-----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, E5l0SXKOnTTX9CTKWgO9Ggz+0SuxHWEAtBZ5CatIKaWvuP2w/96WG1fYGnEAw6hr paet9JAMoLe+HCFCYlLkyA== 0000900092-06-000510.txt : 20061205 0000900092-06-000510.hdr.sgml : 20061205 20061205154251 ACCESSION NUMBER: 0000900092-06-000510 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20060930 FILED AS OF DATE: 20061205 DATE AS OF CHANGE: 20061205 EFFECTIVENESS DATE: 20061205 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-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-03111 FILM NUMBER: 061257332 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-CSRS 1 br7434.txt CMA TAX EXEMPT UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSRS 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: 03/31/07 Date of reporting period: 04/01/06 - 09/30/06 Item 1 - Report to Stockholders Semi-Annual Report September 30, 2006 CMA Tax-Exempt Fund This report is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Fund unless accompanied or preceded by the Fund's current prospectus. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund. Past performance results shown in this report should not be considered a representation of future performance, which will fluctuate. Statements and other information herein are as dated and are subject to change. A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling toll-free 1-800-441-7762; (2) at www.blackrock.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.blackrock.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! CMA Tax-Exempt Fund Portfolio Holdings* Put Bonds--3% Fixed Rate Notes--10% Tax-Exempt Commercial Paper--8% Variable Rate Demand Obligations--79% * Based on total market value of Master Tax-Exempt Trust as of September 30, 2006. Investments are valued at amortized cost, which approximates market value. Proxy Results During the six-month period ended September 30, 2006, CMA Tax-Exempt Fund's shareholders voted on the following proposals. On July 31, 2006 and August 31, 2006, the meetings were adjourned with respect to Proposals 1 and 3 until September 15, 2006, at which time they passed. A description of the proposals and number of shares voted were as follows:
Shares Voted Shares Voted Shares Voted For Against Abstain 1. To approve a new investment advisory agreement with BlackRock Advisors, Inc. 4,110,335,225 155,958,259 108,854,339 3. To approve a contingent subadvisory agreement with BlackRock Advisors, Inc. 4,086,515,801 171,125,163 117,506,859
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 A Letter to Shareholders Dear Shareholder It is my pleasure to welcome you to BlackRock. On September 29, 2006, BlackRock, Inc. ("BlackRock") and Merrill Lynch Investment Managers, L.P. ("MLIM") united to form one of the largest asset management firms in the world. Now with more than $1 trillion in assets under management, over 4,000 employees in 18 countries and representation in key markets worldwide, BlackRock's global presence means greater depth and scale to serve you. The new BlackRock unites some of the finest money managers in the industry. Our ranks include more than 500 investment professionals globally - portfolio managers, research analysts, risk management professionals and traders. With offices strategically located around the world, our investment professionals have in-depth local knowledge and the ability to leverage our global presence and robust infrastructure to deliver focused investment solutions. BlackRock's professional investors are supported by disciplined investment processes and best-in-class technology, ensuring that our portfolio managers are well equipped to research, uncover and capitalize on the opportunities the world's markets have to offer. The BlackRock culture emphasizes excellence, teamwork and integrity in the management of a variety of equity, fixed income, cash management, alternative investment and real estate products. Our firm's core philosophy is grounded in the belief that experienced investment and risk professionals using disciplined investment processes and sophisticated analytical tools can consistently add value to client portfolios. As you probably are aware, most former MLIM investment products now carry the "BlackRock" name. This is reflected in newspapers and online fund reporting resources. Your account statements, as of the October month-end reporting period, also reflect the BlackRock name. Unless otherwise communicated to you, your funds maintain the same investment objectives that they did prior to the combination of MLIM and BlackRock. Importantly, this union does not affect your brokerage account or your relationship with your financial advisor. Clients of Merrill Lynch remain clients of Merrill Lynch. We view this combination of asset management leaders as a complementary union that reinforces our commitment to shareholders. Individually, each firm made investment performance its single most important mission. Together, we are even better prepared to capitalize on market opportunities on behalf of our shareholders. Our focus on investment excellence is accompanied by an unwavering commitment to service, enabling us to assist clients, in cooperation with their financial professionals, in working toward their investment goals. We thank you for allowing us the opportunity, and we look forward to serving your investment needs in the months and years ahead as the new BlackRock. Sincerely, (Robert C. Doll, Jr.) Robert C. Doll, Jr. Vice Chairman BlackRock, Inc. Data, including assets under management, are as of June 30, 2006. CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 A Discussion With Your Fund's Portfolio Manager We maintained a neutral investment strategy throughout the period, given the continued uncertainty surrounding monetary policy, and we were able to preserve investor capital while offering a competitive yield relative to our peers. How did the Fund perform during the period? For the six-month period ended September 30, 2006, CMA Tax-Exempt Fund paid shareholders a net annualized yield of 3.03%. As of September 30, 2006, the Fund's seven-day yield was 3.18%. The Fund continued to offer a competitive yield relative to its iMoneyNet, Inc. peer group average. Continued uncertainty with respect to the path of the Federal Reserve Board's (the Fed) monetary policy led us to maintain a relatively neutral investment strategy. This approach allowed the Fund to maintain a stable net asset value within the context of a high credit quality portfolio. Describe market and economic conditions during the semi-annual period. Uncertainty about economic growth, inflation and interest rates remained the focus for investors throughout the period. In the first three months, the Federal Open Market Committee (FOMC) met twice and voted both times to increase the federal funds target rate, which reached 5% in May and 5.25% in June. Despite signs of an economic slowdown, the central bank remained vigilant in targeting inflationary pressures during this time. The Fed, often sending mixed messages, was challenged to lay the groundwork for a pause in monetary tightening. During the second half of the period, investors struggled with evidence of slowing economic growth. Commodity prices collapsed - crude oil dropped to near $60 per barrel from earlier highs of approximately $78 per barrel, and natural gas prices plummeted. Housing activity also continued its descent. Amid these conditions, the Fed opted to pause at its August and September meetings, leaving the federal funds rate at 5.25% and ending a two-year streak of 17 consecutive 25 basis point (.25%) interest rate hikes. The pause in monetary tightening sparked a market rally, with bonds posting their strongest quarterly performance in several years. Bond yields, which move opposite their prices, fell significantly. Investor sentiment also shifted markedly, as expectations that the Fed could raise interest rates further during 2006 turned to anticipation of a cut in interest rates by early 2007. While only moving slightly, the Treasury yield curve continued its flattening trend and ended the period inverted, with the six-month Treasury offering the highest yield on the curve at 5.02%, versus the 10-year Treasury yield of 4.64%. The London InterBank Offered Rate (LIBOR) was separated by only 25 basis points between one year and 10 years. The municipal curve also flattened during the six-month period, as price gains on longer-dated securities outpaced the gains on securities with shorter maturities. Unlike the Treasury curve, however, the municipal curve maintained a positive slope, with the yield on one-year municipal securities ending the period at 3.46% versus a 10-year municipal yield of 4.04%. Although economic activity has slowed, positive revenue streams have reduced municipalities' need to borrow in the short-term municipal market. Reduced municipal issuance and a positive market backdrop caused yield ratios on fixed rate municipal notes to approach historically low levels, at close to 65% of their taxable counterparts. Yields on variable rate demand notes remained volatile, and their ratios fluctuated between 60% and 70% of their taxable counterparts. How did you manage the portfolio during the period? As we began the period, the portfolio was well positioned to meet the seasonal tax-related redemptions that normally occur during April and May. As the period progressed, however, tax-related redemptions were lighter than in previous years. As such, we shifted to a more neutral investment strategy in anticipation of a pause in the Fed's monetary tightening campaign. This involved increasing the Fund's average maturity to bring it closer to its peer group average. CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 Notably, state and local municipalities addressed their annual financing needs during the six-month period. As they did, we looked to participate in the various opportunities, primarily at the outset of the period when rates were cheaper. In doing so, we focused particularly on longer-dated fixed rate municipal notes. However, reduced issuance and expensive ratios relative to taxable bonds limited our participation later in the period. As an alternative, we concentrated on locking in attractive rates for periods of 30 days - 90 days with tax-exempt commercial paper, when available. Variable-rate demand note securities continued to play an important role in our strategy. Given the rapidly changing nature of these securities, they often provided more attractive yields than fixed rate municipal investments. Overall, we continued to focus on providing shareholders with an attractive tax-exempt yield while maintaining a stable net asset value. How would you characterize the portfolio's position at the close of the period? Given the possibility of a Fed policy change, we will continue to monitor economic data to gauge the future direction of interest rates. We remain relatively neutral in our approach, seeking to increase our fixed rate note exposure during periods of market weakness. Should the economy show signs of extreme weakness, we would look to extend the Fund's maturity and become slightly more aggressive. When available, we will continue to utilize tax- exempt commercial paper to lock in attractive rates for short periods of time. Finally, we will continue to closely monitor the credit quality of the Fund's portfolio while seeking to provide our shareholders with an attractive tax- exempt yield. Peter J. Hayes Vice President and Portfolio Manager October 13, 2006 CMA TAX-EXEMPT FUND SEPTEMBER 30, 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 April 1, 2006 and held through September 30, 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 April 1, 2006 April 1, September 30, to September 30, 2006 2006 2006 Actual CMA Tax-Exempt Fund $1,000 $1,015.10 $2.76 Hypothetical (5% annual return before expenses)** CMA Tax-Exempt Fund $1,000 $1,022.16 $2.77 * Expenses are equal to the Fund's annualized expense ratio of .55%, 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 SEPTEMBER 30, 2006 Statement of Assets and Liabilities CMA Tax-Exempt Fund
As of September 30, 2006 Assets Investment in Master Tax-Exempt Trust (the "Trust"), at value (identified cost--$8,264,261,004) $ 8,264,261,004 Prepaid expenses 475,755 --------------- Total assets 8,264,736,759 --------------- Liabilities Payables: Administrator $ 1,639,716 Distributor 1,248,497 Other affiliates 224,748 --------------- Total liabilities 3,112,961 --------------- Net Assets Net assets $ 8,261,623,798 =============== Net Assets Consist of Shares of beneficial interest, $.10 par value, unlimited number of shares authorized $ 826,406,396 Paid-in capital in excess of par 7,436,687,509 Accumulated realized capital losses allocated from the Trust--net (1,470,107) --------------- Net Assets--Equivalent to $1.00 per share based on 8,264,063,956 shares of beneficial interest outstanding $ 8,261,623,798 =============== See Notes to Financial Statements.
Statement of Operations CMA Tax-Exempt Fund
For the Six Months Ended September 30, 2006 Investment Income Interest from affiliates $ 2,014 Net investment income allocated from the Trust: Interest and amortization of premium and discount earned 150,793,284 Expenses (6,423,049) --------------- Total income 144,372,249 --------------- Expenses Administration fees $ 10,672,772 Distribution fees 5,297,828 Transfer agent fees 656,218 Registration fees 262,573 Printing and shareholder reports 54,255 Professional fees 32,722 Other 12,339 --------------- Total expenses 16,988,707 --------------- Investment income--net 127,383,542 --------------- Realized Gain Allocated from the Trust--Net Realized gain on investments--net 254,862 --------------- Net Increase in Net Assets Resulting from Operations $ 127,638,404 =============== See Notes to Financial Statements.
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 Statements of Changes in Net Assets CMA Tax-Exempt Fund
For the Six For the Months Ended Year Ended September 30, March 31, Increase (Decrease) in Net Assets: 2006 2006 Operations Investment income--net $ 127,383,542 $ 192,840,950 Realized gain (loss)--net 254,862 (386,763) ---------------- ---------------- Net increase in net assets resulting from operations 127,638,404 192,454,187 ---------------- ---------------- Dividends to Shareholders Dividends to shareholders from investment income--net (127,383,542) (192,840,950) ---------------- ---------------- Beneficial Interest Transactions Net proceeds from sale of shares 22,768,990,484 42,771,723,313 Value of shares issued to shareholders in reinvestment of dividends 127,389,569 192,841,208 ---------------- ---------------- Total shares issued 22,896,380,053 42,964,564,521 Cost of shares redeemed (23,396,119,507) (43,232,343,557) ---------------- ---------------- Net decrease in net assets derived from beneficial interest transactions (499,739,454) (267,779,036) ---------------- ---------------- Net Assets Total decrease in net assets (499,484,592) (268,165,799) Beginning of period 8,761,108,390 9,029,274,189 ---------------- ---------------- End of period $ 8,261,623,798 $ 8,761,108,390 ================ ================ See Notes to Financial Statements.
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 Financial Highlights CMA Tax-Exempt Fund
For the Six The following per share data and ratios Months Ended have been derived from information September 30, For the Year Ended March 31, provided in the financial statements. 2006 2006 2005 2004 2003++++++ 2002 Per Share Operating Performance Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ----------- ----------- ----------- ----------- ----------- ----------- Investment income--net .01 .02 .01 .01 .01 .02 Realized gain (loss)--net --++ --++++ --++++ --++++ --++++ --++ ----------- ----------- ----------- ----------- ----------- ----------- Total from investment operations .01 .02 .01 .01 .01 .02 ----------- ----------- ----------- ----------- ----------- ----------- Less dividends from investment income--net (.01) (.02) (.01) (.01) (.01) (.02) ----------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 =========== =========== =========== =========== =========== =========== Total investment return 1.51%** 2.24% .93% .54% .93% 1.76% =========== =========== =========== =========== =========== =========== Ratios to Average Net Assets Expenses .55%*+++ .55%+++ .55%+++ .55%+++ .55%+++ .55% =========== =========== =========== =========== =========== =========== Investment income and realized gain (loss)--net 2.99%*+++ 2.21%+++ .91%+++ .55%+++ .93%+++ 1.78% =========== =========== =========== =========== =========== =========== Supplemental Data Net assets, end of period (in thousands) $ 8,261,624 $ 8,761,108 $ 9,029,274 $ 9,522,055 $10,587,794 $10,545,626 =========== =========== =========== =========== =========== =========== * Annualized. ** Aggregate total investment return. ++ 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 SEPTEMBER 30, 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. These unaudited financial statements reflect all adjustments, which are, in the opinion of management, necessary to present a fair statement of the results for the interim period. All such adjustments are of a normal, recurring nature. The percentage of the Trust owned by the Fund at September 30, 2006 was 91%. 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) Recent accounting pronouncement--In July 2006, the Financial Accounting Standards Board ("FASB") issued interpretation No. 48 ("FIN 48") entitled "Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement No. 109." FIN 48 prescribes the minimum recognition threshold a tax position must meet in connection with accounting for uncertainties in income tax positions taken or expected to be taken by an entity including mutual funds before being measured and recognized in the financial statements. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006. The impact on the Fund's financial statements, if any, is currently being assessed. (e) Prepaid registration fees--Prepaid registration fees are charged to expense as the related shares are issued. (f) Dividends and distributions to shareholders--The Fund declares dividends daily and reinvests daily such dividends (net of non-resident alien tax and backup withholding tax withheld) in additional fund shares at net asset value. Dividends are declared from the total of net investment income. Distributions of net realized gain, if any, on investments are paid at least annually. (g) Investment transactions--Investment transactions are accounted for on a trade date basis. 2. Investment Advisory Agreement and 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 SEPTEMBER 30, 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. 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 closed September 29, 2006. On September 15, 2006, shareholders of the Fund approved a new Investment Advisory Agreement for the Trust, with BlackRock Advisors, Inc. (the "Manager"), a wholly owned subsidiary of BlackRock, Inc. BlackRock Advisors, Inc. was reorganized into BlackRock Advisors, LLC. The new advisory agreement became effective on September 29, 2006 and the investment advisory fee is unchanged. In addition, the Manager will provide administrative services and the administrative fee is unchanged. Prior to the closing, certain officers and/or trustees of the Fund are officers and/or directors of FAM, PSI, FDS, and/or ML & Co. Commencing September 29, 2006, certain officers and/or trustees of the Fund are officers and/or directors of BlackRock, Inc. or its affiliates. 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. 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 SEPTEMBER 30, 2006 Schedule of Investments Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value Alabama--3.1% $ 59,405 Alabama Special Care Facilities Financing Authority, Mobile Revenue Refunding Bonds (Ascension Health Credit), VRDN, Series B, 3.72% due 11/15/2039 (j) $ 59,405 71,400 Birmingham, Alabama, Special Care Facilities, Financing Authority, Revenue Refunding Bonds (Ascension Health Credit), VRDN, Series B, 3.68% due 11/15/2039 (j) 71,400 20,000 Columbia, Alabama, IDB Revenue Bonds (Alabama Power Company Project), VRDN, AMT, 3.88% due 11/01/2021 (j) 20,000 11,950 Daphne, Alabama, Special Care Facilities Financing Authority, Revenue Refunding Bonds (Presbyterian), VRDN, Series B, 3.79% due 8/15/2023 (a)(j) 11,950 1,000 Decatur, Alabama, IDB, Environmental Facilities Revenue Bonds (BP Amoco Chemical Company Project), VRDN, AMT, 3.83% due 11/01/2035 (j) 1,000 4,255 Eagle Tax-Exempt Trust, Birmingham, Alabama, Water and Sewer, VRDN, Series 2002-6009, Class A, 3.79% 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, 3.79% due 2/01/2032 7,835 3,000 Class 6016, 3.79% due 2/01/2038 3,000 91,600 Jefferson County, Alabama, Limited Obligation School Warrants, VRDN, Series B, 3.77% due 1/01/2027 (a)(j) 91,600 5,000 Jefferson County, Alabama, Sewer Revenue Refunding Bonds, VRDN, Series C-6, 3.75% due 2/01/2040 (j)(n) 5,000 8,100 Lehman Municipal Trust Receipts, Alabama Housing Finance Authority, FLOATS, VRDN, Series 2006-K41, 3.83% due 10/01/2037 (o) 8,100 Alaska--2.1% 19,400 Alaska Industrial Development and Export Authority Revenue Bonds, ROCS, VRDN, Series II-R-320, 3.78% due 4/01/2034 (e)(j) 19,400 80,000 Alaska State Housing Financing Corporation, Collateralized Revenue Bonds (Veterans Mortgage Program), AMT, 3.43% due 12/01/2006 (i) 80,000 2,210 Anchorage, Alaska, Electric Utility Revenue Refunding Bonds, PUTTERS, VRDN, Series 1128, 3.78% due 6/01/2013 (f)(j)(o) 2,210 Face Amount Municipal Bonds Value Alaska (concluded) Anchorage, Alaska, GO: $ 6,215 PUTTERS, VRDN, Series 552, 3.78% due 6/01/2012 (f)(j) $ 6,215 18,700 TAN, 4.50% due 12/28/2006 18,752 Valdez, Alaska, Marine Terminal Revenue Refunding Bonds, VRDN (j): 1,200 (BP Pipelines Inc. Project), Series A, 3.80% due 6/01/2037 1,200 7,225 (BP Pipelines Inc. Project), Series B, 3.80% due 7/01/2037 7,225 3,085 (BP Pipelines Inc. Project), Series C, 3.80% due 7/01/2037 3,085 3,580 (ConocoPhillips Company Project), 3.77% due 5/01/2007 3,580 49,650 (ConocoPhillips Company Project), Series C, 3.68% due 6/01/2007 49,650 Arizona--1.6% 33,000 Apache County, Arizona, IDA, IDR (Tucson Electric Power Co.), VRDN, Series 83-A, 3.72% due 12/15/2018 (j) 33,000 Arizona Health Facilities Authority, Revenue Refunding Bonds (Banner Health System), VRDN (j): 5,000 Series A, 3.74% due 1/01/2029 (f) 5,000 4,440 Series B, 3.73% due 1/01/2035 (b) 4,440 10,000 Maricopa County, Arizona, IDA, Health Facilities Revenue Bonds, PUTTERS, VRDN, Series 420, 3.79% due 1/01/2010 (j) 10,000 15,211 Maricopa County, Arizona, IDA, S/F Mortgage Revenue Bonds, FLOATS, VRDN, AMT, Series 1165, 3.80% due 2/01/2008 (j) 15,211 20,000 McAllister Academic Village, LLC, Arizona, Revenue Bonds (Arizona State University Project), VRDN, Series A, 3.75% due 7/01/2045 (a)(j) 20,000 42,290 Morgan Keegan Municipal Products, Inc., Maricopa County, Arizona, IDA, VRDN, AMT, Series A, 3.84% due 2/02/2009 (j) 42,290 Phoenix, Arizona, Civic Improvement Corporation, State of Arizona Distribution Revenue Bonds, VRDN (b)(j): 2,400 PUTTERS, Series 1306, 3.81% due 1/01/2026 2,400 4,775 TOCS, Series Z-11, 3.81% due 5/08/2034 4,775 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 SEPTEMBER 30, 2006 Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value Arizona (concluded) $ 4,085 Phoenix, Arizona, IDA, Government Office Lease Revenue Refunding Bonds, PUTTERS, VRDN, Series 1119, 3.78% due 9/15/2013 (a)(j) $ 4,085 8,692 Pima County, Arizona, IDA, S/F Mortgage Revenue Bonds, VRDN, 5.27% due 2/04/2012 (j) 8,692 Arkansas--1.0% 62,792 Arkansas State Development Finance Authority, S/F Mortgage Revenue Bonds, FLOATS, VRDN, AMT, Series 1139, 3.81% due 2/01/2008 (j) 62,792 20,595 Morgan Keegan Municipal Products, Inc., Arkansas State Development Finance Authority, VRDN, AMT, Series D, 3.83% due 2/01/2010 (j) 20,595 10,695 University of Arkansas, University Revenue Bonds, FLOATS, VRDN, Series 1397, 3.78% due 11/01/2036 (a)(j) 10,695 California--0.8% 4,964 California Health Facilities Financing Authority Revenue Bonds, FLOATS, VRDN, Series 591, 3.78% due 3/01/2014 (f)(j) 4,964 17,500 California State Economic Recovery, GO, FLOATS, VRDN, Series L27, 3.66% due 7/01/2017 (j) 17,500 8,090 California State, GO, MERLOTS, VRDN, Series B-45, 3.77% due 10/01/2029 (j) 8,090 10,500 California Statewide Communities Development Authority, M/F Housing Revenue Bonds, FLOATS, VRDN, Series 54TP, 3.83% due 1/01/2049 (j) 10,500 30,485 Los Angeles, California, S/F Home Mortgage Revenue Bonds, VRDN, AMT, 4.53% due 12/01/2006 (j) 30,485 4,800 San Francisco, California, City and County Airport Commission, International Airport Revenue Refunding Bonds, VRDN, Second Series, Issue 33J, 3.55% due 5/01/2026 (j)(n) 4,800 Colorado--2.5% 7,725 Adams County, Colorado, School District Number 012, GO, ROCS, VRDN, Series II-R-1045, 3.78% due 12/15/2022 (e)(j) 7,725 3,200 Colorado Department of Transportation Revenue Bonds, ROCS, VRDN, Series II-R-4046, 3.78% due 12/15/2016 (a)(j) 3,200 10,030 Colorado Department of Transportation Revenue Refunding Bonds, PUTTERS, VRDN, Series 318, 3.78% due 6/15/2015 (f)(j) 10,030 Colorado Educational and Cultural Facilities Authority, Revenue Refunding Bonds (National Jewish Federation Bond Program Project), VRDN (j): 23,510 Series A-1, 3.83% due 9/01/2033 23,510 11,590 Series A-6, 3.83% due 2/01/2025 11,590 24,335 Series A-8, 3.83% due 9/01/2035 24,335 16,515 Series C-1, 3.83% due 9/01/2035 16,515 3,795 Colorado Health Facilities Authority, Revenue Refunding Bonds (Catholic Health Initiatives), VRDN, Series B-1, 3.75% due 3/01/2023 (j) 3,795 6,900 Colorado School Mines Development Corporation, Revenue Refunding Bonds, VRDN, 3.91% due 9/01/2026 (j) 6,900 40,000 Colorado State, General Fund, RAN, 4.50% due 6/27/2007 40,206 Face Amount Municipal Bonds Value Colorado (concluded) Denver, Colorado, City and County Airport Revenue Refunding Bonds, VRDN (b)(j): $ 9,500 FLOATS, Series 63-TP, 3.78% due 11/15/2025 $ 9,500 5,830 MERLOTS, AMT, Series A61, 3.83% due 11/15/2012 5,830 7,647 Denver, Colorado, City and County S/F Mortgage Revenue Refunding Bonds, VRDN, AMT, Series A, 5.252% due 10/25/2006 (j) 7,647 2,966 E-470 Public Highway Authority, Colorado, Revenue Bonds, TOCS, VRDN, Series Z-9, 3.81% due 10/01/2021 (f)(j) 2,966 2,835 E-470 Public Highway Authority, Colorado, Revenue Refunding Bonds, FLOATS, VRDN, Series 997, 3.81% due 3/01/2036 (f)(j) 2,835 224 El Paso County, Colorado, S/F Mortgage Revenue Bonds, FLOATS, VRDN, AMT, Series 1136, 3.81% due 11/01/2008 (j) 224 Pitkin County, Colorado, IDR, Refunding (Aspen Skiing Company Project), VRDN (j): 7,900 AMT, Series B, 3.93% due 4/01/2014 7,900 14,700 Series A, 3.83% due 4/01/2016 14,700 18,200 Platte River Power Authority, Colorado, Electric Revenue Refunding Bonds, VRDN, Sub-Lien, Series S-1, 3.73% due 6/01/2018 (j) 18,200 6,500 University of Colorado Hospital Authority Revenue Bonds, ROCS, VRDN, Series II-R-573CE, 3.79% due 11/15/2040 (j) 6,500 Connecticut--0.3% 13,070 Connecticut State Health and Educational Facilities Authority, Revenue Refunding Bonds (Ascension Health Credit), Series B, 3.68% due 11/15/2029 (j) 13,070 14,800 Eagle Tax-Exempt Trust, Connecticut, GO, VRDN, Series 96-0701, 3.78% due 11/15/2007 (j) 14,800 Delaware--0.9% 44,600 Delaware State, EDA, Revenue Bonds (Hospital Billing and Collection), VRDN, Series C, 3.68% due 12/01/2015 (j) 44,600 Delaware State Housing Authority Revenue Bonds, VRDN (j): 3,685 MERLOTS, Series B10, 3.83% due 7/01/2031 (f) 3,685 2,095 ROCS, AMT, Series II-R-359, 3.81% due 7/01/2035 (e) 2,095 GS Pool Trust, Delaware, AMT, FLOATS, VRDN (j): 15,243 Series 1, 3.87% due 6/02/2012 15,243 12,390 Series 35TP, 3.87% due 8/01/2049 12,390 4,000 Series 56TP, 3.84% due 7/01/2048 4,000 District of Columbia--0.9% 4,000 District of Columbia, Ballpark Revenue Bonds, PUTTERS, VRDN, Series 1325, 3.78% due 2/01/2014 (b)(j) 4,000 District of Columbia, GO, Refunding, VRDN (j): 17,350 MSTR, Series SGA-62, 3.81% due 6/01/2017 (a) 17,350 21,195 Series C, 3.77% due 6/01/2026 (b) 21,195 16,605 District of Columbia, Hospital Revenue Bonds, FLOATS, VRDN, Series 712, 3.78% due 7/15/2019 (j) 16,605 26,265 District of Columbia, Water and Sewer Authority, Public Utility Revenue Bonds, FLOATS, VRDN, Series 1125, 3.78% due 10/01/2033 (b)(j) 26,265 CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value Florida--4.1% $ 11,695 Collier County, Florida, School Board, COP, ROCS, VRDN, Series II-R-7032, 3.78% due 2/15/2024 (e)(j) $ 11,695 15,500 Eagle Tax-Exempt Trust, Florida State Board of Education, GO, VRDN, Series 2005-0057, Class A, 3.79% due 6/01/2035 (j) 15,500 4,995 Eclipse Funding Trust, Solar Eclipse Certificates, Gainesville, Florida, Utilities System Revenue Refunding Bonds, VRDN, Series 2006-0027, 3.77% due 10/01/2013 (e)(j) 4,995 5,480 Florida Housing Finance Corporation, M/F Mortgage Revenue Bonds, ROCS, VRDN, Series II-R-600CE, 3.82% due 7/01/2043 (j) 5,480 Florida Local Government Finance Commission, CP: 19,076 3.58% due 10/31/2006 19,076 7,500 3.58% due 11/01/2006 7,500 8,000 Florida State Board of Education, GO, MSTR, VRDN, Series SGA-139, 3.79% due 6/01/2032 (f)(j) 8,000 3,475 Florida State Board of Education, GO, Refunding, ROCS, VRDN, Series II-R-6087, 3.78% due 6/01/2025 (j) 3,475 Florida State Board of Education, Lottery Revenue Bonds, VRDN (j): 6,220 FLOATS, Series 858, 3.78% due 1/01/2017 (f) 6,220 2,835 ROCS, Series II-R-4521, 3.78% due 7/01/2020 (b) 2,835 27,915 Florida State, Revenue Refunding Bonds, MERLOTS, VRDN, Series A-22, 3.35% due 7/01/2027 (j) 27,915 4,100 Gainesville, Florida, Utilities System Revenue Refunding Bonds, VRDN, Series C, 3.80% 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, 3.77% due 11/15/2021 (j) 6,000 3,955 Hillsborough County, Florida, Aviation Authority, Revenue Refunding Bonds, MERLOTS, VRDN, AMT, Series A18, 3.83% due 10/01/2013 (f)(j) 3,955 15,000 Jacksonville, Florida, Electric Authority, CP, 3.55% due 11/08/2006 15,000 34,925 Jacksonville, Florida, Electric Authority Revenue Bonds (Electric System), VRDN, Series B, 3.83% due 10/01/2030 (j) 34,925 10,000 Miami-Dade County, Florida, CP, 3.70% due 10/02/2006 10,000 5,840 Miami-Dade County, Florida, GO, ROCS, VRDN, Series II-R-387, 3.79% due 7/01/2028 (b)(j) 5,840 60,000 Miami-Dade County, Florida, School District, TAN, 4.50% due 6/28/2007 60,328 6,000 Miami-Dade County, Florida, Special Obligation Revenue Bonds, TOCS, VRDN, Series Z-9, 3.81% due 4/17/2015 (f)(j) 6,000 15,700 North Broward, Florida, Hospital District Revenue Refunding Bonds, VRDN, Series B, 3.74% due 1/15/2031 (g)(j) 15,700 Orange County, Florida, Health Facilities Authority Revenue Bonds, FLOATS, VRDN (j): 32,195 Series 532, 3.78% due 11/15/2015 (a) 32,195 17,245 Series 830, 3.78% due 11/15/2022 (e) 17,245 Orlando-Orange County Expressway Authority, Florida, Expressway Revenue Bonds, VRDN (a)(j): 2,250 Sub-Series A-2, 3.72% due 7/01/2040 2,250 8,000 Sub-Series C, 3.70% due 7/01/2040 8,000 Face Amount Municipal Bonds Value Florida (concluded) $ 19,000 Orlando-Orange County Expressway Authority, Florida, Expressway Revenue Refunding Bonds, VRDN, Series D, 3.72% due 7/01/2032 (e)(j) $ 19,000 10,000 Palm Beach County, Florida, CP, 3.67% due 2/22/2007 10,000 Volusia County, Florida, School Board, COP, VRDN (f)(j): 2,130 PUTTERS, Series 970, 3.78% due 2/01/2013 2,130 5,485 ROCS, Series II-R-2212, 3.78% due 8/01/2023 5,485 Georgia--2.1% 4,005 Albany-Dougherty County, Georgia, Hospital Authority Revenue Refunding Bonds, FLOATS, VRDN, Series L3J, 3.78% due 9/01/2020 (a)(j) 4,005 16,300 Appling County, Georgia, Development Authority, PCR (Georgia Power Plant Hatch), VRDN, Second Series, 3.85% due 12/01/2018 (j) 16,300 12,500 Atlanta, Georgia, Subordinate Lien Tax Allocation Bonds (Atlantic Station), VRDN, 3.84% due 12/01/2024 (j) 12,500 4,000 Atlanta, Georgia, Urban Residential Finance Authority, M/F Housing Revenue Bonds (Lindbergh City Center Apartment Project), AMT, VRDN, 3.81% due 11/01/2044 (j) 4,000 Atlanta, Georgia, Water and Wastewater Revenue Bonds, VRDN (j): 4,200 FLOATS, Series 1355, 3.78% due 11/01/2034 (e) 4,200 3,000 MSTR, SGA-145, 3.79% due 11/01/2033 (f) 3,000 8,000 Augusta, Georgia, Water and Sewer Revenue Refunding Bonds, MSTR, VRDN, Series SGS-140, 3.79% 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, 3.89% due 5/01/2035 10,545 6,500 AMT, Series C, 3.89% due 5/01/2035 6,500 10,135 Series A, 3.82% due 6/01/2029 10,135 50,000 Cobb County, Georgia, School District, VRDN, 4.50% due 12/29/2006 (j) 50,158 4,490 DeKalb County, Georgia, Public Safety and Judicial Facilities Authority, Special Tax Revenue Bonds, FLOATS, VRDN, Series 1459, 3.78% due 12/01/2034 (j) 4,490 9,100 Eagle Tax-Exempt Trust, Atlanta, Georgia, Water and Wastewater Revenue Bonds, VRDN, Series 2005-0009, Class A, 3.79% due 11/01/2043 (e)(j) 9,100 6,815 Georgia Municipal Electric Authority, Power Revenue Bonds (MACON Trust), VRDN, Series E, 3.80% due 1/01/2017(e)(j) 6,815 2,150 Georgia State, GO, PUTTERS, VRDN, Series 1420, 3.78% due 6/01/2012 (j) 2,150 2,580 Gwinnett County, Georgia, Development Authority, COP, ROCS, VRDN, Series II-R-6009, 3.78% due 1/01/2021 (f)(j) 2,580 13,000 Macon-Bibb County, Georgia, Urban Development Authority, Revenue Bonds, (Bibb County Law Enforcement Center Project), VRDN, 3.75% due 7/01/2025 (j) 13,000 20,000 Monroe County, Georgia, Development Authority, PCR (Georgia Power Company - Scherer), VRDN, Second Series 95, 3.76% due 6/01/2007 (j) 20,000 CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value Hawaii--0.4% $ 7,930 Eagle Tax-Exempt Trust, Hawaii, VRDN, Series 2001, Class 1101, 3.79% 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, 3.85% due 7/01/2033 (h)(j) 7,500 1,990 Hawaii State, Revenue Bonds, ROCS, VRDN, Series II-R-6504, 3.78% due 10/01/2024 (f)(j) 1,990 15,995 Municipal Securities Trust Certificates Revenue Bonds, VRDN, AMT, Series 2002-186, Class A, 3.79% due 2/25/2021 (f)(j) 15,995 Illinois--7.3% 14,285 ABN AMRO MuniTops Certificates Trust, Chicago, Illinois, GO, VRDN, Series 2001-31, 3.77% due 1/01/2009 (b)(j) 14,285 Aurora, Illinois, S/F Mortgage Revenue Bonds, FLOATS, VRDN, AMT (j): 29,164 Series 1152, 3.81% due 6/01/2040 29,164 1,815 Series 1154, 3.81% due 6/01/2040 1,815 4,980 Boone, McHenry & DeKalb Counties, Illinois, Community Unit School District Number 100, GO, FLOATS, Series 1138, 3.81% due 12/01/2020 (f)(j) 4,980 6,000 Chicago, Illinois, Board of Education, GO, TOCS, VRDN, Series Z-8, 3.81% 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, 3.75% due 1/01/2012 9,635 2,995 TOCS, Series Z-10, 3.81% due 6/29/2029 (b) 2,995 7,000 Chicago, Illinois, Metropolitan Water Reclamation District of Greater Chicago, GO, FLOATS, VRDN, Series A, 3.78% due 12/01/2035 (j) 7,000 5,755 Chicago, Illinois, Motor Fuel Tax Revenue Refunding Bonds, ROCS, VRDN, Series II-R-2021, 3.78% due 1/01/2020 (a)(j) 5,755 Chicago, Illinois, O'Hare International Airport, Revenue Bonds, VRDN (j): 6,330 (MACON Trust), VRDN, Series A, 3.78% due 1/01/2018 (f) 6,330 3,700 ROCS, AMT, Series II-R-239, 3.80% due 1/01/2022 (e) 3,700 5,995 ROCS, AMT, Series II-R-250, 3.81% due 1/01/2034 (g) 5,995 9,375 ROCS, Series II-R-556, 3.78% due 1/01/2029 (f) 9,375 5,115 ROCS, Series II-R-605PB, 3.80% due 1/01/2033 (b) 5,115 6,725 Chicago, Illinois, Park District, GO, Refunding, ROCS, VRDN, Series II-R-4002, 3.78% due 1/01/2023 (b)(j) 6,725 3,350 Cook County, Illinois, GO, Refunding, ROCS, VRDN, Series II-R-2063, 3.78% due 11/15/2021 (f)(j) 3,350 11,000 Eagle Tax-Exempt Trust, Chicago Board of Education, VRDN, Series 01, Class 1309, 3.79% due 12/01/2026 (j) 11,000 Eagle Tax-Exempt Trust, Chicago, Illinois, GO, VRDN (j): 9,900 Series 98, Class 1301, 3.79% due 1/01/2017 (b) 9,900 7,155 Series 2006-0001 Class-A, 3.79% due 1/01/2034 (e) 7,155 Face Amount Municipal Bonds Value Illinois (continued) $ 30,000 Eagle Tax-Exempt Trust, Cook County, Illinois, VRDN, Series 02, Class 1303, 3.79% due 11/15/2025 (a)(j) $ 30,000 Eagle Tax-Exempt Trust, Illinois State, GO, VRDN (j): 11,000 Series 01, Class 1307, 3.79% due 11/01/2022 11,000 11,100 Series 02, Class 1302, 3.79% 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, 3.79% due 6/15/2042 (f)(j) 3,000 5,000 Eagle Tax-Exempt Trust, Metropolitan Pier and Exposition Authority, Illinois, VRDN, Series 2002-6001, Class A, 3.79% due 12/15/2028 (f)(j) 5,000 10,740 Eclipse Funding Trust, Solar Eclipse Certificates, Illinois, GO, Refunding, VRDN, Series 2006-0038, 3.77% due 1/01/2028 (e)(j) 10,740 9,755 Illinois Development Finance Authority Revenue Bonds (Jewish Federation of Metropolitan Chicago Project), VRDN, Series A, 3.83% due 9/01/2032 (a)(j) 9,755 5,000 Illinois Development Finance Authority, Water Facilities Revenue Refunding Bonds (Illinois American Water Company), VRDN, AMT, 3.88% due 3/01/2032 (f)(j) 5,000 8,450 Illinois Educational Facilities Authority Revenue Bonds (Art Institute of Chicago), VRDN, 3.78% due 3/01/2027 (j) 8,450 Illinois HDA, M/F Housing Revenue Bonds (Danbury Court Apartments), VRDN, AMT (j): 6,225 Series A, 3.81% due 5/01/2037 6,225 445 Series B, 3.88% due 5/01/2037 445 50,000 Illinois Health Facilities Authority, CP, 3.60% due 11/06/2006 50,000 10,000 Illinois Health Facilities Authority Revenue Bonds, Revolving Fund, Pooled, VRDN, Series B, 3.77% due 8/01/2020 (j) 10,000 2,940 Illinois State Dedicated Tax (Macon Trust), VRDN, Series N, 3.84% due 12/15/2020 (a)(j) 2,940 Illinois State Finance Authority, Revenue Refunding Bonds, VRDN Series B (j): 12,500 (Central DuPage Health System), 3.77% due 11/01/2038 12,500 5,640 (Northwestern Memorial Hospital), 3.80% due 8/15/2038 5,640 Illinois State, GO, VRDN (j): 1,750 (MACON Trust), Series L, 3.78% due 1/01/2031 1,750 8,970 MERLOTS, Series B04, 3.78% due 12/01/2024 (e) 8,970 Illinois State, GO, Refunding, VRDN (f)(j): 16,375 FLOATS, Series 743D, 3.78% due 8/01/2015 (n) 16,375 5,800 MERLOTS, Series A49, 3.78% due 8/01/2013 5,800 16,605 Illinois Student Assistance Commission, Student Loan Revenue Bonds, VRDN, AMT, Series A-I, 3.85% due 9/01/2034 (f)(j) 16,605 5,705 Kane County, Illinois, School District Number 129 (Aurora West Side), GO, Refunding, PUTTERS, VRDN, Series 1113, 3.78% due 2/01/2013 (b)(j) 5,705 Metropolitan Pier and Exposition Authority, Illinois, Dedicated State Tax Revenue Bonds, FLOATS, VRDN (f)(j): 7,040 Series 2006-6Z, 3.81% due 12/15/2032 7,040 5,030 Series 2006-9Z, 3.81% due 12/15/2034 5,030 6,250 Municipal Securities Trust Certificates, Chicago, Illinois, Board of Education, GO, VRDN, Series 2005-237, Class A, 3.82% due 1/04/2024 (b)(j) 6,250 CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value Illinois (concluded) $ 29,950 Municipal Securities Trust Certificates, Chicago O'Hare Airport, Illinois, Revenue Bonds, VRDN, AMT, Series 2001-151, Class A, 3.83% due 6/30/2015 (a)(j) $ 29,950 Municipal Securities Trust Certificates, Cook County, Illinois, GO, Refunding, VRDN (b)(j): 29,085 Series 2001-145, Class A, 3.79% due 11/15/2029 29,085 33,895 Series 2002-191, Class A, 3.79% 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, 3.79% 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, 3.83% due 10/04/2012 (a)(j)(m) 26,045 7,815 Municipal Securities Trust Certificates, Revenue Refunding Bonds, VRDN, Series 2006-253, Class A, 3.79% due 5/12/2014 (a)(j) 7,815 17,620 Municipal Securities Trust Certificates, Will County, Illinois, Community High School District Number 210, VRDN, Series 2006-265, Class A, 3.82% due 4/08/2021 (e)(j) 17,620 2,170 Regional Transportation Authority, Illinois, GO, MERLOTS, VRDN, Series A41, 3.78% due 6/01/2017 (b)(j) 2,170 2,755 Regional Transportation Authority, Illinois, Revenue Bonds (MACON Trust), VRDN, Series K, 3.78% due 7/01/2026 (f)(j) 2,755 32,823 Regional Transportation Authority, Illinois, Revenue Refunding Bonds, FLOATS, VRDN, Series 818-D, 3.78% due 7/01/2033 (b)(j) 32,823 22,000 University of Illinois, University Revenue Refunding Bonds (South Campus Project), VRDN, Series A, 3.80% due 1/15/2022 (b)(j) 22,000 2,065 Will County, Illinois, Community Unit School District Number 365-U (Valley View), GO, Refunding, TOCS, VRDN, Series Z-10, 3.81% due 4/15/2020 (e)(j) 2,065 10,000 Will County, Illinois, M/F Housing Redevelopment, Revenue Refunding Bonds (Woodlands Crest Hill), VRDN, AMT, 3.81% due 2/15/2031 (d)(j) 10,000 Indiana--4.7% 5,370 Carmel, Indiana, School Building Corporation Revenue Bonds, ROCS, VRDN, Series II-R-2065, 3.78% due 7/15/2020 (f)(j) 5,370 13,000 Goshen, Indiana, EDR, Refunding (Goshen College Project), VRDN, 3.80% due 10/01/2037 (j) 13,000 6,000 Hobart, Indiana, Building Corporation, First Mortgage Revenue Bonds, MERLOTS, VRDN, Series D-3, 3.78% due 1/15/2029 (b)(j) 6,000 23,400 Indiana Bond Bank, Advance Funding Program Revenue Notes, Series A, 4.50% due 2/01/2007 23,492 54,400 Indiana Health Facilities Financing Authority, Hospital Revenue Bonds (Clarian Health Obligation Group), VRDN, Series C, 3.77% due 12/12/2006 (j)(p) 54,400 Face Amount Municipal Bonds Value Indiana (concluded) Indiana Health Facilities Financing Authority, Hospital Revenue Refunding Bonds (Clarian Health Partners), VRDN (j)(p): $ 51,800 Series B, 3.77% due 12/12/2006 $ 51,800 50,800 Series C, 3.77% due 12/12/2006 50,800 150 Indiana Health Facilities Financing Authority, Revenue Bonds (Capital Access Designated Pool), VRDN, 3.77% due 1/01/2012 (j) 150 Indiana Health Facilities Financing Authority, Revenue Refunding Bonds (Ascension Health Credit Group), VRDN (j): 9,000 Series A-3, 3.35% due 1/30/2007 9,000 34,500 Series B, 3.68% due 11/15/2039 34,500 40,250 Indiana State Development Finance Authority, Environmental Revenue Bonds (PSI Energy Inc. Projects), VRDN, AMT, Series A, 3.95% due 12/01/2038 (j) 40,250 2,000 Indiana State Development Finance Authority, IDR (Republic Services, Inc. Project), VRDN, AMT, 4.10% due 11/01/2035 (j) 2,000 5,265 Indiana State Office Building Commission, Facilities Revenue Bonds, ROCS, VRDN, Series II-R-4534, 3.78% due 7/01/2020 (j) 5,265 1,984 Indiana Transportation Finance Authority, Highway Revenue Refunding Bonds, FLOATS, VRDN, Series 942D, 3.78% due 12/01/2022 (b)(j) 1,984 4,240 Indianapolis, Indiana, Local Public Improvement Bond Bank, Revenue Refunding Bonds (MACON Trust), VRDN, Series S, 3.78% 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, 3.77% due 6/18/2014 (f)(j) 34,995 7,720 New Albany-Floyd County, Indiana, Independent School Building Corporation, Revenue Refunding Bonds, PUTTERS, VRDN, Series 879, 3.78% due 6/01/2013 (e)(j) 7,720 6,575 Pike County, Indiana, Multi-School Building Corporation, Revenue Refunding Bonds, PUTTERS, VRDN, Series 1122, 3.78% due 7/15/2012 (f)(j) 6,575 41,635 Saint Joseph County, Indiana, Industrial Educational Facilities, Revenue Refunding Bonds (University of Notre Dame du Lac Project), VRDN, 3.65% due 3/01/2040 (j) 41,635 35,500 Whiting, Indiana, Environmental Facilities Revenue Refunding Bonds (BP Products Project), VRDN, AMT, Series C, 3.83% due 7/01/2034 (j) 35,500 Iowa--0.4% 22,000 Iowa Finance Authority, Revenue Refunding Bonds (Trinity Health Credit Group), VRDN, Series D, 3.73% due 12/01/2030 (j) 22,000 10,000 Louisa County, Iowa, PCR, Refunding (Iowa-Illinois Gas and Electric), VRDN, Series A, 3.85% due 9/01/2016 (j) 10,000 Kansas--0.7% 3,965 Kansas State Department of Transportation, Highway Revenue Bonds, ROCS, VRDN, Series II-R-6020, 3.78% due 3/01/2019 (e)(j) 3,965 CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value Kansas (concluded) $ 19,700 Kansas State Department of Transportation, Highway Revenue Refunding Bonds, VRDN, Series C-1, 3.70% due 9/01/2019 (j) $ 19,700 Kansas State Development Financing Authority, Revenue Bonds (Sisters of Charity of Leavenworth Health System), VRDN (j): 1,250 Series C, 3.83% due 12/01/2019 1,250 30,700 Series D, 3.83% due 12/01/2031 30,700 7,775 Lehman Municipal Trust Receipts, Sedgwick and Shawnee Counties, Kansas, FLOATS, VRDN, Series 2006-P33U, 3.83% due 6/01/2038 (c)(i)(j) 7,775 Kentucky--3.3% 3,775 Boyd County, Kentucky, Sewer and Solid Waste Revenue Bonds (Air Products and Chemicals Project), VRDN, AMT, 3.85% due 7/01/2021 (j) 3,775 23,520 Breckinridge County, Kentucky, Lease Program Revenue Bonds (Kentucky Association of Counties Leasing Trust), VRDN, Series A, 3.83% due 2/01/2032 (j) 23,520 20,930 Carroll County, Kentucky, Solid Waste, CP, 3.67% due 11/14/2006 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, 3.79% due 5/15/2033 (b)(j) 14,000 Jefferson County, Kentucky, CP: 12,500 3.58% due 12/05/2006 12,500 35,000 3.60% due 12/05/2006 35,000 2,200 Kenton County, Kentucky, Airport Board, Special Facilities Revenue Refunding Bonds, VRDN, Series B, 3.82% due 10/01/2030 (j) 2,200 16,470 Kentucky State Property and Buildings Commission, Revenue Refunding Bonds, PUTTERS, VRDN, Series 739, 3.77% due 2/01/2018 (f)(j) 16,470 36,475 Kentucky State Turnpike Authority, Resource Recovery Road Revenue Bonds, FLOATS, Series 488, 3.78% due 7/01/2007 (e)(j) 36,475 6,395 Louisville and Jefferson Counties, Kentucky, Metropolitan Sewer District, Sewer and Drain System Revenue Bonds, ROCS, VRDN, Series II-R-304, 3.77% due 5/15/2037 (b)(j) 6,395 50,650 Louisville and Jefferson Counties, Kentucky, Metropolitan Sewer District, Sewer and Drain System Revenue Refunding Bonds, VRDN, Series B, 3.73% due 5/15/2023 (e)(j) 50,650 61,600 Public Energy Authority of Kentucky, Inc., Gas Supply Revenue Bonds (BP Corporation of North America), VRDN, Series A, 3.81% due 8/01/2016 (j) 61,600 14,295 Shelby County, Kentucky, Lease Revenue Bonds, VRDN, Series A, 3.83% due 9/01/2034 (j) 14,295 Louisiana--1.9% 17,700 Ascension Parish, Louisiana, Revenue Bonds (BASF Corporation Project), VRDN, AMT, 3.93% 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, 3.84% due 6/02/2008 (j) 3,625 17,349 Jefferson Parish, Louisiana, Home Mortgage Authority, S/F Mortgage Revenue Bonds, VRDN, Series B, 4.531% due 12/03/2007 (j) 17,349 Face Amount Municipal Bonds Value Louisiana (concluded) Jefferson Parish, Louisiana, Hospital Service District Number 001, Hospital Revenue Bonds, VRDN (j): $ 10,000 PUTTERS, Series 522, 3.80% due 12/01/2008 $ 10,000 25,000 (West Jefferson Medical Center), Series B, 3.76% due 1/01/2028 (e) 25,000 Louisiana HFA, Mortgage Revenue Refunding Bonds, FLOATS, VRDN, AMT (j): 855 Series 1066, 3.84% due 3/01/2036 855 37,294 Series 1069, 3.84% due 12/01/2047 37,294 248 Louisiana HFA, S/F Mortgage Revenue Refunding Bonds, VRDN, AMT, 5.03% due 3/01/2036 (j) 248 6,000 Louisiana Local Government, Environmental Facilities, Community Development Authority Revenue Bonds (Honeywell International Inc. Project), VRDN, AMT, 3.94% 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 4,969 3,475 Series D, 4.50% due 10/19/2006 3,478 300 Series E, 4.50% due 10/19/2006 300 Louisiana Public Facilities Authority Revenue Bonds, VRDN (j): 2,850 (Air Products and Chemicals Project), AMT, 3.85% due 12/01/2039 2,850 12,655 (Equipment and Capital Facilities Loan Program), Series C, 3.79% due 7/01/2024 12,655 15,500 Louisiana State Municipal Natural Gas Purchasing and Distribution Authority Revenue Bonds, PUTTERS, VRDN, Series 1411Q, 3.80% due 3/15/2014 (j) 15,500 8,080 New Orleans, Louisiana, Ernest N. Morial Exhibit Hall Authority, Special Tax, ROCS, VRDN, Series II-R-4038, 3.81% due 7/15/2023 (a)(j) 8,080 3,000 New Orleans, Louisiana, Finance Authority, S/F Mortgage Revenue Refunding Bonds, FLOATS, VRDN, AMT, Series 1137, 3.83% due 12/01/2044 (j) 3,000 4,400 South Louisiana Port Commission, Port Revenue Refunding Bonds (Occidental Petroleum), VRDN, 3.75% due 7/01/2018 (j) 4,400 Maryland--1.7% 35,700 Baltimore, Maryland, Port Facilities Revenue Bonds (Occidental Petroleum), FLOATS, VRDN, 3.50% 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, 3.78% due 7/01/2019 (b)(j) 36,360 48,480 Metropolitan Washington Airports Authority, D.C., Airport System Revenue Refunding Bonds, MERLOTS, VRDN, AMT, Series C35, 3.83% due 10/01/2014 (f)(j) 48,480 9,225 Metropolitan Washington Airports Authority, D.C., System Revenue Bonds, ROCS, VRDN, Series II-R-195, 3.81% due 10/01/2032 (b)(j) 9,225 14,000 Montgomery County, Maryland, EDR (Riderwood Village Inc. Project), Refunding, VRDN, 3.78% due 3/01/2034 (j) 14,000 CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value Massachusetts--1.4% $ 10,000 Eagle Tax-Exempt Trust, Massachusetts Commuter Facilities, VRDN, Series 2001, Class 2101, 3.79% 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, 3.79% due 8/01/2036 (a)(j) 7,495 20,000 Easton, Massachusetts, GO, BAN, 4.25% due 10/20/2006 20,013 12,000 Lawrence, Massachusetts, GO, BAN, 4.50% due 12/22/2006 12,028 Massachusetts State Development Finance Agency, CP: 10,500 3.60% due 12/11/2006 10,500 20,400 3.62% due 12/12/2006 20,400 7,935 Massachusetts State Development Finance Agency, Revenue Bonds (Suffolk University), VRDN, Series A, 3.79% due 7/01/2035 (j)(k) 7,935 700 Massachusetts State, GO (Central Artery), VRDN, Series A, 3.80% due 12/01/2030 (j) 700 2,700 Massachusetts State, GO, Refunding, VRDN, Series A, 3.70% due 9/01/2016 (j) 2,700 39,250 Massachusetts State Industrial Finance Agency, CP, 3.65% due 1/11/2007 39,250 Michigan--3.1% 4,615 Detroit, Michigan, City School District, GO, VRDN, Series A, 3.82% due 5/01/2029 (e)(j) 4,615 3,800 Detroit, Michigan, Sewer Disposal Revenue Bonds, FLOATS, VRDN, Series 60, 3.78% due 7/01/2036 (b)(j) 3,800 9,755 Detroit, Michigan, Sewer Disposal Revenue Refunding Bonds, MSTR, VRDN, SGB 47-A, 3.78% due 7/01/2028 (e)(j) 9,755 Detroit, Michigan, Water Supply System Revenue Bonds, FLOATS, VRDN (e)(j): 17,000 Series 61, 3.77% due 7/01/2034 17,000 6,495 Series 68, 3.78% due 7/01/2034 6,495 6,900 Eagle Tax-Exempt Trust, Grand Rapids Michigan, Sanitation Sewer System, VRDN, Series A, 3.79% due 1/01/2022 (b)(j)(m) 6,900 8,080 Eagle Tax-Exempt Trust, Michigan State Building Authority, Revenue Refunding Bonds, VRDN, Series 2006-0113, Class A, 3.79% due 10/15/2036 (b)(j) 8,080 37,810 Kent, Michigan, Hospital Finance Authority, Revenue Refunding Bonds (Spectrum Health), VRDN, Series A, 3.74% due 1/15/2029 (b)(j) 37,810 Michigan State Building Authority, Revenue Refunding Bonds, VRDN (j): 3,750 FLOATS, Series 71, 3.78% due 10/15/2036 (b) 3,750 4,975 ROCS, Series II-R-550, 3.78% due 10/15/2024 (a)(f) 4,975 4,260 ROCS, Series II-R-2064, 3.78% due 10/15/2021 (f) 4,260 Michigan State Hospital Finance Authority Revenue Bonds, VRDN (j): 64,600 (Ascension Health), Series B-1, 3.68% due 11/15/2033 64,600 8,400 (Trinity Health Credit Group), Series F, 3.82% due 11/01/2018 8,400 30,995 (Trinity Health Credit Group), Series H, 3.82% due 11/01/2040 (g) 30,995 Face Amount Municipal Bonds Value Michigan (concluded) Michigan State Hospital Finance Authority, Revenue Refunding Bonds, VRDN (j): $ 22,000 MERLOTS, Series K, 3.78% due 11/15/2023 (f) $ 22,000 32,610 (Trinity Health Credit Group), Series E, 3.75% due 12/01/2030 (a) 32,610 5,615 Michigan State Strategic Fund, Limited Obligation Revenue Refunding Bonds (Dow Chemical Project), VRDN, Series B-1, 3.85% due 6/01/2014 (j) 5,615 7,755 Royal Oak, Michigan, Hospital Finance Authority, Hospital Revenue Refunding Bonds (William Beaumont Hospital), VRDN, Series T, 3.80% due 1/01/2020 (a)(j) 7,755 3,555 Whitmore Lake, Michigan, Public School District, GO, ROCS, VRDN, Series II-R-4515, 3.78% due 5/01/2023 (j) 3,555 Minnesota--1.5% 16,757 Duluth, Minnesota, EDA, Health Care Facilities Revenue Refunding Bonds, FLOATS, VRDN, Series 895, 3.78% due 2/15/2020 (a)(j) 16,758 14,000 Minneapolis, Minnesota, Health Care System, Revenue Refunding Bonds (Fairview Health Services Project), VRDN, Series B, 3.74% due 11/15/2029 (a)(j) 14,000 3,585 Minnesota Public Facilities Authority, Drinking Water Revenue Refunding Bonds, FLOATS, VRDN, Series 1467, 3.78% due 3/01/2017 (j) 3,585 1,685 Minnesota State, GO, ROCS, VRDN, Series II-R-4065, 3.78% due 8/01/2023 (j) 1,685 Rochester, Minnesota, Health Care, CP: 36,750 3.55% due 11/09/2006 36,750 66,500 3.58% due 12/14/2006 66,500 Mississippi--2.1% 3,520 Mississippi Business Finance Corporation, Mississippi, Solid Waste Disposal Revenue Refunding Bonds (Mississippi Power Company Project), VRDN, AMT, 3.82% due 5/01/2028 (j) 3,520 57,551 Mississippi Development Bank, Special Obligation Revenue Bonds (Municipal Gas Authority of Mississippi--Natural Gas Supply Project), VRDN, 3.75% due 7/01/2015 (j) 57,551 89,191 Mississippi Home Corporation, S/F Revenue Bonds, FLOATS, VRDN, AMT, Series 1212, 3.81% due 12/01/2008 (j) 89,191 25,900 Mississippi Hospital Equipment and Facilities Authority Revenue Bonds (Mississippi Baptist Medical Center), VRDN, 3.77% due 7/01/2012 (j) 25,900 6,780 Mississippi State, Capital Improvement, GO, VRDN, 3.76% due 9/01/2025 (j) 6,780 5,950 University of Mississippi Educational Building Corporation Revenue Bonds (The University of Mississippi Medical Center Pediatric and Research Facilities Project), VRDN, 3.75% due 6/01/2034 (a)(j) 5,950 Missouri--0.5% 4,645 Jackson County, Missouri, Special Obligation Revenue Bonds, ROCS, VRDN, Series II-R-9013, 3.78% due 12/01/2029 (a)(j) 4,645 3,190 Kansas City, Missouri, Municipal Assistance Corporation Revenue Bonds, FLOATS, VRDN, Series Z-15, 3.81% due 11/12/2025 (a)(j) 3,190 5,220 Lehman Municipal Trust Receipts, St. Louis, Missouri, Industrial Development Authority, M/F Housing Revenue Bonds, FLOATS, VRDN, AMT, Series 2006-K50, 3.83% due 12/20/2044 (j)(l)(o) 5,220 CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value Missouri (concluded) $ 6,470 Missouri Development Finance Board, Cultural Facilities Revenue Bonds (Nelson Gallery Foundation), VRDN, Series B, 3.82% due 12/01/2031 (f)(j) $ 6,470 3,160 Missouri-Illinois Bi-State Development Agency, Subordinate Mass Transit Revenue Bonds (Metrolink Cross County Extension Project), VRDN, Series A, 3.75% due 10/01/2035 (j) 3,160 5,770 Missouri Joint Municipal Electric Utility Commission, Power Project Revenue Bonds, ROCS, VRDN, Series II-R-620PB, 3.80% due 1/01/2034 (a)(j) 5,770 5,750 Missouri State Health and Educational Facilities Authority, Health Facilities Revenue Bonds (BJC Health System), VRDN, Series B, 3.83% due 5/15/2034 (j) 5,750 5,190 Missouri State Housing Development Commission, S/F Mortgage Revenue Refunding Bonds, VRDN, AMT, Series A, 4.59% due 9/01/2038 (j) 5,190 Montana--0.2% 14,000 Montana Facility Finance Authority Revenue Bonds (Sisters of Charity of Leavenworth Health System), VRDN, Series A, 3.83% due 12/01/2025 (j) 14,000 Nebraska--1.7% American Public Energy Agency, Nebraska, Gas Supply Revenue Bonds, VRDN (j): 70,500 (National Public Gas Agency Project), Series B, 3.73% due 2/01/2014 70,500 19,411 Series A, 3.75% due 12/01/2015 19,411 2,000 Eagle Tax-Exempt Trust, Nebraska Public Power District Revenue Bonds, VRDN, Series 1016, Class A, 3.79% due 1/01/2035 (a)(j) 2,000 5,980 Eclipse Funding Trust, Solar Eclipse Certificates, Omaha, Nebraska, Public Power District Revenue Bonds, VRDN, Series 2006-0025, 3.77% due 2/01/2036 (a)(j) 5,980 4,355 Municipal Energy Agency of Nebraska, Power Supply System Revenue Bonds, ROCS, VRDN, Series II-R-2051, 3.78% due 4/01/2022 (e)(j) 4,355 36,000 Nebraska Public Power District, CP, 3.50% due 10/06/2006 36,000 4,995 Nebraska Public Power District Revenue Refunding Bonds, ROCS, VRDN, Series II-R-209, 3.78% due 1/01/2012 (f)(j) 4,995 Omaha Public Power District, Nebraska, Electric System Revenue Bonds, VRDN (j): 5,500 FLOATS, Series 73, 3.78% due 2/01/2034 5,500 7,890 ROCS, Series II-R-9031, 3.78% due 2/01/2039 7,890 Nevada--1.0% 29,185 ABN AMRO MuniTops Certificates Trust, Clark County, Nevada, Airport Revenue Bonds, VRDN, Series 1999-15, 3.77% due 1/02/2008 (f)(j) 29,185 5,700 Clark County, Nevada, Airport System Subordinate Lien Revenue Refunding Bonds, VRDN, Series C, 3.74% due 7/01/2029 (b)(j) 5,700 20,450 Clark County, Nevada, CP, 3.60% due 1/18/2007 20,450 2,495 Clark County, Nevada, IDR, Refunding, PUTTERS, VRDN, AMT, Series 722, 3.81% due 12/01/2012 (b)(j) 2,495 4,700 Clark County, Nevada, School District, GO, PUTTERS, VRDN, Series 1429, 3.78% due 12/15/2013 (e)(j) 4,700 Face Amount Municipal Bonds Value Nevada (concluded) $ 9,030 Las Vegas Valley, Nevada, Water District, GO, Refunding, MERLOTS, VRDN, Series B 10, 3.78% due 6/01/2024 (f)(j) $ 9,030 5,850 Nevada State Department of Business and Industry, Solid Waste Disposal Revenue Bonds (Republic Services Inc. Project), VRDN, AMT, 4.15% due 12/01/2034 (j) 5,850 9,330 Truckee Meadows, Nevada, Water Authority, Water Revenue Refunding Bonds, ROCS, VRDN, Series II-R-6078, 3.78% due 1/01/2027 (e)(j) 9,330 7,215 Washoe County, Nevada, School District, GO, ROCS, VRDN, Series II-R-2012, 3.78% due 6/01/2020 (b)(j) 7,215 New Hampshire--1.3% 5,800 New Hampshire Health and Educational Facilities Authority, Revenue Refunding Bonds (Dartmouth Hitchcock Obligation), VRDN, Series A, 3.70% due 8/01/2031 (e)(j) 5,800 New Hampshire Higher Educational and Health Facilities Authority Revenue Refunding Bonds, FLOATS, VRDN (b)(j): 5,139 Series 772, 3.78% due 1/01/2017 5,139 10,120 Series 866, 3.77% due 8/15/2021 10,120 7,415 New Hampshire State Business Finance Authority, Resource Recovery Revenue Refunding Bonds (Wheelabrator), VRDN, Series A, 3.77% due 1/01/2018 (j) 7,415 New Hampshire State Business Fund, CP: 20,000 3.72% due 10/11/2006 20,000 50,600 3.73% due 11/09/2006 50,600 Strafford County, New Hampshire, GO, TAN: 4,650 4% due 12/28/2006 4,657 10,500 4.50% due 12/28/2006 10,529 New Jersey--1.6% 16,754 East Brunswick Township, New Jersey, GO, BAN, 4.25% due 1/05/2007 16,793 Municipal Securities Trust Certificates, New Jersey State Transportation Trust Fund Authority, Transportation System Revenue Bonds, VRDN, Class A (j)(m): 5,855 Series 2006-3010, 3.82% due 6/13/2024 (a) 5,855 11,265 Series 2006-3013, 3.82% due 11/05/2026 (b) 11,265 14,740 New Jersey EDA, Revenue Bonds (Presbyterian Homes), VRDN, Series B, 3.74% due 12/01/2032 (j) 14,740 12,000 New Jersey EDA, Revenue Refunding Bonds (Presbyterian Homes), VRDN, Series B, 3.73% due 4/01/2016 (j) 12,000 7,257 New Jersey Health Care Facilities Financing Authority Revenue Bonds, FLOATS, VRDN, Series 702, 3.79% due 7/01/2014 (f)(j) 7,257 New Jersey State Transportation Trust Fund Authority Revenue Bonds, VRDN (j): 4,960 FLOATS, Series 15Z, 3.80% due 12/15/2031 (b) 4,960 15,620 PUTTERS, Series 1365, 3.81% due 6/15/2023 (f) 15,620 New Jersey State Turnpike Authority, Turnpike Revenue Bonds, VRDN (e)(j): 22,325 Series C-1, 3.70% due 1/01/2024 22,325 6,895 Series C-2, 3.70% due 1/01/2024 6,895 30,000 Passaic, New Jersey, GO, Refunding, BAN, 4.50% due 6/08/2007 30,186 CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value New Mexico--0.4% $ 7,355 New Mexico Finance Authority, Revenue Refunding Bonds, ROCS, VRDN, Series II-R-7509, 3.78% due 6/15/2023 (a)(j) $ 7,355 27,118 New Mexico Mortgage Finance Authority, S/F Mortgage Program Revenue Bonds, VRDN, AMT, 4.53% due 7/01/2007 (j) 27,118 New York--6.0% 7,000 Aurora, New York, GO, BAN, 4% due 7/25/2007 7,000 10,000 Carmel, New York, Central School District, GO, BAN, 4.50% due 6/29/2007 10,045 24,000 Commack, New York, Union Free School District, GO, Refunding, BAN, 4.25% due 11/17/2006 24,034 24,700 Eagle Tax-Exempt Trust, New York State Dormitory Authority (Memorial Sloan), VRDN, Series 98, Class 3202, 3.78% due 7/01/2023 (j) 24,700 7,000 Hempstead, New York, Union Free School District, GO, TAN, 4.50% due 6/28/2007 7,034 127,300 Metropolitan Transportation Authority, New York, Dedicated Tax Fund, Revenue Refunding Bonds, VRDN, Series B, 3.65% due 11/01/2022 (e)(j) 127,300 9,390 Monroe County, New York, GO, BAN, 4.75% due 7/18/2007 9,446 13,995 Municipal Securities Trust Certificates Revenue Bonds, New York City, New York, City Transitional Finance Authority, VRDN, Series 2002-202, Class A, 3.76% due 10/21/2010 (b)(j) 13,995 13,000 New York City, New York, City Housing Development Corporation, M/F Rental Housing Revenue Bonds (Brittany Development), VRDN, AMT, Series A, 3.80% due 6/15/2029 (d)(j) 13,000 24,000 New York City, New York, City IDA, Liberty Revenue Bonds (One Bryant Park LLC Project), VRDN, Series A, 3.77% due 11/01/2039 (j) 24,000 5,500 New York City, New York, City IDA, Revenue Bonds, ROCS, VRDN, Series II-R-619, 3.77% due 1/01/2036 (a)(j) 5,500 30,000 New York City, New York, City Municipal Water Finance Authority, CP, 3.65% due 10/05/2006 30,000 6,260 New York City, New York, City Municipal Water Finance Authority, Water and Sewer System Revenue Refunding Bonds, MSTR, VRDN, Series SGB-27, 3.76% due 6/15/2024 (e)(j) 6,260 2,500 New York City, New York, City Transitional Finance Authority, Future Tax Secured Revenue Refunding Bonds, VRDN, Sub-Series C5, 3.80% due 8/01/2031 (j) 2,500 11,500 New York City, New York, City Transitional Finance Authority, Special Tax Revenue Refunding Bonds, VRDN, Series C, 3.72% due 2/01/2032 (j) 11,500 25,000 New York City, New York, GO, ROCS, VRDN, Series II-R-251A, 3.78% due 12/15/2033 (j) 25,000 5,700 New York City, New York, Sales Tax Asset Receivable Corporation Revenue Bonds, ROCS, VRDN, Series II-R-6084, 3.77% due 10/01/2023 (f)(j) 5,700 1,500 New York State Dormitory Authority, Mental Health Facilities Improvement Revenue Refunding Bonds, VRDN, Series F-2B, 3.73% due 2/15/2021 (e)(j) 1,500 6,500 New York State HFA, Service Contract Revenue Refunding Bonds, VRDN, Series G, 3.75% due 3/15/2028 (j) 6,500 Face Amount Municipal Bonds Value New York (concluded) $ 6,500 New York State Local Government Assistance Corporation, Revenue Refunding Bonds, Sub-Lien, VRDN, Series 3V, 3.75% due 4/01/2024 (b)(j) $ 6,500 11,000 New York State Thruway Authority, State Personal Income Tax, Revenue Refunding Bonds, FLOATS, VRDN, Series 1194, 3.77% due 3/15/2023 (e)(j) 11,000 10,000 Niagara-Wheatfield, New York, Central School District, GO, BAN, 4.50% due 2/15/2007 10,032 11,000 Oceanside, New York, Union Free School District, GO, TAN, 4.50% due 6/27/2007 11,057 5,930 Plainedge, New York, Union Free School District, GO, TAN, 4.50% due 6/27/2007 5,961 20,000 Sachem Central School District (Holbrook), New York, GO, BAN, 4.50% due 6/27/2007 20,105 4,000 Tobacco Settlement Financing Corporation of New York Revenue Bonds, FLOATS, VRDN, Series 1457, 3.84% due 6/01/2022 (j) 4,000 Triborough Bridge and Tunnel Authority, New York, General Purpose Revenue Bonds, VRDN (j): 47,100 Series A, 3.77% due 11/01/2035 47,100 18,985 Series B, 3.71% 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, 3.70% due 1/01/2031 5,300 20,280 Series D, 3.70% due 1/01/2031 20,280 25,000 William Floyd Union Free School District of Mastics-Moriches-Shirley, GO, TAN, 4.50% due 6/29/2007 25,119 North Carolina--2.0% 38,500 Chapel Hill University, North Carolina, Hospital Revenue Refunding Bonds, VRDN, Series B, 3.80% 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, 3.77% due 4/12/2017 (j) 19,995 4,025 North Carolina Eastern Municipal Power Agency, Power System Revenue Bonds, MERLOTS, Series A22, 3.78% due 1/01/2024 (j) 4,025 3,200 North Carolina HFA, Home Ownership Revenue Bonds, MERLOTS, VRDN, AMT, Series B12, 3.83% due 7/01/2037 (j) 3,200 49,500 North Carolina Medical Care Commission, Health Care Facilities Revenue Bonds (Novant Health Group), VRDN, Series A, 3.74% 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, 3.70% due 12/01/2036 (a)(j) 38,525 North Carolina Medical Care Commission, Hospital Revenue Bonds, VRDN (j): 15,000 (Moses H. Cone Memorial Health System), Series A, 3.70% due 10/01/2035 15,000 3,000 (Moses H. Cone Memorial Health System), VRDN, Series B, 3.70% due 10/01/2035 3,000 4,100 (Pooled Equipment Financing Project), ACES, 3.78% due 12/01/2025 (f) 4,100 4,500 North Carolina State, GO, MERLOTS, VRDN, Series A23, 3.78% due 3/01/2027 (j) 4,500 CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value North Carolina (concluded) $ 3,500 Wake County, North Carolina, Industrial Facilities and Pollution Control Financing Authority Revenue Bonds (Solid Waste Disposal - Highway 55), VRDN, AMT, 3.85% 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 12,437 4,000 Eagle Tax-Exempt Trust, Cincinnati, Ohio, City School District, GO, VRDN, Series 2004-34, Class A, 3.79% due 12/01/2031 (e)(j) 4,000 5,000 Franklin County, Ohio, Health Care Facilities Revenue Refunding Bonds (Ohio Presbyterian Services), VRDN, Series A, 3.78% due 7/01/2036 (h)(j) 5,000 6,000 Greene County, Ohio, GO, BAN, 4.50% due 12/14/2006 6,013 28,000 Hamilton County, Ohio, Health Care Facilities Revenue Bonds (Twin Towers and Twin Lakes), VRDN, Series A, 3.76% due 7/01/2023 (j) 28,000 9,000 Hamilton County, Ohio, Student Housing Revenue Bonds (Block 3 Community Urban Redevelopment Corporation Project), VRDN, 3.79% due 8/01/2036 (j) 9,000 14,500 Marysville, Ohio, Wastewater Treatment System Revenue Bonds, BAN, 4.50% due 12/21/2006 (q) 14,536 4,500 Montgomery County, Ohio, Revenue Refunding Bonds (Miami Valley Hospital), VRDN, Series A, 3.83% due 11/15/2022 (j) 4,500 2,370 Municipal Securities Trust Certificates, Princeton, Ohio, City School District, GO, VRDN, Series SGB 50-A, 3.78% 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, 3.90% due 9/01/2030 7,900 16,300 Series B, 3.95% due 9/01/2030 16,300 23,955 Ohio State, GO, Common Schools, VRDN, Series A, 3.75% due 3/15/2025 (j) 23,955 2,500 Ohio State Solid Waste Revenue Bonds (Republic Services, Inc. Project), VRDN, AMT, 4.04% due 11/01/2035 (j) 2,500 3,000 Ohio State Water Development Authority, Pollution Control Revenue Refunding Bonds (Ohio Edison Company), VRDN, Series A, 3.90% due 6/01/2033 (j) 3,000 3,000 Shaker Heights, Ohio, GO, BAN, 4.50% due 12/08/2006 3,006 5,830 Trumbull County, Ohio, Health Care Facilities Revenue Bonds (Shepherd of the Valley), VRDN, 3.80% due 10/01/2031 (h)(j) 5,830 Oklahoma--1.1% 3,300 Cleveland County, Oklahoma, Home Loan Authority, S/F Mortgage Revenue Refunding Bonds, VRDN, Series A, 5.29% due 4/25/2007 (j) 3,300 Comanche County, Oklahoma, Home Finance Authority, S/F Mortgage Revenue Bonds, VRDN, Series A (j): 17,087 5.028% due 10/02/2006 17,087 3,584 3.99% due 5/01/2007 3,584 34,985 Morgan Keegan Municipal Products, Inc., Oklahoma County, Oklahoma, HFA, S/F Revenue Bonds, VRDN, AMT, Series A, 3.84% due 5/01/2009 (j) 34,985 Face Amount Municipal Bonds Value Oklahoma (concluded) 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, 3.84% due 8/01/2037 2,500 24,020 Oklahoma State Industries Authority, Revenue Refunding Bonds (Integris Baptist), VRDN, Series B, 3.83% due 8/15/2029 (f)(j) 24,020 10,000 Oklahoma State Turnpike Authority, Second Senior Revenue Refunding Bonds, VRDN, Series E, 3.78% due 1/01/2028 (j)(n) 10,000 Oregon--0.4% 11,730 ABN AMRO MuniTops Certificates Trust, Portland, Oregon, GO, VRDN, Series 2001-4, 3.78% due 6/01/2009 (f)(j) 11,730 22,000 Oregon State, GO, VRDN, Series 73-G, 3.80% due 12/01/2018 (j) 22,000 Pennsylvania--3.5% Allegheny County, Pennsylvania, Hospital Development Authority, Revenue Bonds, VRDN (j): 27,490 PUTTERS, Series 1281, 3.78% due 1/15/2011 (b) 27,490 7,500 (University of Pittsburgh Medical Center), Series B-1, 3.86% 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, 3.82% due 6/01/2032 (j) 7,800 19,850 Delaware Valley Regional Finance Authority, Pennsylvania, Local Government Revenue Bonds, VRDN, Series D, 3.75% due 12/01/2020 (j) 19,850 Emmaus, Pennsylvania, General Authority Revenue Bonds, VRDN, Series A (j): 11,925 3.77% due 3/01/2024 11,925 13,200 (Pennsylvania Loan Program), 3.76% due 3/01/2030 (e) 13,200 9,897 Erie County, Pennsylvania, Hospital Authority Revenue Bonds, FLOATS, VRDN, Series 820, 3.78% due 7/01/2022 (f)(j) 9,897 17,000 Erie, Pennsylvania, City School District, GO, TRAN, 4.50% due 6/29/2007 17,064 11,550 Geisinger Health System, Pennsylvania, Revenue Bonds, VRDN, 3.82% due 11/15/2032 (j) 11,550 12,000 Lackawanna County, Pennsylvania, GO, MSTR, VRDN, Series SGB-38, 3.77% due 9/15/2020 (j) 12,000 4,995 Mount Lebanon, Pennsylvania, School District, GO, MERLOTS, VRDN, Series B19, 3.78% 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, 3.94% due 10/01/2034 (j) 6,700 15,150 Pennsylvania State Turnpike Commission, Turnpike Revenue Bonds, FLOATS, VRDN, Series 1402, 3.78% due 12/01/2024 (a)(j) 15,150 8,290 Pennsylvania State Turnpike Commission, Turnpike Revenue Refunding Bonds, VRDN, Series B, 3.74% due 12/01/2012 (j) 8,290 40,400 Philadelphia, Pennsylvania, Gas Works Revenue Refunding Bonds, VRDN, Series 6, 3.78% due 8/01/2031 (e)(j) 40,400 CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value Pennsylvania (concluded) $ 13,615 Philadelphia, Pennsylvania, Hospitals and Higher Education Facilities Authority, Hospital Revenue Refunding Bonds (Children's Hospital Project), VRDN, Series A, 3.82% due 2/15/2014 (j) $ 13,615 Philadelphia, Pennsylvania, Water and Wastewater Revenue Refunding Bonds, VRDN (e)(j): 37,170 3.73% due 6/15/2023 37,170 14,950 Series B, 3.73% due 8/01/2018 14,950 5,000 Southcentral General Authority, Pennsylvania, Revenue Refunding Bonds (Wellspan Health - York Hospital), VRDN, Series A, 3.73% due 6/07/2023 (a)(j) 5,000 18,000 Temple University of the Commonwealth System of Higher Education, Pennsylvania, University Funding Obligations, Revenue Refunding Bonds, 5% due 4/26/2007 18,131 10,640 Washington County, Pennsylvania, IDA, Health Care Facilities Revenue Bonds (Presbyterian Senior Care), VRDN, 3.73% due 1/01/2030 (h)(j) 10,640 Rhode Island--1.1% 5,345 Rhode Island Housing and Mortgage Finance Corporation Revenue Bonds, ROCS, VRDN, Series II-R-599, 3.78% due 4/01/2033 (j) 5,345 13,700 Rhode Island State Health and Educational Building Corporation, Higher Education Facilities Revenue Bonds (Brown University), VRDN, Series A, 3.70% due 5/01/2035 (j) 13,700 39,810 Rhode Island State Health and Educational Building Corporation, Hospital Financing Revenue Bonds (Butler Hospital), VRDN, Series A, 3.80% due 9/01/2032 (j) 39,810 Rhode Island State and Providence Plantations, GO, FLOATS, VRDN (j): 26,035 Series 568, 3.78% due 9/01/2017 (f) 26,035 15,895 Series 720, 3.78% due 11/01/2022 (b) 15,895 South Carolina--1.4% 12,195 ABN AMRO MuniTops Certificates Trust, Lexington County, South Carolina, GO, VRDN, Series 2001-37, 3.78% due 2/01/2010 (b)(j) 12,195 3,685 Charleston Educational Excellence Financing Corporation, South Carolina, ROCS, VRDN, Series II-R-515, 3.77% due 12/01/2030 (j)(k) 3,685 11,500 Eagle Tax-Exempt Trust, South Carolina State Public Service Authority, Revenue Bonds, VRDN, Series 2006-0007, Class A, 3.79% 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, 3.79% 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, 3.84% due 4/01/2027 (j) 6,380 Greenville Hospital System, South Carolina, Hospital Facilities Revenue Bonds, VRDN (a)(j): 23,700 Series A, 3.73% due 5/01/2035 23,700 22,750 Series B, 3.73% due 5/01/2035 22,750 8,035 Medical University Hospital Authority, South Carolina, Hospital Facilities, Revenue Refunding Bonds, VRDN, Series A-5, 3.79% due 8/15/2027 (f)(j)(l) 8,035 Face Amount Municipal Bonds Value South Carolina (concluded) South Carolina Housing Finance and Development Authority, Mortgage Revenue Bonds, VRDN, AMT (j): $ 5,320 PUTTERS, Series 1388, 3.81% due 7/01/2010 (a) $ 5,320 2,085 ROCS, Series II-R-398, 3.81% due 7/01/2034 (e) 2,085 6,250 South Carolina Jobs EDA, EDR (Holcim (US) Inc. Project), VRDN, AMT, 3.91% due 12/01/2033 (j) 6,250 South Carolina Transportation Infrastructure Bank Revenue Bonds, VRDN (a)(j): 12,500 FLOATS, Series 728, 3.78% due 10/01/2022 12,500 4,190 ROCS, Series II-R-9016, 3.77% due 10/01/2033 4,190 Tennessee--4.5% Blount County, Tennessee, Public Building Authority, Local Government Public Improvement Revenue Bonds, VRDN (j): 58,285 Series A-4-A, 3.79% due 6/01/2032 58,285 4,175 Series D1F, 3.80% due 6/01/2030 (a) 4,175 4,000 Series D-7-C, 3.80% due 6/01/2032 (n) 4,000 Clarksville, Tennessee, Public Building Authority Revenue Bonds, Pooled Financing (Tennessee Municipal Bond Fund), VRDN (j): 30,850 3.74% due 11/01/2027 30,850 57,630 3.74% due 6/01/2029 57,630 1,460 Jackson, Tennessee, Health, Educational and Housing Facilities Board, M/F Housing Revenue Bonds (Villages at Old Hickory Project), VRDN, AMT, 4.15% due 12/01/2006 (j) 1,460 8,100 Loudon, Tennessee, IDB, PCR, Refunding (A.E. Staley Manufacturing Company Project), VRDN, 3.75% due 6/01/2023 (j) 8,100 6,020 Memphis, Tennessee, Health, Educational and Housing Facility Board Revenue Bonds (Not-for-Profit M/F Program), VRDN, 3.95% due 8/01/2032 (j) 6,020 Montgomery County, Tennessee, Public Building Authority, Pooled Financing Revenue Bonds, VRDN (j): 2,980 (Montgomery County Loan Pool), 3.74% due 7/01/2019 2,980 9,475 (Tennessee County Loan Pool), 3.80% due 7/01/2034 9,475 33,050 Morgan Keegan Municipal Products, Inc., Tennessee HDA, Revenue Bonds, VRDN, AMT, Series C, 3.84% due 8/09/2007 (j) 33,050 10,000 Municipal Securities Trust Certificates, Tennessee Energy Acquisition Corporation, Revenue Bonds, VRDN, Series 2006-276 Class A, 3.79% due 8/30/2022 (j)(m) 10,000 Sevier County, Tennessee, Public Building Authority, Local Government Public Improvement Revenue Bonds, VRDN (j): 16,550 AMT, Series III-A, 3.85% due 6/01/2028 (a) 16,550 7,100 Series II-A-1, 3.76% due 6/01/2024 (a) 7,100 10,000 Series III-D-2, 3.76% due 6/01/2017 (a) 10,000 3,970 Series III-D-6, 3.76% due 6/01/2020 (a) 3,970 18,825 Series III-E-1, 3.76% due 6/01/2025 18,825 10,000 Series III-E-4, 3.76% due 6/01/2025 (a) 10,000 6,000 Series IV-A-4, 3.80% due 6/01/2020 (e) 6,000 6,500 Series IV-F-2, 3.80% due 6/01/2020 (a) 6,500 12,000 Series VI-B-1, 3.80% due 6/01/2024 12,000 10,000 Series VI-C-2, 3.80% due 6/01/2039 (a) 10,000 9,600 Series VI-D-2, 3.80% due 6/01/2024 (a) 9,600 6,625 Series VI-E-1, 3.80% due 6/01/2020 (a) 6,625 5,850 Series VI-F-3, 3.80% due 6/01/2030 (n) 5,850 CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value Tennessee (concluded) $ 3,620 Sevier County, Tennessee, Public Building Authority, Local Government Public Improvement, Revenue Refunding Bonds, VRDN, Series II-E-2, 3.76% due 6/01/2021 (a)(j) $ 3,620 4,575 Shelby County, Tennessee, GO, Refunding, ROCS, VRDN, Series II-R-3023, 3.78% due 4/01/2020 (f)(j) 4,575 10,000 Shelby County, Tennessee, Public Improvement and Schools, GO, VRDN, Series B, 3.80% due 4/01/2030 (j) 10,000 38,290 The Tennergy Corporation, Tennessee, Gas Revenue Bonds, PUTTERS, VRDN, Series 1258Q, 3.80% due 11/01/2013 (j) 38,290 Texas--13.0% 13,500 ABN AMRO MuniTops Certificates Trust, San Antonio, Texas, Electric and Gas Revenue Bonds, VRDN, Series 1998-22, 3.79% due 1/03/2007 (f)(j) 13,500 29,950 ABN AMRO MuniTops Certificates Trust, San Antonio, Texas, Independent School District, VRDN, Series 1999-10, 3.77% 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, 3.79% due 2/15/2007 (j) 9,030 4,485 Austin, Texas, Water and Wastewater System, Revenue Refunding Bonds, ROCS, VRDN, Series II-R-6029, 3.78% due 11/15/2024 (a)(j) 4,485 Bell County, Texas, Health Facilities Development Corporation, Hospital Revenue Bonds (Scott & White Memorial Hospital), VRDN (f)(j): 1,280 Series 2001-1, 3.83% due 8/15/2031 1,280 5,625 Series B-2, 3.83% due 8/15/2029 5,625 10,000 Brazos River Authority, Texas, Harbor Navigational District, Brazoria County Revenue Bonds (BASF Corp.), VRDN, AMT, 3.88% 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, 3.93% due 5/15/2033 4,200 2,400 Series B-1, 3.88% due 5/15/2033 2,400 25,000 Brazos River, Texas, Harbor Industrial Development Corporation Revenue Bonds (BASF Corporation Project), VRDN, AMT, 3.80% due 5/01/2038 (j) 25,000 1,990 Brownsville, Texas, Utility System Revenue Refunding Bonds, ROCS, VRDN, Series II-R-4074, 3.78% due 9/01/2024 (a)(j) 1,990 3,588 Central Texas Housing Finance Corporation, S/F Mortgage Revenue Bonds, VRDN, AMT, Series A, 5.03% due 7/01/2008 (j) 3,588 10,925 Collin County, Texas, GO, FLOATS, VRDN, Series 42-TP, 3.78% due 2/15/2026 (j) 10,925 7,295 Corpus Christi, Texas, Business and Job Development Corporation, Sales Tax Revenue Refunding Bonds, ROCS, VRDN, Series II-R-2001, 3.78% due 9/01/2017 (a)(j) 7,295 3,710 Corpus Christi, Texas, Utility System Revenue Refunding Bonds, ROCS, VRDN, Series II-R-2149, 3.78% due 7/15/2024 (e)(j) 3,710 Face Amount Municipal Bonds Value Texas (continued) Dallas-Fort Worth, Texas, International Airport Revenue Bonds, VRDN, AMT (j): $ 4,408 FLOATS, Series 824, 3.81% due 11/01/2015 (a) $ 4,408 7,140 PUTTERS, Series 350, 3.81% due 5/01/2011 (f) 7,140 2,500 PUTTERS, Series 351, 3.81% due 5/01/2008 (e) 2,500 4,995 PUTTERS, Series 385, 3.81% due 5/01/2008 (b) 4,995 3,000 ROCS, Series II-R-268, 3.81% due 11/01/2033 (f) 3,000 3,425 Dallas-Fort Worth, Texas, International Airport Revenue Refunding Bonds, PUTTERS, VRDN, AMT, Series 1019, 3.81% 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, 3.83% due 11/01/2023 25,300 9,495 Series SGB-52, 3.81% due 11/01/2017 9,495 23,885 Dallas-Fort Worth, Texas, Regional Airport Revenue Refunding Bonds, MSTR, VRDN, AMT, Series SGB-46, 3.81% due 11/01/2020 (f)(j) 23,885 2,820 Dallas, Texas, Area Rapid Transit Revenue Refunding Bonds, ROCS, VRDN, Series II-R-2078, 3.78% due 12/01/2022 (a)(j) 2,820 2,500 Denton, Texas, Independent School District, GO, VRDN, Series 2005-A, 3.78% due 8/01/2035 (j) 2,500 8,435 Eagle Tax-Exempt Trust, Dallas-Fort Worth, Texas, International Airport Revenue Bonds, VRDN, AMT, Series 2003-0020, Class A, 3.82% due 11/01/2032 (a)(j) 8,435 6,000 Eagle Tax-Exempt Trust, Dallas, Texas, VRDN, Series 01, Class 4310, 3.79% due 12/01/2026 (a)(j) 6,000 4,915 Eagle Tax-Exempt Trust, San Antonio, Texas, VRDN, Series 01, Class 4311, 3.79% 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, 3.79% due 5/15/2040 (f)(j) 14,500 4,500 Fort Bend County, Texas, GO, MSTR, VRDN, SGB-46-A, 3.78% due 3/01/2032 (f)(j) 4,500 3,295 Fort Bend, Texas, Independent School District, GO, FLOATS, VRDN, Series 1455, 3.78% due 8/15/2025 (j) 3,295 5,300 Grapevine, Texas, Industrial Development Corporation, Airport Revenue Refunding Bonds (Southern Air Transport), VRDN, 3.80% 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, 3.80% due 5/01/2038 (j) 19,000 Gulf Coast Waste Disposal Authority, Texas, Revenue Bonds, VRDN, AMT (j): 2,200 (Air Products Project), 3.85% due 12/01/2039 2,200 2,500 (Waste Management Inc.), Series A, 3.79% due 4/01/2019 2,500 10,470 Harris County-Houston, Texas, Sports Authority, Special Revenue Refunding Bonds, TOCS, VRDN, Series Z-3, 3.81% due 11/15/2025 (f)(j) 10,470 27,060 Harris County, Texas, Health Facilities Development Corporation, Hospital Revenue Bonds (Texas Children's Hospital), VRDN, Series B-1, 3.86% due 10/01/2029 (f)(j) 27,060 CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value Texas (continued) Harris County, Texas, Health Facilities Development Corporation, Revenue Refunding Bonds, VRDN (j): $ 127,200 (Methodist Hospital System), Series A, 3.83% due 12/01/2032 $ 127,200 14,000 (Saint Luke's Episcopal Hospital), Series A, 3.80% due 2/15/2032 (b) 14,000 49,900 (Saint Luke's Episcopal Hospital), Series B, 3.83% due 2/15/2031 49,900 17,940 Harris County, Texas, Health Facilities Development Corporation, Special Facilities Revenue Bonds (Texas Medical Center Project), VRDN, Series B, 3.83% due 5/15/2029 (e)(j) 17,940 31,350 Harris County, Texas, Industrial Development Corporation, Solid Waste Disposal Revenue Bonds (Deer Park Limited Partnership), VRDN, AMT, 3.89% due 2/01/2023 (j) 31,350 10,215 Harris County, Texas, Revenue Refunding Bonds, ROCS, VRDN, Series II-R-1030, 3.78% due 8/15/2017 (e)(j) 10,215 15,000 Houston, Texas, CP, 3.55% due 12/07/2006 15,000 29,675 Houston, Texas, Independent School District, GO, VRDN, 3.63% due 6/15/2007 (j) 29,675 Houston, Texas, Utility System Revenue Refunding Bonds, VRDN (e)(j): 5,350 ROCS, Series II-R-4063, 3.78% due 5/15/2021 5,350 6,000 TOCS, Series A, 3.78% due 5/25/2012 6,000 5,295 Houston, Texas, Water & Sewer System Revenue Refunding Bonds, ROCS, VRDN, Series II-R-630, 3.79% due 12/01/2020 (e)(j) 5,295 4,965 Lewisville, Texas, Independent School District, GO, Refunding, PUTTERS, VRDN, Series 701, 3.78% due 8/15/2010 (b)(j) 4,965 10,395 Municipal Securities Trust Certificates, Austin, Texas, Water Revenue Refunding Bonds, VRDN, Series 2001-134, Class A, 3.79% due 5/15/2010 (e)(j) 10,395 8,620 Municipal Securities Trust Certificates, Houston, Texas, Independent School District, GO, VRDN, Refunding, Series 233, Class A, 3.82% due 1/09/2014 (j) 8,620 32,000 North Central Texas, CP, 3.54% due 11/03/2006 32,000 8,450 North Texas Municipal Water District, Texas, Water System Revenue Bonds, ROCS, VRDN, Series II-R-593PB, 3.80% due 9/01/2035 (f)(j) 8,450 3,395 Plano, Texas, Independent School District, GO, PUTTERS, VRDN, Series 1428, 3.78% due 8/15/2010 (j) 3,395 17,335 Port Arthur, Texas, Navigation District, Environmental Facilities Revenue Refunding Bonds (Motiva Enterprises Project), VRDN, AMT, 3.90% 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 3.85% due 4/01/2036 10,000 8,400 3.84% due 5/01/2040 8,400 Port Arthur, Texas, Navigation District Revenue Bonds, VRDN, AMT (j): 20,000 (BASF Corporation Project), 3.93% due 4/01/2033 20,000 10,000 Multi-Mode (Atofina Petrochemicals), Series B, 3.90% due 4/01/2027 10,000 Face Amount Municipal Bonds Value Texas (concluded) $ 10,500 Port of Corpus Christi Authority, Texas, Nueces County Solid Waste Disposal Revenue Bonds (Flint Hills Resources LP Project), VRDN, AMT, 4.05% due 1/01/2030 (j) $ 10,500 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, 4.05% due 7/01/2029 (j) 50,000 5,900 San Antonio, Texas, Hotel Occupancy Revenue Bonds, FLOATS, VRDN, Series SG-51, 3.77% due 8/15/2019 (j) 5,900 4,145 Socorro, Texas, Independent School District, GO, ROCS, VRDN, Series II-R-2222, 3.78% due 8/15/2022 (j) 4,145 6,000 Southeast Texas Housing Finance Corporation, Revenue Refunding Bonds, VRDN, AMT, Series A-2, 3.60% due 2/16/2007 (c)(i)(j) 6,000 1,600 Southwest Texas, Higher Education Authority Incorporated Revenue Refunding Bonds (Southern Methodist University), VRDN, 3.80% due 7/01/2015 (j) 1,600 32,500 Texas Municipal Power Agency Revenue Bonds, Series 91, CP, 3.60% due 10/04/2006 32,500 6,870 Texas Municipal Power Agency, Revenue Refunding Bonds, PUTTERS, VRDN, Series 1323, 3.78% due 3/01/2014 (f)(j) 6,870 10,000 Texas Public Finance Authority, CP, 3.58% due 12/06/2006 10,000 14,900 Texas State Affordable Housing Corporation, M/F Housing Revenue Bonds, FLOATS, VRDN, Series 12TP, 3.78% due 3/01/2032 (f)(j) 14,900 54,160 Texas State, GO, Refunding, VRDN, AMT, 3.93% due 7/02/2007 (j) 54,160 172,055 Texas State, TRAN, 4.50% due 8/31/2007 173,494 20,575 Texas State Turnpike Authority, Central Texas Turnpike System, First Tier Revenue Bonds, VRDN, Series B, 3.73% due 8/15/2042 (a)(j) 20,575 5,410 Texas State University, System Financing Revenue Refunding Bonds, ROCS, VRDN, Series II-R-1011, 3.78% due 3/15/2019 (e)(j) 5,410 3,798 Travis County, Texas, Housing Finance Corporation, S/F Mortgage Revenue Bonds, VRDN, Series 2001-1, 4% due 5/01/2007 (j) 3,798 3,984 Victoria County, Texas, Hospital Revenue Refunding Bonds, FLOATS, VRDN, Series 959, 3.78% due 1/01/2016 (a)(j) 3,984 Utah--2.2% 6,500 Emery County, Utah, PCR, Refunding (PacifiCorp Projects), VRDN, 3.83% due 11/01/2024 (a)(j) 6,500 13,050 Intermountain Power Agency, Utah, Power Supply Revenue Bonds, VRDN, Series F, 3.60% due 7/01/2018 (a)(j) 13,050 Murray City, Utah, Hospital Revenue Bonds (IHC Health Services, Inc.), VRDN (j): 25,300 Series A, 3.78% due 5/15/2036 25,300 36,000 Series A, 3.83% due 5/15/2037 36,000 52,605 Series B, 3.83% due 5/15/2037 52,605 20,100 Series C, 3.83% due 5/15/2036 20,100 8,915 Salt Lake County, Utah, PCR, Refunding (Service Station Holdings Project), VRDN, Series B, 3.82% due 8/01/2007 (j) 8,915 CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 Schedule of Investments (continued) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value Utah (concluded) $ 3,200 Utah Transit Authority, Sales Tax Revenue Bonds, ROCS, VRDN, Series II-R-609PB, 3.80% due 6/15/2032 (e)(j) $ 3,200 8,300 Utah Water Finance Agency, Tender Option Revenue Bonds, VRDN, Series A-9, 3.79% due 7/01/2034 (a)(j) 8,300 22,720 Weber County, Utah, Hospital Revenue Bonds (IHC Health Services), VRDN, Series C, 3.83% due 2/15/2035 (j) 22,720 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 1,800 Vermont HFA, S/F Revenue Bonds, VRDN, AMT, Series 16 A, 3.87% due 5/01/2032 (e)(j) 1,800 8,000 Vermont State Student Assistance Corporation, Student Loan Revenue Bonds, FLOATS, VRDN, 3.66% due 1/01/2008 (j) 8,000 Virginia--0.9% 6,055 Eagle Tax-Exempt Trust, Richmond, Virginia, Public Utilities Revenue Bonds, VRDN, Series 2006-0050, Class A, 3.79% due 1/15/2035 (e)(j) 6,055 6,570 Morgan Keegan Municipal Products, Inc., Virginia State, HDA, VRDN, Series E, 3.78% due 12/01/2010 (j) 6,570 Norfolk, Virginia, CP: 20,000 3.55% due 10/02/2006 20,000 15,000 3.63% due 12/07/2006 15,000 30,150 Norfolk, Virginia, Industrial Development Authority, CP, 3.54% due 12/04/2006 30,150 3,000 Virginia State, HDA, Revenue Bonds, MERLOTS, VRDN, AMT, Series B-19, 3.83% due 4/01/2033 (j) 3,000 Washington--3.1% 12,620 Central Puget Sound, Washington, Regional Transit Authority, Sales and Use Tax Revenue Bonds, ROCS, VRDN, Series II-R-7510, 3.78% due 11/01/2023 (a)(j) 12,620 22,900 Clark County, Washington, Public Utility District Number 001, Generating System Revenue Refunding Bonds, MSTR, VRDN, Series SGA-118, 3.81% due 1/01/2025 (e)(j) 22,900 3,000 Eagle Tax-Exempt Trust, Bellevue, Washington, GO, Refunding, Series 2004-1011, Class A, 3.79% 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, 3.73% due 7/01/2018 (e)(j) 19,000 8,885 Grant County, Washington, Public Utility District Number 002, Electric Revenue Refunding Bonds, ROCS, VRDN, Series II-R-2039, 3.78% due 1/01/2019 (e)(j) 8,885 5,210 King County, Washington, School District Number 410, Snoqualmie Valley, GO, ROCS, VRDN, Series II-R-4513, 3.78% due 12/01/2020 (e)(j) 5,210 14,745 King County, Washington, Sewer Revenue Refunding Bonds, FLOATS, VRDN, Series 554, 3.78% due 7/01/2009 (b)(j) 14,745 Face Amount Municipal Bonds Value Washington (concluded) $ 2,260 Lewis County, Washington, Public Utility District Number 001, Cowlitz Falls Hydroelectric Revenue Refunding Bonds, VRDN, Series II-R-4026, 3.78% due 10/01/2023 (f)(j) $ 2,260 14,070 Municipal Securities Trust Certificates, Washington State Motor Vehicle Fuel Tax, GO, VRDN, Series 2001-112, Class A, 3.81% due 1/07/2021 (j) 14,070 4,935 Port of Seattle, Washington, Revenue Bonds, MERLOTS, VRDN, AMT, Series B04, 3.83% due 9/01/2015 (b)(j) 4,935 5,600 Port of Seattle, Washington, Revenue Refunding Bonds, PUTTERS, VRDN, Series 1462, 3.78% due 2/01/2014 (j)(n) 5,600 30,000 Port of Tacoma, Washington, Subordinate Lien Revenue Bonds, VRDN, AMT, 3.90% due 12/01/2036 (j)(n) 30,000 4,935 Seattle, Washington, Water System Revenue Refunding Bonds, ROCS, VRDN, Series II-R-4006, 3.78% due 9/01/2022 (f)(j) 4,935 3,455 Spokane County, Washington, Spokane School District Number 081, GO, ROCS, VRDN, Series II-R-4000, 3.78% due 12/01/2019 (e)(j) 3,455 5,585 Tacoma, Washington, Convention Center and Parking Revenue Bonds, ROCS, VRDN, Series II-R-2144, 3.78% due 12/01/2022 (f)(j) 5,585 13,955 Tacoma, Washington, Water Revenue Refunding Bonds, FLOATS, VRDN, Series 555, 3.78% due 12/01/2009 (b)(j) 13,955 8,770 Washington State, GO, Refunding, PUTTERS, VRDN, Series 1399, 3.78% due 1/01/2013 (a)(j) 8,770 Washington State, GO, VRDN (j): 2,725 FLOATS, Series 1140, 3.81% due 6/01/2016 (b) 2,725 15,075 PUTTERS, Series 333, 3.81% due 12/01/2014 (f) 15,075 9,565 PUTTERS, Series 1312, 3.78% due 1/01/2013 (e) 9,565 11,800 PUTTERS, Series 1422, 3.78% due 7/01/2014 (e) 11,800 17,500 ROCS, Series II-R-614, 3.78% due 1/01/2030 (a)(e) 17,500 4,190 ROCS, Series II-R-4082, 3.77% due 7/01/2023 (e) 4,190 10,375 ROCS, Series II-R-6061, 3.78% due 1/01/2022 (a) 10,375 4,380 ROCS, Series II-R-7035, 3.78% due 7/01/2024 (e) 4,380 6,400 Washington State Housing Finance Commission, M/F Housing Revenue Bonds (Arbors on the Park Project), VRDN, AMT, 3.86% due 10/01/2024 (j) 6,400 5,000 Washington State Public Power Supply Systems, Electric Revenue Refunding Bonds (Project Number 3), VRDN, Series 3-A, 3.77% due 7/01/2018 (f)(j) 5,000 Washington State University Revenue Bonds, VRDN (a)(j): 10,595 FLOATS, Series 1406, 3.78% due 10/01/2036 10,595 2,105 ROCS, Series II-R-595PB, 3.80% due 10/01/2031 2,105 West Virginia--0.2% 10,695 ABN AMRO MuniTops Certificates Trust, West Virginia State, GO, VRDN, Series 2000-12, 3.77% 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, 3.79% due 4/01/2034 (b)(j) 9,900 CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 Schedule of Investments (concluded) Master Tax-Exempt Trust (in Thousands) Face Amount Municipal Bonds Value Wisconsin--1.4% $ 1,995 Hartland, Wisconsin, IDR (Commercial Communications Inc. Project), VRDN, AMT, 3.85% due 8/01/2009 (j) $ 1,995 2,000 Lehman Municipal Trust Receipts, Wisconsin, GO, Refunding, FLOATS, VRDN, AMT, Series 2006-K40, 3.83% due 5/01/2031(f)(j) 2,000 2,675 Manitowoc, Wisconsin, Electric Revenue Bonds, ROCS, VRDN, Series II-R-2177, 3.78% due 10/01/2024 (b)(j) 2,675 42,600 Racine, Wisconsin, Unified School District, TRAN, 4.50% due 7/13/2007 42,846 5,985 Wisconsin Public Power Inc., Power Supply System Revenue Bonds, PUTTERS, VRDN, Series 1150, 3.78% due 7/01/2013 (a)(j) 5,985 Wisconsin State, GO, CP: 5,855 3.54% due 11/01/2006 5,855 25,000 3.55% due 12/05/2006 25,000 40,000 3.56% due 12/05/2006 40,000 Face Amount Municipal Bonds Value Wyoming--2.0% $ 24,200 Sweetwater County, Wyoming, PCR, Refunding (Idaho Power Company Project), VRDN, Series B, 3.88% due 7/15/2026 (j) $ 24,200 150,000 Wyoming State Education Fund, TRAN, Series A, 4.50% due 6/27/2007 150,867 Puerto Rico--0.2% 3,080 Puerto Rico Commonwealth Infrastructure Financing Authority, Special Obligation Revenue Bonds, TOCS, VRDN, Series Z-6, 3.80% due 6/26/2037 (b)(j) 3,080 12,800 Puerto Rico Electric Power Authority, Power Revenue Bonds, MSTR, VRDN, Series SGA-43, 3.72% due 7/01/2022 (f)(j) 12,800 Total Investments (Cost--$9,006,329*)--99.4% 9,006,329 Other Assets Less Liabilities--0.6% 55,519 ----------- Net Assets--100.0% $ 9,061,848 =========== * 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) FNMA/GNMA Collateralized. (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) Assured Guaranty 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) XL Capital Insured. (o) GNMA Collateralized. (p) Prerefunded. (q) Escrowed to maturity. See Notes to Financial Statements. CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 Statement of Assets and Liabilities Master Tax-Exempt Trust
As of September 30, 2006 Assets Investments in unaffiliated securities, at value (identified cost--$9,006,328,805) $ 9,006,328,805 Cash 55,151 Receivables: Interest $ 56,854,293 Securities sold 350 56,854,643 --------------- Prepaid expenses 40,010 --------------- Total assets 9,063,278,609 --------------- Liabilities Payables: Investment adviser 965,894 Withdrawals 106,143 Other affiliates 91,398 1,163,435 --------------- Accrued expenses 267,360 --------------- Total liabilities 1,430,795 --------------- Net Assets Net assets $ 9,061,847,814 =============== Net Assets Consist of Investors' capital $ 9,061,847,814 --------------- Net Assets $ 9,061,847,814 =============== See Notes to Financial Statements.
Statement of Operations Master Tax-Exempt Trust
For the Six Months Ended September 30, 2006 Investment Income Interest and amortization of premium and discount earned $ 165,011,578 Expenses Investment advisory fees $ 6,275,361 Accounting services 442,756 Custodian fees 113,494 Professional fees 55,557 Pricing fees 39,697 Trustees' fees and expenses 29,033 Printing and shareholder reports 1,341 Other 70,633 --------------- Total expenses 7,027,872 --------------- Investment income--net 157,983,706 --------------- Realized Gain--Net Realized gain on investments--net 279,278 --------------- Net Increase in Net Assets Resulting from Operations $ 158,262,984 =============== See Notes to Financial Statements.
CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 Statements of Changes in Net Assets Master Tax-Exempt Trust
For the Six For the Months Ended Year Ended September 30, March 31, Increase (Decrease) in Net Assets: 2006 2006 Operations Investment income--net $ 157,983,706 $ 247,385,747 Realized gain (loss)--net 279,278 (414,731) ---------------- ---------------- Net increase in net assets resulting from operations 158,262,984 246,971,016 ---------------- ---------------- Capital Transactions Proceeds from contributions 28,642,883,177 52,632,134,510 Fair value of withdrawals (29,264,035,200) (53,104,175,686) ---------------- ---------------- Net decrease in net assets derived from capital transactions (621,152,023) (472,041,176) ---------------- ---------------- Net Assets Total decrease in net assets (462,889,039) (225,070,160) Beginning of period 9,524,736,853 9,749,807,013 ---------------- ---------------- End of period $ 9,061,847,814 $ 9,524,736,853 ================ ================ See Notes to Financial Statements.
Financial Highlights Master Tax-Exempt Trust
For the Six For the Period The following per share data and ratios Months Ended February 13, 2003++ have been derived from information September 30, For the Year Ended March 31, to March 31, provided in the financial statements. 2006 2006 2005 2004 2003 Total Investment Return Total investment return 1.71%+++ 2.64% 1.33% .94% .68%* =========== =========== =========== =========== =========== Ratios to Average Net Assets Expenses .15%* .15% .15% .15% .21%* =========== =========== =========== =========== =========== Investment income and realized gain (loss)--net 3.39%* 2.61% 1.31% .94% 1.04%* =========== =========== =========== =========== =========== Supplemental Data Net assets, end of period (in thousands) $ 9,061,848 $ 9,524,737 $ 9,749,807 $10,252,630 $10,591,179 =========== =========== =========== =========== =========== * Annualized. ++ Commencement of operations. +++ Aggregate total investment return. See Notes to Financial Statements.
CMA TAX-EXEMPT FUND SEPTEMBER 30, 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. These unaudited financial statements reflect all adjustments, which are, in the opinion of management, necessary to present a fair statement of the results for the interim period. All such adjustments are of a normal, recurring nature. 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) Recent accounting pronouncement--In July 2006, the Financial Accounting Standards Board ("FASB") issued Interpretation No. 48 ("FIN 48") entitled "Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement No. 109." FIN 48 prescribes the minimum recognition threshold a tax position must meet in connection with accounting for uncertainties in income tax positions taken or expected to be taken by an entity including mutual funds before being measured and recognized in the financial statements. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006. The impact on the Trust's financial statements, if any, is currently being assessed. (d) Security transactions and investment income--Security transactions are recorded on the dates the trans-actions 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 six months ended September 30, 2006, the Trust reimbursed FAM $97,197 for certain accounting services. 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 closed on September 29, 2006. On September 15, 2006, the shareholders of each of the investors of the Trust approved a new Investment Advisory Agreement with BlackRock Advisors, Inc. (the "Manager"), a wholly owned subsidiary of BlackRock, Inc. BlackRock Advisors, Inc. was reorganized into BlackRock Advisors, LLC. The new advisory agreement became effective on September 29, 2006, and the investment advisory fee is unchanged. In addition, the Manager has entered into a sub-advisory agreement with BlackRock Investment Management, LLC, an affiliate under which the Manager pays the Sub-Adviser for services it provides a fee equal to 59% of the management fee paid to the Manager. Prior to the closing, certain officers and/or trustees of the Trust are officers and/or directors of FAM, PSI, and/or ML & Co. Commencing September 29, 2006, certain officers and/or trustees of the Trust are officers and/or directors of BlackRock, Inc. or its affiliates. CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 Disclosure of Investment Advisory Agreement Disclosure of FAM Management Agreement The Board of Trustees of Master Tax-Exempt Trust (the "Trust") and the Board of Trustees of CMA Tax-Exempt Fund (the "Fund") met in August 2006 to consider approval of the management agreement between the Trust, on behalf of the Fund, and Fund Asset Management, L.P. ("FAM"), the Trust's manager at that time. Activities and Composition of the Board of Trustees All but one member of each Board of Trustees is an independent trustee whose only association with FAM or other Merrill Lynch affiliates was as a trustee of the Fund and the Trust and as a trustee or director of certain other funds advised by FAM or its affiliates. The Chairman of each Board is also an independent trustee. New trustee nominees are chosen by a Nominating Committee comprised of independent trustees. All independent trustees also are members of the respective Board's Audit Committee, and the independent trustees meet in executive session at each in-person Board meeting. The Boards and the Audit Committees meet in person for at least two days each quarter and conduct other in-person and telephone meetings throughout the year, some of which are formal Board meetings and some of which are informational meetings. The independent counsel to the independent trustees attends all in-person Board and Audit Committee meetings and other meetings at the independent trustees' request. FAM Management Agreement--Matters Considered by the Boards Every year, each Board reviews and considers approval of the Trust's management agreement on behalf of the Fund. Each Board assesses the nature, scope and quality of the services provided to the Fund and the Trust by the personnel of the manager and its affiliates, including administrative services, shareholder services, oversight of fund accounting, marketing services and assistance in meeting legal and regulatory requirements. Each Board also receives and assesses information regarding the services provided to the Fund and the Trust by certain unaffiliated service providers. At various times throughout the year, each Board also considers a range of information in connection with its oversight of the services provided by the manager and its affiliates. Among the matters considered are: (a) fees (in addition to management fees) paid to the manager and its affiliates by the Fund and/or the Trust, such as transfer agency fees and fees for marketing and distribution; (b) Trust/Fund operating expenses paid to third parties; (c) the resources devoted to and compliance reports relating to the Trust's/Fund's investment objective, policies and restrictions, and the Trust's/Fund's compliance with its Code of Ethics and compliance policies and procedures; and (d) the nature, cost and character of non-investment management services provided by the manager and its affiliates. The Boards noted their view of FAM as one of the most experienced global asset management firms and considered the overall services provided by FAM to be of high quality. The Boards also noted their view of FAM as financially sound and well managed and noted FAM's affiliation with one of America's largest financial firms. The Boards work closely with the manager in overseeing the manager's efforts to achieve good performance. As part of this effort, each Board discusses portfolio manager effectiveness and, when performance is not satisfactory, discusses with the manager taking steps such as changing investment personnel. Annual Consideration of Approval by the Boards In the period prior to the Board meeting to consider renewal of the management agreement, each Board requests and receives materials specifically relating to the management agreement. These materials include (a) information compiled by Lipper Inc. ("Lipper") on the fees and expenses and the investment performance of the Trust/Fund or its predecessor (which had the same investment objectives and strategies as the Trust/Fund) as compared to a comparable group of funds as classified by Lipper; (b) a discussion by the Trust's/Fund's portfolio management team regarding investment strategies used by the Trust/Fund during its most recent fiscal year; (c) information on the profitability to the manager and its affiliates of the management agreement and certain other relationships with the Trust and/or the Fund; and (d) information provided by the manager concerning management fees charged to other clients, such as institutional clients, under similar investment mandates. Each Board also considers other matters it deems important to the approval process, such as payments made to the manager or its affiliates relating to the distribution of Fund shares, services related to the valuation and pricing of Trust/Fund portfolio holdings, allocation of Trust/Fund brokerage fees, and direct and indirect benefits to the manager and its affiliates from their relationship with the Fund and the Trust. Neither Board identified any particular information as controlling, and each member of the Board may have attributed different weights to the various items considered. CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 Certain Specific Renewal Data In connection with the most recent renewal of the management agreement between the Trust, on behalf of the Fund, and FAM (the "FAM Management Agreement") in August 2006, the independent trustees' and Boards' review included the following: Services Provided by the Manager--Each Board reviewed the nature, extent and quality of services provided by FAM, including the management services and the resulting performance of the Trust/Fund. The Boards use data provided by Lipper and by management in their review of advisory services. The Boards compared Trust/Fund performance - both including and excluding the effects of the Trust's/Fund's fees and expenses - to the performance of a comparable group of mutual funds and the performance of a relevant index or combination of indexes. While each Board reviews performance data at least quarterly, the Board attaches more importance to performance over relatively long periods of time, typically three to five years. The Boards concluded that the comparative data indicated that the Fund's performance was competitive. Considering all these factors, each Board concluded that the Trust's/Fund's performance and the nature and quality of the services provided supported the continuation of the FAM Management Agreement. FAM's Personnel and Investment Process--Each Board reviewed the Trust's/Fund's investment objectives and strategies. The Boards discussed with FAM's senior management responsible for investment operations and the senior management of FAM's municipal investing group the strategies being used to achieve the stated objectives. Among other things, the Boards considered the size, education and experience of FAM's investment staff, its use of technology, and FAM's approach to training and retaining portfolio managers and other research, advisory and management personnel. The Boards also reviewed FAM's compensation policies and practices with respect to the Trust's/Fund's portfolio manager. The Boards also considered the experience of the Trust's/Fund's portfolio manager and noted that Mr. Hayes has more than 25 years experience investing in municipal securities. Each Board considered the extensive experience of FAM and its investment staff in analyzing and managing the types of investments used by the Trust and the Fund and concluded that the Trust and the Fund benefit from that experience. Management Fees and Other Expenses--Each Board reviews the Trust's/Fund's contractual management fee rate and actual management fee rate as a percentage of total assets at common asset levels - the actual rate includes advisory and administrative service fees and the effects of any fee waivers - compared to the other funds in its Lipper category. It also compares the Trust's/Fund's total expenses to those of other comparable funds. Each Board determined that the Fund's contractual and actual management fee rates, as well as total expenses, were competitive with those of comparable funds. Each Board concluded that the Fund's management fee rate and overall expense ratio were reasonable. Profitability--Each Board considers the cost of the ser-vices provided to the Trust and the Fund by the manager and the manager's and its affiliates' profits relating to the management and distribution of the Trust and the Fund and the funds advised by the manager and its affiliates. As part of its analysis, each Board reviewed FAM's methodology in allocating its costs to the management of the Trust and the Fund and concluded that there was a reasonable basis for the allocation. Each Board also considered federal court decisions discussing an investment adviser's profitability and profitability levels considered to be reasonable in those decisions. The Boards concluded that the profits of FAM and its affiliates were acceptable in relation to the nature and quality of services provided and given the level of fees and expenses overall. Economies of Scale--Each Board considered the extent to which economies of scale might be realized as the assets of the Trust and the Fund increase and whether there should be changes in the management fee rate or structure in order to enable the Trust and the Fund to participate in these economies of scale. Each Board concluded that the Trust's/Fund's management fee rate schedule, which includes breakpoints, appropriately allows shareholders to participate in the benefits of economies of scale. The Boards determined that no changes were currently necessary. Conclusion After the independent trustees of the Fund and the independent trustees of the Trust deliberated in executive session, each entire Board, including all of the independent trustees, approved the renewal of the existing FAM Management Agreement, concluding that the advisory fee was reasonable in relation to the services provided and that a contract renewal was in the best interests of the shareholders. CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 Disclosure of New Investment Advisory Agreement New BlackRock Management Agreement--Matters Considered by the Boards In connection with the combination of Merrill Lynch's investment advisory business, including Fund Asset Management, L.P. (the "Previous Manager"), with that of BlackRock, Inc. ("BlackRock") to create a new independent company ("New BlackRock") (the "Transaction"), the Board of Trustees of the Trust, on behalf of the Fund, considered and approved a new management agreement (the "BlackRock Management Agreement") between the Trust and BlackRock Advisors, LLC ("BlackRock Advisors"). Because the Fund is a feeder fund that invests all of its assets in the Trust, the Board of Trustees of the Fund also considered the BlackRock Management Agreement. Shareholders subsequently approved the BlackRock Management Agreement, and it became effective on September 29, 2006, replacing the management agreement with the Previous Manager (the "Previous Management Agreement"). Each Board discussed the BlackRock Management Agreement at telephonic and in- person meetings held during April and May 2006. Each Board, including the independent trustees, approved the BlackRock Management Agreement at an in- person meeting held on May 12, 2006. To assist each Board in its consideration of the BlackRock Management Agreement, BlackRock provided materials and information about BlackRock, including its financial condition and asset management capabilities and organization, and Merrill Lynch provided materials and information about the Transaction. The independent trustees, through their independent legal counsel, also requested and received additional information from Merrill Lynch and BlackRock in connection with their consideration of the BlackRock Management Agreement. The additional information was provided in advance of the May 12, 2006 meetings. In addition, the independent trustees consulted with their counsel and counsel for the Fund and the Trust on numerous occasions, discussing, among other things, the legal standards and certain other considerations relevant to each Board's deliberations. At each Board meeting, the trustees discussed with Merrill Lynch management and certain BlackRock representatives the Transaction, its strategic rationale and BlackRock's general plans and intentions regarding the Fund and the Trust. At these Board meetings, representatives of Merrill Lynch and BlackRock made presentations to and responded to questions from each Board. Each Board also inquired about the plans for and anticipated roles and responsibilities of certain employees and officers of the Previous Manager, and of its affiliates, to be transferred to BlackRock in connection with the Transaction. The independent trustees also conferred separately and with their counsel about the Transaction and other matters related to the Transaction on a number of occasions, including in connection with the April and May 2006 meetings. After the presentations and after reviewing the written materials provided, the independent trustees met in executive sessions with their counsel to consider the BlackRock Management Agreement. In connection with each Board's review of the BlackRock Management Agreement, Merrill Lynch and/or BlackRock advised the Boards about a variety of matters. The advice included the following, among other matters: * that there was not expected to be any diminution in the nature, quality and extent of services provided to the Fund and the Trust and their shareholders by BlackRock Advisors, including compliance services; * that operation of New BlackRock as an independent investment management firm would enhance its ability to attract and retain talented professionals; * that the Fund and the Trust were expected to benefit from having access to BlackRock's state of the art technology and risk management analytic tools, including investment tools, provided under the BlackRock Solutions (R) brand name; * that BlackRock had no present intention to alter any applicable expense waivers or reimbursements that were currently in effect and, while it reserved the right to do so in the future, it would seek the approval of each Board before making any changes; * that BlackRock and Merrill Lynch would enter into an agreement, for an initial three-year period and automatically renewable from year to year thereafter, in connection with the Transaction under which Merrill Lynch- affiliated broker-dealers would continue to offer the Fund as an investment product; * that BlackRock Advisors would have substantially the same access to the Merrill Lynch sales force when distributing shares of the Fund as was currently being provided to the Previous Manager and that other arrangements between the Previous Manager and Merrill Lynch sales channels would be preserved; CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 * that in connection with the Transaction, Merrill Lynch and BlackRock had agreed to conduct, and use reasonable best efforts to cause their respective affiliates to conduct, their respective businesses in compliance with the conditions of Section 15(f) of the Investment Company Act of 1940 (the "1940 Act") in relation to any public funds advised by BlackRock or the Previous Manager (or affiliates), respectively; and * that Merrill Lynch and BlackRock would derive benefits from the Transaction and that, as a result, they had a financial interest in the matters being considered that was different from that of Fund or Trust shareholders. Each Board considered the information provided by Merrill Lynch and BlackRock above, and, among other factors, the following: * the potential benefits to Fund and Trust shareholders from being part of a combined fund family with BlackRock-sponsored funds, including possible economies of scale and access to investment opportunities; * the reputation, financial strength and resources of BlackRock and its investment advisory subsidiaries and the anticipated financial strength and resources of New BlackRock; * the compliance policies and procedures of BlackRock Advisors; * the terms and conditions of the BlackRock Management Agreement, including the fact that the schedule of the Fund's/Trust's total advisory and administrative fees would not increase under the BlackRock Management Agreement, but would remain the same; * that in August 2005, each Board had performed a full annual review of each respective Previous Management Agreement, as required by the 1940 Act, and had determined that the Previous Manager had the capabilities, resources and personnel necessary to provide the advisory and administrative services that were then being provided to the Fund/Trust; and that the advisory and/or management fees paid by the Fund/Trust, taking into account any applicable agreed-upon fee waivers and breakpoints, had represented reasonable compensation to the Previous Manager in light of the services provided, the costs to the Previous Manager of providing those services, economies of scale, the fees and other expenses paid by similar funds (including information provided by Lipper), and such other matters as the trustees had considered relevant in the exercise of their reasonable judgment; and * that Merrill Lynch had agreed to pay all expenses of the Fund and Trust in connection with the Board's consideration of the BlackRock Management Agreement and related agreements and all costs of shareholder approval of the BlackRock Management Agreement and as a result the Fund and the Trust would bear no costs in obtaining shareholder approval of the BlackRock Management Agreement. Certain of these considerations are discussed in more detail below. In its review of the BlackRock Management Agreement, each Board assessed the nature, quality and scope of the services to be provided to the Fund and the Trust by the personnel of BlackRock Advisors and its affiliates, including administrative services, shareholder services, oversight of fund accounting, marketing services and assistance in meeting legal and regulatory requirements. In its review of the BlackRock Management Agreement, each Board also considered a range of information in connection with its oversight of the services to be provided by BlackRock Advisors and its affiliates. Among the matters considered were: (a) fees (in addition to management fees) to be paid to BlackRock Advisors and its affiliates by the Fund and the Trust; (b) Fund and Trust operating expenses paid to third parties; (c) the resources devoted to and compliance reports relating to the Fund's and the Trust's investment objective, policies and restrictions, and their compliance with their Code of Ethics and BlackRock Advisors' compliance policies and procedures; and (d) the nature, cost and character of non-investment management services to be provided by BlackRock Advisors and its affiliates. In the period prior to the Board meetings to consider renewal of the Previous Management Agreement, each Board had requested and received materials specifically relating to the Previous Management Agreement. These materials included (a) information compiled by Lipper on the fees and expenses and the investment performance of the Fund as compared to a comparable group of funds as classified by Lipper; (b) a discussion by the Trust's portfolio management team on investment strategies used by the Trust during its most recent fiscal year; (c) information on the profitability to the Previous Manager of the Previous Management Agreement and other payments received by the Previous Manager and its affiliates from the Fund and the Trust; and (d) information provided by the Previous Manager concerning services related to the valuation and pricing of the Trust's portfolio holdings, allocation of Trust brokerage fees, the Trust's portfolio turnover statistics, and direct and indirect benefits to the Previous Manager and its affiliates from their relationship with the Fund and the Trust. CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 Disclosure of New Investment Advisory Agreement (continued) In its deliberations, each Board considered information received in connection with its most recent approval of the continuance of the Previous Management Agreement, in addition to information provided by BlackRock and BlackRock Advisors in connection with their evaluation of the terms and conditions of the BlackRock Management Agreement. The trustees did not identify any particular information that was all-important or controlling, and each trustee attributed different weights to the various factors. Each Board, including a majority of the Board's independent trustees, concluded that the terms of the BlackRock Management Agreement are appropriate, that the fees to be paid are reasonable in light of the services to be provided to the Fund/Trust, and that the BlackRock Management Agreement should be approved and recommended to Fund/Trust shareholders. Nature, Quality and Extent of Services Provided--Each Board reviewed the nature, quality and extent of services provided by the Previous Manager, including the investment advisory services and the resulting performance of the Fund and the Trust, as well as the nature, quality and extent of services expected to be provided by BlackRock Advisors. Each Board focused primarily on the Previous Manager's investment advisory services and the investment performance of the Fund and the Trust, but also considered certain areas in which both the Previous Manager and the Fund/Trust received services as part of the Merrill Lynch complex. Each Board compared the Fund's performance - both including and excluding the effects of fees and expenses - to the performance of a comparable group of mutual funds, and the performance of a relevant index or combination of indexes. While each Board reviews performance data at least quarterly, consistent with the Previous Manager's investment goals, the Board attaches more importance to performance over relatively long periods of time, typically three to five years. In evaluating the nature, quality and extent of the services to be provided by BlackRock Advisors under the BlackRock Management Agreement, each Board considered, among other things, the expected impact of the Transaction on the operations, facilities, organization and personnel of New BlackRock and how it would affect the Fund and the Trust; the ability of BlackRock Advisors to perform its duties after the Transaction; and any anticipated changes to the investment and other practices of the Fund or the Trust. Each Board was given information with respect to the potential benefits to the Fund and the Trust and their shareholders from having access to BlackRock's state of the art technology and risk management analytic tools, including the investment tools provided under the BlackRock Solutions brand name. Each Board was advised that, as a result of Merrill Lynch's equity interest in BlackRock after the Transaction, the Fund and the Trust would continue to be subject to restrictions concerning certain transactions involving Merrill Lynch affiliates (for example, transactions with a Merrill Lynch broker-dealer acting as principal) absent revised or new regulatory relief. Each Board was advised that a revision of existing regulatory relief with respect to these restrictions was being sought from the Securities and Exchange Commission and was advised of the possibility of receipt of such revised regulatory relief. Based on their review of the materials provided and the assurances they had received from the management of Merrill Lynch and of BlackRock, the trustees determined that the nature and quality of services to be provided to the Fund/Trust under the BlackRock Management Agreement were expected to be as good as or better than that provided under the Previous Management Agreement. The trustees were advised that BlackRock Advisors did not plan to change the Fund's/Trust's portfolio management team upon the closing of the Transaction. It was noted, however, that other changes in personnel were expected to follow the Transaction and the combination of the operations of the Previous Manager and its affiliates with those of BlackRock. The trustees noted that if portfolio managers or other personnel were to cease to be available prior to the closing of the Transaction, each Board would consider all available options, including seeking the investment advisory or other services of BlackRock affiliates. Accordingly, each Board concluded that, overall, the Board was satisfied at the present time with assurances from BlackRock and BlackRock Advisors as to the expected nature, quality and extent of the services to be provided to the Fund/Trust under the BlackRock Management Agreement. CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 Costs of Services Provided and Profitability--It was noted that, in conjunction with the most recent review of the Previous Management Agreement, each Board had received, among other things, a report from Lipper comparing the Fund's fees and expenses to those of a peer group selected by Lipper and information as to the fees charged by the Previous Manager or its affiliates to other registered investment company clients for investment management services. Each Board reviewed the Fund's/Trust's contractual management fee rate and actual management fee rate as a percentage of total assets at common asset levels - the actual rate includes advisory and administrative service fees and the effects of any fee waivers - compared to the other funds in the Fund's Lipper category. Each Board also compared the Fund's total expenses to those of other comparable funds. Each Board concluded that the Fund's/Trust's management fee and fee rate and overall expense ratio are reasonable compared to those of other comparable funds. In evaluating the costs of the services to be provided by BlackRock Advisors under the BlackRock Management Agreement, each Board considered, among other things, whether advisory and administrative fees or other expenses would change as a result of the Transaction. The Fund's Board noted that in addition to the BlackRock Management Agreement, it was considering a new administration agreement with BlackRock Advisors as administrator to replace the Fund's administration agreement under which the Previous Manager was serving as administrator. Based on its review of the materials provided, and the fact that the BlackRock Management Agreement and the new administration agreement are substantially similar to the corresponding previous agreement in all material respects, including the rate of compensation, each Board determined that the Transaction should not increase the total fees payable, including any fee waivers and expense reimbursements, for advisory and administrative services. Each Board noted that it was not possible to predict how the Transaction would affect BlackRock Advisor's profitability from its relationship with the Fund and the Trust. Each Board discussed with BlackRock Advisors its general methodology to be used in determining New BlackRock's profitability with respect to its relationship with the Fund and the Trust. The trustees noted that they expect to receive profitability information from BlackRock Advisors on at least an annual basis and thus be in a position to evaluate whether any adjustments in fees and/or fee breakpoints would be appropriate. Fees and Economies of Scale--Each Board considered the extent to which economies of scale might be realized as the assets of the Fund and the Trust increase and whether there should be changes in the management fee rate or structure in order to enable the Fund and the Trust to participate in these economies of scale. Each Board determined that changes were not currently necessary. In reviewing the Transaction, each Board considered, among other things, whether advisory and administrative fees or other expenses would change as a result of the Transaction. Based on the fact that the BlackRock Management Agreement was substantially similar to the Previous Management Agreement in all material respects, including the rate of compensation, and the fact that the proposed new administration agreement with BlackRock Advisors was also substantially similar to the administration agreement then in effect, each Board determined that as a result of the Transaction, the Fund's/Trust's total advisory and administrative fees would be no higher than the fees under the corresponding Previous Management Agreement and administration agreement. Each Board noted that in conjunction with the most recent deliberations concerning the Previous Management Agreement, the trustees had determined that the total fees for advisory and administrative services for the Fund and the Trust were reasonable in light of the services provided. It was noted that in conjunction with the most recent review of the Previous Management Agreement, the Boards had received, among other things, a report from Lipper comparing the fees, expenses and performance of the Fund/Trust to those of a peer group selected by Lipper and information as to the fees charged by the Previous Manager to other registered investment company clients for investment management services. Each Board concluded that because the rates for advisory and administrative fees for the Fund/Trust would be no higher than the fee rates in effect at the time, the proposed management fee structure, including any fee waivers, was reasonable and that no additional changes were currently necessary. Fall-Out Benefits--In evaluating the fall-out benefits to be received by BlackRock Advisors under the BlackRock Management Agreement, each Board considered whether BlackRock Advisors would experience such benefits to the same extent that the Previous Manager was experiencing such benefits under the Previous Management Agreement. Based on their review of the materials provided, including materials received in connection with their most recent approval of the continuance of the Previous Management Agreement, and their discussions with management of the Previous Manager and BlackRock, the trustees determined that BlackRock Advisors' fall-out benefits could include increased ability for BlackRock to distribute shares of its funds and other investment products. Each Board noted that fall-out benefits were difficult to quantify with certainty at this time, and indicated that the Board would continue to evaluate them going forward. CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 Disclosure of New Investment Advisory Agreement (concluded) Investment Performance--Each Board considered investment performance for the Fund and the Trust. Each Board compared the performance of the Fund and the Trust - both including and excluding the effects of fees and expenses - to the performance of a comparable group of mutual funds, and the performance of a relevant index or combination of indexes. The comparative information showed Fund performance at various levels within the range of performance of comparable funds over different time periods. While each Board reviews performance data at least quarterly, consistent with the Previous Manager's investment goals, the Board attaches more importance over relatively long periods of time, typically three to five years. Each Board believed the Fund's performance was satisfactory. Also, each Board took into account the investment performance of funds advised by BlackRock Advisors. Each Board considered comparative information from Lipper which showed that the performance of the funds advised by BlackRock Advisors was within the range of performance of comparable funds over different time periods. Each Board noted BlackRock's considerable investment management experience and capabilities, but was unable to predict what effect, if any, consummation of the Transaction would have on the future performance of the Fund. Conclusion--After the independent trustees of the Fund and the independent trustees of the Trust deliberated in executive session, each entire Board, including the independent trustees, approved the BlackRock Management Agreement, concluding that the advisory fee rate was reasonable in relation to the services provided and that the BlackRock Management Agreement was in the best interests of the shareholders. In approving the BlackRock Management Agreement, each Board noted that it anticipated reviewing the continuance of the agreement in advance of the expiration of the initial two-year period. New BlackRock Sub-Advisory Agreement--Matters Considered by the Boards At an in-person meeting held on August 14-16, 2006, each Board, including the independent trustees, discussed and approved the sub-advisory agreement with respect to the Trust (the "BlackRock Sub-Advisory Agreement") between BlackRock Advisors and BlackRock Investment Management, LLC, an affiliate of BlackRock Advisors (the "Sub-Adviser"). The BlackRock Sub-Advisory Agreement became effective on September 29, 2006, at the same time the BlackRock Management Agreement became effective. Pursuant to the BlackRock Sub-Advisory Agreement, the Sub-Adviser receives a monthly fee from BlackRock Advisors equal to 59% of the advisory fee received by BlackRock Advisors from the Trust. BlackRock Advisors pays the Sub-Adviser out of its own resources, and there is no increase in Fund or Trust expenses as a result of the BlackRock Sub-Advisory Agreement. In approving the BlackRock Sub-Advisory Agreement at the August in person meeting, each Board reviewed its considerations in connection with its approval of the BlackRock Management Agreement in May 2006. The Boards relied on the same information and considered the same factors as those discussed above in connection with the approval of the BlackRock Management Agreement and came to the same conclusion. In reviewing the sub-advisory fee rate provided in the BlackRock Sub-Advisory Agreement, each Board noted the fact that BlackRock Advisors and the Sub-Adviser each have significant responsibilities under their respective advisory agreements. BlackRock Advisors remains responsible for oversight of the Fund's and the Trust's operations and administration, and the Sub-Adviser provides advisory services to the Fund/Trust and is responsible for the day-to-day management of the Fund's/Trust's portfolio under the BlackRock Sub-Advisory Agreement. The Boards also took into account the fact that there is no increase in total advisory fees paid by the Fund or the Trust as a result of the BlackRock Sub- Advisory Agreement. Under all of the circumstances, each Board concluded that it was a reasonable allocation of fees for the Sub-Adviser to receive 59% of the advisory fee paid by the Trust to BlackRock Advisors. After the independent trustees of the Fund and the independent trustees of the Trust deliberated in executive session, each entire Board, including the independent trustees, approved each BlackRock Sub-Advisory Agreement, concluding that the sub-advisory fee was reasonable in relation to the services provided and that the BlackRock Sub-Advisory Agreement was in the best interests of Fund/Trust shareholders. CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 Officers and Trustees Robert C. Doll, Jr., President and Trustee Ronald W. Forbes, Trustee Cynthia A. Montgomery, Trustee Jean Margo Reid, Trustee Roscoe S. Suddarth, Trustee Richard R. West, Trustee Edward D. Zinbarg, Trustee Donald C. Burke, Vice President and Treasurer Kenneth A. Jacob, Senior Vice President John M. Loffredo, Senior Vice President Peter J. Hayes, Vice President Jeffrey Hiller, Fund Chief Compliance Officer Alice A. Pellegrino, Secretary Custodian State Street Bank and Trust Company P.O. Box 351 Boston, MA 02101 Transfer Agent Financial Data Services, Inc. 4800 Deer Lake Drive East Jacksonville, FL 32246-6484 800-221-7210* * For inquiries regarding your CMA account, call 800-CMA-INFO (800-262-4636). CMA TAX-EXEMPT FUND SEPTEMBER 30, 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. Electronic Delivery Electronic copies of most financial reports and prospectuses are available on the Fund's Web site. Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports and prospectuses by enrolling in the Fund's electronic delivery program. To enroll: Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages: Please contact your financial adviser. Please note that not all investment advisers, banks or brokerages may offer this service. CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 BlackRock Privacy Principles BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, "Clients") and to safeguarding their nonpublic personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties. If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations. BlackRock obtains or verifies personal nonpublic information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our Web sites. BlackRock does not sell or disclose to nonaffiliated third parties any nonpublic personal information about its Clients, except as permitted by law or as is necessary to service Client accounts. These nonaffiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose. We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to nonpublic personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the nonpublic personal information of its Clients, including procedures relating to the proper storage and disposal of such information. CMA TAX-EXEMPT FUND SEPTEMBER 30, 2006 Item 2 - Code of Ethics - Not Applicable to this semi-annual report Item 3 - Audit Committee Financial Expert - Not Applicable to this semi- annual report Item 4 - Principal Accountant Fees and Services - Not Applicable to this semi-annual report 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 - The registrant's Nominating Committee will consider nominees to the Board recommended by shareholders when a vacancy becomes available. Shareholders who wish to recommend a nominee should send nominations which include biographical information and sets forth the qualifications of the proposed nominee to the registrant's Secretary. There have been no material changes to these procedures. 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 last 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 - Not Applicable to this semi-annual report 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: November 17, 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: November 17, 2006 By: /s/ Donald C. Burke ----------------------- Chief Financial Officer of CMA Tax-Exempt Fund and Master Tax-Exempt Trust Date: November 17, 2006 EX-99.CERT 2 section302.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: November 17, 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: November 17, 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: November 17, 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: November 17, 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-----