Exempt Adjustable Municipal Securities
VRDN Variable Rate Demand Notes
6 CMA MICHIGAN MUNICIPAL MONEY FUND SEPTEMBER 30, 2003
Schedule of Investments (continued) (in Thousands)
Face
State Amount Municipal Bonds Value
===================================================================================================================================
Michigan $ 6,200 Michigan State, HDA, M/F Limited Obligation Revenue Bonds (Arbors), VRDN, AMT,
(continued) Series A, 1.15% due 9/01/2035 (c) ................................................. $ 6,200
Michigan State Hospital Finance Authority, Revenue Refunding Bonds:
1,000 (Genesys Regional Medical), Series A, 5.25% due 10/01/2003 (g) .............. 1,000
5,000 MERLOTS, VRDN, Series K, 1.15% due 11/15/2023 (b)(c) ........................ 5,000
8,500 Michigan State School Bond Loan, GO, CP, Series 2001-A, 0.90% due 11/04/2003 ...... 8,500
Michigan State Strategic Fund, Limited Obligation Revenue Bonds, VRDN (c):
2,800 (AACOA Extrusions Inc. Project), AMT, 1.35% due 2/01/2008 ................... 2,800
1,400 (Admiral Broach Company Inc. Project), AMT, 1.37% due 11/01/2011 ............ 1,400
1,500 (Artex Label & Graphics), AMT, 1.25% due 12/01/2022 ......................... 1,500
2,160 (Automatic Handling Inc. Project), AMT, 1.23% due 7/01/2009 ................. 2,160
300 (BBPV Project), AMT, Series A-2, 1.44% due 1/01/2014 ........................ 300
1,040 (Baron Drawn Steel), AMT, 1.23% due 12/01/2006 .............................. 1,040
1,905 (Biewer of Lansing LLC Project), AMT, 1.25% due 5/01/2019 ................... 1,905
3,555 (C&M Manufacturing Corporation Inc. Project), AMT, 1.47% due 7/01/2014 ...... 3,555
1,145 (Chambers Enterprises II Project), AMT, 1.25% due 11/01/2018 ................ 1,145
1,980 (Cherry Central Co-operative Inc. Project), 1.23% due 11/01/2013 ............ 1,980
3,340 (Forest City Technologies), AMT, 1.23% due 9/01/2015 ........................ 3,340
1,430 (Genesee Packaging Inc. Project), AMT, 1.25% due 9/01/2011 .................. 1,430
2,700 (Glastender Inc. Project), AMT, 1.35% due 12/01/2010 ........................ 2,700
3,200 (Golden Keys Development LLC Project), AMT, 1.29% due 3/01/2018 ............. 3,200
430 (Hercules Drawn Steel Project), AMT, 1.25% due 8/01/2006 .................... 430
9,000 (Hi-Lex Controls Inc. Project), AMT, 1.27% due 10/01/2021 ................... 9,000
780 (Inalfa-Hollandia Inc. Project), AMT, 1.25% due 5/01/2016 ................... 780
3,400 (Karmann Technology Development LLC Project), AMT, 1.25% due 12/01/2032 ..... 3,400
3,540 (Karona Inc. Project), AMT, 1.23% due 12/01/2015 ............................ 3,540
3,200 (Kaumagraph Flint Corporation Project), AMT, 1.35% due 11/01/2014 ........... 3,200
1,935 (Kerkstra Precast Inc. Project), AMT, 1.24% due 5/01/2025 ................... 1,935
1,460 (Mikden Holdings Project), AMT, 1.35% due 6/01/2021 ......................... 1,460
1,615 (Monarch Hydraulics Inc. Project), AMT, 1.20% due 7/01/2016 ................. 1,615
2,000 (Morrell Inc. Project), AMT, 1.25% due 5/01/2022 ............................ 2,000
1,300 (Norbert Industries Inc. Project), AMT, 1.24% due 4/01/2006 ................. 1,300
580 (Northern Pure Ice Co. Project), AMT, 1.24% due 3/01/2015 ................... 580
645 (Nuvar Properties LLC Project), AMT, 1.24% due 7/01/2026 .................... 645
2,300 (Park Realty LLC), AMT, Series A, 1.24% due 9/01/2026 ....................... 2,300
1,300 (Pioneer Labs Inc. Project), AMT, 1.20% due 9/01/2012 ....................... 1,300
6,155 (Pioneer Metal Finishing Project), AMT, 1.17% due 11/01/2008 ................ 6,155
3,200 (Richwood Industries Inc. Project), AMT, 1.35% due 9/01/2030 ................ 3,200
4,240 (Riverwalk Properties LLC Project), AMT, 1.25% due 8/01/2021 ................ 4,240
810 (TEI Investments LLC), AMT, 1.25% due 2/01/2022 ............................. 810
3,700 (Universal Forest Products Project), AMT, 1.25% due 12/01/2022 .............. 3,700
1,500 (Universal Leasing Inc. Project), AMT, 1.35% due 11/01/2016 ................. 1,500
1,700 (Vector Investments LLC Project), AMT, 1.24% due 2/01/2020 .................. 1,700
1,970 (Veri-Tek International Corporation Project), AMT, 1.25% due 4/01/2026 ...... 1,970
2,000 (WDKK Development LLC Project), AMT, 1.25% due 1/01/2024 .................... 2,000
300 (Whitehall Industries), AMT, Series A-6, 1.44% due 1/01/2014 ................ 300
Michigan State Strategic Fund, Limited Obligation Revenue Refunding Bonds, VRDN (c):
700 (Grandview Plaza Project), AMT, 1.23% due 12/15/2010 ........................ 700
145 (Park Village Pines Project), 1.14% due 5/01/2006 ........................... 145
10,100 Michigan State Strategic Fund, PCR, Refunding (Consumers Power Project), VRDN,
1.15% due 4/15/2018 (c)(d) ........................................................ 10,100
4,000 Michigan State University, General Revenue Refunding Bonds, FLOATS, VRDN, Series A2,
1.05% due 8/15/2022 (c) ........................................................... 4,000
Michigan State University Revenue Bonds, VRDN (c):
5,000 Series 2000-A, 1.02% due 8/15/2030 .......................................... 5,000
14,600 Series A, 1.15% due 8/15/2032 ............................................... 14,600
14,895 Municipal Securities Trust Certificates, Revenue Refunding Bonds, VRDN, Series
2001-166, Class A, 1.16% due 12/15/2021 (a)(c) .................................... 14,895
CMA MICHIGAN MUNICIPAL MONEY FUND SEPTEMBER 30, 2003 7
[LOGO] Merrill Lynch Investment Managers
Schedule of Investments (concluded) (in Thousands)
Face
State Amount Municipal Bonds Value
===================================================================================================================================
Michigan $ 7,000 Muskegon, Michigan, Public Schools, GO, SAN, 2% due 5/24/2004 ..................... $ 7,041
(concluded) Oakland County, Michigan, Economic Development Corporation, Limited Obligation
Revenue Bonds, VRDN, AMT (c):
2,800 (Schain Mold & Engineering), 1.35% due 4/01/2021 ............................ 2,800
3,300 (V&M Corporation Project), 1.35% due 9/01/2018 .............................. 3,300
2,400 Rockford, Michigan, IDR, Limited Obligation (Alloy Exchange Project), VRDN, AMT,
1.35% due 9/01/2019 (c) ........................................................... 2,400
5,030 Saginaw County, Michigan, Economic Development Corporation Revenue Bonds (Al-Fe
Heat Treating Project), VRDN, AMT, 1.23% due 2/01/2010 (c) ........................ 5,030
10,400 Saline, Michigan, Area Schools, GO, Refunding, VRDN, 1.10% due 5/01/2030 (c) ...... 10,400
University of Michigan, University Hospital Revenue Refunding Bonds, VRDN (c):
10,090 Series A, 1.15% due 12/01/2019 .............................................. 10,090
3,300 Series A-2, 1.10% due 12/01/2024 ............................................ 3,300
3,065 Walled Lake, Michigan, Consolidated School District, GO, ROCS, VRDN, Series
II-R-226, 1.15% due 5/01/2021 (c) ................................................. 3,065
3,600 Whitmore Lake, Michigan, Public School District, GO, ROCS, VRDN, Series I-R-4515,
1.06% due 5/01/2023 (c) ........................................................... 3,600
160 Wyoming, Michigan, Economic Development Corporation Revenue Refunding Bonds (Family
One Inc. Project), VRDN, AMT, 1.24% due 11/01/2019 (c) ............................ 160
===================================================================================================================================
Puerto Rico--2.1% 2,400 Municipal Securities Trust Certificates, Puerto Rico, GO, VRDN, Series 2002-199,
Class A, 1.05% due 1/25/2016 (b)(c) ............................................... 2,400
4,962 Puerto Rico Public Buildings Authority, Revenue Refunding Bonds, FLOATS, VRDN,
Series 747D, 1.08% due 7/01/2017 (c)(e) ........................................... 4,962
===================================================================================================================================
Total Investments (Cost--$351,239*)--101.0% ....................................... 351,239
Liabilities in Excess of Other Assets--(1.0%) ..................................... (3,340)
--------
Net Assets--100.0% ................................................................ $347,899
========
(a) FSA Insured.
(b) MBIA Insured.
(c) 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.
(d) AMBAC Insured.
(e) CIFG Insured.
(f) FGIC Insured.
(g) Escrowed to maturity.
* Cost for Federal income tax purposes.
See Notes to Financial Statements.
8 CMA MICHIGAN MUNICIPAL MONEY FUND SEPTEMBER 30, 2003
Statement of Assets and Liabilities
As of September 30, 2003
==================================================================================================================================
Assets
- ----------------------------------------------------------------------------------------------------------------------------------
Investments, at value (identified cost--$351,238,953) .................. $ 351,238,953
Cash ................................................................... 77,382
Receivables:
Beneficial interest sold ............................................ $ 1,297,224
Interest ............................................................ 604,632 1,901,856
---------------
Prepaid registration fees and other assets ............................. 17,855
---------------
Total assets ........................................................... 353,236,046
---------------
==================================================================================================================================
Liabilities
- ----------------------------------------------------------------------------------------------------------------------------------
Payables:
Securities purchased ................................................ 5,217,628
Distributor ......................................................... 79,590
Other affiliates .................................................... 21,145
Investment adviser .................................................. 18,952
---------------
Total liabilities ...................................................... 5,337,315
---------------
Net Assets ............................................................. $ 347,898,731
===============
==================================================================================================================================
Net Assets Consist of
- ----------------------------------------------------------------------------------------------------------------------------------
Shares of beneficial interest, $.10 par value, unlimited number of
shares authorized .................................................... $ 34,798,491
Paid-in capital in excess of par ....................................... 313,149,494
Accumulated realized capital losses--net ............................... (49,254)
---------------
Net Assets--Equivalent to $1.00 per share based on 347,984,907 shares
of beneficial interest outstanding ................................... $ 347,898,731
===============
See Notes to Financial Statements.
CMA MICHIGAN 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 ............... $ 2,002,279
==================================================================================================================================
Expenses
- ----------------------------------------------------------------------------------------------------------------------------------
Investment advisory fees ............................................... $ 865,013
Distribution fees ...................................................... 205,270
Accounting services .................................................... 40,124
Professional fees ...................................................... 27,302
Transfer agent fees .................................................... 22,169
Registration fees ...................................................... 12,511
Printing and shareholder reports ....................................... 9,818
Custodian fees ......................................................... 8,150
Pricing fees ........................................................... 4,881
Trustees' fees and expenses ............................................ 1,612
Other .................................................................. 6,012
---------------
Total expenses ......................................................... 1,202,862
---------------
Investment income--net ................................................. 799,417
Realized Loss on Investments--Net ...................................... (126)
---------------
Net Increase in Net Assets Resulting from Operations ................... $ 799,291
===============
See Notes to Financial Statements.
10 CMA MICHIGAN 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 ................................................. $ 799,417 $ 2,938,918
Realized gain (loss) on investments--net ............................... (126) 1,724
-----------------------------------
Net increase in net assets resulting from operations ................... 799,291 2,940,642
-----------------------------------
==================================================================================================================================
Dividends to Shareholders
- ----------------------------------------------------------------------------------------------------------------------------------
Dividends to shareholders from investment income--net .................. (799,417) (2,938,918)
-----------------------------------
==================================================================================================================================
Beneficial Interest Transactions
- ----------------------------------------------------------------------------------------------------------------------------------
Net proceeds from sale of shares ....................................... 765,247,223 1,412,080,997
Value of shares issued to shareholders in reinvestment of dividends .... 799,216 2,938,776
-----------------------------------
766,046,439 1,415,019,773
Cost of shares redeemed ................................................ (767,396,443) (1,426,330,732)
-----------------------------------
Net decrease in net assets derived from beneficial interest transactions (1,350,004) (11,310,959)
-----------------------------------
==================================================================================================================================
Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
Total decrease in net assets ........................................... (1,350,130) (11,309,235)
Beginning of period .................................................... 349,248,861 360,558,096
-----------------------------------
End of period .......................................................... $ 347,898,731 $ 349,248,861
===================================
See Notes to Financial Statements.
CMA MICHIGAN MUNICIPAL MONEY FUND SEPTEMBER 30, 2003 11
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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
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Per Share Operating Performance
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ..... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
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Investment income--net ................... --+ .01 .02 .03 .03
Realized gain (loss) on investments--net . --++ --+ -- -- --++
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Total from investment operations ......... --+ .01 .02 .03 .03
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Less dividends from investment income--net --++ (.01) (.02) (.03) (.03)
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Net asset value, end of period ........... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
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Total Investment Return .................. .45%* .85% 1.74% 3.47% 2.86%
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Ratios to Average Net Assets
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Expenses ................................. .70%* .69% .70% .70% .70%
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Investment income--net ................... .46%* .84% 1.77% 3.40% 2.81%
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Supplemental Data
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Net assets, end of period (in thousands) . $ 347,899 $ 349,249 $ 360,558 $ 391,944 $ 360,334
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* Annualized.
+ Amount is less than $.01 per share.
++ Amount is less than $(.01) per share.
See Notes to Financial Statements.
12 CMA MICHIGAN MUNICIPAL MONEY FUND SEPTEMBER 30, 2003
Notes to Financial Statements
1. Significant Accounting Policies:
CMA Michigan 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.
CMA MICHIGAN MUNICIPAL MONEY FUND SEPTEMBER 30, 2003 13
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Notes to Financial Statements (concluded)
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 $3,710 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 $49,128, of
which $32,532 expires in 2005; $6,574 expires in 2006; $5,068 expires in 2008;
and $4,954 expires in 2009. This amount will be available to offset like amounts
of any future taxable gains.
14 CMA MICHIGAN 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 MICHIGAN MUNICIPAL MONEY FUND SEPTEMBER 30, 2003 15
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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 Michigan Municipal Money Fund
of CMA Multi-State Municipal Series Trust
Box 9011
Princeton, NJ
08543-9011
#16056 -- 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 Michigan Municipal Money Fund of CMA Multi-State Municipal Series
Trust
By: /s/ Terry K. Glenn
----------------------------
Terry K. Glenn,
President of
CMA Michigan 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 Michigan 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 Michigan 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.