If you are in the PhD program, you will automatically fulfill all requirements for a Master's degree in the course of your PhD work! This page exists to tell you how to actually get this degree once you've fulfilled all requirements.
Updated requirements can be found here for pure math students, and here for applied math students. Note that the “comprehensive exam” is the same as the PhD prelim exams. In the unusual case that you need a Master's degree (e.g. for a summer job) but did not pass your prelims, you should talk to the current graduate program chair. There is a “Master's pass” that is lower score than the PhD pass for prelim exams.
Also note that most students finish all requirements by the end of their second year in the PhD program, since the requirements include fewer courses than the PhD course requirement.
Here are a few reasons to go through the work to get your degree:
You can find all information about the filing process in this pdf
Cheers! Enjoy your graduate degree!!