UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-5011
Name of Fund: CMA Connecticut Municipal Money Fund
CMA Multi-State Municipal Series Trust
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Terry K. Glenn, President, CMA
Connecticut Municipal Money Fund of CMA Multi-State Municipal Series
Trust, 800 Scudders Mill Road, Plainsboro, NJ 08536. Mailing address:
P.O. Box 9011, Princeton, NJ 08543-9011
Registrant's telephone number, including area code: (609) 282-2800
Date of fiscal year end: 03/31/04
Date of reporting period: 04/01/03 - 03/31/04
Item 1 - Report to Stockholders
[LOGO] Merrill Lynch Investment Managers www.mlim.ml.com
CMA Connecticut
Municipal Money Fund
Annual Report
March 31, 2004
[LOGO] Merrill Lynch Investment Managers
CMA Connecticut Municipal Money Fund
Important Tax Information (unaudited)
All of the net investment income distributions paid by CMA Connecticut Municipal
Money Fund of CMA Multi-State Municipal Series Trust during the taxable year
ended March 31, 2004 qualify as tax-exempt interest dividends for Federal income
tax purposes.
Please retain this information for your records.
2 CMA CONNECTICUT MUNICIPAL MONEY FUND MARCH 31, 2004
A Letter From the President
Dear Shareholder
Index returns during the most recent six-month and 12-month reporting periods
indicate that fixed income markets -- both taxable and tax-exempt -- continued
to reward those investors who were willing to accept greater risk. The high
yield market, as measured by the Credit Suisse First Boston High Yield Index,
provided a six-month return of +8.65% and a 12-month return of +22.86% as of
March 31, 2004. By comparison, the Lehman Brothers Aggregate Bond Index returned
+2.98% and +5.40% and the Lehman Brothers Municipal Bond Index returned +3.12%
and +5.86% for the six-month and 12-month periods ended March 31, 2004,
respectively.
As of March month-end, the Federal Reserve Board maintained its accommodative
policy stance, pledging "patience" in raising interest rates. As a result,
short-term interest rates remained at historic lows and kept the short end of
the yield curve relatively flat, making it increasingly difficult to find
attractive income opportunities. Market watchers continue to monitor the
economic data and Federal Reserve Board language for indications of interest
rate direction. Having said that, if the economy continues to grow at its recent
pace, many believe it is just a matter of time before interest rates move
upward.
Equity markets, in the meantime, continued to provide attractive returns. For
the six-month and 12-month periods ended March 31, 2004, the Standard & Poor's
500 Index returned +14.08% and +35.12%, respectively. Much of the boost came
from improving economic conditions throughout the past year. Significant fiscal
and monetary stimulus, including the low interest rates and tax cuts, has opened
the door to consumer spending, capital spending, increases in exports and
long-awaited job growth. As expected, these positive developments have led the
way to improvements in corporate earnings -- a positive for stock markets.
The events and efforts of the past year leave us with a much stronger economy
today. With all of this in mind, we believe it is time for investors to consider
what can go right in 2004. We encourage you to revisit your portfolio and your
asset allocation strategy to ensure you are well positioned to take advantage of
the opportunities that lie ahead. Your financial advisor can help you develop a
strategy designed to perform through all types of market and economic cycles.
We thank you for trusting Merrill Lynch Investment Managers with your investment
assets, and we look forward to serving you in the months and years ahead.
Sincerely,
/s/ Terry K. Glenn
Terry K. Glenn
President and Trustee
CMA CONNECTICUT MUNICIPAL MONEY FUND MARCH 31, 2004 3
[LOGO] Merrill Lynch Investment Managers
A Discussion With Your Fund's Portfolio Manager
We sought to maintain the Fund's stake in fixed rate municipal notes while
still taking advantage of favorable price swings in shorter-term variable rate
demand notes when available.
How did the Fund perform during the fiscal year in light of the existing market
conditions?
For the 12-month period ended March 31, 2004, CMA Connecticut Municipal Money
Fund paid shareholders a net annualized yield of .34%.* As of March 31, 2004,
the Fund's seven-day yield was .34%.
Our principal investment strategy was to maintain the Fund's average portfolio
maturity at or above its peer group average. We implemented this strategy based
on our belief that short-term borrowing rates would remain stable, at least
through the first quarter of 2004. We believed that fixed-coupon securities such
as municipal notes and puts, which have effective maturities up to 13 months,
would outperform variable rate demand products during this period given the
relative stability of short-term interest rates. This, in fact, was the case as
the average yield on the one-year note, as measured by the Bond Buyer One-Year
Note Index, was 1.08% for the 12-month period ended March 31, 2004. The average
seven-day variable rate yield, as measured by the BMA Municipal Swap Index, was
1.00% during the same period.
Our purchase of $25 million in Puerto Rico tax revenue anticipation notes
(TRANs) and $20 million in Connecticut Housing Financing Authority puts were the
key drivers in implementing our investment strategy. These securities had yields
ranging from 1.00% to 1.20%, thereby benefiting Fund performance and providing
excellent asset diversification and solid credit quality.
For its part, the Federal Reserve Board remained accommodative throughout the
year. The last in a series of interest rate cuts came in June 2003, as the
Federal Reserve Board looked to stimulate economic growth and ward off the
potential for deflation. Although economic growth began to accelerate later in
the year, concerns over weak job growth persisted in the market. Investors tried
to anticipate when the Federal Reserve Board would restore interest rates to
more neutral levels. The constant interest rate analysis translated into
widespread volatility, which created opportunities in the fixed income markets.
Describe conditions in the State of Connecticut during the period.
Economic conditions in Connecticut were sluggish during the past 12 months. The
state's tax revenues and employment growth continued to lag its Northeastern
neighbors and the nation. Facing a $1 billion budget gap for the 2004 fiscal
year, legislators enacted several tax increases, including a .5% hike in the
state's personal income tax rate. The goal was to raise an additional $500
million in annual revenues.
Connecticut was not an active issuer of short-term municipal debt during the
period. In March 2004, however, the state did refund $1.3 billion worth of
long-term general obligation debt to take advantage of low bond yields. The
refundings are expected to save taxpayers an estimated $25 million in interest
costs during the next two years and $45 million over the duration of the loans.
* 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 CONNECTICUT MUNICIPAL MONEY FUND MARCH 31, 2004
What changes were made to the portfolio during the period?
The portfolio's structure was relatively stable over the past 12 months. We did,
however, undertake a modest but important reallocation of a portion of the
Fund's assets. Specifically, we shifted assets out of variable rate demand
products and into fixed-coupon securities. The goal was to extend the
portfolio's average maturity. Given that short-term interest rates were at
historic lows and seemingly in a holding pattern, longer-dated fixed securities
presented the more attractive investment opportunity in our view. Our
expectations about the yield advantages of fixed notes were met, as indicated by
the figures referenced earlier.
We accomplished this reallocation of assets primarily through the purchase of
municipal notes and puts. During the period, we increased the Fund's weighting
in notes and puts by 5%, bringing our allocation to 22% of net assets as of
March 31, 2004. We decreased the Fund's weighting in variable securities by a
similar percentage.
How would you characterize the portfolio's position at the close of the period?
We believe the Fund is well positioned for the current interest rate
environment. One likely area of focus in the months ahead will be on our
municipal note holdings. We plan to seek attractive opportunities to reinvest a
significant portion of the Fund's note positions maturing before September 30,
2004.
We will continue to monitor the tone and actions of the Federal Reserve Board to
determine the potential for an increase in short-term interest rates. We plan to
maintain the current flexibility in the portfolio's structure and react as
needed to any changes in market conditions. As always, we will focus on
developments in the State of Connecticut and gauge their potential impact on
Fund holdings.
Steven T. Lewis
Vice President and Portfolio Manager
April 8, 2004
CMA CONNECTICUT MUNICIPAL MONEY FUND MARCH 31, 2004 5
[LOGO] Merrill Lynch Investment Managers
Schedule of Investments (in Thousands)
Face
Amount Municipal Bonds Value
==============================================================================================================================
Connecticut--80.4%
- ------------------------------------------------------------------------------------------------------------------------------
$ 3,420 Berlin, Connecticut, GO, BAN, 1.50% due 6/18/2004 $ 3,424
---------------------------------------------------------------------------------------------------------
2,865 Bridgeport, Connecticut, GO, Refunding, ROCS, Series II-R-182, 1.02% due
8/15/2016 (b)(d) 2,865
---------------------------------------------------------------------------------------------------------
3,100 Connecticut State Development Authority, Airport Facility Revenue Bonds
(LearJet Inc. Project), VRDN, AMT, 1.10% due 4/01/2026 (d) 3,100
---------------------------------------------------------------------------------------------------------
27,055 Connecticut State Development Authority, Health Care Revenue Refunding Bonds
(Independent Living Project), VRDN, 1% due 7/01/2015 (d) 27,055
---------------------------------------------------------------------------------------------------------
Connecticut State Development Authority, IDR, VRDN (d):
3,620 (Cheshire CPL LLC), AMT, 1.02% due 12/01/2022 3,620
2,300 (Reflexite Corporation Project), Series A, 1.02% due 8/01/2013 2,300
2,380 (Reflexite Corporation Project), Series B, 1.02% due 8/01/2013 2,380
5,300 (Wyre Wynd Corporation Project), AMT, 1.01% due 12/01/2008 5,300
---------------------------------------------------------------------------------------------------------
10,300 Connecticut State Development Authority Revenue Bonds (Solid Waste
Project--Rand-Whitney Container Board), VRDN, AMT, 1.09% due 8/01/2023 (d) 10,300
---------------------------------------------------------------------------------------------------------
6,775 Connecticut State, GO, PUTTERS, Series 320, 1.03% due 11/15/2020 (d) 6,775
---------------------------------------------------------------------------------------------------------
3,625 Connecticut State, GO, Refunding, FLOATS, Series 515, 1.10% due 3/24/2005 (d) 3,625
---------------------------------------------------------------------------------------------------------
Connecticut State, HFA, Revenue Bonds (Housing Mortgage Finance Program), VRDN (d):
21,700 AMT, Series D-3, 1.05% due 5/15/2033 (a) 21,700
20,000 AMT, Sub-Series F-2, 1.20% due 12/22/2004 20,000
8,597 Series D, 1.11% due 11/15/2024 8,597
---------------------------------------------------------------------------------------------------------
10,000 Connecticut State, HFA, Revenue Refunding Bonds, VRDN, AMT, Sub-Series B-4, 1.06%
due 5/15/2032 (a)(d) 10,000
---------------------------------------------------------------------------------------------------------
Connecticut State Health and Educational Facilities Authority Revenue Bonds (d):
1,760 (Charlotte Hungerford), VRDN, Series C, 1.01% due 7/01/2013 1,760
10,000 FLOATS, Series 891, 1.08% due 7/01/2023 (b) 10,000
5,300 (Greater Hartford YMCA), VRDN, Series A, 1% due 7/01/2032 (a) 5,300
7,400 (Greenwich Boys and Girls Club), VRDN, Series A, 1.03% due 7/01/2033 7,400
12,675 (Hartford Hospital), VRDN, Series B, 5.01% due 7/01/2031 12,675
6,000 (Health Care Capital Asset), VRDN, Series A-1, 1.01% due 7/01/2031 6,000
8,005 (King & Low--Heywood Thomas School), VRDN, Series A, 1.03% due 7/01/2033 8,005
5,350 (Klingberg Family Center), VRDN, Series A, 1.01% due 7/01/2032 5,350
4,625 (Middlesex Hospital), VRDN, Series J, 0.97% due 7/01/2026 4,625
24,400 (Quinnipiac University), VRDN, Series F, 1.10% due 7/01/2031(g) 24,400
6,960 (Rectory School), VRDN, Series A, 1.03% due 7/01/2030 6,960
2,860 (The Whitby School), VRDN, Series A, 0.99% due 7/01/2021 2,860
900 (Yale University), VRDN, Series T-1, 1.07% due 7/01/2029 900
8,300 (Yale University), VRDN, Series X-3, 1.05% due 7/01/2037 8,300
Portfolio Abbreviations for CMA Connecticut Municipal Money Fund
AMT Alternative Minimum Tax (subject to)
BAN Bond Anticipation Notes
CP Commercial Paper
FLOATS Floating Rate Securities
GO General Obligation Bonds
HFA Housing Finance Agency
IDA Industrial Development Authority
IDR Industrial Development Revenue Bonds
M/F Multi-Family
MSTR Municipal Securities Trust Receipts
PUTTERS Puttable Tax-Exempt Receipts
ROCS Reset Option Certificates
TRAN Tax Revenue Anticipation Notes
VRDN Variable Rate Demand Notes
6 CMA CONNECTICUT MUNICIPAL MONEY FUND MARCH 31, 2004
Schedule of Investments (continued) (in Thousands)
Face
Amount Municipal Bonds Value
==============================================================================================================================
Connecticut (concluded)
- ------------------------------------------------------------------------------------------------------------------------------
Connecticut State Health and Educational Facilities Authority, Revenue Refunding
Bonds, VRDN (d):
$13,710 (Ascension Health Credit), Series B, 1.01% due 11/15/2029 $ 13,710
2,300 (Kent School Corporation), Series C, 0.95% due 7/01/2030 (e) 2,300
5,000 (Kingswood-Oxford School), Series B, 0.99% due 7/01/2030 5,000
---------------------------------------------------------------------------------------------------------
Connecticut State Health and Educational Facilities Authority (Yale
University), CP:
13,140 0.93% due 5/03/2004 13,140
20,000 0.92% due 5/04/2004 20,000
---------------------------------------------------------------------------------------------------------
15,000 Connecticut State, IDA, New England Power, CP, 0.92% due 5/28/2004 15,000
---------------------------------------------------------------------------------------------------------
10,300 Connecticut State Special Assessment Revenue Bonds, VRDN, 1.02% due
11/15/2020 (a)(d) 10,300
---------------------------------------------------------------------------------------------------------
Connecticut State Special Tax Obligation Revenue Bonds, Transportation
Infrastructure:
500 Series A, 3% due 7/01/2004 502
27,100 VRDN, Second Lien, Series 1, 1% due 12/01/2010 (c)(d) 27,100
21,000 VRDN, Series 1, 1.03% due 9/01/2020 (b)(d) 21,000
---------------------------------------------------------------------------------------------------------
800 Eastern Connecticut State Regional Educational Service Center, GO, BAN, 1.90%
due 12/14/2004 802
---------------------------------------------------------------------------------------------------------
5,100 Glastonbury, Connecticut, GO, BAN, 1.50% due 6/15/2004 5,105
---------------------------------------------------------------------------------------------------------
13,000 Hartford, Connecticut, GO, BAN, 1.50% due 7/15/2004 13,021
---------------------------------------------------------------------------------------------------------
21,645 Hartford, Connecticut, Redevelopment Agency, M/F Mortgage Revenue Refunding Bonds
(Underwood Tower Project), VRDN, 1.01% due 6/01/2020 (c)(d) 21,645
---------------------------------------------------------------------------------------------------------
18,200 Meriden, Connecticut, GO, Refunding, BAN, 2% due 8/06/2004 18,255
---------------------------------------------------------------------------------------------------------
3,220 Milford, Connecticut, GO, BAN, 1.25% due 11/05/2004 3,225
---------------------------------------------------------------------------------------------------------
6,785 Municipal Securities Trust Certificates Revenue Bonds, VRDN, AMT, Series 2001-128,
Class A, 1.11% due 3/30/2015 (b)(d) 6,785
---------------------------------------------------------------------------------------------------------
New Britain, Connecticut, GO:
7,465 BAN, 2% due 4/08/2005 7,539
4,670 VRDN, 1% due 4/01/2013 (a)(d) 4,670
---------------------------------------------------------------------------------------------------------
3,790 New Canaan, Connecticut, Housing Authority Revenue Bonds (Village at Waveny
Care Center), VRDN, 1.04% due 1/01/2022 (d) 3,790
---------------------------------------------------------------------------------------------------------
5,000 North Canaan, Connecticut, Housing Authority Revenue Bonds (Geer Woods Project),
VRDN, 0.97% due 8/01/2031 (d) 5,000
---------------------------------------------------------------------------------------------------------
9,795 Stonington, Connecticut, GO, BAN, Lot A, 2% due 10/14/2004 9,847
---------------------------------------------------------------------------------------------------------
5,690 Trumball, Connecticut, GO, BAN, 1.75% due 9/14/2004 5,707
---------------------------------------------------------------------------------------------------------
10,000 West Haven, Connecticut, GO, BAN, 2% due 1/27/2005 10,075
CMA CONNECTICUT MUNICIPAL MONEY FUND MARCH 31, 2004 7
[LOGO] Merrill Lynch Investment Managers
Schedule of Investments (concluded) (in Thousands)
Face
Amount Municipal Bonds Value
==============================================================================================================================
Puerto Rico--20.5%
- ------------------------------------------------------------------------------------------------------------------------------
$ 4,545 Municipal Securities Trust Certificates, Puerto Rico, Revenue Bonds, VRDN,
Series 2000-107, Class A, 1.02% due 5/19/2009 (c)(d) $ 4,545
---------------------------------------------------------------------------------------------------------
5,000 Puerto Rico Commonwealth Revenue Bonds, FLOATS, Series 03-L38J, 1.08% due
7/30/2004 (d) 5,000
---------------------------------------------------------------------------------------------------------
25,000 Puerto Rico Commonwealth, TRAN, 2% due 7/30/2004 25,083
---------------------------------------------------------------------------------------------------------
19,000 Puerto Rico Electric Power Authority, Power Revenue Bonds, MSTR, VRDN, Series
SGA-43, 1.02% due 7/01/2022 (d)(e) 19,000
---------------------------------------------------------------------------------------------------------
Puerto Rico Government Development Bank, CP:
5,220 0.95% due 4/07/2004 5,220
11,000 0.95% due 6/01/2004 11,000
6,516 1% due 6/04/2004 6,516
4,200 0.97% due 6/07/2004 4,200
---------------------------------------------------------------------------------------------------------
Puerto Rico Public Buildings Authority, Revenue Refunding Bonds, FLOATS (d)(f):
5,896 Series 747D, 1.02% due 7/01/2017 5,896
7,329 Series 787, 1.05% due 7/08/2004 7,329
---------------------------------------------------------------------------------------------------------
21,450 Puerto Rico Public Finance Corporation, FLOATS, Series 705D, 1.02% due
8/01/2027 (a)(d) 21,450
---------------------------------------------------------------------------------------------------------
6,975 Puerto Rico Public Finance Corporation Revenue Bonds, FLOATS, Series 911, 1.05%
due 8/01/2026 (d)(f) 6,975
==============================================================================================================================
Total Investments (Cost--$601,308*)--100.9% 601,308
Liabilities in Excess of Other Assets--(0.9%) (5,467)
--------
Net Assets--100.0% $595,841
========
(a) AMBAC Insured.
(b) FGIC Insured.
(c) FSA Insured.
(d) The interest rate is subject to change periodically based upon prevailing
market rates. The interest rate shown is the rate in effect at March 31,
2004.
(e) MBIA Insured.
(f) CIFG Insured.
(g) Radian Insured.
* Cost for Federal income tax purposes.
See Notes to Financial Statements.
8 CMA CONNECTICUT MUNICIPAL MONEY FUND MARCH 31, 2004
Statement of Assets and Liabilities
As of March 31, 2004
=======================================================================================================================
Assets
- -----------------------------------------------------------------------------------------------------------------------
Investments, at value (identified cost--$601,307,668) ....... $ 601,307,668
Cash ........................................................ 100,409
Receivables:
Interest .................................................. $ 1,654,337
Beneficial interest sold .................................. 496,759 2,151,096
---------------
Prepaid expenses ............................................ 17,645
---------------
Total assets ................................................ 603,576,818
---------------
=======================================================================================================================
Liabilities
- -----------------------------------------------------------------------------------------------------------------------
Payables:
Securities purchased ..................................... 7,538,904
Distributor .............................................. 110,840
Investment adviser ....................................... 39,955
Other affiliates ......................................... 9,646 7,699,345
---------------
Accrued expenses and other liabilities ...................... 36,286
---------------
Total liabilities ........................................... 7,735,631
---------------
=======================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------
Net assets .................................................. $ 595,841,187
===============
=======================================================================================================================
Net Assets Consist of
- -----------------------------------------------------------------------------------------------------------------------
Shares of beneficial interest, $.10 par value, unlimited
number of shares authorized ............................... $ 59,589,872
Paid-in capital in excess of par ............................ 536,234,514
Undistributed realized capital gains--net ................... 16,801
---------------
Net Assets--Equivalent to $1.00 per share based on
595,898,720 shares of beneficial interest outstanding ..... $ 595,841,187
===============
See Notes to Financial Statements.
CMA CONNECTICUT MUNICIPAL MONEY FUND MARCH 31, 2004 9
[LOGO] Merrill Lynch Investment Managers
Statement of Operations
For the Year Ended March 31, 2004
=======================================================================================================================
Investment Income
- -----------------------------------------------------------------------------------------------------------------------
Interest and amortization of premium and discount earned .... $ 6,045,895
=======================================================================================================================
Expenses
- -----------------------------------------------------------------------------------------------------------------------
Investment advisory fees .................................... $ 2,934,512
Distribution fees ........................................... 750,838
Accounting services ......................................... 124,430
Professional fees ........................................... 72,345
Transfer agent fees ......................................... 41,167
Printing and shareholder reports ............................ 23,080
Custodian fees .............................................. 22,157
Registration fees ........................................... 16,236
Pricing fees ................................................ 9,115
Trustees' fees and expenses ................................. 5,214
Other ....................................................... 17,003
---------------
Total expenses before waiver ................................ 4,016,097
Waiver of expenses .......................................... (11,259)
---------------
Total expenses after waiver ................................. 4,004,838
---------------
Investment income--net ...................................... 2,041,057
---------------
=======================================================================================================================
Realized Gain on Investments--Net
- -----------------------------------------------------------------------------------------------------------------------
Realized gain on investments--net ........................... 71,209
---------------
Net Increase in Net Assets Resulting from Operations ........ $ 2,112,266
===============
See Notes to Financial Statements.
10 CMA CONNECTICUT MUNICIPAL MONEY FUND MARCH 31, 2004
Statements of Changes in Net Assets
For the Year Ended
March 31,
-----------------------------------
Increase (Decrease) in Net Assets: 2004 2003
=======================================================================================================================
Operations
- -----------------------------------------------------------------------------------------------------------------------
Investment income--net ...................................... $ 2,041,057 $ 3,849,638
Realized gain on investments--net ........................... 71,209 5,109
-----------------------------------
Net increase in net assets resulting from operations ........ 2,112,266 3,854,747
-----------------------------------
=======================================================================================================================
Dividends to Shareholders
- -----------------------------------------------------------------------------------------------------------------------
Dividends to shareholders from investment income--net ....... (2,041,057) (3,849,638)
-----------------------------------
=======================================================================================================================
Beneficial Interest Transactions
- -----------------------------------------------------------------------------------------------------------------------
Net proceeds from sale of shares ............................ 1,885,303,797 1,647,220,106
Value of shares issued to shareholders in reinvestment of
dividends ................................................. 2,041,104 3,849,163
-----------------------------------
1,887,344,901 1,651,069,269
Cost of shares redeemed ..................................... (1,826,883,294) (1,747,541,598)
-----------------------------------
Net increase (decrease) in net assets derived from beneficial
interest transactions ..................................... 60,461,607 (96,472,329)
-----------------------------------
=======================================================================================================================
Net Assets
- -----------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets ..................... 60,532,816 (96,467,220)
Beginning of year ........................................... 535,308,371 631,775,591
-----------------------------------
End of year ................................................. $ 595,841,187 $ 535,308,371
===================================
See Notes to Financial Statements.
CMA CONNECTICUT MUNICIPAL MONEY FUND MARCH 31, 2004 11
[LOGO] Merrill Lynch Investment Managers
Financial Highlights
The following per share data and ratios have been derived
from information provided in the financial statements. For the Year Ended March 31,
---------------------------------------------------------------
Increase (Decrease) in Net Asset Value: 2004 2003 2002 2001 2000
================================================================================================================================
Per Share Operating Performance
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ....... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------------------------------------------------------------
Investment income--net ................... --+ .01 .02 .03 .03
Realized gain on investments--net ........ --+ --+ --+ --+ --+
---------------------------------------------------------------
Total from investment operations ......... --+ .01 .02 .03 .03
---------------------------------------------------------------
Less dividends from investment income--net --++ (.01) (.02) (.03) (.03)
---------------------------------------------------------------
Net asset value, end of year ............. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
===============================================================
Total investment return .................. .34% .70% 1.49% 3.21% 2.66%
===============================================================
================================================================================================================================
Ratios to Average Net Assets
- --------------------------------------------------------------------------------------------------------------------------------
Expenses, net of waiver .................. .66% .67% .67% .67% .67%
===============================================================
Expenses ................................. .67% .67% .67% .67% .67%
===============================================================
Investment income--net ................... .34% .70% 1.50% 3.16% 2.63%
===============================================================
================================================================================================================================
Supplemental Data
- --------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (in thousands) ... $595,841 $535,308 $631,776 $644,360 $623,491
===============================================================
+ Amount is less than $.01 per share.
++ Amount is less than $(.01) per share.
See Notes to Financial Statements.
12 CMA CONNECTICUT MUNICIPAL MONEY FUND MARCH 31, 2004
Notes to Financial Statements
1. Significant Accounting Policies:
CMA Connecticut Municipal Money Fund (the "Fund") is part of CMA Multi-State
Municipal Series Trust (the "Trust"). The Fund is registered under the
Investment Company Act of 1940, as amended, as a non-diversified, open-end
management investment company. The Fund's financial statements are prepared in
conformity with accounting principles generally accepted in the United States of
America, which may require the use of management accruals and estimates. 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. For the
year ended March 31, 2004, FAM earned fees of $2,934,512, of which $11,259 was
waived.
Pursuant to the Distribution and Shareholder Servicing Plan in compliance with
Rule 12b-1 under the Investment Company Act of 1940, Merrill Lynch, Pierce,
Fenner & Smith Incorporated ("MLPF&S") receives a distribution fee from the Fund
at the end of each month at the annual rate of .125% of average daily net assets
of the Fund. The distribution fee is to compensate MLPF&S financial advisors and
other directly involved branch office personnel for selling shares of the Fund
and for providing direct personal services to shareholders. The distribution fee
is not compensation for the administrative and operational services rendered to
the Fund by MLPF&S in processing share orders and administering shareholder
accounts.
Financial Data Services, Inc. ("FDS"), a wholly-owned subsidiary of ML & Co., is
the Fund's transfer agent.
For the year ended March 31, 2004, the Fund reimbursed FAM $12,026 for certain
accounting services.
CMA CONNECTICUT MUNICIPAL MONEY FUND MARCH 31, 2004 13
[LOGO] Merrill Lynch Investment Managers
Notes to Financial Statements (concluded)
Certain officers and/or trustees of the Fund are officers and/or directors of
FAM, PSI, FDS, and/or ML & Co.
3. Shares of Beneficial Interest:
The number of shares sold, reinvested and redeemed during the periods
corresponds to the amounts included in the Statements of Changes in Net Assets
for net proceeds from sale of shares, value of shares reinvested and cost of
shares redeemed, respectively, since shares are recorded at $1.00 per share.
4. Distributions to Shareholders:
The tax character of distributions paid during the fiscal years ended March 31,
2004 and March 31, 2003 was as follows:
- --------------------------------------------------------------------------------
3/31/2004 3/31/2003
- --------------------------------------------------------------------------------
Distributions paid from:
Tax-exempt income ................... $2,041,057 $3,849,638
------------------------------
Total distributions .................... $2,041,057 $3,849,638
==============================
As of March 31, 2004, there were no significant differences between the book and
tax components of net assets.
14 CMA CONNECTICUT MUNICIPAL MONEY FUND MARCH 31, 2004
Independent Auditors' Report
To the Shareholders and Board of Trustees of
CMA Multi-State Municipal Series Trust:
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of CMA Connecticut Municipal Money Fund of CMA
Multi-State Municipal Series Trust (the "Trust") as of March 31, 2004, and the
related statement of operations for the year then ended, the statements of
changes in net assets for each of the two years in the period then ended, and
the financial highlights for each of the five years in the period then ended.
These financial statements and financial highlights are the responsibility of
the Trust's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities owned as of March 31, 2004, by correspondence with the custodian and
brokers; where replies were not received from brokers, we performed other
auditing procedures. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of CMA
Connecticut Municipal Money Fund of CMA Multi-State Municipal Series Trust as of
March 31, 2004, the results of its operations for the year then ended, the
changes in its net assets for each of the two years in the period then ended,
and its financial highlights for each of the five years in the period then
ended, in conformity with accounting principles generally accepted in the United
States of America.
Deloitte & Touche LLP
Princeton, New Jersey
May 14, 2004
CMA CONNECTICUT MUNICIPAL MONEY FUND MARCH 31, 2004 15
[LOGO] Merrill Lynch Investment Managers
Officers and Trustees (unaudited)
Number of
Portfolios in Other Public
Position(s) Length of Fund Complex Directorships
Held with Time Overseen by Held by
Name Address & Age Fund Served Principal Occupation(s) During Past 5 Years Trustee Trustee
====================================================================================================================================
Interested Trustee
- ------------------------------------------------------------------------------------------------------------------------------------
Terry K. P.O. Box 9011 President 1999 to President of the Merrill Lynch Investment Managers, 124 Funds None
Glenn* Princeton, NJ and present L.P. ("MLIM")/Fund Asset Management, L.P. 160 Portfolios
08543-9011 Trustee and 1997 ("FAM")--Advised Funds since 1999; Chairman
Age: 63 to (Americas Region) of MLIM from 2000 to 2002;
present Executive Vice President of MLIM and FAM (which
terms as used herein include their corporate
predecessors) from 1983 to 2002; President of FAM
Distributors, Inc. ("FAMD") from 1986 to 2002 and
Director thereof from 1991 to 2002; Executive Vice
President and Director of Princeton Services, Inc.
("Princeton Services") from 1993 to 2002; President
of Princeton Administrators, L.P. from 1989 to 2002;
Director of Financial Data Services, Inc. since 1985.
------------------------------------------------------------------------------------------------------------------------
* Mr. Glenn is a director, trustee or member of an advisory board of certain other investment companies for which MLIM
or FAM acts as investment adviser. Mr. Glenn is an "interested person," as described in the Investment Company Act,
of the Fund based on his former positions with MLIM, FAM, FAMD, Princeton Services and Princeton Administrators, L.P.
The Trustee's term is unlimited. Trustees serve until their resignation, removal or death, or until December 31 of
the year in which they turn 72. As Fund President, Mr. Glenn serves at the pleasure of the Board of Trustees.
====================================================================================================================================
Independent Trustees*
- ------------------------------------------------------------------------------------------------------------------------------------
Ronald W. P.O. Box 9095 Trustee 1988 to Professor Emeritus of Finance, School of Business, 51 Funds None
Forbes Princeton, NJ present State University of New York at Albany since 2000 50 Portfolios
08543-9095 and Professor thereof from 1989 to 2000;
Age: 63 International Consultant at the Urban Institute
from 1995 to 1999.
- ------------------------------------------------------------------------------------------------------------------------------------
Cynthia A. P.O. Box 9095 Trustee 1994 to Professor, Harvard Business School since 1989. 51 Funds Newell
Montgomery Princeton, NJ present 50 Portfolios Rubbermaid,
08543-9095 Inc.
Age: 51
- ------------------------------------------------------------------------------------------------------------------------------------
Kevin A. P.O. Box 9095 Trustee 1992 to Director Emeritus of The Boston University Center 51 Funds None
Ryan Princeton, NJ present for the Advancement of Ethics and Character from 50 Portfolios
08543-9095 1989 to 1999; Professor of Education at Boston
Age: 71 University from 1982 to 1999 and Professor Emeritus
thereof since 1999.
- ------------------------------------------------------------------------------------------------------------------------------------
Roscoe S. P.O. Box 9095 Trustee 2000 to President of Middle East Institute from 1995 to 51 Funds None
Suddarth Princeton, NJ present 2001; Foreign Service Officer of United States 50 Portfolios
08543-9095 Foreign Service from 1961 to 1995 and Career
Age: 68 Minister thereof from 1989 to 1995; Deputy
Inspector General of U.S. Department of State from
1991 to 1994; U.S. Ambassador to the Hashemite
Kingdom of Jordan from 1987 to 1990.
- ------------------------------------------------------------------------------------------------------------------------------------
Richard R. P.O. Box 9095 Trustee 1988 to Professor of Finance, New York University, 51 Funds Bowne & Co.,
West Princeton, NJ present Leonard N. Stern School of Business Administration 50 Portfolios Inc.; Vornado
08543-9095 from 1982 to 1994 and Dean Emeritus thereof Operating
Age: 66 since 1994. Company;
Vornado
Realty Trust
and
Alexander's,
Inc.
16 CMA CONNECTICUT MUNICIPAL MONEY FUND MARCH 31, 2004
Officers and Trustees (unaudited) (concluded)
Number of
Portfolios in Other Public
Position(s) Length of Fund Complex Directorships
Held with Time Overseen by Held by
Name Address & Age Fund Served Principal Occupation(s) During Past 5 Years Trustee Trustee
====================================================================================================================================
Independent Trustees* (concluded)
- ------------------------------------------------------------------------------------------------------------------------------------
Edward D. P.O. Box 9095 Trustee 2000 to Self-employed financial consultant since 1994; 51 Funds None
Zinbarg Princeton, NJ present Executive Vice President of The Prudential 50 Portfolios
08543-9095 Insurance Company of America from 1988 to 1994;
Age: 69 Former Director of Prudential Reinsurance
Company and former Trustee of The Prudential
Foundation.
------------------------------------------------------------------------------------------------------------------------
* The Trustee's term is unlimited. Trustees serve until their resignation, removal or death, or until December 31 of
the year in which they turn 72.
- ------------------------------------------------------------------------------------------------------------------------------------
Position(s) Length of
Held with Time
Name Address & Age Fund Served* Principal Occupation(s) During Past 5 Years
====================================================================================================================================
Fund Officers
- ------------------------------------------------------------------------------------------------------------------------------------
Donald C. P.O. Box 9011 Vice 1993 to First Vice President of MLIM and FAM since 1997 and Treasurer thereof since 1999;
Burke Princeton, NJ President present Senior Vice President and Treasurer of Princeton Services since 1999; Vice
08543-9011 and and 1999 President of FAMD since 1999; Director of MLIM Taxation since 1990.
Age: 43 Treasurer to
present
- ------------------------------------------------------------------------------------------------------------------------------------
Kenneth A. P.O. Box 9011 Senior Vice 2002 to Managing Director of MLIM since 2000; Director (Tax-Exempt Fund Management) of
Jacob Princeton, NJ President present MLIM from 1997 to 2000.
08543-9011
Age: 53
- ------------------------------------------------------------------------------------------------------------------------------------
John M. P.O. Box 9011 Senior Vice 2002 to Managing Director of MLIM since 2000; Director (Tax-Exempt Fund Management) of
Loffredo Princeton, NJ President present MLIM from 1998 to 2000.
08543-9011
Age: 40
- ------------------------------------------------------------------------------------------------------------------------------------
Steven T. P.O. Box 9011 Vice 1996 to Vice President of MLIM since 1998.
Lewis Princeton, NJ President present
08543-9011
Age: 40
- ------------------------------------------------------------------------------------------------------------------------------------
Phillip S. P.O. Box 9011 Secretary 2000 to First Vice President of MLIM since 2001; Director (Legal Advisory) from 2000 to
Gillespie Princeton, NJ present 2001; Vice President from 1999 to 2000; Attorney associated with MLIM since 1998.
08543-9011
Age: 40
------------------------------------------------------------------------------------------------------------------------
* Officers of the Fund serve at the pleasure of the Board of Trustees.
- ------------------------------------------------------------------------------------------------------------------------------------
Further information about the Fund's Officers and Trustees is available in the Fund's Statement of Additional
Information, which can be obtained without charge by calling 1-800-MER-FUND.
- ------------------------------------------------------------------------------------------------------------------------------------
Custodian
State Street Bank and Trust
Company
P.O. Box 351
Boston, MA 02101
Transfer Agent
Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
800-221-7210**
** For inquiries regarding your CMA account, call 800-CMA-INFO or
800-262-4636.
- --------------------------------------------------------------------------------
Charles C. Reilly, Trustee of CMA Connecticut Municipal Money Fund, has recently
retired. The Fund's Board of Trustees wishes Mr. Reilly well in his retirement.
- --------------------------------------------------------------------------------
CMA CONNECTICUT MUNICIPAL MONEY FUND MARCH 31, 2004 17
[LOGO] Merrill Lynch Investment Managers
Electronic Delivery
The Fund offers 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.
18 CMA CONNECTICUT MUNICIPAL MONEY FUND MARCH 31, 2004
[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.
A description of the policies and procedures that the Fund uses to determine how
to vote proxies relating to portfolio securities is available (1) without
charge, upon request, by calling toll-free 1-800-MER-FUND (1-800-637-3863); (2)
on www.mutualfunds.ml.com; and (3) on the Securities and Exchange Commission's
website at http://www.sec.gov.
CMA Connecticut Municipal Money Fund
of CMA Multi-State Municipal Series Trust
Box 9011
Princeton, NJ
08543-9011
#16055 -- 3/04
Item 2 - Code of Ethics - The registrant has adopted a code of ethics, as of the
end of the period covered by this report, that applies to the
registrant's principal executive officer, principal financial officer
and principal accounting officer, or persons performing similar
functions. A copy of the code of ethics is available without charge
upon request by calling toll-free 1-800-MER-FUND (1-800-637-3863).
Item 3 - Audit Committee Financial Expert - The registrant's board of directors
has determined that (i) the registrant has the following audit
committee financial experts serving on its audit committee and (ii)
each audit committee financial expert is independent: (1) Ronald W.
Forbes, (2) Richard R. West, and (3) Edward D. Zinbarg.
Item 4 - Principal Accountant Fees and Services
(a) Audit Fees - Fiscal Year Ending March 31, 2004 - $31,200
Fiscal Year Ending March 31, 2003 - $34,164
(b) Audit-Related Fees - Fiscal Year Ending March 31, 2004 - $0
Fiscal Year Ending March 31, 2003 - $0
(c) Tax Fees - Fiscal Year Ending March 31, 2004 - $5,200
Fiscal Year Ending March 31, 2003 - $4,800
The nature of the services include tax compliance, tax advice and tax
planning.
(d) All Other Fees - Fiscal Year Ending March 31, 2004 - $0
Fiscal Year Ending March 31, 2003 - $0
(e)(1) The registrant's audit committee (the "Committee") has adopted
policies and procedures with regard to the pre-approval of services.
Audit, audit-related and tax compliance services provided to the
registrant on an annual basis require specific pre-approval by the
Committee. The Committee also must approve other non-audit services
provided to the registrant and those non-audit services provided to the
registrant's affiliated service providers that relate directly to the
operations and the financial reporting of the registrant. Certain of
these non-audit services that the Committee believes are a) consistent
with the SEC's auditor independence rules and b) routine and recurring
services that will not impair the independence of the independent
accountants may be approved by the Committee without consideration on a
specific case-by-case basis ("general pre-approval"). However, such
services will only be deemed pre-approved provided that any individual
project does not exceed $5,000 attributable to the registrant or
$50,000 for the project as a whole. Any proposed services exceeding the
pre-approved cost levels will require specific pre-approval by the
Committee, as will any other services not subject to general
pre-approval (e.g., unanticipated but permissible services). The
Committee is informed of each service approved subject to general
pre-approval at the next regularly scheduled in-person board meeting.
(e)(2) 0%
(f) Not Applicable
(g) Fiscal Year Ending March 31, 2004 - $16,708,160
Fiscal Year Ending March 31, 2003 - $17,378,427
(h) The registrant's audit committee has considered and determined that
the provision of non-audit services that were rendered to the
registrant's investment adviser and any entity controlling, controlled
by, or under common control with the investment adviser that provides
ongoing services to the registrant that were not pre-approved pursuant
to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible
with maintaining the principal accountant's independence.
Regulation S-X Rule 2-01(c)(7)(ii) - $541,640, 0%
Item 5 - Audit Committee of Listed Registrants - Not Applicable
Item 6 - Schedule of Investments - Not Applicable
Item 7 - Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies - Not Applicable
Item 8 - Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers - Not Applicable
Item 9 - Submission of Matters to a Vote of Security Holders - Not Applicable
Item 10 - Controls and Procedures
10(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.
10(b) - There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR
270.30a-3(d)) that occurred during the second fiscal half-year of the
period covered by this report that has materially affected, or is
reasonably likely to materially affect, the registrant's internal
control over financial reporting.
Item 11 - Exhibits attached hereto
11(a)(1) - Code of Ethics - See Item 2
11(a)(2) - Certifications - Attached hereto
11(a)(3) - Not Applicable
11(b) - Certifications - Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this
report to be signed on its behalf by the undersigned, thereunto duly
authorized.
CMA Connecticut Municipal Money Fund of CMA Multi-State Municipal Series
Trust
By: /s/ Terry K. Glenn
---------------------
Terry K. Glenn,
President of
CMA Connecticut Municipal Money Fund of CMA Multi-State Municipal
Series Trust
Date: May 21, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed below by
the following persons on behalf of the registrant and in the capacities
and on the dates indicated.
By: /s/ Terry K. Glenn
---------------------
Terry K. Glenn,
President of
CMA Connecticut Municipal Money Fund of CMA Multi-State Municipal
Series Trust
Date: May 21, 2004
By: /s/ Donald C. Burke
---------------------
Donald C. Burke,
Chief Financial Officer of
CMA Connecticut Municipal Money Fund of CMA Multi-State Municipal
Series Trust
Date: May 21, 2004