-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, GpRxnCVuHUAKcIs1GpFf0t2afHFOEaPJALJ8CiC8L/gb6JDGx2MtHRvpT6RE/d1Y HDZ2Kg5lTLd5A4mPx9ClrA== 0000900092-06-000184.txt : 20060601 0000900092-06-000184.hdr.sgml : 20060601 20060601165007 ACCESSION NUMBER: 0000900092-06-000184 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20060331 FILED AS OF DATE: 20060601 DATE AS OF CHANGE: 20060601 EFFECTIVENESS DATE: 20060601 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CMA TAX EXEMPT FUND/ CENTRAL INDEX KEY: 0000320281 IRS NUMBER: 136789904 STATE OF INCORPORATION: WI FISCAL YEAR END: 0331 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-03111 FILM NUMBER: 06880576 BUSINESS ADDRESS: STREET 1: 800 SCUDDERS MILL RD CITY: PLAINSBORO STATE: NJ ZIP: 08546 BUSINESS PHONE: 6092823319 MAIL ADDRESS: STREET 1: 800 SCUDDERS MILL RD CITY: PLAINSBORO STATE: NJ ZIP: 08536 FORMER COMPANY: FORMER CONFORMED NAME: CMA TAX EXEMPT TRUST DATE OF NAME CHANGE: 19910505 FORMER COMPANY: FORMER CONFORMED NAME: CMA TAX EXEMPT FUND DATE OF NAME CHANGE: 19870802 0000320281 S000002959 CMA TAX EXEMPT FUND/ C000008095 CMA TAX EXEMPT FUND/ N-CSR 1 ml7380.txt CMA TAX EXEMPT FUND 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 811-03111 811-21301 Name of Fund: CMA Tax-Exempt Fund Master Tax-Exempt Trust Fund Address: P.O. Box 9011 Princeton, NJ 08543-9011 Name and address of agent for service: Robert C. Doll, Jr., Chief Executive Officer, CMA Tax-Exempt Fund and Master Tax-Exempt 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: 03/31/06 Date of reporting period: 04/01/05 - 03/31/06 Item 1 - Report to Stockholders Annual Report March 31, 2006 CMA Tax-Exempt Fund (BULL LOGO) Merrill Lynch Investment Managers www.mlim.ml.com Mercury Advisors A Division of Merrill Lynch Investment Managers www.mercury.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. Refer to www.mlim.ml.com to obtain performance data current to the most recent month-end. 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 1-800-637-3863; (2) at www.mutualfunds.ml.com; and (3) on the Securities and Exchange Commission's Web site at http://www.sec.gov. Information about how the Fund voted proxies relating to securities held in the Fund's portfolio during the most recent 12-month period ended June 30 is available (1) at www.mutualfunds.ml.com and (2) on the Securities and Exchange Commission's Web site at http://www.sec.gov. CMA Tax-Exempt Fund Box 9011 Princeton, NJ 08543-9011 (GO PAPERLESS LOGO) It's Fast, Convenient, & Timely! To sign up today, go to www.icsdelivery.com/live. CMA Tax-Exempt Fund Announcement to Shareholders On February 15, 2006, BlackRock, Inc. ("BlackRock") and Merrill Lynch & Co., Inc. ("Merrill Lynch") entered into an agreement to contribute Merrill Lynch's investment management business, Merrill Lynch Investment Managers, L.P. and certain affiliates (including Fund Asset Management, L.P. and Merrill Lynch Investment Managers International Limited), to BlackRock to create a new independent company that will be one of the world's largest asset management firms with over $1 trillion in assets under management (based on combined assets under management as of March 31, 2006). The transaction is expected to close in the third quarter of 2006, at which time the new company will operate under the BlackRock name. If approved by the Fund's Board of Trustees and Fund shareholders, the combined company that results from the transaction is expected to become the investment adviser of the Fund. Portfolio Holdings* Put Bonds--8.8% Fixed Rate Notes--15.0% Tax-Exempt Commercial Paper--9.2% Variable Rate Demand Obligations--67.0% * Based on total market value of Master Tax-Exempt Trust as of March 31, 2006. Investments are valued at amortized cost, which approximates market value. CMA TAX-EXEMPT FUND MARCH 31, 2006 A Letter From the President Dear Shareholder You may be aware that changes are on the horizon at Merrill Lynch Investment Managers ("MLIM"). On February 15, 2006, Merrill Lynch announced plans to combine the firm's investment advisory business, including MLIM, with another highly regarded investment manager - BlackRock, Inc. ("BlackRock"). We believe this merger of asset management strength will benefit our investors. MLIM is a leading investment management organization with over $576 billion in assets under management globally and 2,757 employees in 17 countries. It offers over 100 investment strategies in vehicles ranging from mutual funds to institutional portfolios. BlackRock is one of the largest publicly traded investment management firms in the United States with $463.1 billion in assets under management and 1,839 employees. It manages assets on behalf of institutional and individual investors worldwide through a variety of equity, fixed income, liquidity and alternative investment products. At the completion of the transaction, which is expected in the third quarter of this year, the resultant firm will be a top-10 investment manager worldwide with over $1 trillion in assets under management.* The combined company will provide a wider selection of high-quality investment solutions across a range of asset classes and investment styles. MLIM and BlackRock possess complementary capabilities that together create a well-rounded organization uniting some of the finest money managers in the industry. At the same time, the firms share similar values and beliefs - they are focused on delivering excellence on behalf of clients, and both make investment performance their single most important mission. In short, the merger only reinforces our commitment to shareholders. Most of MLIM's investment products - including mutual funds, separately managed accounts, annuities and variable insurance funds - eventually will carry the "BlackRock" name. As a shareholder in one or more MLIM-advised mutual funds, you will receive a proxy package in the coming weeks in connection with this transaction. After you receive this information, should you have any questions or concerns, do not hesitate to contact your financial advisor. As always, we thank you for entrusting us with your investment assets, and we look forward to continuing to serve your investment needs with even greater strength and scale as the new BlackRock. Sincerely, (Robert C. Doll, Jr.) Robert C. Doll, Jr. President and Chief Investment Officer Merrill Lynch Investment Managers * $1.039 trillion in assets under management as of March 31, 2006. Data, including assets under management, are as of March 31, 2006. CMA TAX-EXEMPT FUND MARCH 31, 2006 A Discussion With Your Fund's Portfolio Manager We maintained a relatively conservative investment strategy throughout the period in light of the Federal Reserve Board's continued program of interest rate increases. How did the Fund perform during the fiscal year in light of the existing market conditions? For the 12-month period ended March 31, 2006, CMA Tax-Exempt Fund paid shareholders a net annualized yield of 2.22%. For the six-month period ended March 31, 2006, the Fund paid shareholders a net annualized yield of 2.51%. As of March 31, 2006, the Fund's seven-day yield was 2.67%. During the 12-month period, CMA Tax-Exempt Fund provided a competitive yield relative to its iMoneyNet peers. In light of the Federal Reserve Board's (the Fed's) continued program of interest rate hikes, we maintained a conservative investment strategy by maintaining a relatively short average portfolio maturity. With this strategy, we were able to provide our shareholders with a stable net asset value, strong credit quality and attractive yield. The U.S. economy continued to record strong growth, despite higher energy prices and a softening housing market. The Fed - which welcomed its new chairman, Ben Bernanke, on January 31 - continued to raise the federal funds rate in an effort to keep inflation in check. During the past year, the Fed's Open Market Committee met eight times and increased the target short-term interest rate by one quarter percentage point at each meeting. By period-end, the U.S. central bank had raised interest rates for the 15th consecutive time since June 2004, pushing the federal funds rate to 4.75% - its highest level since April 2001. The Fed also continued to express concern that high energy costs and tight labor markets could drive inflation above acceptable levels - concerns that indicate the potential for a few more rate increases. In both the U.S. Treasury and municipal bond markets, yield spreads - the difference in yields offered by shorter-maturity and longer-maturity securities - narrowed significantly during the past 12 months. In fact, in early 2006, the Treasury yield curve temporarily inverted when the yield on the 10-year Treasury note fell below that of the two-year Treasury note. This unusual situation, in which shorter-term bonds outyield their longer counterparts, can occur when the Fed is actively raising short-term interest rates. In the municipal market, the Fed's rate increases led fixed rate note and variable rate demand note yields to trend higher as well. The yield on fixed rate notes with one-year maturities rose from 2.50% to 3.50% during the period, while variable rate yields, as measured by the BMA Municipal Swap Index, averaged 2.77% during the past 12 months, compared to 1.47% in the prior 12-month period. How did you manage the portfolio during the period? As part of our generally conservative approach, we kept the Fund's weighted average portfolio maturity shorter than neutral for the majority of the past 12 months. We continued to favor shorter-dated variable rate demand securities over longer-dated fixed rate notes. Given the rising interest rate environment, variable rate securities, whose rates are reset on a daily or weekly basis, helped us to limit the portfolio's interest rate risk while providing a high degree of credit quality and the flexibility to adapt to changing market conditions. We also saw tax-exempt commercial paper and term structured products as attractive investment alternatives to one-year fixed rate notes. These securities, which have flexible effective maturities ranging from 30 days to 180 days, allowed us to lock in attractive rates during periods when variable rate demand yields were temporarily low because of seasonal asset inflows into the short-term municipal market. July 2005 and January 2006 were two such periods of strong asset growth in money funds due to interest payments, maturities and bond defeasance (setting aside funds to cover future debt obligations). CMA TAX-EXEMPT FUND MARCH 31, 2006 How would you characterize the Fund's position at the close of the period? As of March 31, 2006, it appeared that the Fed may continue to push short-term interest rates higher in the coming months. For the near future, short-term municipal yields will likely be driven not only by Fed monetary policy but also by some important technical factors. First, April tax time historically has meant an increase in shareholder redemptions and, in turn, a sharp move higher in variable rate demand yields as assets leave the short-term municipal market. Because the Fund ended the period overweighted in this sector, we believe we are well positioned to take advantage of higher yields if past trends repeat themselves. Second, by summer 2006, short-term notes issued by states and municipalities will come to market to satisfy the issuers' borrowing needs for the upcoming fiscal year. However, short-term note issuance has declined in recent years because of the strength of the U.S. economy and improvements in state and local balance sheets. This reduced supply might cause short-term municipal issues to trade at a premium relative to a period of time when there was more ample supply. We will closely monitor the credit quality of the portfolio's investments and continue to strive to preserve net asset value for our shareholders while attempting to offer an attractive return. Peter J. Hayes Vice President and Portfolio Manager April 12, 2006 CMA TAX-EXEMPT FUND MARCH 31, 2006 Disclosure of Expenses Shareholders of this Fund may incur the following charges: (a) expenses related to transactions, including sales charges, redemption fees and exchange fees; and (b) operating expenses including advisory fees, distribution fees including 12b-1 fees, and other Fund expenses. The following example (which is based on a hypothetical investment of $1,000 invested on October 1, 2005 and held through March 31, 2006) is intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds. The first table below provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number in the first line under the heading entitled "Expenses Paid During the Period." The second table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in this Fund and other funds, compare the 5% hypothetical example with the 5% hypothetical examples that appear in other funds' shareholder reports. The expenses shown in the table are intended to highlight shareholders' ongoing costs only and do not reflect any transactional expenses, such as sales charges, redemption fees or exchange fees. Therefore, the second table is useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
Expenses Paid Beginning Ending During the Period* Account Value Account Value October 1, 2005 October 1, March 31, to March 31, 2005 2006 2006 Actual CMA Tax-Exempt Fund $1,000 $1,012.40 $2.81 Hypothetical (5% annual return before expenses)** CMA Tax-Exempt Fund $1,000 $1,022.11 $2.82 * Expenses are equal to the Fund's annualized expense ratio of .56%, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown). Because the Fund is a feeder fund, the expense table example reflects the expenses of both the feeder fund and the master trust in which it invests. ** Hypothetical 5% annual return before expenses is calculated by pro-rating the number of days in the most recent fiscal half year divided by 365.
CMA TAX-EXEMPT FUND MARCH 31, 2006 Statement of Assets and Liabilities CMA Tax-Exempt Fund
As of March 31, 2006 Assets Investment in Master Tax-Exempt Trust (the "Trust"), at value (identified cost--$8,764,078,712) $ 8,764,078,712 Prepaid expenses 280,518 --------------- Total assets 8,764,359,230 --------------- Liabilities Payables: Administrator $ 1,707,523 Distributor 1,301,516 Other affiliates 207,590 3,216,629 --------------- Accrued expenses and other liabilities 34,211 --------------- Total liabilities 3,250,840 --------------- Net Assets Net assets $ 8,761,108,390 =============== Net Assets Consist of Shares of beneficial interest, $.10 par value, unlimited number of shares authorized $ 876,380,341 Paid-in capital in excess of par 7,886,453,018 Accumulated realized capital losses allocated from the Trust--net (1,724,969) --------------- Net Assets--Equivalent to $1.00 per share based on 8,763,803,410 shares of beneficial interest outstanding $ 8,761,108,390 =============== See Notes to Financial Statements.
Statement of Operations CMA Tax-Exempt Fund
For the Year Ended March 31, 2006 Investment Income Interest from affiliates $ 21,222 Net investment income allocated from the Trust: Interest and amortization of premium and discount earned 240,933,955 Expenses (13,354,726) --------------- Total income 227,600,451 --------------- Expenses Administration fees $ 21,749,642 Distribution fees 10,597,343 Transfer agent fees 1,325,061 Registration fees 847,669 Printing and shareholder reports 126,259 Professional fees 82,218 Other 31,309 --------------- Total expenses 34,759,501 --------------- Investment income--net 192,840,950 --------------- Realized Loss Allocated from the Trust--Net Realized loss on investments--net (386,763) --------------- Net Increase in Net Assets Resulting from Operations $ 192,454,187 =============== See Notes to Financial Statements.
CMA TAX-EXEMPT FUND MARCH 31, 2006 Statements of Changes in Net Assets CMA Tax-Exempt Fund
For the Year Ended March 31, Increase (Decrease) in Net Assets: 2006 2005 Operations Investment income--net $ 192,840,950 $ 84,800,519 Realized loss--net (386,763) (873,498) ---------------- ---------------- Net increase in net assets resulting from operations 192,454,187 83,927,021 ---------------- ---------------- Dividends to Shareholders Dividends to shareholders from investment income--net (192,840,950) (84,800,519) ---------------- ---------------- Beneficial Interest Transactions Net proceeds from sale of shares 42,771,723,313 35,503,093,560 Value of shares issued to shareholders in reinvestment of dividends 192,841,208 84,796,054 ---------------- ---------------- Total shares issued 42,964,564,521 35,587,889,614 Cost of shares redeemed (43,232,343,557) (36,079,796,531) ---------------- ---------------- Net decrease in net assets derived from beneficial interest transactions (267,779,036) (491,906,917) ---------------- ---------------- Net Assets Total decrease in net assets (268,165,799) (492,780,415) Beginning of year 9,029,274,189 9,522,054,604 ---------------- ---------------- End of year $ 8,761,108,390 $ 9,029,274,189 ================ ================ See Notes to Financial Statements.
CMA TAX-EXEMPT FUND MARCH 31, 2006 Financial Highlights CMA Tax-Exempt Fund
The following per share data and ratios have been derived For the Year Ended March 31, from information provided in the financial statements. 2006 2005 2004 2003++++++ 2002 Per Share Operating Performance Net asset value, beginning of year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ----------- ----------- ----------- ----------- ----------- Investment income--net .02 .01 .01 .01 .02 Realized gain (loss)--net --++++ --++++ --++++ --++++ --++ ----------- ----------- ----------- ----------- ----------- Total from investment operations .02 .01 .01 .01 .02 ----------- ----------- ----------- ----------- ----------- Less dividends from investment income--net (.02) (.01) (.01) (.01) (.02) ----------- ----------- ----------- ----------- ----------- Net asset value, end of year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 =========== =========== =========== =========== =========== Total investment return 2.24% .93% .54% .93% 1.76% =========== =========== =========== =========== =========== Ratios to Average Net Assets Expenses .55%+++ .55%+++ .55%+++ .55%+++ .55% =========== =========== =========== =========== =========== Investment income and realized gain (loss)--net 2.21%+++ .91%+++ .55%+++ .93%+++ 1.78% =========== =========== =========== =========== =========== Supplemental Data Net assets, end of year (in thousands) $ 8,761,108 $ 9,029,274 $ 9,522,055 $10,587,794 $10,545,626 =========== =========== =========== =========== =========== ++ Amount is less than $.01 per share. ++++ Amount is less than $(.01) per share. ++++++ On February 13, 2003, the Fund converted from a stand-alone investment company to a "feeder" fund that seeks to achieve its investment objective by investing all of its assets in the Trust, which has the same investment objective as the Fund. All investments will be made at the Trust level. This structure is sometimes called a "master/feeder" structure. +++ Includes the Fund's share of the Trust's allocated expenses and/or investment income and realized gain (loss)--net. See Notes to Financial Statements.
CMA TAX-EXEMPT FUND MARCH 31, 2006 Notes to Financial Statements CMA Tax-Exempt Fund 1. Significant Accounting Policies: CMA Tax-Exempt Fund (the "Fund") is registered under the Investment Company Act of 1940, as amended, as a no load, diversified, open-end management investment company. The Fund seeks to achieve its investment objective by investing all of its assets in the Master Tax-Exempt Trust (the "Trust"), which has the same investment objective and strategies as the Fund. The value of the Fund's investment in the Trust reflects the Fund's proportionate interest in the net assets of the Trust. The performance of the Fund is directly affected by the performance of the Trust. The financial statements of the Trust, including the Schedule of Investments, are included elsewhere in this report and should be read in conjunction with the Fund's financial statements. The Fund's financial statements are prepared in conformity with U.S. generally accepted accounting principles, which may require the use of management accruals and estimates. Actual results may differ from these estimates. The percentage of the Trust owned by the Fund at March 31, 2006 was 92%. The following is a summary of significant accounting policies followed by the Fund. (a) Valuation of investments--The Fund records its investment in the Trust at fair value. Valuation of securities held by the Trust is discussed in Note 1(a) of the Trust's Notes to Financial Statements, which are included elsewhere in this report. (b) Investment income and expenses--The Fund records daily its proportionate share of the Trust's income, expenses and realized and unrealized gains and losses. In addition, the Fund accrues its own income and expenses. (c) 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. (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 and distributions are declared from the total of net investment income and net realized gain or loss on investments. (f) Investment transactions--Investment transactions are accounted for on a trade date basis. (g) Reclassification--U.S. generally accepted accounting principles require that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. Accordingly, during the current year, $4,977 has been reclassified between paid-in capital in excess of par and accumulated net realized capital losses as a result of a permanent difference attributable to the allocation of partnership tax adjustments. This reclassification has no effect on net assets or net asset values per share. 2. Transactions with Affiliates: The Fund has entered into an Administration Agreement with Fund Asset Management, L.P. ("FAM"). The general partner of FAM is Princeton Services, Inc. ("PSI"), a wholly-owned subsidiary of Merrill Lynch & Co., Inc. ("ML & Co."), which is the limited partner. The Fund pays a monthly fee at an annual rate of .25% of the Fund's average daily net assets for the performance of administrative services (other than investment advice and related portfolio activities) necessary for the operation of the Fund. 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"), an affiliate of FAM, receives a distribution fee from the Fund. The fee is accrued daily and paid monthly at the annual rate of .125% of average daily net assets of the Fund for shareholders whose Fund accounts are serviced by MLPF&S financial advisors, whether maintained through MLPF&S or directly with each Fund's transfer agent. The distribution fee is to compensate MLPF&S for providing, or arranging for the provision of, account maintenance and sales and promotional activities and services with respect to shares of the Fund. CMA TAX-EXEMPT FUND MARCH 31, 2006 Notes to Financial Statements (concluded) CMA Tax-Exempt Fund Financial Data Services, Inc. ("FDS"), a wholly-owned subsidiary of ML & Co., is the Fund's transfer agent. Interest is earned by the Fund from FDS based on the difference, if any, between estimated and actual beneficial share activity, which results in uninvested net proceeds from the sales of Fund shares. Certain officers and/or trustees of the Fund are officers and/or directors of FAM, PSI, FDS, and/or ML & Co. In February 2006, ML & Co. and BlackRock, Inc. entered into an agreement to contribute ML & Co.'s investment management business, including FAM, to the investment management business of BlackRock, Inc. The transaction is expected to close in the third quarter of 2006. 3. Transactions in 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, 2006 and March 31, 2005 was as follows: 3/31/2006 3/31/2005 Distributions paid from: Tax-exempt income $ 192,840,950 $ 84,800,519 -------------- -------------- Total distributions $ 192,840,950 $ 84,800,519 ============== ============== As of March 31, 2006, there were no significant differences between book and tax components of net assets. 5. Capital Loss Carryforward: On March 31, 2006, the Fund had a net capital loss carryforward of $1,725,003, of which $72,081 expires in 2008, $144,287 expires in 2011, $220,231 expires in 2012, $232,331 expires in 2013 and $1,056,073 expires in 2014. This amount will be available to offset like amounts of any future taxable gains. CMA TAX-EXEMPT FUND MARCH 31, 2006 Report of Independent Registered Public Accounting Firm CMA Tax-Exempt Fund To the Shareholders and Board of Trustees of CMA Tax-Exempt Fund: We have audited the accompanying statement of assets and liabilities of CMA Tax-Exempt Fund as of March 31, 2006, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). 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. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, 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 Tax-Exempt Fund as of March 31, 2006, 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 U.S. generally accepted accounting principles. Deloitte & Touche LLP Princeton, New Jersey May 22, 2006 Important Tax Information (unaudited) All of the net investment income distributions paid by CMA Tax-Exempt Fund during the taxable year ended March 31, 2006 qualify as tax-exempt interest dividends for federal income tax purposes. CMA TAX-EXEMPT FUND MARCH 31, 2006 Schedule of Investments Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value Alabama--2.9% $ 59,405 Alabama Special Care Facilities Financing Authority, Mobile Revenue Refunding Bonds (Ascension Health Credit), VRDN, Series B, 3.17% due 11/15/2039 (j) $ 59,405 53,200 Birmingham, Alabama, Special Care Facilities, Financing Authority, Revenue Refunding Bonds (Ascension Health Credit), VRDN, Series B, 3.15% due 11/15/2039 (j) 53,200 22,000 Columbia, Alabama, IDB, PCR, Refunding (Alabama Power Company Project), VRDN, Series E, 3.12% due 10/01/2022 (j) 22,000 20,000 Columbia, Alabama, IDB, Revenue Bonds (Alabama Power Company Project), VRDN, AMT, 3.17% due 11/01/2021 (j) 20,000 12,200 Daphne, Alabama, Special Care Facilities Financing Authority, Revenue Refunding Bonds (Presbyterian), VRDN, Series B, 3.27% due 8/15/2023 (a)(j) 12,200 1,000 Decatur, Alabama, IDB, Environmental Facilities Revenue Bonds (BP Amoco Chemical Company Project), VRDN, AMT, 3.17% due 11/01/2035 (j) 1,000 4,255 Eagle Tax-Exempt Trust, Birmingham, Alabama, Water and Sewer, VRDN, Series 2002-6009, Class A, 3.21% due 1/01/2043 (f)(j) 4,255 Eagle Tax-Exempt Trust, Jefferson County, Alabama, Sewer Revenue Refunding Bonds, VRDN, Series 2002 (b)(j): 7,835 Class 6015, 3.20% due 2/01/2032 7,835 3,000 Class 6016, 3.20% due 2/01/2038 3,000 91,600 Jefferson County, Alabama, Limited Obligation School Warrants, VRDN, Series B, 3.19% due 1/01/2027 (a)(j) 91,600 5,000 Jefferson County, Alabama, Sewer Revenue Refunding Bonds, VRDN, Series C-6, 3.18% due 2/01/2040 (i)(j) 5,000 Alaska--2.2% 19,400 Alaska Industrial Development and Export Authority Revenue Bonds, ROCS, VRDN, Series II-R-320, 3.21% due 4/01/2034 (e)(j) 19,400 80,000 Alaska State Housing Financing Corporation, Collateralized Revenue Bonds (Veterans Mortgage Program), VRDN, AMT, 3.43% due 12/01/2006 (j)(n) 80,000 2,215 Anchorage, Alaska, Electric Utility Revenue Refunding Bonds, PUTTERS, VRDN, Series 1128, 3.21% due 6/01/2013 (f)(j) 2,215 Face Amount Municipal Bonds Value Alaska (concluded) Anchorage, Alaska, GO: $ 6,230 PUTTERS, VRDN, Series 552, 3.21% due 6/01/2012 (f)(j) $ 6,230 18,700 TAN, 4.50% due 12/28/2006 18,856 Valdez, Alaska, Marine Terminal Revenue Refunding Bonds VRDN (j): 7,510 (BP Pipelines Inc. Project), Series A, 3.13% due 6/01/2037 7,510 32,200 (BP Pipelines Inc. Project), Series B, 3.13% due 7/01/2037 32,200 19,450 (BP Pipelines Inc. Project), Series C, 3.19% due 7/01/2037 19,450 2,300 (ConocoPhillips Transportation Project), 3.03% due 5/01/2006 2,300 24,800 (Phillips Petroleum Company Project), Series C, 3% due 6/01/2006 24,800 Arizona--2.8% 33,000 Apache County, Arizona, IDA, IDR (Tucson Electric Power Co.), VRDN, Series 83-A, 3.16% due 12/15/2018 (j) 33,000 Arizona Health Facilities Authority, Revenue Refunding Bonds (Banner Health System), VRDN (j): 5,000 Series A, 3.17% due 1/01/2029 (f) 5,000 4,440 Series B, 3.16% due 1/01/2035 (b) 4,440 10,000 Maricopa County, Arizona, IDA, Health Facilities Revenue Bonds, PUTTERS, VRDN, Series 420, 3.22% due 1/01/2010 (j) 10,000 46,057 Maricopa County, Arizona, IDA, S/F Mortgage Revenue Bonds, FLOATS, VRDN, AMT, Series 1165, 3.24% due 8/01/2006 (j) 46,057 20,000 McAllister Academic Village, LLC, Arizona, Revenue Bonds (Arizona State University Project), VRDN, Series A, 3.18% due 7/01/2045 (a)(j) 20,000 32,290 Morgan Keegan Municipal Products, Inc., Maricopa County, Arizona, IDA, VRDN, AMT, Series A, 3.27% due 2/02/2009 (j) 32,290 4,775 Phoenix, Arizona, Civic Improvement Corporation, State of Arizona, Distribution Revenue Bonds, TOCS, VRDN, Series Z-11, 3.24% due 5/08/2034 (b)(j) 4,775 4,095 Phoenix, Arizona, IDA, Government Office Lease Revenue Refunding Bonds, PUTTERS, VRDN, Series 1119, 3.21% due 9/15/2013 (a)(j) 4,095 65,785 Phoenix, Arizona, IDA, S/F Mortgage Revenue Bonds, VRDN, Series A, 4.829% due 5/01/2006 (j) 65,785 Portfolio Abbreviations for Master Tax-Exempt Trust ACES (SM) Adjustable Convertible Extendible Securities AMT Alternative Minimum Tax (subject to) BAN Bond Anticipation Notes COP Certificates of Participation CP Commercial Paper EDA Economic Development Authority EDR Economic Development Revenue Bonds FLOATS Floating Rate Securities GO General Obligation Bonds HDA Housing Development Authority HFA Housing Finance Agency IDA Industrial Development Authority IDB Industrial Development Board IDR Industrial Development Revenue Bonds M/F Multi-Family MERLOTS Municipal Exempt Receipts Liquidity Optional Tenders MSTR Municipal Securities Trust Receipts PCR Pollution Control Revenue Bonds PUTTERS Puttable Tax-Exempt Receipts RAN Revenue Anticipation Notes ROCS Reset Option Certificates S/F Single-Family TAN Tax Anticipation Notes TOCS Tender Option Certificates TRAN Tax Revenue Anticipation Notes VRDN Variable Rate Demand Notes CMA TAX-EXEMPT FUND MARCH 31, 2006 Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value Arizona (concluded) $ 10,590 Pima County, Arizona, IDA, S/F Mortgage Revenue Bonds, VRDN, 4.77% due 2/04/2012 (j) $ 10,590 29,400 Salt River Project Agricultural Improvement and Power District, Arizona, CP, 3.45% due 6/02/2006 29,400 Arkansas--1.3% 7,000 Arkansas State Development Finance Authority, Environmental Facilities Revenue Bonds (Teris LLC Project), VRDN, AMT, 3.23% due 3/01/2021 (j) 7,000 Arkansas State Development Finance Authority, VRDN, S/F Mortgage Revenue Bonds (j): 47,980 4.87% due 9/01/2006 47,980 58,506 FLOATS, AMT, Series 1139, 3.24% due 2/01/2008 58,506 10,520 Morgan Keegan Municipal Products, Inc., VRDN, AMT, 3.27% due 9/01/2006 (j) 10,520 California--2.2% 4,964 California Health Facilities Financing Authority Revenue Bonds, FLOATS, VRDN, Series 591, 3.21% due 3/01/2014 (f)(j) 4,964 32,250 California School Cash Reserve Program Authority, Pooled Revenue Bonds, Series A, 4% due 7/06/2006 32,367 41,250 California State Department of Water Resources, Power Supply Revenue Refunding Bonds, VRDN, Sub-Series G-6, 3.17% due 5/01/2017 (e)(j) 41,250 California State Economic Recovery, GO, FLOATS, VRDN (j): 11,295 Series 956, 3.18% due 7/01/2012 (f) 11,295 17,500 Series L27, 3.18% due 7/01/2017 17,500 8,155 California State, GO, MERLOTS, VRDN, Series B-45, 3.20% due 10/01/2029 (j) 8,155 24,210 California Statewide Communities Development Authority, COP, Refunding, FLOATS, VRDN, Series 909, 3.18% due 8/15/2023 (f)(j) 24,210 37,300 Los Angeles, California, S/F Home Mortgage Revenue Bonds, VRDN, AMT, 4.10% due 12/01/2006 (j) 37,300 28,490 Municipal Securities Trust Certificates, California, Tax Allocation Refunding Bonds, VRDN, Series 2005-242, Class A, 3.14% due 10/02/2013 (e)(j)(m) 28,490 4,800 San Francisco, California, City and County Airport Commission, International Airport Revenue Refunding Bonds, VRDN, Second Series, Issue 33J, 3.10% due 5/01/2026 (i)(j) 4,800 Colorado--1.7% 7,760 Adams County, Colorado, School District Number 012, GO, ROCS, VRDN, Series II-R-1045, 3.21% due 12/15/2022 (e)(j) 7,760 3,210 Colorado Department of Transportation Revenue Bonds, ROCS, VRDN, Series II-R-4046, 3.21% due 12/15/2016 (a)(j) 3,210 10,070 Colorado Department of Transportation Revenue Refunding Bonds, PUTTERS, VRDN, Series 318, 3.21% due 6/15/2015 (f)(j) 10,070 Colorado Educational and Cultural Facilities Authority, Revenue Refunding Bonds (National Jewish Federation Bond Program Project), VRDN (j): 7,025 Series A-1, 3.12% due 9/01/2033 7,025 11,590 Series A-6, 3.12% due 2/01/2025 11,590 22,600 Series A-8, 3.12% due 9/01/2035 22,600 10,000 Series C-1, 3.12% due 9/01/2035 10,000 Face Amount Municipal Bonds Value Colorado (concluded) $ 3,795 Colorado Health Facilities Authority, Revenue Refunding Bonds (Catholic Health Initiatives), VRDN, Series B-1, 3.17% due 3/01/2023 (j) $ 3,795 7,000 Colorado School Mines Development Corporation, Revenue Refunding Bonds, VRDN, 3.34% due 9/01/2026 (j) 7,000 12,870 Dawson Ridge Metropolitan District Number 1, Colorado, GO, Refunding, FLOATS, VRDN, Series Z-12, 3.24% due 6/07/2019 (j) 12,870 5,855 Denver, Colorado, City and County Airport Revenue Refunding Bonds, MERLOTS, VRDN, AMT, Series A61, 3.26% due 11/15/2012 (b)(j) 5,855 10,242 Denver, Colorado, City and County S/F Mortgage Revenue Refunding Bonds, VRDN, AMT, Series A, 4.751% due 10/25/2006 (j) 10,242 2,900 E-470 Public Highway Authority, Colorado, Revenue Bonds, TOCS, VRDN, Series Z-9, 3.24% due 10/01/2021 (f)(j) 2,900 2,835 E-470 Public Highway Authority, Colorado, Revenue Refunding Bonds, FLOATS, VRDN, Series 997, 3.24% due 3/01/2036 (f)(j) 2,835 1,523 El Paso County, Colorado, S/F Mortgage Revenue Bonds, FLOATS, VRDN, AMT, Series 1136, 3.24% due 11/01/2008 (j) 1,523 Pitkin County, Colorado, IDR, Refunding (Aspen Skiing Company Project), VRDN (j): 7,900 AMT, Series B, 3.20% due 4/01/2014 7,900 14,700 Series A, 3.12% due 4/01/2016 14,700 18,200 Platte River Power Authority, Colorado, Electric Revenue Refunding Bonds, VRDN, Sub-Lien, Series S-1, 3.17% due 6/01/2018 (j) 18,200 Connecticut--0.4% 13,070 Connecticut State Health and Educational Facilities Authority, Revenue Refunding Bonds (Ascension Health Credit), VRDN, Series B, 3.15% due 11/15/2029 (j) 13,070 14,800 Eagle Tax-Exempt Trust, Connecticut, GO, Series 96-0701, 3.20% due 11/15/2007 (j) 14,800 9,000 Meriden, Connecticut, GO, BAN, 4% due 8/04/2006 9,032 Delaware--0.6% 2,135 Delaware State Housing Authority, Revenue Bonds, ROCS, VRDN, AMT, Series II-R-359, 3.25% due 7/01/2035 (e)(j) 2,135 16,460 Delaware Transportation Authority, Senior Transportation System, Revenue Refunding Bonds, 5% due 7/01/2006 16,543 37,089 GS Pool Trust, Delaware, FLOATS, VRDN, Series 1, 3.29% due 6/02/2012 (j) 37,089 District of Columbia--2.0% District of Columbia, GO, Refunding, VRDN (j): 17,350 MSTR, Series SGA-62, 3.16% due 6/01/2017 (a) 17,350 13,040 Series C, 3.19% due 6/01/2026 (b) 13,040 96,600 District of Columbia, GO, TRAN, 4% due 9/29/2006 96,968 17,025 District of Columbia, Hospital Revenue Bonds, FLOATS, VRDN, Series 712, 3.24% due 7/15/2019 (j) 17,025 26,335 District of Columbia, Water and Sewer Authority, Public Utility Revenue Bonds, FLOATS, VRDN, Series 1125, 3.45% due 10/01/2033 (b)(j) 26,335 17,500 Metropolitan Washington Airports Authority, CP, 3.44% due 5/16/2006 17,500 CMA TAX-EXEMPT FUND MARCH 31, 2006 Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value Florida--3.1% $ 13,885 Broward County, Florida, Professional Sports Facilities, Tax Revenue Bonds, MSTR, VRDN, Series SGA-38, 3.23% due 9/01/2021 (f)(j) $ 13,885 15,500 Eagle Tax-Exempt Trust, Florida State Board of Education, GO, VRDN, Series 2005-0057, Class A, 3.21% due 6/01/2035 (j) 15,500 5,000 Eclipse Funding Trust, Solar Eclipse Certificates, Gainesville, Florida, Utilities System Revenue Refunding Bonds, VRDN, Series 2006-0027, 3.20% due 10/01/2013 (e)(j) 5,000 8,000 Florida State Board of Education, GO, MSTR, VRDN, Series SGA-139, 3.23% due 6/01/2032 (f)(j) 8,000 Florida State Board of Education, Lottery Revenue Bonds VRDN (j): 6,220 FLOATS, Series 858, 3.20% due 1/01/2017 (f) 6,220 2,845 ROCS, Series II-R-4521, 3.21% due 7/01/2020 (b) 2,845 20,915 Florida State Department of Environmental Protection, Preservation Revenue Refunding Bonds, Series B, 5% due 7/01/2006 (f) 21,020 27,985 Florida State, Revenue Refunding Bonds, MERLOTS, VRDN, Series A-22, 3.35% due 7/01/2027 (j) 27,985 4,100 Gainesville, Florida, Utilities System Revenue Refunding Bonds, VRDN, Series C, 3.12% due 10/01/2026 (j) 4,100 6,000 Highlands County, Florida, Health Facilities Authority, Hospital Revenue Refunding Bonds (Adventist Health System), VRDN, Series C, 3.19% due 11/15/2021 (j) 6,000 3,965 Hillsborough County, Florida, Aviation Authority, Revenue Refunding Bonds, MERLOTS, VRDN, AMT, Series A18, 3.26% due 10/01/2013 (f)(j) 3,965 15,000 Jacksonville, Florida, Electric Authority, CP, 3.22% due 7/07/2006 15,000 4,595 Jacksonville, Florida, Sales Tax Revenue Bonds, MERLOTS, VRDN, Series B26, 3.21% due 10/01/2027 (f)(j) 4,595 4,700 Lakeland, Florida, Energy System Revenue Bonds, VRDN, Series A, 3.20% due 10/01/2035 (j) 4,700 24,100 Martin County, Florida, PCR, Refunding (Florida Power & Light Company Project), VRDN, 3.16% due 7/15/2022 (j) 24,100 5,855 Miami-Dade County, Florida, GO, ROCS, VRDN, Series II-R-387, 3.43% due 6/01/2006 (b)(j) 5,855 6,000 Miami-Dade County, Florida, Special Obligation Revenue Bonds, TOCS, VRDN, Series Z-9, 3.24% due 4/17/2015 (f)(j) 6,000 15,700 North Broward, Florida, Hospital District Revenue Refunding Bonds, VRDN, Series B, 3.17% due 1/15/2031 (g)(j) 15,700 Orange County, Florida, Health Facilities Authority Revenue Bonds, FLOATS, VRDN (j): 32,195 Series 532, 3.21% due 11/15/2015 (a) 32,195 17,245 Series 830, 3.20% due 11/15/2022 (e) 17,245 2,250 Orlando-Orange County Expressway Authority, Florida, Expressway Revenue Bonds, VRDN, Sub-Series A-2, 3.16% due 7/01/2040 (a)(j) 2,250 10,000 Palm Beach County, Florida, Health Facilities Authority, CP, 3.35% due 4/28/2006 10,000 Reedy Creek Improvement District, Florida, Utilities Revenue Bonds, ROCS, VRDN, Series II-R-4027 (f)(j): 1,885 3.52% due 7/13/2006 1,885 2,820 3.52% due 10/01/2023 2,820 Face Amount Municipal Bonds Value Florida (concluded) $ 18,000 Sunshine State Governmental Finance Commission, Florida, CP, 3.23% due 4/05/2006 $ 18,000 17,000 Sunshine State Governmental Financing Commission, Florida, Revenue Bonds, VRDN, 3.16% due 7/01/2016 (a)(j) 17,000 Volusia County, Florida, School Board, COP, VRDN (f)(j): 2,135 PUTTERS, Series 970, 3.21% due 2/01/2013 2,135 5,500 ROCS, Series II-R-2212, 3.21% due 8/01/2023 5,500 Georgia--1.8% 4,215 Albany-Dougherty County, Georgia, Hospital Authority, Revenue Refunding Bonds, FLOATS, VRDN, Series L3J, 3.23% due 9/01/2020 (a)(j) 4,215 16,300 Appling County, Georgia, Development Authority, PCR (Georgia Power Plant Hatch), VRDN, Second Series, 3.18% due 12/01/2018 (j) 16,300 4,000 Atlanta, Georgia, Urban Residential Finance Authority, M/F Housing Revenue Bonds (Lindbergh City Center Apartment Project), AMT, VRDN, 3.24% due 11/01/2044 (j) 4,000 3,000 Atlanta, Georgia, Water and Wastewater Revenue Bonds, MSTR, VRDN, SGA-145, 3.23% due 11/01/2033 (f)(j) 3,000 8,000 Augusta, Georgia, Water and Sewer Revenue Refunding Bonds, MSTR, VRDN, Series SGS-140, 3.23% due 10/01/2032 (e)(j) 8,000 Clayton County, Georgia, Development Authority, Special Facilities Revenue Bonds (Delta Air Lines Project), VRDN (j): 10,545 AMT, Series B, 3.31% due 5/01/2035 10,545 6,500 AMT, Series C, 3.31% due 5/01/2035 6,500 10,135 Series A, 3.25% due 6/01/2029 10,135 50,000 Cobb County, Georgia, School District, 4.50% due 12/29/2006 50,473 Eagle Tax-Exempt Trust, Atlanta, Georgia, Water and Wastewater Revenue Bonds, VRDN (e)(j): 9,100 Series 2005-0009, Class A, 3.21% due 11/01/2043 9,100 4,475 Series A, 3.21% due 11/01/2028 4,475 10,585 Eagle Tax-Exempt Trust, Georgia, GO, VRDN, Series 01, Class 1001, 3.21% due 11/01/2017 (j) 10,585 6,815 Georgia Municipal Electric Authority, Power Revenue Bonds (Macon Trust), VRDN, Series E, 3.25% due 1/01/2017 (j) 6,815 2,585 Gwinnett County, Georgia, Development Authority, COP, ROCS, VRDN, Series II-R-6009, 3.21% due 1/01/2021 (f)(j) 2,585 13,000 Macon-Bibb County, Georgia, Urban Development Authority Revenue Bonds, (Bibb County Law Enforcement Center Project), VRDN, 3.18% due 7/01/2025 (j) 13,000 11,000 Monroe County, Georgia, Development Authority, PCR (Georgia Power Company-Scherer), VRDN, Second Series 95, 2.83% due 5/05/2006 (j) 11,000 Hawaii--0.5% 7,930 Eagle Tax-Exempt Trust, Hawaii, VRDN, Series 2001, Class 1101, 3.21% due 7/01/2011 (e)(j) 7,930 7,500 Hawaii Pacific Health, Special Purpose Revenue Refunding Bonds (Wilcox Memorial Hospital), VRDN, Series B-2, 3.27% due 7/01/2033 (h)(j) 7,500 CMA TAX-EXEMPT FUND MARCH 31, 2006 Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value Hawaii (concluded) $ 17,365 Hawaii State, GO, ROCS, VRDN, Series II-R-1044, 3.52% due 7/01/2015 (e)(j) $ 17,365 1,995 Hawaii State, Revenue Bonds, ROCS, VRDN, Series II-R-6504, 3.21% due 10/01/2024 (f)(j) 1,995 15,995 Municipal Securities Trust Certificates Revenue Bonds, VRDN, AMT, Series 2002-186, Class A, 3.23% due 2/25/2021 (f)(j) 15,995 Idaho--0.2% 15,000 Idaho State, GO, TAN, 4% due 6/30/2006 15,050 Illinois--9.2% 14,285 ABN AMRO MuniTops Certificates Trust, Chicago, Illinois, GO, VRDN, Series 2001-31, 3.20% due 1/01/2009 (b)(j) 14,285 Aurora, Illinois, S/F Mortgage Revenue Bonds, FLOATS, VRDN, AMT (j): 45,400 Series 1152, 3.24% due 6/01/2040 45,400 6,118 Series 1154, 3.24% due 6/01/2040 6,118 17,285 Aurora (Kane, DuPage and Will Counties) and Springfield (Sangamon County), Illinois, S/F Mortgage Revenue Bonds, FLOATS, VRDN, AMT, Series 1021, 3.21% due 9/01/2006 (j) 17,285 4,760 Boone, McHenry & DeKalb Counties, Illinois, Community Unit School District Number 100, GO, FLOATS, VRDN, Series 1138, 3.24% due 12/01/2020 (f)(j) 4,760 6,000 Chicago, Illinois, Board of Education, GO, TOCS, VRDN, Series Z-8, 3.24% due 10/28/2025 (b)(j) 6,000 Chicago, Illinois, GO, VRDN (j): 10,100 3.35% due 12/07/2006 10,100 9,635 Series B, 3.17% due 1/01/2012 9,635 3,100 TOCS, Series Z-10, 3.24% due 6/29/2029 (b) 3,100 17,250 Chicago, Illinois, Metropolitan Water Reclamation District, Greater Chicago Area, GO, Refunding, VRDN, Series A, 3.18% due 12/01/2031 (j) 17,250 5,775 Chicago, Illinois, Motor Fuel Tax Revenue Refunding Bonds, ROCS, VRDN, Series II-R-2021, 3.21% due 1/01/2020 (a)(j) 5,775 Chicago, Illinois, O'Hare International Airport Revenue Bonds, VRDN (j): 6,330 (Macon Trust), Series A, 3.21% due 1/01/2018 (f) 6,330 2,700 ROCS, AMT, Series II-R-239, 3.25% due 1/01/2022 (e) 2,700 5,995 ROCS, AMT, Series II-R-250, 3.25% due 1/01/2034 (g) 5,995 6,740 Chicago, Illinois, Park District, GO, Refunding, ROCS, VRDN, Series II-R-4002, 3.21% due 1/01/2023 (b)(j) 6,740 75,475 Chicago, Illinois, Second Lien Water Revenue Refunding Bonds, VRDN, 3.17% due 11/01/2031 (f)(j) 75,475 3,360 Cook County, Illinois, GO, Refunding, ROCS, VRDN, Series II-R-2063, 3.21% due 11/15/2021 (f)(j) 3,360 11,000 Eagle Tax-Exempt Trust, Chicago Board of Education, VRDN, Series 01, Class 1309, 3.21% due 12/01/2026 (j) 11,000 Eagle Tax-Exempt Trust, Chicago, Illinois, GO, VRDN (j): 9,900 Series 98, Class 1301, 3.20% due 1/01/2017 9,900 7,155 Series 2006-0001 Class-A, 3.21% due 1/01/2034 (e) 7,155 30,000 Eagle Tax-Exempt Trust, Cook County, Illinois, VRDN, Series 02, Class 1303, 3.21% due 11/15/2025 (a)(j) 30,000 Face Amount Municipal Bonds Value Illinois (continued) $ 14,355 Eagle Tax-Exempt Trust, Illinois Metropolitan Expo Center, VRDN, Series 98, Class 1306, 3.21% due 6/15/2029 (j) $ 14,355 Eagle Tax-Exempt Trust, Illinois State, GO, VRDN (j): 11,000 Series 01, Class 1307, 3.21% due 11/01/2022 11,000 11,100 Series 02, Class 1302, 3.20% due 2/01/2027 11,100 3,000 Eagle Tax-Exempt Trust, Metropolitan Pier and Exposition Authority, Illinois, Dedicated State Tax Revenue Bonds, VRDN, Series 2004-0030, Class A, 3.21% due 6/15/2042 (f)(j) 3,000 3,400 Eagle Tax-Exempt Trust, Metropolitan Pier and Exposition Authority, Illinois, Hospitality Facilities Revenue Bonds, VRDN, Class 49, Series A, 3.21% due 7/01/2026 (j) 3,400 5,000 Eagle Tax-Exempt Trust, Metropolitan Pier and Exposition Authority, Illinois, VRDN, Series 2002-6001, Class A, 3.21% due 12/15/2028 (j) 5,000 2,000 Eagle Tax-Exempt Trust, Regional Transportation Authority, Illinois, Revenue Bonds, VRDN, Series 2005-0003, Class A, 3.21% due 6/01/2034 (e)(j) 2,000 10,750 Eclipse Funding Trust, Solar Eclipse Certificates, Illinois, GO, Refunding, VRDN, Series 2006-0038, 3.20% due 1/01/2028 (e)(j) 10,750 5,000 Illinois Development Finance Authority, Water Facilities Revenue Refunding Bonds (Illinois American Water Company), VRDN, AMT, 3.29% due 3/01/2032 (f)(j) 5,000 Illinois Educational Facilities Authority Revenue Bonds, VRDN (j): 8,450 (Art Institute of Chicago), 3.28% due 3/01/2027 8,450 4,600 (Chicago Historical Society), 3.28% due 12/01/2025 4,600 Illinois HDA, M/F Housing Revenue Bonds (Danbury Court Apartments), VRDN, AMT (j): 6,265 Series A, 3.26% due 5/01/2037 6,265 450 Series B, 3.33% due 5/01/2037 450 50,000 Illinois Health Facilities Authority, CP, 3.18% due 5/18/2006 50,000 10,000 Illinois Health Facilities Authority Revenue Bonds, Revolving Fund, Pooled, VRDN, Series B, 3.19% due 8/01/2020 (j) 10,000 2,940 Illinois State Dedicated Tax (Macon Trust), VRDN, Series N, 3.27% due 12/15/2020 (a)(j) 2,940 12,500 Illinois State Finance Authority, Revenue Refunding Bonds (Central DuPage Health System), VRDN, Series B, 3.20% due 11/01/2038 (j) 12,500 Illinois State, GO: 50,000 COP, 4.50% due 4/28/2006 50,052 40,000 COP, 4.50% due 5/30/2006 40,087 1,750 (Macon Trust), VRDN, Series L, 3.21% due 1/01/2031 (j) 1,750 8,975 MERLOTS, VRDN, Series B04, 3.21% due 12/01/2024 (e)(j) 8,975 Illinois State, GO, Refunding, VRDN (f)(j): 16,435 FLOATS, Series 743D, 3.20% due 8/01/2015 (i) 16,435 5,820 MERLOTS, Series A49, 3.21% due 8/01/2013 5,820 16,605 Illinois Student Assistance Commission, Student Loan Revenue Bonds, VRDN, AMT, Series A-I, 3.22% due 9/01/2034 (f)(j) 16,605 5,720 Kane County, Illinois, School District Number 129 (Aurora West Side), GO, Refunding, PUTTERS, VRDN, Series 1113, 3.21% due 2/01/2013 (b)(j) 5,720 CMA TAX-EXEMPT FUND MARCH 31, 2006 Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value Illinois (concluded) $ 2,000 Metropolitan Pier and Exposition Authority, Illinois, Dedicated State Tax, Revenue Refunding Bonds, FLOATS, VRDN, Series Z-1, 3.24% due 10/08/2010 (f)(j) $ 2,000 6,250 Municipal Securities Trust Certificates, Chicago, Illinois, Board of Education, GO, VRDN, Series 2005-237, Class A, 3.30% due 1/04/2024 (b)(j)(m) 6,250 29,950 Municipal Securities Trust Certificates, Chicago O'Hare Airport, Illinois, Revenue Bonds, VRDN, AMT, Series 2001-151, Class A, 3.19% due 6/30/2015 (a)(j)(m) 29,950 Municipal Securities Trust Certificates, Cook County, Illinois, GO, Refunding, VRDN, Class A (b)(j): 29,085 Series 2001-145, 3.23% due 11/15/2029 29,085 33,895 Series 2002-191, 3.23% due 3/18/2019 33,895 31,615 Municipal Securities Trust Certificates, Metropolitan Pier and Exposition Authority, Illinois, Revenue Refunding Bonds, VRDN, Series 2001-157, Class A, 3.23% due 10/05/2017 (b)(j) 31,615 26,045 Municipal Securities Trust Certificates, Revenue Refunding Bonds, Chicago O'Hare International Airport, Illinois, VRDN, AMT, Series 2000-93, Class A, 3.19% due 10/04/2012 (a)(j) 26,045 7,815 Municipal Securities Trust Certificates, Revenue Refunding Bonds, Illinois, VRDN, Series 2006-253, Class A, 3.23% due 5/12/2014 (a)(j)(m) 7,815 Regional Transportation Authority, Illinois, GO, MERLOTS, VRDN (j): 19,810 Series A24, 3.21% due 7/01/2032 (f) 19,810 4,910 Series A41, 3.21% due 6/01/2017 (b) 4,910 2,755 Regional Transportation Authority, Illinois, Revenue Bonds (Macon Trust), VRDN, Series K, 3.21% due 7/01/2026 (f)(j) 2,755 32,908 Regional Transportation Authority, Illinois, Revenue Refunding Bonds, FLOATS, VRDN, Series 818-D, 3.20% due 7/01/2033 (b)(j) 32,907 22,000 University of Illinois, University Revenue Refunding Bonds (South Campus Project), VRDN, Series A, 3.17% due 1/15/2022 (b)(j) 22,000 2,045 Will County, Illinois, Community Unit School District Number 365-U (Valley View), GO, Refunding, TOCS, VRDN, Series Z-10, 3.24% due 4/15/2020 (e)(j) 2,045 Will County, Illinois, Exempt Facilities Revenue Bonds (BP Amoco Chemical Company Project), VRDN, AMT (j): 5,300 3.17% due 3/01/2028 5,300 6,000 3.17% due 7/01/2031 6,000 10,000 Will County, Illinois, M/F Housing Redevelopment, Revenue Refunding Bonds (Woodlands Crest Hill), VRDN, AMT, 3.24% due 2/15/2031 (d)(j) 10,000 Indiana--4.4% 7,320 Benton, Indiana, School Improvement Building Corporation, Revenue Bonds, PUTTERS, VRDN, Series 903, 3.21% due 1/15/2013 (f)(j) 7,320 5,380 Carmel, Indiana, School Building Corporation Revenue Bonds, ROCS, VRDN, Series II-R-2065, 3.21% due 7/15/2020 (f)(j) 5,380 13,000 Goshen, Indiana, EDR, Refunding (Goshen College Project), VRDN, 3.22% due 10/01/2037 (j) 13,000 23,400 Indiana Bond Bank, Advance Funding Program Revenue Notes, Series A, 4.50% due 2/01/2007 23,625 Face Amount Municipal Bonds Value Indiana (concluded) Indiana Health Facilities Financing Authority, Hospital Revenue Bonds, VRDN (j): $ 54,400 (Clarian Health Obligation Group), Series C, 3.20% due 3/01/2030 $ 54,400 37,100 (Clarian Health Partners), Series H, 3.20% due 3/01/2033 37,100 Indiana Health Facilities Financing Authority, Hospital Revenue Refunding Bonds, (Clarian Health Partners), VRDN (j): 51,800 Series B, 3.20% due 2/15/2026 51,800 50,800 Series C, 3.20% due 2/15/2026 50,800 150 Indiana Health Facilities Financing Authority, Revenue Bonds (Capital Access Designated Pool), VRDN, 3.19% due 1/01/2012 (j) 150 Indiana Health Facilities Financing Authority, Revenue Refunding Bonds (Ascension Health Credit Group), VRDN (j): 14,500 Series A-2, 2.72% due 6/01/2006 14,500 9,000 Series A-3, 3.35% due 1/30/2007 9,000 17,700 Series B, 3.15% due 11/15/2039 17,700 40,250 Indiana State Development Finance Authority, Environmental Revenue Bonds (PSI Energy Inc. Projects), VRDN, AMT, Series A, 3.34% due 12/01/2038 (j) 40,250 5,285 Indiana State Office Building Commission, Facilities Revenue Bonds, ROCS, VRDN, Series II-R-4534, 3.21% due 7/01/2020 (j) 5,285 1,988 Indiana Transportation Finance Authority, Highway Revenue Refunding Bonds, FLOATS, VRDN, Series 942D, 3.20% due 12/01/2022 (b)(j) 1,988 4,240 Indianapolis, Indiana, Local Public Improvement Bond Bank, Revenue Refunding Bonds (Macon Trust), VRDN, Series S, 3.21% due 1/01/2021 (f)(j) 4,240 34,995 Municipal Securities Trust Certificates, Indianapolis, Indiana, Local Tax-Exempt, GO, VRDN, Series 2002-192, Class A, 3.21% due 6/18/2014 (f)(j) 34,995 11,785 New Albany-Floyd County, Indiana, Independent School Building Corporation, Revenue Refunding Bonds, VRDN, PUTTERS, Series 879, 3.21% due 6/01/2013 (e)(j) 11,785 6,585 Pike County, Indiana, Multi-School Building Corporation, Revenue Refunding Bonds, PUTTERS, VRDN, Series 1122, 3.21% due 7/15/2012 (f)(j) 6,585 25,000 Trustees of Indiana University, CP, 3.22% due 5/15/2006 25,000 Whiting, Indiana, Environmental Facilities Revenue Refunding Bonds (Amoco Oil Company Project), VRDN, AMT (j): 2,400 3.17% due 1/01/2026 2,400 1,000 3.17% due 7/01/2031 1,000 Iowa--1.3% 19,735 Iowa Finance Authority, Health Care Facilities, Revenue Refunding Bonds (Iowa Health System), VRDN, Series B-3, 3.17% due 2/15/2035 (a)(j) 19,735 22,000 Iowa Finance Authority, Revenue Refunding Bonds (Trinity Health Credit Group), VRDN, Series D, 3.17% due 12/01/2030 (j) 22,000 1,250 Iowa Higher Education Loan Authority, Revenue Bonds (University of Dubuque), RAN, Series C, 4.75% due 5/24/2006 1,252 CMA TAX-EXEMPT FUND MARCH 31, 2006 Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value Iowa (concluded) $ 73,655 Iowa State, TRAN, 4.50% due 6/30/2006 $ 73,887 10,000 Louisa County, Iowa, PCR, Refunding (Iowa-Illinois Gas and Electric), VRDN, Series A, 3.25% due 9/01/2016 (j) 10,000 Kansas--0.3% 3,975 Kansas State Department of Transportation, Highway Revenue Bonds, ROCS, VRDN, Series II-R-6020, 3.21% due 3/01/2019 (e)(j) 3,975 19,700 Kansas State Department of Transportation, Highway Revenue Refunding Bonds, VRDN, Series C-1, 3.12% due 9/01/2019 (j) 19,700 2,775 Reno and Labette Counties, Kansas, S/F Mortgage Revenue Bonds, FLOATS, VRDN, Series 915, 3.24% due 12/01/2015 (j) 2,775 Kentucky--2.7% 2,500 Boyd County, Kentucky, Sewer and Solid Waste Revenue Bonds (Air Products and Chemicals Project), VRDN, AMT, 3.26% due 6/01/2021 (j) 2,500 19,614 Breckinridge County, Kentucky, Lease Program Revenue Bonds (Kentucky Association of Counties Leasing Trust), VRDN, Series A, 3.12% due 2/01/2032 (j) 19,614 20,930 Carroll County, Kentucky, Solid Waste, CP, 3.42% due 5/15/2006 20,930 14,000 Eagle Tax-Exempt Trust, Louisville and Jefferson Counties, Kentucky, Metropolitan Sewer District, Sewer and Drain System Revenue Bonds, VRDN, Series 2006-0053 Class A, 3.21% due 5/15/2033 (b)(j) 14,000 Jefferson County, Kentucky, CP: 12,500 3.20% due 5/01/2006 12,500 35,000 3.25% due 5/01/2006 35,000 2,200 Kenton County, Kentucky, Airport Board, Special Facilities Revenue Refunding Bonds, VRDN, Series B, 3.25% due 10/01/2030 (j) 2,200 30,000 Kentucky Asset/Liability Commission, General Fund Revenue Bonds, TRAN, Series A, 4% due 6/28/2006 30,095 16,505 Kentucky State Property and Buildings Commission, Revenue Refunding Bonds, PUTTERS, VRDN, Series 739, 3.45% due 6/15/2006 (f)(j) 16,505 36,475 Kentucky State Turnpike Authority, Resource Recovery Road Revenue Bonds, FLOATS, VRDN, Series 488, 3.20% due 7/01/2007 (e)(j) 36,475 4,395 Louisville and Jefferson Counties, Kentucky, Metropolitan Sewer District, Sewer and Drain System Revenue Bonds, ROCS, VRDN, Series II-R-304, 3.21% due 5/15/2037 (b)(j) 4,395 48,285 Louisville and Jefferson Counties, Kentucky, Metropolitan Sewer District, Sewer and Drain System Revenue Refunding Bonds, VRDN, Series B, 3.16% due 5/15/2023 (e)(j) 48,285 14,665 Shelby County, Kentucky, Lease Revenue Bonds, VRDN, Series A, 3.12% due 9/01/2034 (j) 14,665 Louisiana--2.2% 17,700 Ascension Parish, Louisiana, Revenue Bonds (BASF Corporation Project), VRDN, AMT, 3.30% due 3/01/2025 (j) 17,700 3,625 East Baton Rouge, Louisiana, Mortgage Finance Authority, S/F Revenue Bonds, FLOATS, VRDN, AMT, Series 996, 3.27% due 6/02/2008 (j) 3,625 Face Amount Municipal Bonds Value Louisiana (concluded) $ 31,536 Jefferson Parish, Louisiana, Home Mortgage Authority, S/F Mortgage Revenue Bonds, VRDN, Series B, 4.105% due 12/03/2007 (j) $ 31,536 Jefferson Parish, Louisiana, Hospital Service District Number 001, Hospital Revenue Bonds, VRDN (j): 10,000 PUTTERS, Series 522, 3.23% due 12/01/2008 10,000 25,000 (West Jefferson Medical Center), Series B, 3.20% due 1/01/2028 (e) 25,000 Louisiana HFA, Mortgage Revenue Refunding Bonds, FLOATS, VRDN, AMT (j): 8,925 Series 1066, 3.27% due 3/01/2036 8,925 44,344 Series 1069, 3.27% due 12/01/2047 44,343 4,182 Louisiana HFA, S/F Mortgage Revenue Refunding Bonds, VRDN, AMT, 4.856% due 4/28/2006 (j) 4,182 6,000 Louisiana Local Government, Environmental Facilities, Community Development Authority Revenue Bonds (Honeywell International Inc. Project), VRDN, AMT, 3.37% due 12/01/2037 (j) 6,000 Louisiana Public Facilities Authority, Advanced Funding Revenue Bonds: 4,965 Series A, 4.50% due 10/19/2006 5,005 3,475 Series D, 4.50% due 10/19/2006 3,503 300 Series E, 4.50% due 10/19/2006 302 Louisiana Public Facilities Authority Revenue Bonds, VRDN (j): 2,850 (Air Products and Chemicals Project), AMT, 3.26% due 12/01/2039 2,850 13,210 (Equipment and Capital Facilities Loan Program), Series C, 3.67% due 7/01/2024 13,210 New Orleans, Louisiana, Ernest N. Morial Exhibit Hall Authority, Special Tax, VRDN (a)(j): 5,085 MERLOTS, Series A46, 3.21% due 7/15/2028 5,085 8,100 ROCS, Series II-R-4038, 3.24% due 7/15/2023 8,100 New Orleans, Louisiana, Finance Authority, S/F Mortgage Revenue Bonds, FLOATS, VRDN, AMT (j): 11,500 Series 990, 3.27% due 6/02/2008 11,500 3,150 Series 1185, 3.30% due 6/01/2006 3,150 3,000 New Orleans, Louisiana, Finance Authority, S/F Mortgage Revenue Refunding Bonds, FLOATS, VRDN, AMT, Series 1137, 3.32% due 12/01/2044 (j) 3,000 4,400 South Louisiana Port Commission, Port Revenue Refunding Bonds (Occidental Petroleum), VRDN, 3.17% due 7/01/2018 (j) 4,400 Maryland--1.6% 35,700 Baltimore, Maryland, Port Facilities Revenue Bonds (Occidental Petroleum), FLOATS, VRDN, 3.25% due 10/14/2011 (j) 35,700 8,900 Maryland State Community Development Administration, Revenue Refunding Bonds (Department of Housing and Community Development), VRDN, Series F, 3.12% due 11/24/2006 (j) 8,900 36,360 Maryland State Health and Higher Educational Facilities Authority, Revenue Refunding Bonds, FLOATS, VRDN, Series 867, 3.20% due 7/01/2019 (b)(j) 36,360 CMA TAX-EXEMPT FUND MARCH 31, 2006 Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value Maryland (concluded) $ 48,670 Metropolitan Washington Airports Authority, D.C., Airport System Revenue Refunding Bonds, MERLOTS, VRDN, AMT, Series C35, 2.98% due 10/01/2014 (f)(j)(m) $ 48,670 9,225 Metropolitan Washington Airports Authority, D.C., System Revenue Bonds, ROCS, VRDN, Series II-R-195, 3.25% due 10/01/2032 (b)(j) 9,225 14,000 Montgomery County, Maryland, EDR (Riderwood Village Inc. Project), Refunding, VRDN, 3.19% due 3/01/2034 (j) 14,000 Massachusetts--1.8% 10,000 Eagle Tax-Exempt Trust, Massachusetts Commuter Facilities, VRDN, Series 2001, Class 2101, 3.20% due 6/15/2033 (j) 10,000 7,495 Eagle Tax-Exempt Trust, Massachusetts State Water Resources Authority, Revenue Refunding Bonds, VRDN, Series 2006-0054 Class A, 3.21% due 8/01/2036 (a)(j) 7,495 20,000 Easton, Massachusetts, GO, BAN, 4.25% due 10/20/2006 20,128 12,000 Lawrence, Massachusetts, GO, BAN, 4.50% due 12/22/2006 12,090 8,000 Massachusetts State Development Finance Agency, Revenue Bonds (Suffolk University), VRDN, Series A, 3.21% due 7/01/2035 (j)(k) 8,000 Massachusetts State, GO, Refunding, VRDN (j): 29,625 FLOATS, Series 716D, 3.20% due 8/01/2018 (f) 29,625 2,700 Series A, 3.14% due 9/01/2016 2,700 Massachusetts State, GO, VRDN (j): 13,335 (Central Artery), Series A, 3.12% due 12/01/2030 13,335 5,000 (Consolidated Loan of 2006), Series B, 3.09% due 3/01/2026 5,000 Massachusetts State Heritage, CP: 10,500 3.29% due 4/03/2006 10,500 39,250 3.20% due 5/10/2006 39,250 15,000 Pembroke, Massachusetts, GO, Refunding, BAN, 4% due 8/03/2006 15,055 Michigan--3.9% Detroit, Michigan, City School District, VRDN (j): 4,615 GO, Series A, 3.25% due 5/01/2029 (e) 4,615 48,450 MERLOTS, Series A113, 2.96% due 7/26/2006 48,450 6,260 Detroit, Michigan, Sewage Disposal System Revenue Refunding Bonds, MERLOTS, VRDN, Series B-02, 3.21% due 7/01/2028 (e)(j) 6,260 9,755 Detroit, Michigan, Sewer Disposal Revenue Refunding Bonds, MSTR, VRDN, SGB 47-A, 3.21% due 7/01/2028 (e)(j) 9,755 8,200 Eagle Tax-Exempt Trust, Detroit, Michigan, City School District, GO, Refunding, VRDN, Series 2005-0072, Class A, 3.21% due 5/01/2032 (e)(j) 8,200 6,900 Eagle Tax-Exempt Trust, Grand Rapids Michigan, Sanitation Sewer System, VRDN, Series A, 3.21% due 1/01/2022 (b)(j)(m) 6,900 20,000 Kent, Michigan, Hospital Finance Authority, Revenue Refunding Bonds (Spectrum Health), VRDN, Series A, 3.16% due 1/15/2029 (b)(j) 20,000 60,000 Michigan Municipal Bond Authority, Revenue Refunding Bonds, Series B-2, 4% due 8/18/2006 60,210 Face Amount Municipal Bonds Value Michigan (concluded) $ 25,000 Michigan State Building Authority, Multi-Modal Revenue Refunding Bonds (Facilities Program), VRDN, Series I, 3.17% due 10/15/2039 (j) $ 25,000 4,265 Michigan State Building Authority, Revenue Refunding Bonds, ROCS, VRDN, Series II-R-2064, 3.21% due 10/15/2021 (f)(j) 4,265 71,000 Michigan State, GO, Series A, 4.50% due 9/29/2006 71,427 42,900 Michigan State Hospital Finance Authority Revenue Bonds (Ascension Health), VRDN, Series B-1, 3.15% due 11/15/2033 (j) 42,900 Michigan State Hospital Finance Authority, Revenue Refunding Bonds, VRDN (j): 22,000 MERLOTS, Series K, 3.21% due 11/15/2023 (f) 22,000 25,000 (Trinity Health Credit Group), Series E, 3.18% due 12/01/2030 (a) 25,000 15,515 University of Michigan, University Hospital Revenue Bonds, VRDN, Series B, 3.16% due 12/01/2025 (j) 15,515 3,565 Whitmore Lake, Michigan, Public School District, GO, ROCS, VRDN, Series II-R-4515, 3.21% due 5/01/2023 (j) 3,565 Minnesota--1.5% 29,750 City of Rochester, Minnesota, CP, 3.23% due 4/13/2006 29,750 16,757 Duluth, Minnesota, EDA, Health Care Facilities Revenue Refunding Bonds, FLOATS, VRDN, Series 895, 3.20% due 2/15/2020 (a)(j) 16,757 4,990 Minneapolis and St. Paul, Minnesota, Metropolitan Airports Commission, Airport Revenue Refunding Bonds, PUTTERS, VRDN, AMT, Series 928, 3.24% due 1/01/2013 (a)(j) 4,990 14,000 Minneapolis, Minnesota, Health Care System, Revenue Refunding Bonds (Fairview Health Services Project), VRDN, Series B, 3.18% due 11/15/2029 (a)(j) 14,000 2,500 Minnesota Rural Water Finance Authority, Public Projects Construction Revenue Notes, 4.25% due 9/15/2006 2,513 Minnesota State, CP: 66,500 3.23% due 4/13/2006 66,500 4,500 3.26% due 4/13/2006 4,500 1,690 Minnesota State, GO, ROCS, VRDN, Series II-R-4065, 3.21% due 8/01/2023 (j) 1,690 Mississippi--1.9% 3,520 Mississippi Business Finance Corporation, Mississippi, Solid Waste Disposal Revenue Refunding Bonds (Mississippi Power Company Project), VRDN, AMT, 3.17% due 5/01/2028 (j) 3,520 29,649 Mississippi Development Bank, Special Obligation Revenue Bonds (Municipal Gas Authority of Mississippi--Natural Gas Supply Project), VRDN, 3.19% due 7/01/2015 (j) 29,649 12,500 Mississippi Home Corporation, Lease Purpose Revenue Bonds, VRDN, 3.32% due 10/01/2007 (j) 12,500 95,330 Mississippi Home Corporation, S/F Revenue Bonds, FLOATS, VRDN, AMT, Series 1212, 3.30% due 12/01/2008 (j) 95,330 25,900 Mississippi Hospital Equipment and Facilities Authority Revenue Bonds (Mississippi Baptist Medical Center), VRDN, 3.20% due 7/01/2012 (j) 25,900 7,000 Mississippi State, Capital Improvement, GO, VRDN, 3.17% due 9/01/2025 (j) 7,000 CMA TAX-EXEMPT FUND MARCH 31, 2006 Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value Mississippi (concluded) $ 5,450 University of Mississippi Educational Building Corporation Revenue Bonds (The University of Mississippi Medical Center Pediatric and Research Facilities Project), VRDN, 3.18% due 6/01/2034 (a)(j) $ 5,450 Missouri--0.3% 6,305 Kansas City, Missouri, Municipal Assistance Corporation Revenue Bonds, FLOATS, VRDN, Series Z-15, 3.24% due 11/12/2025 (a)(j) 6,305 9,500 Missouri-Illinois Bi-State Development Agency, Subordinate Mass Transit Revenue Bonds (Metrolink Cross County Extension Project), VRDN, Series A, 3.20% due 10/01/2035 (j) 9,500 5,400 Missouri State Health and Educational Facilities Authority, Health Facilities Revenue Bonds (BJC Health System), VRDN, Series B, 3.12% due 5/15/2034 (j) 5,400 3,340 Missouri State Housing Development Commission, S/F Mortgage Revenue Refunding Bonds,VRDN, Series A, 4.514% due 5/15/2006 (j) 3,340 Nebraska--1.8% American Public Energy Agency, Nebraska, Gas Supply Revenue Bonds, VRDN (j): 72,200 (National Public Gas Agency Project), Series B, 3.19% due 2/01/2014 72,200 20,000 Series A, 3.19% due 12/01/2015 20,000 2,000 Eagle Tax-Exempt Trust, Nebraska Public Power District Revenue Bonds, VRDN, Series 1016, Class A, 3.21% due 1/01/2035 (a)(j) 2,000 6,000 Eclipse Funding Trust, Solar Eclipse Certificates, Omaha, Nebraska, Public Power District Revenue Bonds, VRDN, Series 2006-0025, 3.20% due 2/01/2036 (a)(j) 6,000 4,365 Municipal Energy Agency of Nebraska, Power Supply System Revenue Bonds, ROCS, VRDN, Series II-R-2051, 3.21% due 4/01/2022 (e)(j) 4,365 3,935 Nebhelp Inc., Nebraska, Revenue Bonds, ROCS, VRDN, AMT, Series II-R-205, 3.25% due 6/01/2013 (f)(j) 3,935 36,000 Nebraska Public Power District, CP, 3.22% due 5/02/2006 36,000 4,995 Nebraska Public Power District, Revenue Refunding Bonds, ROCS, VRDN, Series II-R-209, 3.21% due 1/01/2012 (f)(j) 4,995 20,500 Omaha, Nebraska, Public Power District, CP, 3.22% due 5/02/2006 20,500 Nevada--0.8% 29,185 ABN AMRO MuniTops Certificates Trust, Clark County, Nevada, Airport Revenue Bonds, VRDN, Series 1999-15, 3.20% due 1/02/2008 (f)(j) 29,185 5,700 Clark County, Nevada, Airport System Subordinate Lien Revenue Refunding Bonds, VRDN, Series C, 3.17% due 7/01/2029 (b)(j) 5,700 10,000 Clark County, Nevada, CP, 3.15% due 5/19/2006 10,000 2,495 Clark County, Nevada, IDR, Refunding, PUTTERS, VRDN, AMT, Series 722, 3.24% due 12/01/2012 (b)(j) 2,495 9,035 Las Vegas Valley, Nevada, Water District, GO, Refunding, MERLOTS, VRDN, Series B 10, 3.21% due 6/01/2024 (f)(j) 9,035 Face Amount Municipal Bonds Value Nevada (concluded) $ 6,500 Nevada Housing Division Revenue Bonds (Multi-Unit Housing--Mesquite), VRDN, AMT, Series B, 3.35% due 5/01/2028 (j) $ 6,500 5,850 Nevada State Department of Business and Industry, Solid Waste Disposal Revenue Bonds (Republic Services Inc. Project), VRDN, AMT, 3.52% due 12/01/2034 (j) 5,850 7,240 Washoe County, Nevada, School District, GO, ROCS, VRDN, Series II-R-2012, 3.21% due 6/01/2020 (b)(j) 7,240 New Hampshire--1.6% 43,100 New Hampshire Health and Educational Facilities Authority, Revenue Refunding Bonds (Dartmouth Hitchcock Obligation), VRDN, Series A, 3.16% due 8/01/2031 (e)(j) 43,100 New Hampshire Higher Educational and Health Facilities Authority, Revenue Refunding Bonds, FLOATS, VRDN (b)(j): 5,139 Series 772, 3.20% due 1/01/2017 5,138 10,120 Series 866, 3.19% due 8/15/2021 10,120 7,415 New Hampshire State Business Finance Authority, Resource Recovery Revenue Refunding Bonds (Wheelabrator), VRDN, Series A, 3.19% due 1/01/2018 (j) 7,415 New Hampshire State Business Fund, CP: 20,000 3.30% due 5/01/2006 20,000 50,600 3.23% due 5/03/2006 50,600 Strafford County, New Hampshire, GO, TAN: 4,650 4% due 12/28/2006 4,672 10,500 4.50% due 12/28/2006 10,587 New Jersey--1.4% 16,754 East Brunswick Township, New Jersey, GO, BAN, 4.25% due 1/05/2007 16,867 16,735 Hudson County, New Jersey, Improvement Authority Revenue Bonds (Essential Purpose Pooled Government), VRDN, 3.10% due 7/15/2026 (j) 16,735 14,740 New Jersey EDA, Revenue Bonds (Presbyterian Homes), VRDN, Series B, 3.17% due 12/01/2032 (j) 14,740 8,370 New Jersey Health Care Facilities Financing Authority Revenue Bonds, FLOATS, VRDN, Series 702, 3.21% due 7/01/2014 (f)(j) 8,369 25,000 New Jersey State, TRAN, Series A, 4% due 6/23/2006 25,041 New Jersey State Turnpike Authority, Turnpike Revenue Bonds, VRDN (e)(j): 20,050 Series C-1, 3.14% due 1/01/2024 20,050 35,595 Series C-2, 3.14% due 1/01/2024 35,595 New Mexico--0.7% 7,370 New Mexico Finance Authority, Revenue Refunding Bonds, ROCS, VRDN, Series II-R-7509, 3.21% due 6/15/2023 (a)(j) 7,370 48,320 New Mexico Mortgage Finance Authority, S/F Mortgage Program Revenue Bonds, VRDN, AMT, 4.829% due 6/01/2006 (j) 48,320 15,000 New Mexico State, Severance Tax Refunding Bonds, Series A, 5% due 7/01/2006 15,075 CMA TAX-EXEMPT FUND MARCH 31, 2006 Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value New York--7.1% $ 86,105 Albany, New York, City School District, GO, BAN, Series B, 4% due 6/30/2006 $ 86,377 6,000 Chautauqua County, New York, GO, TAN, 4% due 7/28/2006 6,022 24,000 Commack, New York, Union Free School District, GO, Refunding, BAN, 4.25% due 11/17/2006 24,162 24,700 Eagle Tax-Exempt Trust, New York State Dormitory Authority (Memorial Sloan), VRDN, Series 98, Class 3202, 3.20% due 7/01/2023 (j) 24,700 14,850 Eagle Tax-Exempt Trust, New York State Dormitory Authority, Revenue Refunding Bonds, VRDN, Series 2006-0003, Class A, 3.20% due 3/15/2030 (a)(j) 14,850 30,000 Erie County, New York, GO, RAN, 3.75% due 7/13/2006 30,040 20,000 Metropolitan Transportation Authority, New York, CP, 3.50% due 6/28/2006 20,000 69,200 Metropolitan Transportation Authority, New York, Dedicated Tax Fund, Revenue Refunding Bonds, VRDN, Series B, 3.13% due 11/01/2022 (e)(j) 69,200 4,000 Mineola, New York, Union Free School District, GO, TAN, 4% due 6/30/2006 4,012 8,000 Monticello, New York, Central School District, GO, BAN, 4% due 7/28/2006 8,028 13,995 Municipal Securities Trust Certificates Revenue Bonds, New York City, New York, City Transitional Finance Authority, VRDN, Series 2002-202, Class A, 3.20% due 10/21/2010 (b)(j)(m) 13,995 24,000 New York City, New York, City IDA, Liberty Revenue Bonds (One Bryant Park LLC Project), VRDN, Series A, 3.20% due 11/01/2039 (j) 24,000 15,000 New York City, New York, City Municipal Water Finance Authority, CP, 3.45% due 6/01/2006 15,000 21,500 New York City, New York, City Municipal Water Finance Authority, Water and Sewer System Revenue Refunding Bonds, MSTR, VRDN, Series SGB-27, 3.20% due 6/15/2024 (e)(j) 21,500 21,755 New York City, New York, City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution Revenue Refunding Bonds, VRDN, Series AA-1, 3.11% due 6/15/2032 (j) 21,755 15,000 New York City, New York, City Transitional Finance Authority Revenue Bonds (New York City Recovery), VRDN, Series 3, Sub-Series 3G, 3.12% due 11/01/2022 (j) 15,000 11,500 New York City, New York, City Transitional Finance Authority, Special Tax Revenue Refunding Bonds, VRDN, Series C, 3.12% due 2/01/2032 (j) 11,500 25,000 New York City, New York, GO, ROCS, VRDN, Series II-R-251A, 3.56% due 7/13/2006 (j) 25,000 30,770 New York City, New York, Trust for Cultural Resources, Revenue Bonds (Manhattan School of Music), VRDN, 3.17% due 10/01/2029 (h)(j) 30,770 21,070 New York State Dormitory Authority, Revenue Refunding Bonds, MERLOTS, VRDN, Series A-09, 2.78% due 5/15/2031 (a)(j) 21,070 6,500 New York State, HFA, Service Contract Revenue Refunding Bonds, VRDN, Series G, 3.16% due 3/15/2028 (j) 6,500 Face Amount Municipal Bonds Value New York (concluded) $ 18,200 New York State Local Government Assistance Corporation Revenue Bonds, VRDN, Series B, 3.10% due 4/01/2025 (j) $ 18,200 6,500 New York State Local Government Assistance Corporation, Revenue Refunding Bonds, Sub-Lien, VRDN, Series 3V, 3.14% due 4/01/2024 (b)(j) 6,500 60,000 Suffolk County, New York, GO, TAN, Series I, 4.25% due 8/16/2006 60,232 Triborough Bridge and Tunnel Authority, New York, General Purpose Revenue Bonds, VRDN (j): 47,100 Series A, 3.14% due 11/01/2035 47,100 18,985 Series B, 3.17% due 1/01/2033 18,985 Triborough Bridge and Tunnel Authority, New York, Special Obligation Revenue Refunding Bonds, VRDN (e)(j): 5,300 Series C, 3.15% due 1/01/2031 5,300 20,280 Series D, 3.15% due 1/01/2031 20,280 7,000 William Floyd Union Free School District, Mastics-Moriches-Shirley, GO, BAN, 3.75% due 6/27/2006 7,017 North Carolina--2.1% 38,500 Chapel Hill University, North Carolina, Hospital Revenue Refunding Bonds, VRDN, Series B, 3.12% due 2/15/2031 (j) 38,500 19,995 Municipal Securities Trust Certificates, North Carolina Eastern Municipal Power Agency, GO, Refunding, VRDN, Series 2002-201, Class A, 3.21% due 4/12/2017 (j) 19,995 8,165 North Carolina Eastern Municipal Power Agency, Power System Revenue Bonds, MERLOTS, VRDN, Series A22, 3.21% due 1/01/2024 (j) 8,165 49,500 North Carolina Medical Care Commission, Health Care Facilities Revenue Bonds (Novant Health Group), VRDN, Series A, 3.18% due 11/01/2034 (j) 49,500 38,525 North Carolina Medical Care Commission, Health Care Facilities, Revenue Refunding Bonds (University Health Systems of Eastern Carolina), VRDN, Series C1, 3.17% due 12/01/2036 (a)(j) 38,525 North Carolina Medical Care Commission, Hospital Revenue Bonds, VRDN (j): 32,550 (Moses H. Cone Memorial Health System), Series A, 3.16% due 10/01/2035 32,550 3,000 (Moses H. Cone Memorial Health System), Series B, 3.16% due 10/01/2035 3,000 4,100 (Pooled Equipment Financing Project), ACES, 3.25% due 12/01/2025 (f) 4,100 4,500 North Carolina State, GO, MERLOTS, VRDN, Series A23, 3.21% due 3/01/2027 (j) 4,500 3,500 Wake County, North Carolina, Industrial Facilities and Pollution Control Financing Authority Revenue Bonds (Solid Waste Disposal--Highway 55), VRDN, AMT, 3.28% due 9/01/2013 (j) 3,500 Ohio--1.6% 12,425 Dublin, Ohio, City School District, School Construction, GO, Refunding, BAN, 4.25% due 11/16/2006 12,481 4,000 Eagle Tax-Exempt Trust, Cincinnati, Ohio, City School District, GO, VRDN, Series 2004-34, Class A, 3.21% due 12/01/2031 (e)(j) 4,000 22,275 Eagle Tax-Exempt Trust, Ohio State Turnpike, VRDN, Series 98, Class 3503, 3.21% due 2/15/2026 (j) 22,275 CMA TAX-EXEMPT FUND MARCH 31, 2006 Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value Ohio (concluded) $ 6,000 Greene County, Ohio, GO, BAN, 4.50% due 12/14/2006 $ 6,045 28,000 Hamilton County, Ohio, Health Care Facilities Revenue Bonds (Twin Towers and Twin Lakes), VRDN, Series A, 3.19% due 7/01/2023 (j) 28,000 9,000 Hamilton County, Ohio, Student Housing Revenue Bonds (Block 3 Community Urban Redevelopment Corporation Project), VRDN, 3.21% due 8/01/2036 (j) 9,000 14,500 Marysville, Ohio, Wastewater Treatment System Revenue Bonds, BAN, 4.50% due 12/21/2006 14,614 3,500 Montgomery County, Ohio, Revenue Refunding Bonds (Miami Valley Hospital), VRDN, Series A, 3.12% due 11/15/2022 (j) 3,500 2,370 Municipal Securities Trust Certificates, Princeton, Ohio, City School District, GO, VRDN, Series SGB 50-A, 3.21% due 12/01/2030 (f)(j) 2,370 Ohio State Air Quality Development Authority, Revenue Refunding Bonds (Cincinnati Gas and Electric), VRDN (j): 7,900 Series A, 3.28% due 9/01/2030 7,900 16,300 Series B, 3.39% due 9/01/2030 16,300 23,955 Ohio State, GO, Common Schools, VRDN, Series A, 3.17% due 3/15/2025 (j) 23,955 2,500 Ohio State Solid Waste Revenue Bonds (Republic Services, Inc. Project), VRDN, AMT, 3.45% due 11/01/2035 (j) 2,500 3,000 Shaker Heights, Ohio, GO, BAN, 4.50% due 12/08/2006 3,022 Oklahoma--1.0% 1,630 Cleveland County, Oklahoma, Development Authority, Family Mortgage Revenue Refunding Bonds, VRDN, 4.26% due 5/25/2006 (j) 1,630 3,300 Cleveland County, Oklahoma, Home Loan Authority, S/F Mortgage Revenue Refunding Bonds, VRDN, Series A, 3.01% due 4/25/2006 (j) 3,300 Comanche County, Oklahoma, Home Finance Authority, S/F Mortgage Revenue Bonds, VRDN, Series A (j): 16,293 4.613% due 4/03/2006 16,293 3,584 3.42% due 5/01/2006 3,584 36,333 Oklahoma County, Oklahoma, HFA, S/F Mortgage Revenue Bonds, VRDN, Series A, 4.856% due 5/01/2006 (j) 36,333 Oklahoma State Development Finance Authority Revenue Bonds (ConocoPhillips Company Project), VRDN, AMT (j): 7,500 3.45% due 12/01/2006 7,500 2,500 Series B, 3.36% due 8/01/2037 2,500 8,623 Oklahoma State, HFA, S/F Mortgage Revenue Bonds, VRDN, AMT, 4.10% due 8/31/2006 (j) 8,623 10,465 Oklahoma State Industries Authority, Revenue Refunding Bonds (Integris Baptist), VRDN, Series B, 3.12% due 8/15/2029 (f)(j) 10,465 2,870 Tulsa County, Oklahoma, Home Finance Authority, S/F Mortgage Revenue Bonds, FLOATS, VRDN, AMT, Series 1068, 3.24% due 12/01/2038 (j) 2,870 Oregon--0.1% 11,730 ABN AMRO MuniTops Certificates Trust, Portland, Oregon, GO, VRDN, Series 2001-4, 3.21% due 6/01/2009 (f)(j) 11,730 Face Amount Municipal Bonds Value Pennsylvania--3.2% $ 37,320 Allegheny County, Pennsylvania, GO, Refunding, VRDN, Series C-50, 3.22% due 5/01/2027 (j) $ 37,320 Allegheny County, Pennsylvania, Hospital Development Authority Revenue Bonds, VRDN (j): 27,490 PUTTERS, Series 1281, 3.21% due 1/15/2011 (b) 27,490 7,500 (University of Pittsburgh Medical Center), Series B-1, 3.29% due 12/01/2016 7,500 7,800 Arkansas State Development Finance Authority, M/F Housing Revenue Bonds (Chapelridge Benton Project), VRDN, AMT, Series C, 3.25% due 6/01/2032 (j) 7,800 2,500 Butler County, Pennsylvania, IDA, IDR, Refunding (Wetterau Finance Co. Project), VRDN, 3.21% due 12/01/2014 (j) 2,500 19,850 Delaware Valley, Pennsylvania, Regional Finance Authority, Local Government Revenue Bonds, VRDN, Series D, 3.18% due 12/01/2020 (j) 19,850 Emmaus, Pennsylvania, General Authority Revenue Bonds, VRDN, Series A (j): 11,925 3.20% due 3/01/2024 11,925 13,200 (Pennsylvania Loan Program), 3.20% due 3/01/2030 (e) 13,200 9,897 Erie County, Pennsylvania, Hospital Authority Revenue Bonds, FLOATS, VRDN, Series 820, 3.20% due 7/01/2022 (f)(j) 9,897 12,000 Geisinger Health System, Pennsylvania, Revenue Refunding Bonds, VRDN, Series B, 3.12% due 8/01/2022 (j) 12,000 12,000 Lackawanna County, Pennsylvania, GO, MSTR, VRDN, Series SGB-38, 3.21% due 9/15/2020 (j) 12,000 4,995 Mount Lebanon, Pennsylvania, School District, GO, MERLOTS, VRDN, Series B19, 3.21% due 2/15/2027 (f)(j) 4,995 6,700 Pennsylvania Economic Development Financing Authority, Wastewater Treatment Revenue Refunding Bonds (Sunoco Inc.--R & M Project), VRDN, AMT, Series B, 3.37% due 10/01/2034 (j) 6,700 8,290 Pennsylvania State Turnpike Commission, Turnpike Revenue Refunding Bonds, VRDN, Series B, 3.17% due 12/01/2012 (j) 8,290 5,000 Philadelphia, Pennsylvania, Gas Works Revenue Refunding Bonds, VRDN, Series 6, 3.17% due 8/01/2031 (e)(j) 5,000 Philadelphia, Pennsylvania, Water and Wastewater Revenue Refunding Bonds, VRDN (e)(j): 72,765 3.17% due 6/15/2023 72,765 15,000 Series B, 3.16% due 8/01/2018 15,000 28,800 Southcentral General Authority, Pennsylvania, Revenue Refunding Bonds (Wellspan Health--York Hospital), VRDN, Series A, 3.16% due 6/07/2023 (a)(j) 28,800 Rhode Island--0.6% 12,500 Lincoln, Rhode Island, GO, BAN, 4.25% due 8/01/2006 12,551 Rhode Island State and Providence Plantations, GO, FLOATS, VRDN (j): 26,035 Series 568, 3.20% due 9/01/2017 (f) 26,035 15,940 Series 720, 3.20% due 11/01/2022 (b) 15,940 CMA TAX-EXEMPT FUND MARCH 31, 2006 Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value South Carolina--1.2% $ 12,195 ABN AMRO MuniTops Certificates Trust, Lexington County, South Carolina, GO, VRDN, Series 2001-37, 3.21% due 2/01/2010 (b)(j) $ 12,195 2,625 Charleston Educational Excellence Financing Corporation, South Carolina, ROCS, VRDN, Series II-R-515, 3.20% due 12/01/2030 (j)(k) 2,625 11,500 Eagle Tax-Exempt Trust, South Carolina State Public Service Authority Revenue Bonds, VRDN, Series 2006-0007, Class A, 3.21% due 1/01/2036 (f)(j) 11,500 9,500 Eagle Tax-Exempt Trust, South Carolina State Public Service Authority, Revenue Refunding Bonds, VRDN, Series 2006-0019, Class A, 3.21% due 1/01/2039 (f)(j) 9,500 6,380 Florence County, South Carolina, Solid Waste Disposal and Wastewater Treatment Revenue Bonds (Roche Carolina Inc. Project), VRDN, AMT, 3.18% due 4/01/2027 (j) 6,380 Greenville Hospital System, South Carolina, Hospital Facilities Revenue Bonds, VRDN (a)(j): 23,700 Series A, 3.16% due 5/01/2035 23,700 22,750 Series B, 3.16% due 5/01/2035 22,750 8,035 Medical University Hospital Authority, South Carolina, Hospital Facilities, Revenue Refunding Bonds, VRDN, Series A-5, 3.22% due 8/15/2027 (f)(j)(l) 8,035 2,100 South Carolina Housing Finance and Development Authority, Mortgage Revenue Bonds, ROCS, VRDN, AMT, Series II-R-398, 3.25% due 7/01/2034 (e)(j) 2,100 6,250 South Carolina Jobs EDA, EDR (Holcim (US) Inc. Project), VRDN, AMT, 3.34% due 12/01/2033 (j) 6,250 12,500 South Carolina Transportation Infrastructure Bank Revenue Bonds, FLOATS, VRDN, Series 728, 3.20% due 10/01/2022 (a)(j) 12,500 Tennessee--4.7% 3,100 Blount County, Tennessee, Public Building Authority, Local Government Public Improvement Revenue Bonds, VRDN, Series D1F, 3.19% due 6/01/2030 (a)(j) 3,100 Clarksville, Tennessee, Public Building Authority Revenue Bonds, Pooled Financing (Tennessee Municipal Bond Fund), VRDN (j): 34,300 3.18% due 11/01/2027 34,300 62,025 3.18% due 6/01/2029 62,025 21,400 3.12% due 7/01/2034 21,400 9,200 3.12% due 11/01/2035 9,200 1,460 Jackson, Tennessee, Health, Educational and Housing Facilities Board, M/F Housing Revenue Bonds (Villages at Old Hickory Project), VRDN, AMT, 3.58% due 12/01/2006 (j) 1,460 8,100 Loudon, Tennessee, IDB, PCR, Refunding (A.E. Staley Manufacturing Company Project), VRDN, 3.18% due 6/01/2023 (j) 8,100 6,450 Memphis, Tennessee, Health, Educational and Housing Facility Board, M/F Housing Revenue Bonds (Chickasaw Place Apartments), VRDN, AMT, 3.27% due 6/01/2033 (j) 6,450 6,020 Memphis, Tennessee, Health, Educational and Housing Facility Board Revenue Bonds (Not-for-Profit M/F Program), VRDN, 3.33% due 8/01/2032 (j) 6,020 Face Amount Municipal Bonds Value Tennessee (concluded) Montgomery County, Tennessee, Public Building Authority, Pooled Financing Revenue Bonds, VRDN (j): $ 2,980 (Montgomery County Loan Pool), 3.18% due 7/01/2019 $ 2,980 16,350 (Tennessee County Loan Pool), 3.12% due 4/01/2032 16,350 9,550 (Tennessee County Loan Pool), 3.12% due 7/01/2034 9,550 Sevier County, Tennessee, Public Building Authority, Local Government Public Improvement Revenue Bonds, VRDN (j): 7,100 Series II-A-1, 3.19% due 6/01/2024 (a) 7,100 10,000 Series III-D-2, 3.19% due 6/01/2017 (a) 10,000 4,165 Series III-D-6, 3.19% due 6/01/2020 (a) 4,165 18,900 Series III-E-1, 3.19% due 6/01/2025 18,900 10,000 Series III-E-4, 3.19% due 6/01/2025 (a) 10,000 6,030 Series IV-A-4, 3.12% due 6/01/2020 (e) 6,030 6,500 Series IV-F-2, 3.12% due 6/01/2020 (a) 6,500 17,500 Series VI-A-1, 3.11% due 6/01/2029 17,500 6,700 Series VI-B-1, 3.12% due 6/01/2024 6,700 16,000 Series VI-C-1, 3.12% due 6/01/2034 (a) 16,000 10,000 Series VI-C-2, 3.12% due 6/01/2039 (a) 10,000 10,000 Series VI-D-2, 3.12% due 6/01/2024 (a) 10,000 7,400 Series VI-E-1, 3.12% due 6/01/2020 (a) 7,400 5,850 Series VI-F-3, 3.12% due 6/01/2030 (i) 5,850 4,135 Sevier County, Tennessee, Public Building Authority, Local Government Public Improvement, Revenue Refunding Bonds, VRDN, Series II-E-2, 3.19% due 6/01/2021 (a)(j) 4,135 Shelby County, Tennessee, CP: 12,250 3.25% due 5/04/2006 12,250 4,750 3.24% due 5/05/2006 4,750 4,595 Shelby County, Tennessee, GO, Refunding, ROCS, VRDN, Series II-R-3023, 3.21% due 4/01/2020 (f)(j) 4,595 38,290 The Tennergy Corporation, Tennessee, Gas Revenue Bonds, PUTTERS, VRDN, Series 1258Q, 3.23% due 11/01/2013 (j) 38,290 Tennessee HDA, S/F Mortgage Revenue Bonds, VRDN, AMT, Series CN-1 (j): 14,020 4.189% due 8/10/2006 14,020 15,225 4.476% due 8/10/2006 15,225 34,600 Tennessee State Local Development Authority, Revenue Bonds (Student Loan Program), BAN, Series A, 4% due 5/25/2006 34,663 Texas--12.5% 15,750 ABN AMRO MuniTops Certificates Trust, Houston, Texas, Airport Revenue Bonds, VRDN, AMT, Series 1998-15, 3.27% due 7/05/2006 (b)(j) 15,750 13,500 ABN AMRO MuniTops Certificates Trust, San Antonio, Texas, Electric and Gas Revenue Bonds, VRDN, Series 1998-22, 3.22% due 1/03/2007 (f)(j)(m) 13,500 29,950 ABN AMRO MuniTops Certificates Trust, San Antonio, Texas, Independent School District, VRDN, Series 1999-10, 3.20% due 3/07/2007 (j) 29,950 9,030 ABN AMRO MuniTops Certificates Trust, Texas Permanent School Fund, Independent School District, GO, VRDN, Series 2001-8, 3.22% due 2/15/2007 (j) 9,030 9,075 Alamo Heights, Texas Independent School District, GO, PUTTERS, VRDN, Series 980, 3.21% due 2/01/2012 (j) 9,075 24,000 Austin, Texas, Utility System, CP, 3.26% due 5/05/2006 24,000 CMA TAX-EXEMPT FUND MARCH 31, 2006 Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value Texas (continued) $ 4,495 Austin, Texas, Water and Wastewater System, Revenue Refunding Bonds, ROCS, VRDN, Series II-R-6029, 3.21% due 11/15/2024 (a)(j) $ 4,495 Bell County, Texas, Health Facilities Development Corporation, Hospital Revenue Bonds (Scott & White Memorial Hospital), VRDN (f)(j): 22,315 Series 2001-1, 3.12% due 8/15/2031 22,315 9,900 Series 2001-2, 3.12% due 8/15/2031 9,900 10,000 Brazos River Authority, Texas, Harbor Navigational District, Brazoria County Revenue Bonds (BASF Corp.), VRDN, AMT, 3.25% due 4/01/2032 (j) 10,000 Brazos River Harbor Navigation District, Texas, Brazoria County Environmental Revenue Bonds (Dow Chemical Company), VRDN (j): 4,200 Series A-2, 3.29% due 5/15/2033 4,200 2,400 Series B-1, 3.23% due 5/15/2033 2,400 25,000 Brazos River, Texas, Harbor Industrial Development Corporation Revenue Bonds (BASF Corporation Project), VRDN, AMT, 3.25% due 5/01/2038 (j) 25,000 1,995 Brownsville, Texas, Utility System Revenue Refunding Bonds, ROCS, VRDN, Series II-R-4074, 3.21% due 9/01/2024 (a)(j) 1,995 5,340 Central Texas Housing Finance Corporation, VRDN, 4.809% due 7/03/2006 (j) 5,340 7,315 Corpus Christi, Texas, Business and Job Development Corporation, Sales Tax Revenue Refunding Bonds, ROCS, VRDN, Series II-R-2001, 3.21% due 9/01/2017 (a)(j) 7,315 3,720 Corpus Christi, Texas, Utility System Revenue Refunding Bonds, ROCS, VRDN, Series II-R-2149, 3.21% due 7/15/2024 (e)(j) 3,720 Dallas-Fort Worth, Texas, International Airport Revenue Bonds, VRDN, AMT (j): 4,407 FLOATS, Series 824, 3.24% due 11/01/2015 (a) 4,407 7,140 PUTTERS, Series 350, 3.24% due 5/01/2011 (f) 7,140 2,500 PUTTERS, Series 351, 3.24% due 5/01/2008 (e) 2,500 4,995 PUTTERS, Series 385, 3.24% due 5/01/2008 (b) 4,995 3,000 ROCS, Series II-R-268, 3.25% due 11/01/2033 (f) 3,000 3,425 Dallas-Fort Worth, Texas, International Airport Revenue Refunding Bonds, PUTTERS, VRDN, AMT, Series 1019, 3.24% due 5/01/2010 (b)(j) 3,425 Dallas-Fort Worth, Texas, Regional Airport Revenue Bonds, MSTR, VRDN, AMT (f)(j): 25,300 Series SGB-49, 3.19% due 11/01/2023 25,300 9,495 Series SGB-52, 3.25% due 11/01/2017 9,495 Dallas-Fort Worth, Texas, Regional Airport Revenue Refunding Bonds, MSTR, VRDN (j): 23,885 AMT, Series SGB-46, 3.25% due 11/01/2020 (f) 23,885 6,600 Series SGB-52, 3.21% due 11/01/2015 (b) 6,600 Dallas, Texas, Area Rapid Transit, CP: 10,000 3.34% due 5/01/2006 10,000 30,195 3.30% due 5/09/2006 30,195 2,830 Dallas, Texas, Area Rapid Transit Revenue Refunding Bonds, ROCS, Series II-R-2078, 3.21% due 12/01/2022 (a)(j) 2,830 2,500 Denton, Texas, Independent School District, GO, VRDN, Series 2005-A, 3.23% due 8/01/2035 (j) 2,500 8,435 Eagle Tax-Exempt Trust, Dallas-Fort Worth, Texas, International Airport Revenue Bonds, AMT, VRDN, Series 2003-0020, Class A, 3.24% due 11/01/2032 (a)(j) 8,435 6,000 Eagle Tax-Exempt Trust, Dallas, Texas, VRDN, Series 01, Class 4310, 3.21% due 12/01/2026 (a)(j) 6,000 Face Amount Municipal Bonds Value Texas (continued) $ 4,915 Eagle Tax-Exempt Trust, San Antonio, Texas, VRDN, Series 01, Class 4311, 3.20% due 8/15/2026 (j) $ 4,915 14,500 Eagle Tax-Exempt Trust, San Antonio, Texas, Water Revenue Refunding Bonds, VRDN, Series 2006-0005, Class A, 3.21% due 5/15/2040 (f)(j) 14,500 4,500 Fort Bend County, Texas, GO, MSTR, VRDN, SGB-46-A, 3.21% due 3/01/2032 (f)(j) 4,500 5,300 Grapevine, Texas, Industrial Development Corporation, Airport Revenue Refunding Bonds (Southern Air Transport), VRDN, 3.22% due 3/01/2010 (j) 5,300 19,000 Gulf Coast Waste Disposal Authority, Texas, Environmental Facilities Revenue Bonds (American Aeryl LP Project), VRDN, AMT, 3.25% due 5/01/2038 (j) 19,000 Gulf Coast Waste Disposal Authority, Texas, Revenue Bonds, VRDN, AMT (j): 2,200 (Air Products Project), 3.26% due 12/01/2039 2,200 2,500 (Waste Management Inc.), Series A, 3.23% due 4/01/2019 2,500 10,470 Harris County-Houston, Texas, Sports Authority, Special Revenue Refunding Bonds, TOCS, VRDN, Series Z-3, 3.24% due 11/15/2025 (f)(j) 10,470 Harris County, Texas, Health Facilities Development Corporation, Revenue Refunding Bonds, VRDN (j): 37,950 (Methodist Hospital), Series B, 3.11% due 12/01/2032 37,950 14,000 (Saint Luke's Episcopal Hospital), Series A, 3.22% due 2/15/2032 (b) 14,000 5,340 Harris County, Texas, Health Facilities Development Corporation, Special Facilities Revenue Bonds (Texas Medical Center Project), VRDN, Series B, 3.12% due 5/15/2029 (e)(j) 5,340 31,350 Harris County, Texas, Industrial Development Corporation, Solid Waste Disposal Revenue Bonds (Deer Park Limited Partnership), VRDN, AMT, 3.20% due 2/01/2023 (j) 31,350 10,245 Harris County, Texas, Revenue Refunding Bonds, ROCS, VRDN, Series II-R-1030, 3.21% due 8/15/2017 (e)(j) 10,245 15,000 Houston, Texas, CP, 3.30% due 5/01/2006 15,000 41,000 Houston, Texas, Independent School District, GO, VRDN, 2.77% due 6/14/2006 (j) 41,000 Houston, Texas, Utility System Revenue Refunding Bonds, VRDN (e)(j): 5,355 ROCS, Series II-R-4063, 3.21% due 5/15/2021 5,355 6,000 TOCS, Series A, 3.21% due 5/25/2012 6,000 7,785 Houston, Texas, Water and Sewer System Revenue Bonds, MERLOTS, VRDN, Series A-128, 3.21% due 12/01/2029 (f)(j) 7,785 3,355 Irving, Texas, Independent School District, GO, Refunding, ROCS, VRDN, Series II-R-2028, 3.21% due 2/15/2022 (j) 3,355 4,975 Lewisville, Texas, Independent School District, GO, Refunding, PUTTERS, VRDN, Series 701, 3.21% due 8/15/2010 (b)(j) 4,975 10,395 Municipal Securities Trust Certificates, Austin, Texas, Water Revenue Refunding Bonds, VRDN, Series 2001-134, Class A, 3.23% due 5/15/2010 (e)(j) 10,395 8,620 Municipal Securities Trust Certificates, Houston, Texas, Independent School District, GO, Refunding, VRDN, Series 233, Class A, 3.30% due 1/09/2014 (j) 8,620 4,840 Municipal Securities Trust Certificates, Texas, VRDN, Series 2005-240, Class A, 3.30% due 11/06/2024 (a)(j) 4,840 CMA TAX-EXEMPT FUND MARCH 31, 2006 Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value Texas (continued) $ 567 Nortex Housing Finance Corporation, Texas, S/F Mortgage Revenue Bonds, VRDN, Series A, 3.28% due 6/01/2036 (j) $ 567 North Central Texas, CP: 20,000 3.20% due 5/05/2006 20,000 32,000 3.24% due 6/01/2006 32,000 17,335 Port Arthur, Texas, Navigation District, Environmental Facilities Revenue Refunding Bonds (Motiva Enterprises Project), VRDN, AMT, 3.32% due 12/01/2027 (j) 17,335 Port Arthur, Texas, Navigation District, Industrial Development Corporation, Exempt Facilities Revenue Bonds (Air Products and Chemicals Project), VRDN, AMT (j): 10,000 3.26% due 4/01/2036 10,000 8,400 3.21% due 5/01/2040 8,400 Port Arthur, Texas, Navigation District Revenue Bonds, VRDN, AMT (j): 20,000 (BASF Corporation Project), 3.30% due 4/01/2033 20,000 10,000 Multi-Mode (Atofina Petrochemicals), Series B, 3.35% due 4/01/2027 10,000 6,000 Port of Corpus Christi Authority, Texas, Nueces County Solid Waste Disposal Revenue Bonds (Flint Hills Resources LP Project), VRDN, AMT, 3.48% due 1/01/2030 (j) 6,000 50,000 Port of Corpus Christi Authority, Texas, Nueces County Solid Waste Disposal, Revenue Refunding Bonds (Flint Hills Resources LP Project), VRDN, AMT, Series A, 3.48% due 7/01/2029 (j) 50,000 3,765 Port of Houston Authority, Harris County, Texas, GO, Refunding, PUTTERS, VRDN, Series 1145, 3.21% due 10/01/2013 (f)(j) 3,765 5,925 San Antonio, Texas, Convention Center Hotel Finance Corporation, Contract Revenue Bonds, ROCS, VRDN, AMT, Series II-R-363, 3.25% due 7/15/2039 (a)(j) 5,925 10,000 San Antonio, Texas, Hotel Occupancy Revenue Bonds, FLOATS, VRDN, Series SG-51, 3.21% due 8/15/2019 (j) 10,000 4,990 San Marcos, Texas, Consolidated Independent School District, GO, MERLOTS, VRDN, Series C-23, 3.21% due 8/01/2029 (j) 4,990 4,155 Socorro, Texas, Independent School District, GO, ROCS, VRDN, Series II-R-2222, 3.21% due 8/15/2022 (j) 4,155 Southeast Texas Housing Finance Corporation, Revenue Refunding Bonds, VRDN (j): 3,947 4.809% due 3/01/2007 3,947 6,000 AMT, Series A-2, 3.60% due 2/16/2007 (c)(n) 6,000 10,000 Texas Public Finance Authority, CP, 3.30% due 5/10/2006 10,000 54,160 Texas State, GO (College Student Loan), Refunding, VRDN, AMT, 2.85% due 7/01/2006 (j) 54,160 275,230 Texas State, GO, TRAN, 4.50% due 8/31/2006 276,898 5,425 University of Texas, Financing System Revenue Refunding Bonds, ROCS, VRDN, Series II-R-1011, 3.43% due 6/01/2006 (e)(j) 5,425 4,335 Victoria County, Texas, Hospital Revenue Refunding Bonds, FLOATS, VRDN, Series 959, 3.20% due 1/01/2016 (a)(j) 4,335 Face Amount Municipal Bonds Value Texas (concluded) $ 6,200 West Side Calhoun County, Texas, Navigation District Sewer and Solid Waste District Revenue Bonds (BP Chemicals Inc. Project), VRDN, AMT, 3.17% due 4/01/2031 (j) $ 6,200 4,745 Williamson County, Texas, GO, Refunding, PUTTERS, VRDN, Series 410, 3.21% due 2/15/2012 (f)(j) 4,745 Utah--0.9% 15,000 Intermountain Power Agency, Utah, CP, 3.20% due 5/03/2006 15,000 10,000 Intermountain Power Agency, Utah, Power Supply Revenue Bonds, VRDN, Series F, 3.20% due 7/01/2018 (a)(j) 10,000 Murray City, Utah, Hospital Revenue Bonds (IHC Health Services, Inc.), VRDN (j): 18,050 Series A, 3.12% due 5/15/2037 18,050 9,225 Series B, 3.12% due 5/15/2037 9,225 5,000 Series C, 3.12% due 5/15/2036 5,000 12,900 Salt Lake County, Utah, PCR, Refunding (Service Station Holdings Project), VRDN, Series B, 3.10% due 8/01/2007 (j) 12,900 8,300 Utah Water Finance Agency, Tender Option Revenue Bonds, VRDN, Series A-9, 3.21% due 7/01/2034 (a)(j) 8,300 6,720 Weber County, Utah, Hospital Revenue Bonds (IHC Health Services), VRDN, Series C, 3.12% due 2/15/2035 (j) 6,720 Vermont--0.2% 4,050 Vermont Educational and Health Buildings Financing Agency, Revenue Bonds (Middlebury College Project), VRDN, Series A, 3.16% due 11/01/2006 (j) 4,050 2,100 Vermont HFA, S/F Revenue Bonds, VRDN, AMT, Series 16 A, 3.30% due 5/01/2032 (e)(j) 2,100 8,000 Vermont State Student Assistance Corporation, Student Loan Revenue Bonds, FLOATS, VRDN, 3.25% due 1/01/2008 (j) 8,000 Virginia--1.5% 6,055 Eagle Tax-Exempt Trust, Richmond, Virginia, Public Utilities Revenue Bonds, VRDN, Series 2006-0050, Class A, 3.20% due 1/15/2035 (e)(j) 6,055 13,000 Fairfax County, Virginia, IDA, Revenue Refunding Bonds (Inova Health System Project), VRDN, Series A-1, 3.15% due 5/15/2035 (j) 13,000 20,000 Morgan Keegan Municipal Products, Inc., Virginia State, HDA, VRDN, Series E, 3.21% due 12/01/2010 (j) 20,000 Norfolk, Virginia, CP: 38,000 3.34% due 5/01/2006 38,000 36,200 3.30% due 5/09/2006 36,200 25,000 Virginia State, HDA, Commonwealth Mortgage Revenue Refunding Bonds, VRDN, AMT, Series C, Sub-Series C-STEM-III, 3.03% due 5/16/2006 (j) 24,999 Washington--2.2% 20,000 ABN AMRO MuniTops Certificates Trust, Port of Seattle, Washington, Revenue Bonds, VRDN, Series 1998-16, 3.22% due 10/04/2006 (f)(j) 20,000 12,650 Central Puget Sound, Washington, Regional Transit Authority, Sales and Use Tax Revenue Bonds, ROCS, VRDN, Series II-R-7510, 3.21% due 11/01/2023 (a)(j) 12,650 22,900 Clark County, Washington, Public Utility District Number 001, Generating System Revenue Refunding Bonds, MSTR, VRDN, Series SGA-118, 3.16% due 1/01/2025 (e)(j) 22,900 CMA TAX-EXEMPT FUND MARCH 31, 2006 Schedule of Investments (concluded) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value Washington (continued) $ 3,000 Eagle Tax-Exempt Trust, Bellevue, Washington, GO, Refunding, VRDN, Series 2004-1011, Class A, 3.21% due 12/01/2043 (f)(j) $ 3,000 19,000 Energy Northwest, Washington, Electric Revenue Refunding Bonds (Project Number 3), VRDN, Series D-3-1, 3.17% due 7/01/2018 (e)(j) 19,000 8,905 Grant County, Washington, Public Utility District Number 002, Electric Revenue Refunding Bonds, ROCS, VRDN, Series II-R-2039, 3.21% due 1/01/2019 (e)(j) 8,905 5,225 King County, Washington, School District Number 410, Snoqualmie Valley, GO, ROCS, VRDN, Series II-R-4513, 3.21% due 12/01/2020 (e)(j) 5,225 14,745 King County, Washington, Sewer Revenue Refunding Bonds, FLOATS, VRDN, Series 554, 3.20% due 7/01/2009 (b)(j) 14,745 2,265 Lewis County, Washington, Public Utility District Number 001, Cowlitz Falls Hydroelectric Revenue Refunding Bonds, VRDN, Series II-R-4026, 3.21% due 10/01/2023 (f)(j) 2,265 14,070 Municipal Securities Trust Certificates, Washington State Motor Vehicle Fuel Tax, GO, VRDN, Series 2001-112, Class A, 3.16% due 1/07/2021 (j) 14,070 4,945 Port of Seattle, Washington, Revenue Bonds, MERLOTS, VRDN, AMT, Series B04, 3.26% due 9/01/2015 (b)(j) 4,945 4,945 Seattle, Washington, Water System Revenue Refunding Bonds, ROCS, VRDN, Series II-R-4006, 3.21% due 9/01/2022 (f)(j) 4,945 3,465 Spokane County, Washington, Spokane School District Number 081, GO, ROCS, VRDN, Series II-R-4000, 3.21% due 12/01/2019 (e)(j) 3,465 5,600 Tacoma, Washington, Convention Center and Parking Revenue Bonds, ROCS, VRDN, Series II-R-2144, 3.21% due 12/01/2022 (f)(j) 5,600 13,975 Tacoma, Washington, Water Revenue Refunding Bonds, FLOATS, VRDN, Series 555, 3.20% due 12/01/2009 (b)(j) 13,975 Washington State, GO, Refunding, MERLOTS, VRDN (f)(j): 5,195 Series A05, 3.21% due 1/01/2013 5,195 12,800 Series A57, 3.21% due 1/01/2011 12,800 Washington State, GO, VRDN (j): 2,615 FLOATS, Series 1140, 3.24% due 6/01/2016 (b) 2,615 15,075 PUTTERS, Series 333, 3.24% due 12/01/2014 (f) 15,075 10,395 ROCS, Series II-R-6061, 3.20% due 1/01/2022 (a) 10,395 Face Amount Municipal Bonds Value Washington (concluded) $ 6,400 Washington State Housing Finance Commission, M/F Housing Revenue Bonds (Arbors on the Park Project), VRDN, AMT, 3.27% due 10/01/2024 (j) $ 6,400 West Virginia--0.2% 10,695 ABN AMRO MuniTops Certificates Trust, West Virginia State, GO, VRDN, Series 2000-12, 3.20% due 6/04/2008 (f)(j) 10,695 9,900 Eagle Tax-Exempt Trust, West Virginia Higher Education Policy Commission, Revenue Refunding Bonds, VRDN, Series 2005-0018, Class A, 3.21% due 4/01/2034 (b)(j) 9,900 Wisconsin--0.7% 14,850 Eagle Tax-Exempt Trust, Wisconsin Ball Park, VRDN, Series 98, Class 4901, 3.21% due 12/15/2026 (j) 14,850 2,595 Hartland, Wisconsin, IDR (Commercial Communications Inc. Project), VRDN, AMT, 3.50% due 8/01/2009 (j) 2,595 2,685 Manitowoc, Wisconsin, Electric Revenue Bonds, ROCS, VRDN, Series II-R-2177, 3.21% due 10/01/2024 (b)(j) 2,685 6,000 Wisconsin Public Power Inc., Power Supply System Revenue Bonds, PUTTERS, VRDN, Series 1150, 3.21% due 7/01/2013 (a)(j) 6,000 5,145 Wisconsin Rural Water Construction Loan Program, Commission Revenue Bonds, BAN, 4.25% due 9/15/2006 5,173 Wisconsin State, GO, CP: 6,595 3.25% due 5/04/2006 6,595 25,000 3.29% due 5/08/2006 25,000 Wyoming--0.5% 24,200 Sweetwater County, Wyoming, PCR, Refunding (Idaho Power Company Project), VRDN, Series B, 3.23% due 7/15/2026 (j) 24,200 25,000 Wyoming State Education Fund, GO, TRAN, 4% due 6/28/2006 25,082 Puerto Rico--0.2% 3,005 Puerto Rico Commonwealth Infrastructure Financing Authority, Special Obligation Revenue Bonds, TOCS, VRDN, Series Z-6, 3.24% due 6/26/2037 (b)(j) 3,005 12,800 Puerto Rico Electric Power Authority, Power Revenue Bonds, MSTR, VRDN, Series SGA-43, 3.17% due 7/01/2022 (f)(j) 12,800 Total Investments (Cost--$9,484,743*)--99.6% 9,484,743 Other Assets Less Liabilities--0.4% 39,994 ---------- Net Assets--100.0% 9,524,737 ========== * Cost for federal income tax purposes. (a) AMBAC Insured. (b) FGIC Insured. (c) FHLMC Collateralized. (d) FNMA Collateralized. (e) FSA Insured. (f) MBIA Insured. (g) CIFG Insured. (h) Radian Insured. (i) XL Capital Insured. (j) Security may have a maturity of more than one year at time of issuance, but has variable rate and demand features that qualify it as a short-term security. The rate disclosed is that currently in effect. This rate changes periodically based upon prevailing market rates. (k) AGC Insured. (l) FHA Insured. (m) The security may be offered and sold to "qualified institutional buyers" under Rule 144A of the Securities Act of 1933. (n) FNMA/GNMA Collateralized. See Notes to Financial Statements. CMA TAX-EXEMPT FUND MARCH 31, 2006 Statement of Assets and Liabilities Master Tax-Exempt Trust
As of March 31, 2006 Assets Investments in unaffiliated securities, at value (identified cost--$9,484,742,795) $ 9,484,742,795 Cash 41,757 Receivables: Interest $ 67,352,506 Securities sold 3,376,187 Contributions 972,759 71,701,452 --------------- Prepaid expenses 40,010 --------------- Total assets 9,556,526,014 --------------- Liabilities Payables: Securities purchased 30,026,253 Investment adviser 999,152 Other affiliates 96,885 31,122,290 --------------- Accrued expenses and other liabilities 666,871 --------------- Total liabilities 31,789,161 --------------- Net Assets Net assets $ 9,524,736,853 =============== Net Assets Consist of Investors' capital $ 9,524,736,853 --------------- Net Assets $ 9,524,736,853 =============== See Notes to Financial Statements.
Statement of Operations Master Tax-Exempt Trust
For the Year Ended March 31, 2006 Investment Income Interest and amortization of premium and discount earned $ 261,892,365 Expenses Investment advisory fees $ 12,687,362 Accounting services 1,223,310 Custodian fees 215,518 Professional fees 106,778 Pricing fees 71,426 Trustees' fees and expenses 56,198 Printing and shareholder reports 2,589 Other 143,437 --------------- Total expenses 14,506,618 --------------- Investment income--net 247,385,747 --------------- Realized Loss--Net Realized loss on investments--net (414,731) --------------- Net Increase in Net Assets Resulting from Operations $ 246,971,016 =============== See Notes to Financial Statements.
CMA TAX-EXEMPT FUND MARCH 31, 2006 Statements of Changes in Net Assets Master Tax-Exempt Trust
For the Year Ended March 31, Increase (Decrease) in Net Assets: 2006 2005 Operations Investment income--net $ 247,385,747 $ 131,362,901 Realized loss--net (414,731) (941,838) ---------------- ---------------- Net increase in net assets resulting from operations 246,971,016 130,421,063 ---------------- ---------------- Capital Transactions Proceeds from contributions 52,632,134,510 42,296,733,453 Fair value of withdrawals (53,104,175,686) (42,929,977,629) ---------------- ---------------- Net decrease in net assets derived from capital transactions (472,041,176) (633,244,176) ---------------- ---------------- Net Assets Total decrease in net assets (225,070,160) (502,823,113) Beginning of year 9,749,807,013 10,252,630,126 ---------------- ---------------- End of year $ 9,524,736,853 $ 9,749,807,013 ================ ================ See Notes to Financial Statements.
Financial Highlights Master Tax-Exempt Trust
For the Period February 13, 2003++ The following per share data and ratios have been derived For the Year Ended March 31, to March 31, from information provided in the financial statements. 2006 2005 2004 2003 Total Investment Return Total investment return 2.64% 1.33% .94% .68%* ============ ============ ============ ============ Ratios to Average Net Assets Expenses .15% .15% .15% .21%* ============ ============ ============ ============ Investment income and realized gain (loss)--net 2.61% 1.31% .94% 1.04%* ============ ============ ============ ============ Supplemental Data Net assets, end of period (in thousands) $ 9,524,737 $ 9,749,807 $ 10,252,630 $ 10,591,179 ============ ============ ============ ============ * Annualized. ++ Commencement of operations. See Notes to Financial Statements.
CMA TAX-EXEMPT FUND MARCH 31, 2006 Notes to Financial Statements Master Tax-Exempt Trust 1. Significant Accounting Policies: Master Tax-Exempt Trust (the "Trust") is registered under the Investment Company Act of 1940, as amended, and is organized as a Delaware statutory trust. The Declaration of Trust permits the Trustees to issue nontransferable interests in the Trust, subject to certain limitations. The Trust's financial statements are prepared in conformity with U.S. generally accepted accounting principles, which may require the use of management accruals and estimates. Actual results may differ from these estimates. The following is a summary of significant accounting policies followed by the Trust. (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--The Trust is classified as a partnership for federal income tax purposes. As such, each investor in the Trust is treated as owner of its proportionate share of the net assets, income, expenses and realized and unrealized gains and losses of the Trust. Therefore, no federal income tax provision is required. It is intended that the Trust's assets will be managed so an investor in the Trust can satisfy the requirements of Subchapter M of the Internal Revenue Code. (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. 2. Investment Advisory Agreement and Transactions with Affiliates: The Trust 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 Trust's portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of the Trust. For such services, the Trust pays a monthly fee based upon the average daily value of the Trust's net assets at the following annual rates: .25% of the Trust's average daily net assets not exceeding $500 million; .175% of the average daily net assets in excess of $500 million but not exceeding $1 billion; and .125% of the average daily net assets in excess of $1 billion. For the year ended March 31, 2006, the Trust reimbursed FAM $220,752 for certain accounting services. Certain officers and/or trustees of the Trust are officers and/or directors of FAM, PSI, and/or ML & Co. In February 2006, ML & Co. and BlackRock, Inc. entered into an agreement to contribute ML & Co.'s investment management business, including FAM, to the investment management business of BlackRock, Inc. The transaction is expected to close in the third quarter of 2006. CMA TAX-EXEMPT FUND MARCH 31, 2006 Report of Independent Registered Public Accounting Firm Master Tax-Exempt Trust To the Investors and Board of Trustees of Master Tax-Exempt Trust: We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Master Tax-Exempt Trust as of March 31, 2006, 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 respective periods 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 the standards of the Public Company Accounting Oversight Board (United States). 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. The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2006, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. 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 Master Tax-Exempt Trust as of March 31, 2006, 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 respective periods then ended, in conformity with U.S. generally accepted accounting principles. Deloitte & Touche LLP Princeton, New Jersey May 22, 2006 CMA TAX-EXEMPT FUND MARCH 31, 2006 Officers and Trustees
Number of Portfolios in Other Public Position(s) Length of Fund Complex Directorships Held with Time Overseen by Held by Name, Address & Age Fund/Trust Served Principal Occupation(s) During Past 5 Years Trustee Trustee Interested Trustee Robert C. Doll, Jr.* President 2005 to President of MLIM/FAM-advised funds since 131 Funds None P.O. Box 9011 and present 2005; President of MLIM and FAM since 2001; 177 Portfolios Princeton, Trustee Co-Head (Americas Region) thereof from 2000 NJ 08543-9011 to 2001 and Senior Vice President from 1999 Age: 51 to 2001; President and Director of Princeton Services, Inc. ("Princeton Services") since 2001; President of Princeton Administrators, L.P. ("Princeton Administrators") since 2001; Chief Investment Officer of OppenheimerFunds, Inc. in 1999 and Executive Vice President thereof from 1991 to 1999. * Mr. Doll 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. Doll is an "interested person," as defined in the Investment Company Act, of the Fund based on his positions with MLIM, FAM, Princeton Services and Princeton Administrators. Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. As Fund/Trust President, Mr. Doll serves at the pleasure of the Board of Trustees.
CMA TAX-EXEMPT FUND MARCH 31, 2006 Officers and Trustees (continued)
Number of Portfolios in Other Public Position(s) Length of Fund Complex Directorships Held with Time Overseen by Held by Name, Address & Age Fund/Trust Served Principal Occupation(s) During Past 5 Years Trustee Trustee Independent Trustees* Ronald W. Forbes** Trustee 1981/2002 Professor Emeritus of Finance, School of 49 Funds None P.O. Box 9095 to present Business, State University of New York at 50 Portfolios Princeton, Albany since 2000 and Professor thereof NJ 08543-9095 from 1989 to 2000; International Consultant, Age: 65 Urban Institute, Washington, D.C. from 1995 to 1999. Cynthia A. Montgomery Trustee 1994/2002 Professor, Harvard Business School since 49 Funds Newell P.O. Box 9095 to present 1989; Associate Professor, J.L. Kellogg 50 Portfolios Rubbermaid, Inc. Princeton, Graduate School of Management, Northwestern (manufacturing) NJ 08543-9095 University from 1985 to 1989; Associate Age: 53 Professor, Graduate School of Business Administration, University of Michigan from 1979 to 1985; Director, Harvard Business School Publishing since 2005; Director, McLean Hospital since 2005. Jean Margo Reid Trustee 2004 to Self-employed consultant since 2001; 49 Funds None P.O. Box 9095 present Counsel of Alliance Capital Management 50 Portfolios Princeton, (investment adviser) in 2000; General NJ 08543-9095 Counsel, Director and Secretary of Age: 60 Sanford C. Bernstein & Co., Inc. (investment adviser/broker-dealer) from 1997 to 2000; Secretary, Sanford C. Bernstein Fund, Inc. from 1994 to 2000; Director and Secretary of SCB, Inc. since 1998; Director and Secretary of SCB Partners, Inc. since 2000; and Director of Covenant House from 2001 to 2004. Roscoe S. Suddarth Trustee 2000/2002 President, Middle East Institute from 1995 49 Funds None P.O. Box 9095 to present to 2001; Foreign Service Officer, United 50 Portfolios Princeton, States Foreign Service, from 1961 to 1995 and NJ 08543-9095 Career Minister from 1989 to 1995; Deputy Age: 70 Inspector General, U.S. Department of State, from 1991 to 1994; U.S. Ambassador to the Hashemite Kingdom of Jordan from 1987 to 1990. Richard R. West Trustee 1981/2002 Professor of Finance from 1984 to 1995, 49 Funds Bowne & Co., P.O. Box 9095 to present Dean from 1984 to 1993 and since 1995 50 Portfolios Inc. (financial Princeton, Dean Emeritus of New York University printers); NJ 08543-9095 Leonard N. Stern School of Business Vornado Realty Age: 68 Administration. Trust (real estate company); Alexander's, Inc. (real estate company) Edward D. Zinbarg Trustee 2000/2002 Self-employed financial consultant since 49 Funds None P.O. Box 9095 to present 1994; Executive Vice President of the 50 Portfolios Princeton, Prudential Insurance Company of America NJ 08543-9095 from 1988 to 1994; Former Director of Age: 71 Prudential Reinsurance Company and former Trustee of the Prudential Foundation. * Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. ** Chairman of the Board of Trustees and the Audit Committee.
CMA TAX-EXEMPT FUND MARCH 31, 2006 Officers and Trustees (concluded)
Position(s) Length of Held with Time Name, Address & Age Fund/Trust Served Principal Occupation(s) During Past 5 Years Fund Officers* Donald C. Burke Vice 1993/2002 First Vice President of MLIM and FAM since 1997 and Treasurer thereof since P.O. Box 9011 President to present 1999; Senior Vice President and Treasurer of Princeton Services since 1999 Princeton, and and and Director since 2004; Vice President of FAM Distributors, Inc. ("FAMD") NJ 08543-9011 Treasurer 1999 to since 1999 and Director since 2004; Vice President of MLIM and FAM from 1990 Age: 45 present to 1997; Director of Taxation of MLIM from 1990 to 2001; Vice President, Treasurer and Secretary of the IQ Funds since 2004. Kenneth A. Jacob Senior 2002 to Managing Director (Tax-Exempt Fund Management) of MLIM since 2000; Director P.O. Box 9011 Vice present of MLIM from 1997 to 2000. Princeton, President NJ 08543-9011 Age: 55 John M. Loffredo Senior 2002 to Managing Director (Tax-Exempt Fund Management) of MLIM since 2000; Director P.O. Box 9011 Vice present of MLIM from 1997 to 2000. Princeton, President NJ 08543-9011 Age: 42 Peter J. Hayes Vice 1989/2002 Managing Director (Tax-Exempt Fund Management) of MLIM since 2000; Director P.O. Box 9011 President to present of MLIM from 1997 to 2000. Princeton, NJ 08543-9011 Age: 46 Jeffrey Hiller Chief 2004 to Chief Compliance Officer of the MLIM/FAM-advised funds and First Vice P.O. Box 9011 Compliance present President and Chief Compliance Officer of MLIM (Americas Region) since Princeton, Officer 2004; Chief Compliance Officer of the IQ Funds since 2004; Global Director NJ 08543-9011 of Compliance at Morgan Stanley Investment Management from 2002 to 2004; Age: 54 Managing Director and Global Director of Compliance at Citigroup Asset Management from 2000 to 2002; Chief Compliance Officer at Soros Fund Management in 2000; Chief Compliance Officer at Prudential Financial from 1995 to 2000; Senior Counsel in the Commission's Securities and Exchange Division of Enforcement in Washington, D.C. from 1990 to 1995. Alice A. Pellegrino Secretary 2004 to Director (Legal Advisory) of MLIM since 2002; Vice President of MLIM from P.O. Box 9011 present 1999 to 2002; Attorney associated with MLIM since 1997; Secretary of MLIM, Princeton, FAM, FAMD and Princeton Services since 2004. NJ 08543-9011 Age: 46 * Officers of the Fund/Trust 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 1-800-637-3863. 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). CMA TAX-EXEMPT FUND MARCH 31, 2006 Availability of Quarterly Schedule of Investments The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission ("SEC") for the first and third quarters of each fiscal year on Form N-Q. The Fund's Forms N-Q are available on the SEC's Web site at http://www.sec.gov. The Fund's Forms N-Q may also be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. CMA TAX-EXEMPT FUND MARCH 31, 2006 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 Web site at 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 TAX-EXEMPT FUND MARCH 31, 2006 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 CMA Tax-Exempt Fund (a) Audit Fees - Fiscal Year Ending March 31, 2006 - $6,600 Fiscal Year Ending March 31, 2005 - $6,500 (b) Audit-Related Fees - Fiscal Year Ending March 31, 2006 - $0 Fiscal Year Ending March 31, 2005 - $0 (c) Tax Fees - Fiscal Year Ending March 31, 2006 - $6,000 Fiscal Year Ending March 31, 2005 - $5,700 The nature of the services include tax compliance, tax advice and tax planning. (d) All Other Fees - Fiscal Year Ending March 31, 2006 - $0 Fiscal Year Ending March 31, 2005 - $0 Master Tax-Exempt Trust (a) Audit Fees - Fiscal Year Ending March 31, 2006 - $35,500 Fiscal Year Ending March 31, 2005 - $35,000 (b) Audit-Related Fees - Fiscal Year Ending March 31, 2006 - $0 Fiscal Year Ending March 31, 2005 - $0 (c) Tax Fees - Fiscal Year Ending March 31, 2006 - $6,800 Fiscal Year Ending March 31, 2005 - $6,500 The nature of the services include tax compliance, tax advice and tax planning. (d) All Other Fees - Fiscal Year Ending March 31, 2006 - $0 Fiscal Year Ending March 31, 2005 - $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 all of the registrants the Committee oversees. 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, 2006 - $3,754,550 Fiscal Year Ending March 31, 2005 - $10,018,400 (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) - $1,227,000, 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 - Portfolio Managers of Closed-End Management Investment Companies - Not Applicable Item 9 - Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers - Not Applicable Item 10 - Submission of Matters to a Vote of Security Holders - Not Applicable Item 11 - Controls and Procedures 11(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. 11(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 12 - Exhibits attached hereto 12(a)(1) - Code of Ethics - See Item 2 12(a)(2) - Certifications - Attached hereto 12(a)(3) - Not Applicable 12(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 Tax-Exempt Fund and Master Tax-Exempt Trust By: /s/ Robert C. Doll, Jr. --------------------------- Robert C. Doll, Jr., Chief Executive Officer of CMA Tax-Exempt Fund and Master Tax-Exempt Trust Date: May 22, 2006 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/ Robert C. Doll, Jr. --------------------------- Robert C. Doll, Jr., Chief Executive Officer of CMA Tax-Exempt Fund and Master Tax-Exempt Trust Date: May 22, 2006 By: /s/ Donald C. Burke --------------------------- Donald C. Burke, Chief Financial Officer of CMA Tax-Exempt Fund and Master Tax-Exempt Trust Date: May 22, 2006 EX-99.CERT 2 ex99cert.txt SECTION 302 EX-99. CERT CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 I, Robert C. Doll, Jr., Chief Executive Officer of CMA Tax-Exempt Fund and Master Tax-Exempt Trust, certify that: 1. I have reviewed this report on Form N-CSR of CMA Tax-Exempt Fund and Master Tax-Exempt Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrants as of, and for, the periods presented in this report; 4. The registrants' other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have: a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) evaluated the effectiveness of the registrants' disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) disclosed in this report any change in the registrants' internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants' internal control over financial reporting; and 5. The registrants' other certifying officer(s) and I have disclosed to the registrants' auditors and the audit committees of the registrants' boards of directors (or persons performing the equivalent functions): a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants' internal control over financial reporting. Date: May 22, 2006 /s/ Robert C. Doll, Jr. ------------------------- Robert C. Doll, Jr., Chief Executive Officer of CMA Tax-Exempt Fund and Master Tax-Exempt Trust EX-99. CERT CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 I, Donald C. Burke, Chief Financial Officer of CMA Tax-Exempt Fund and Master Tax-Exempt Trust, certify that: 1. I have reviewed this report on Form N-CSR of CMA Tax-Exempt Fund and Master Tax-Exempt Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrants as of, and for, the periods presented in this report; 4. The registrants' other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have: a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) evaluated the effectiveness of the registrants' disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) disclosed in this report any change in the registrants' internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants' internal control over financial reporting; and 5. The registrants' other certifying officer(s) and I have disclosed to the registrants' auditors and the audit committees of the registrants' boards of directors (or persons performing the equivalent functions): a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants' internal control over financial reporting. Date: May 22, 2006 /s/ Donald C. Burke -------------------- Donald C. Burke, Chief Financial Officer of CMA Tax-Exempt Fund and Master Tax-Exempt Trust EX-99.1350CERT 3 section906.txt SECTION 906 Exhibit 99.1350CERT Certification Pursuant to Section 906 of the Sarbanes Oxley Act I, Robert C. Doll, Jr., Chief Executive Officer of CMA Tax-Exempt Fund and Master Tax-Exempt Trust (together, the "Fund"), certify that: 1. The N-CSR of the Fund (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund. Dated: May 22, 2006 /s/ Robert C. Doll, Jr. ----------------------- Robert C. Doll, Jr., Chief Executive Officer of CMA Tax-Exempt Fund and Master Tax-Exempt Trust A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to CMA Tax-Exempt Fund and Master Tax-Exempt Trust and will be retained by CMA Tax-Exempt Fund and Master Tax-Exempt Trust and furnished to the Securities and Exchange Commission or its staff upon request. Exhibit 99.1350CERT Certification Pursuant to Section 906 of the Sarbanes Oxley Act I, Donald C. Burke, Chief Financial Officer of CMA Tax-Exempt Fund and Master Tax-Exempt Trust (together, the "Fund"), certify that: 1. The N-CSR of the Fund (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund. Dated: May 22, 2006 /s/ Donald C. Burke -------------------- Donald C. Burke, Chief Financial Officer of CMA Tax-Exempt Fund and Master Tax-Exempt Trust A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to CMA Tax-Exempt Fund and Master Tax-Exempt Trust and will be retained by CMA Tax-Exempt Fund and Master Tax-Exempt Trust and furnished to the Securities and Exchange Commission or its staff upon request. -----END PRIVACY-ENHANCED MESSAGE-----