**UNITED STATESSECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C.20549**

** **

**FORM 10-Q**

** **

**(Mark One)**

** **
| **x** | **QUARTERLY  REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE  ACT OF 1934** |
|-------|---------------------------------------------------------------------------------------------------------|

** **

**For thequarterly period ended March 31, 2010**

** **

**OR**

** **
| **o** | **TRANSITION  REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE  ACT OF 1934** |
|-------|----------------------------------------------------------------------------------------------------------|

** **

**For thetransition period from                to           **

** **

**CommissionFile Number 0-52505**

** **

# **ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC**

(Exact Name of Registrant as

specified in its charter)

 

| **Delaware**                    | ** ** | **30-0408280**                    |
|---------------------------------|------------|-----------------------------------|
| (State or other jurisdiction of |       | (IRS Employer Identification No.) |
| incorporation or organization)  |       |                              |

 

**c/oMerrill Lynch Alternative Investments LLC**

**Four World Financial Center, 6****th**** Floor**

**250 Vesey Street**

**New York, New York 10080**

 (Address ofprincipal executive offices)

(Zip Code)

 

**212-449-3517**

(Registrant’s telephone number, including area code)

 

**Two World Financial Center, 7****th**** Floor**

**New York, New York 10281**

(Former name, former address and former fiscal year,if changed since last report)

 

Indicate by check markwhether the registrant (1) has filed all reports required to be filed by Section 13or 15(d) of the Securities Exchange Act of 1934 during the preceding 12months (or for such shorter period that the registrant was required to filesuch reports), and (2) has been subject to such filing requirements forthe past 90 days.  Yes  x   No  o

 

Indicate by check markwhether the registrant has submitted electronically and posted on its corporatewebsite, if any, every Interactive Data File required to be submitted andposted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter)during the preceding 12 months (or for such shorter period that the registrantwas required to submit and post such files).  Yes   o   No  o

 

Indicate by check markwhether the registrant is a large accelerated filer, an accelerated filer, anon-accelerated filer, or a smaller reporting company.  See the definitions of “large acceleratedfiler,” “accelerated filer” and “smaller reporting company” in Rule 12b-2of the Exchange Act. (Check one):

 

| Large accelerated filer o                |   | Accelerated filer o       |
|-----------------------------------------------|--------|--------------------------------|
|                                          |   |                           |
| Non-accelerated filer x                       |   | Small reporting company o |
| (Do not check if a smaller reporting company) |   |                           |

 

Indicateby check mark whether the registrant is a shell company (as defined by Rule 12b-2of the Exchange Act). Yes  o  No  x

 

Asof March 31, 2010, 763,642,279 units of limited liability company interestwere outstanding.

 

 

 

----

 

**ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC**

 

QUARTERLY REPORT FOR MARCH 31, 2010 ON FORM 10-Q

 

Table of Contents

 
| ** **   | ** **                                                                                  | ** ** | **PAGE** |
|--------------|---------------------------------------------------------------------------------------------|------------|----------|
| PART I  |                                                                                        |       |
|         |                                                                                        |       |     |
| Item 1.      | Financial Statements                                                                        |       | 1        |
|         |                                                                                        |       |     |
| Item 2.      | Management’s  Discussion and Analysis of Financial Condition and Results of Operations |       | 14       |
|         |                                                                                        |       |     |
| Item 3.      | Quantitative  and Qualitative Disclosures About Market Risk                                 |       | 18       |
|         |                                                                                        |       |     |
| Item 4T.     | Controls and  Procedures                                                                    |       | 28       |
|         |                                                                                        |       |     |
| PART II |                                                                                        |       |
|         |                                                                                        |       |     |
| Item 1.      | Legal Proceedings                                                                           |       | 29       |
|         |                                                                                        |       |     |
| Item 1A.     | Risk Factors                                                                                |       | 29       |
|         |                                                                                        |       |     |
| Item 2.      | Unregistered  Sales of Equity Securities and Use of Proceeds                                |       | 29       |
|         |                                                                                        |       |     |
| Item 3.      | Defaults Upon  Senior Securities                                                            |       | 30       |
|         |                                                                                        |       |     |
| Item 4.      | (Removed and Reserved)                                                                      |       | 30       |
|         |                                                                                        |       |     |
| Item 5.      | Other Information                                                                           |       | 30       |
|         |                                                                                        |       |     |
| Item 6.      | Exhibits                                                                                    |       | 30       |

 

----

 

PART I -FINANCIAL INFORMATION

 

Item 1.    FinancialStatements

 

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF FINANCIALCONDITION

(unaudited)

 
| ** **                                                                                                | ** ** | **March 31,** | ** **  | **December 31,** | ** ** |
|-----------------------------------------------------------------------------------------------------------|------------|--------------------|-------------|-----------------------|------------|
| ** **                                                                                                | ** ** | **2010**           | ** **  | **2009**              | ** ** |
| **ASSETS:**                                                                                               |       |               |        |                  | ** ** |
|                                                                                                      |       |               |        |                  |       |
| Cash and cash equivalents                                                                                 |       | $                  | 104,603     |                  | $          | 54,630,410 |   |
| Investment in Portfolio Funds (Cost $872,268,984 at  2010 and $757,978,343 at 2009)                       |       | 924,235,227        |        | 787,161,250           |       |
| Receivable from Portfolio Fund                                                                            |       | 9,440,648          |        | 36,355,806            |       |
| Other assets                                                                                              |       | 58,230             |        | 66,913                | ** ** |
|                                                                                                      |       |               |        |                  |       |
| **TOTAL  ASSETS**                                                                                         |       | $                  | 933,838,708 |                  | $          | 878,214,379 | ** ** |
|                                                                                                      |       |               |        |                  |       |
| **LIABILITIES  AND MEMBERS’ CAPITAL:**                                                               |       |               |        |                  | ** ** |
| LIABILITIES:                                                                                              |       |               |        |                  |       |
| Sponsor fee payable                                                                                       |       | $                  | 1,532,107   |                  | $          | 1,442,757 |   |
| Redemptions payable                                                                                       |       | 17,989,090         |        | 8,071,178             |       |
| Other liabilities                                                                                         |       | 412,163            |        | 399,200               |       |
|                                                                                                      |       |               |        |                  |       |
| Total liabilities                                                                                         |       | 19,933,360         |        | 9,913,135             |       |
|                                                                                                      |       |               |        |                  |       |
| MEMBERS’ CAPITAL:                                                                                    |       |               |        |                  | ** ** |
| Members’ Interest (763,642,279 Units and 742,615,122  Units outstanding; unlimited Units authorized) |       | 913,905,348        |        | 868,301,244           |       |
| Total members’ capital                                                                               |       | 913,905,348        |        | 868,301,244           |       |
|                                                                                                      |       |               |        |                  |       |
| **TOTAL  LIABILITIES AND MEMBERS’ CAPITAL**                                                          |       | $                  | 933,838,708 |                  | $          | 878,214,379 | ** ** |
| ** **                                                                                                | ** ** | ** **         | ** **  | ** **            | ** ** |
| **NET  ASSET VALUE PER UNIT (SEE NOTE 6)**                                                                |       |               |        |                  | ** ** |

 

See notes tofinancial statements.

 

1

----

 

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF OPERATIONS

(unaudited)

 
| ** **                                   | ** ** | **For the three**       | ** ** | **For the three**       | ** ** |
|----------------------------------------------|------------|-------------------------|------------|-------------------------|------------|
| ** **                                   | ** ** | **months ended**        | ** ** | **months ended**        | ** ** |
| ** **                                   | ** ** | **March 31, 2010** | ** ** | **March 31, 2009** | ** ** |
| **TRADING  PROFIT (LOSS):**                  |       |                    |       |                    |       |
|                                         |       |                    |       |                    |       |
| Realized, net                                |       | $                       | 4,340,632  |                    | $          | 735 |   |
| Change in unrealized, net                    |       | 22,783,336              |       | (25,864,866             | )          |
|                                         |       |                    |       |                    |       |
| Total trading profit (loss)                  |       | 27,123,968              |       | (25,864,131             | )          |
|                                         |       |                    |       |                    |       |
| **INVESTMENT  INCOME:**                      |       |                    |       |                    |       |
| Interest                                     |       | 1,599                   |       | 7,442                   |       |
|                                         |       |                    |       |                    |       |
| **EXPENSES:**                                |       |                    |       |                    |       |
| Sponsor fee                                  |       | 4,395,205               |       | 3,263,123               |       |
| Other                                        |       | 272,487                 |       | 177,687                 |       |
| Total expenses                               |       | 4,667,692               |       | 3,440,810               |       |
|                                         |       |                    |       |                    |       |
| **NET  INVESTMENT INCOME (LOSS)**            |       | (4,666,093              | )          | (3,433,368              | )          |
|                                         |       |                    |       |                    |       |
| **NET  INCOME (LOSS)**                       |       | $                       | 22,457,875 |                    | $          | (29,297,499 | ) |
|                                         |       |                    |       |                    |       |
| **NET  INCOME (LOSS) PER UNIT:**             | ** ** | ** **              | ** ** | ** **              | ** ** |
| ** **                                   | ** ** | ** **              | ** ** | ** **              | ** ** |
| Weighted average number of Units outstanding |       |                    |       |                    |       |
| Class A                                 |       | 109,864,257             |       | 50,543,546              |       |
| Class C                                 |       | 511,070,874             |       | 354,696,908             |       |
| Class D                                 |       | 31,546,416              |       | 32,607,973              |       |
| Class I                                 |       | 78,405,395              |       | 60,599,596              |       |
| Class D1                                |       | 39,777,603              |       | 32,455,297              |       |
| Class DA*                               |       | —                  |       | 50,557,717              |       |
|                                         |       |                    |       |                    |       |
| Net income (loss) per weighted average Unit  |       |                    |       |                    |       |
| Class A                                 |       | $                       | 0.0300     |                    | $          | (0.0506 | ) |
| Class C                                 |       | $                       | 0.0274     |                    | $          | (0.0538 | ) |
| Class D                                 |       | $                       | 0.0399     |                    | $          | (0.0458 | ) |
| Class I                                 |       | $                       | 0.0328     |                    | $          | (0.0492 | ) |
| Class D1                                |       | $                       | 0.0336     |                    | $          | (0.0439 | ) |
| Class DA*                               |       | $                       | —     |                    | $          | (0.0348 | ) |

 

----

* Units issued on December 1,2008 and liquidated as of September 30, 2009.

 

See notes tofinancial statements.

 

2

----

 

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF CHANGES INMEMBERS’ CAPITAL

For the three monthsended March 31, 2010 and 2009

(unaudited in Units)

 
| ** **                | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  March 31, 2009** | ** ** | **Members’ Capital  December 31, 2009** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  March 31, 2010** | ** ** |
|---------------------------|------------|---------------------------------------------------|------------|-------------------|------------|-----------------|------------|------------------------------------------------|------------|---------------------------------------------------|------------|-------------------|------------|-----------------|------------|------------------------------------------------|------------|
| Class A              |       | 43,411,942                                        |       | 12,354,829        |       | (1,744,770      | )          | 54,022,001                                     |       | 101,281,370                                       |       | 14,934,123        |       | (9,710,317      | )          | 106,505,176                                    |       |
| Class C              |       | 317,357,227                                       |       | 66,096,950        |       | (22,206,229     | )          | 361,247,948                                    |       | 495,761,388                                       |       | 35,327,219        |       | (20,012,209     | )          | 511,076,398                                    |       |
| Class D              |       | 34,878,314                                        |       | —            |       | (5,511,010      | )          | 29,367,304                                     |       | 29,983,145                                        |       | 1,819,980         |       | (3,364,900      | )          | 28,438,225                                     |       |
| Class I              |       | 53,200,108                                        |       | 13,155,387        |       | (5,352,553      | )          | 61,002,942                                     |       | 75,813,210                                        |       | 6,177,421         |       | (2,820,717      | )          | 79,169,914                                     |       |
| Class D1             |       | 31,040,046                                        |       | 2,914,238         |       | (1,582,722      | )          | 32,371,562                                     |       | 39,776,009                                        |       | 809,264           |       | (2,132,707      | )          | 38,452,566                                     |       |
| Class DA*            |       | 52,795,442                                        |       | —            |       | (5,661,791      | )          | 47,133,651                                     |       | —                                            |       | —            |       | —          |       | —                                         |       |
|                      |       |                                              |       |              |       |            |       |                                           |       |                                              |       |              |       |            |       |                                           |       |
| Total Members’ Units |       | 532,683,079                                       |       | 94,521,404        |       | (42,059,075     | )          | 585,145,408                                    |       | 742,615,122                                       |       | 59,068,007        |       | (38,040,850     | )          | 763,642,279                                    |       |

 

----

* Units issued on December 1,2008 and liquidated as of September 30, 2009.

See notes tofinancial statements.

 

3

----

 

ML SYSTEMATIC MOMENTUMFUTURESACCESS LLC

(a Delaware LimitedLiability Company)

STATEMENTS OF CHANGES INMEMBERS’ CAPITAL

For the three monthsended March 31, 2010 and 2009

(unaudited)

 
| ** **                   | ** ** | **Members’ Capital  December 31, 2008** | ** **  | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income  (Loss)** | ** **  | **Members’ Capital  March 31, 2009** | ** ** | **Members’ Capital  December 31, 2009** | ** ** | **Subscriptions** | ** **  | **Redemptions** | ** ** | **Net Income (Loss)** | ** ** | **Members’ Capital  March 31, 2010** | ** ** |
|------------------------------|------------|---------------------------------------------------|-------------|-------------------|------------|-----------------|------------|------------------------|-------------|------------------------------------------------|------------|---------------------------------------------------|------------|-------------------|-------------|-----------------|------------|-----------------------|------------|------------------------------------------------|------------|
| Class A                 |       | $                                                 | 54,529,667  |              | $          | 15,440,789      |       | $                      | (2,148,819  | )                                              | $          | (2,555,650                                        | )          | $                 | 65,265,987  |            | $          | 115,433,469           |       | $                                              | 16,789,483 |   | $ | (11,061,914 | ) | $ | 3,295,837 |   | $ | 124,456,875 |   |
| Class C                 |       | 409,646,343                                       |        | 84,875,891        |       | (28,065,108     | )          | (19,083,152            | )           | 447,373,974                                    |       | 574,889,257                                       |       | 40,138,124        |        | (22,900,947     | )          | 13,991,336            |       | 606,117,770                                    |       |
| Class D                 |       | 50,152,681                                        |        | —            |       | (7,900,412      | )          | (1,494,918             | )           | 40,757,351                                     |       | 39,754,376                                        |       | 2,381,999         |        | (4,591,406      | )          | 1,260,100             |       | 38,805,069                                     |       |
| Class I                 |       | 70,208,485                                        |        | 17,289,573        |       | (7,009,265      | )          | (2,978,698             | )           | 77,510,095                                     |       | 91,156,074                                        |       | 7,271,461         |        | (3,303,652      | )          | 2,573,507             |       | 97,697,390                                     |       |
| Class D1                |       | 39,876,273                                        |        | 3,722,356         |       | (2,025,884      | )          | (1,423,587             | )           | 40,149,158                                     |       | 47,068,068                                        |       | 928,469           |        | (2,505,388      | )          | 1,337,095             |       | 46,828,244                                     |       |
| Class DA*               |       | 54,284,639                                        |        | —            |       | (5,735,566      | )          | (1,761,494             | )           | 46,787,579                                     |       | —                                            |       | —            |        | —          |       | —                |       | —                                         |       |
| ** **                   | ** ** | ** **                                        | ** **  | ** **        | ** ** | ** **      | ** ** | ** **             | ** **  | ** **                                     | ** ** | ** **                                        | ** ** | ** **        | ** **  | ** **      | ** ** | ** **            | ** ** | ** **                                     | ** ** |
| Total Members’ Interest |       | $                                                 | 678,698,088 |              | $          | 121,328,609     |       | $                      | (52,885,054 | )                                              | $          | (29,297,499                                       | )          | $                 | 717,844,144 |            | $          | 868,301,244           |       | $                                              | 67,509,536 |   | $ | (44,363,307 | ) | $ | 22,457,875 |   | $ | 913,905,348 |   |

 

----

* Units issued on December 1,2008 and liquidated as of September 30, 2009.

See notes tofinancial statements.

 

4

----

 

ML SYSTEMATICMOMENTUM FUTURESACCESS LLC

(a DelawareLimited Liability Company)

FINANCIAL DATAHIGHLIGHTS

FOR THE THREEMONTHS ENDED MARCH 31, 2010 (unaudited)

 

The following perUnit data and ratios have been derived from information provided in the financialstatements.

 
| ** **                                                       | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class D1** | ** ** |
|------------------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|-------------------|------------|
|                                                             |       |             |       |             |       |             |       |             |       |              |       |
| **Per  Unit Operating Performance:**                             |       |             |       |             |       |             |       |             |       |              |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |
| Net asset value, beginning of period                             |       | $                | 1.1397     |             | $          | 1.1596           |       | $                | 1.3259     |              | $          | 1.2024 |   | $ | 1.1833 |   |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |
| Net Realized and net change in unrealized trading  profit (loss) |       | 0.0334           |       | 0.0339           |       | 0.0390           |       | 0.0353           |       | 0.0348            |       |
| Interest income                                                  |       | 0.0000           |       | 0.0000           |       | 0.0000           |       | 0.0000           |       | 0.0000            |       |
| Expenses                                                         |       | (0.0045          | )          | (0.0075          | )          | (0.0004          | )          | (0.0037          | )          | (0.0003           | )          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |
| Net asset value, end of period                                   |       | $                | 1.1686     |             | $          | 1.1860           |       | $                | 1.3645     |              | $          | 1.2340 |   | $ | 1.2178 |   |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |
| **Total  Return:****(a)**                                        |       |             |       |             |       |             |       |             |       |              |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |
| Total return                                                     |       | 2.53             | %          | 2.27             | %          | 2.91             | %          | 2.63             | %          | 2.91              | %          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |
| **Ratios  to Average Members’ Capital:**                    |       |             |       |             |       |             |       |             |       |              |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |
| Expenses                                                         |       | 0.41             | %          | 0.66             | %          | 0.03             | %          | 0.31             | %          | 0.03              | %          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |
| Net investment income (loss)                                     |       | -0.41            | %          | -0.66            | %          | -0.03            | %          | -0.31            | %          | -0.03             | %          |

 

----

(a) The total return calculations are based on compounded monthlyreturns and is calculated for each class taken as a whole.

An individual members’ return may vary from these returns based ontiming of capital transactions.

 

See notes tofinancial statements.

 

5

----

 

ML SYSTEMATICMOMENTUM FUTURESACCESS LLC

(a DelawareLimited Liability Company)

FINANCIAL DATAHIGHLIGHTS

FOR THE THREEMONTHS ENDED MARCH 31, 2009 (unaudited)

 

The following perUnit data and ratios have been derived from information provided in thefinancial statements.

 
| ** **                                                       | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class D1** | ** ** | **Class DA** | ** ** |
|------------------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|-------------------|------------|-------------------|------------|
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Per  Unit Operating Performance:**                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net asset value, beginning of period                             |       | 1.2561           |       | 1.2908           |       | 1.4379           |       | 1.3197           |       | 1.2847            |       | 1.0282            |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net Realized and net change in unrealized trading  profit (loss) |       | (0.0430          | )          | (0.0442          | )          | (0.0494          | )          | (0.0453          | )          | (0.0441           | )          | (0.0353           | )          |
| Interest income                                                  |       | 0.0000           |       | 0.0000           |       | 0.0000           |       | 0.0000           |       | 0.0000            |       | 0.0000            |       |
| Expenses                                                         |       | (0.0050          | )          | (0.0081          | )          | 0.0013           |       | (0.0036          | )          | (0.0003           | )          | (0.0002           | )          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net asset value, end of period                                   |       | $                | 1.2081     |             | $          | 1.2385           |       | $                | 1.3898     |              | $          | 1.2708            |       | $ | 1.2403 |   | $ | 0.9927 |   |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Total  Return:****(a)**                                        |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Total return                                                     |       | -3.82            | %          | -4.06            | %          | -3.46            | %          | -3.72            | %          | -3.46             | %          | -3.46             | %          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Ratios  to Average Members’ Capital:**                    |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Expenses                                                         |       | 0.40             | %          | 0.65             | %          | 0.02             | %          | 0.30             | %          | 0.02              | %          | 0.02              | %          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net investment income (loss)                                     |       | -0.40            | %          | -0.65            | %          | -0.02            | %          | -0.30            | %          | -0.02             | %          | -0.02             | %          |
|                                                                  |            |                  |            |                  |            |                  |            |                  |            |                   |            |                   |            |  |  |  |  |  |  |

 

----

(a) The total return calculations are based on compounded monthlyreturns and is calculated for each class taken as a whole.

An individual members’ return may vary from these returns based ontiming of capital transactions.

 

See notes tofinancial statements.

 

6

----

 

ML SYSTEMATIC MOMENTUMFUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

NOTES TO FINANCIALSTATEMENTS

(unaudited)

 

1.               SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

ML Systematic Momentum FuturesAccess LLC (the “Fund”)was organized under the Delaware Limited Liability Company Act on March 8,2007 and commenced activities on April 2, 2007. The Fund operates as a “fundof funds” allocating and reallocating its capital under the direction ofMerrill Lynch Alternate Investments LLC (“MLAI”), the sponsor and manager ofthe Fund, among seven underlying MLAI sponsored and managed Futures AccessFunds (each a “Portfolio Fund,” and collectively the “Portfolio Funds”). TheFund issues new units of limited liability company interest (“Units”) at NetAsset Value per Unit (see Item 2 for discussion of net asset value and netasset value per unit for subscriptions and redemptions purposes hereinafterreferred to as Net Asset Value and Net Asset Value per Unit) as of thebeginning of each calendar month.

 

MLAI is thesponsor and the manager of the Fund. MLAI is an indirect wholly-owned subsidiary of Merrill Lynch &Co., Inc. (“Merrill Lynch”). Merrill Lynch, Pierce, Fenner &Smith Incorporated (“MLPF&S”), a wholly-owned subsidiary of Merrill Lynch,is the commodity broker, of the Portfolio Funds. On September 15, 2008,Merrill Lynch (or the “Company”) entered into an Agreement and Plan of Merger(as amended by Amendment No. 1 dated as of October 21, 2008, the “MergerAgreement”) with Bank of America Corporation (“Bank of America”). Pursuant tothe Merger Agreement, on January 1, 2009, a wholly-owned subsidiary ofBank of America (“Merger Sub”) merged with and into Merrill Lynch, with MerrillLynch continuing as the surviving corporation and a subsidiary of Bank ofAmerica (the “Merger”).

 

In the opinion of management, these interim financialstatements contain all adjustments, consisting only of normal recurringadjustments, necessary for a fair statement of the financial position of theFund as of March 31, 2010, and the results of its operations for the threemonths ended March 31, 2010 and 2009. However, the operating results forthe interim period may not be indicative of the results for the full year.

 

Certaininformation and footnote disclosures normally included in annual financialstatements prepared in accordance with accounting principles generally acceptedin the United States of America (“U.S. GAAP”) have been omitted.  These financial statements should be read inconjunction with the financial statements and notes thereto included in theFund’s Annual Report on Form 10-K filed with the Securities and ExchangeCommission for the year ended December 31, 2009.

 

The Fund offersfour Classes of Units to retail investors: Class A, Class C, Class Dand Class I. Each Class of Units was offered at $1.00 per Unit andsubsequently is offered at Net Asset Value per Unit (see Note 4). The fourClasses of Units are subject to different Sponsor fees. Classes D1 and DA areused exclusively for investments made by Systematic Momentum FuturesAccess LTDand Systematic Momentum FuturesAccess II LLC, respectively, and are not chargedSponsor fees.

 

Interests in the Fund are not insured orotherwise protected by the Federal Deposit Insurance Corporation or any othergovernment authority.  Interests are notdeposits or other obligations of, and are not guaranteed by, Bank of America orany of its affiliates or by any bank. Interests are subject to investment risks, including the possible lossof the full amount invested.

 

7

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Estimates

 

The preparation offinancial statements in conformity with U.S. GAAP requires management to makeestimates and assumptions that affect the reported amounts of assets andliabilities and disclosure of contingent assets and liabilities at the date ofthe financial statements and the reported amounts of revenues and expensesduring the reporting period.  Actualresults could differ from those estimates.

 

2.               INVESTMENTS IN PORTFOLIOFUNDS

 

The seven funds (each a “Portfolio Fund” andcollectively “Portfolio Funds”) in which the Fund is invested as of March 31,2010 are: ML Altis FuturesAccess LLC (“Altis”), ML Aspect FuturesAccess LLC (“Aspect”),ML Blue Trend FuturesAccess LLC (“Blue Trend”), ML John Locke FuturesAccess LLC(“John Locke”) ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”), MLTudor Tensor FuturesAccess LLC (Tudor Tensor) and ML Winton FuturesAccess LLC (“Winton”).MLAI, in its discretion, may change the Portfolio Funds at any time. MLAI, alsoat its discretion, may vary the percentage of the Fund’s total portfolio allocatedto the different Portfolio Funds. There is no pre-established range for theminimum and maximum allocations that may be made to any individual PortfolioFund.

 

The investment transactions were accounted for on a trade date basis.The investments in the Portfolio Funds were valued at fair value and arereflected in the Statements of Financial Condition. In determining fair value,MLAI utilized the net asset value of the underlying Portfolio Funds whichapproximates fair value. The fair value was net of all fees relating to thePortfolio Funds, paid or accrued. Additionally, MLAI monitored the performanceof the Portfolio Funds. Such monitoring procedures included, but were notlimited to: monitoring market movements in Portfolio Funds’ investments, comparingperformance to industry benchmarks, and in-depth conference calls and sitevisits with the Portfolio Funds’ Managers.

 

At March 31,2010, details of Investments in Portfolio Funds are as follows:

 
| ** **   | ** ** | **Percentage of  Members’  Capital** | ** ** | **Fair Value** | ** **  | **Profit (Loss)** | ** ** | **Cost @  3/31/10** | ** ** | **Management  Fees** | ** **  | **Performance  Fees** | ** ** | **Redemptions Permitted** | ** ** |
|--------------|------------|-------------------------------------------|------------|----------------|-------------|-------------------|------------|---------------------|------------|----------------------|-------------|-----------------------|------------|---------------------------|------------|
| Tudor Tensor |       | 12.99                                     | %          | 118,682,027    |        | (1,177,333        | )          | 119,864,886         |       | (529,498             | )           | —                |       | monthly                   |       |
| Chesapeake*  |       | 0.00                                      | %          | —         |        | (2,598,009        | )          | —              |       | (144,407             | )           | —                |       | monthly                   |       |
| Transtrend   |       | 18.45                                     | %          | 168,655,498    |        | 11,165,669        |       | 167,506,863         |       | (816,299             | )           | —                |       | monthly                   |       |
| Altis        |       | 13.21                                     | %          | 120,748,358    |        | 3,131,126         |       | 97,322,790          |       | (581,314             | )           | —                |       | monthly                   |       |
| Winton       |       | 18.30                                     | %          | 167,287,882    |        | 6,812,399         |       | 157,007,977         |       | (809,032             | )           | —                |       | monthly                   |       |
| Aspect       |       | 10.10                                     | %          | 92,331,389     |        | 3,236,684         |       | 88,339,594          |       | (448,547             | )           | —                |       | monthly                   |       |
| John Locke   |       | 13.72                                     | %          | 125,349,664    |        | (2,681,235        | )          | 129,710,156         |       | (615,925             | )           | —                |       | monthly                   |       |
| BlueTrend    |       | 14.35                                     | %          | 131,180,409    |        | 9,234,667         |       | 112,516,718         |       | (538,266             | )           | —                |       | monthly                   |       |
|         |       |                                      |       |           |        |              |       |                |       |                 |        |                  |       |                      |       |
|         |       | 101.12                                    | %          | $              | 924,235,227 |              | $          | 27,123,968          |       | $                    | 872,268,984 |                  | $          | (4,483,288                | )          | $ | — |   |   |   |
|              |            |                                           |            |                |             |                   |            |                     |            |                      |             |                       |            |                           |            |  |  |  |  |  |

 

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* Liquidated as ofJanuary 31, 2010.

 

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At December 31, 2009, details of Investments inPortfolio Funds are as follows:

 
| ** **   | ** ** | **Percentage of  Members’  Capital** | ** ** | **Fair Value** | ** **  | **Profit (Loss)** | ** ** | **Cost @ 12/31/09** | ** ** | **Management  Fees** | ** **  | **Performance  Fees** | ** ** | **Redemptions Permitted** | ** ** |
|--------------|------------|-------------------------------------------|------------|----------------|-------------|-------------------|------------|---------------------|------------|----------------------|-------------|-----------------------|------------|---------------------------|------------|
| Chesapeake** |       | 10.26                                     | %          | 89,097,919     |        | 548,547           |       | 85,817,248          |       | (1,610,421           | )           | (66,420               | )          | monthly                   |       |
| Transtrend   |       | 17.53                                     | %          | 152,211,381    |        | (25,830,157       | )          | 159,370,194         |       | (2,728,503           | )           | (174                  | )          | monthly                   |       |
| Altis        |       | 13.28                                     | %          | 115,332,711    |        | (8,896,043        | )          | 95,037,963          |       | (2,077,161           | )           | —                |       | monthly                   |       |
| Winton       |       | 18.27                                     | %          | 158,630,744    |        | (8,375,671        | )          | 155,014,029         |       | (2,753,086           | )           | (76                   | )          | monthly                   |       |
| Aspect       |       | 9.92                                      | %          | 86,166,474     |        | (8,874,084        | )          | 85,326,225          |       | (1,594,961           | )           | (4,182                | )          | monthly                   |       |
| John Locke   |       | 14.37                                     | %          | 124,737,088    |        | (9,350,844        | )          | 126,419,973         |       | (2,692,888           | )           | —                |       | monthly                   |       |
| BlueTrend    |       | 7.02                                      | %          | 60,984,933     |        | 2,608,281         |       | 50,992,711          |       | (1,136,431           | )           | (575,116              | )          | monthly                   |       |
| GSA*         |       | 0.00                                      | %          | —         |        | (3,681,929        | )          | —              |       | (690,487             | )           | —                |       | monthly                   |       |
|         |       |                                      |       |           |        |              |       |                |       |                 |        |                  |       |                      |       |
|         |       | 90.65                                     | %          | $              | 787,161,250 |              | $          | (61,851,900         | )          | $                    | 757,978,343 |                  | $          | (15,283,938               | )          | $ | (645,968 | ) |   |   |
|              |            |                                           |            |                |             |                   |            |                     |            |                      |             |                       |            |                           |            |  |  |  |  |  |

 

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* Liquidated as ofMay 2009

** Liquidated asof January 31, 2010.

 

These investments are recorded at fair value. Inaccordance with Regulation S-X, the following is summarized financialinformation for each of the Portfolio Funds which requires disclosure.

 

As ofMarch 31, 2010

 
| ** ** | ** ** | **Total Assets** | ** **  | **Total Liabilities** | ** ** | **Total Capital** | ** ** | ** ** | ** **  |
|------------|------------|------------------|-------------|-----------------------|------------|-------------------|------------|------------|-------------|
| Bluetrend  |       | $                | 250,350,337 |                  | $          | 8,589,953         |       | $          | 241,760,384 |   |   |   |
| Transtrend |       | 266,062,137      |        | 14,549,068            |       | 251,513,069       |       |       |        |
|       |       |             |        |                  |       |              |       |       |        |
| Total      |       | $                | 516,412,474 |                  | $          | 23,139,021        |       | $          | 493,273,453 |   |   |   |

 

As ofDecember 31, 2009

 
| ** ** | ** ** | **Total Assets** | ** **  | **Total Liabilities** | ** ** | **Total Capital** | ** ** | ** ** | ** **  |
|------------|------------|------------------|-------------|-----------------------|------------|-------------------|------------|------------|-------------|
| Transtrend |       | $                | 238,072,475 |                  | $          | 2,171,789         |       | $          | 235,900,686 |   |   |   |
|       |       |             |        |                  |       |              |       |       |        |
|       |       | $                | 238,072,475 |                  | $          | 2,171,789         |       | $          | 235,900,686 |   |   |   |

 

For the threemonths ended March 31, 2010

 
| ** ** | ** ** | ** **        | ** **       | ** **      | ** ** | ** ** | ** ** | **Net**           | ** ** |
|------------|------------|-------------------|------------------|-----------------|------------|------------|------------|-------------------|------------|
| ** ** | ** ** | **Income (Loss)** | ** **       | **Commissions** | ** ** | **Other**  | ** ** | **Income (Loss)** | ** ** |
| Bluetrend  |       | $                 | 13,126,264       |            | $          | (109,451   | )          | $                 | (3,782,146 | ) | $ | 9,234,667 |   |
| Transtrend |       | 12,345,412        |             | (274,475        | )          | (905,268   | )          | 11,165,669        |       |
|       |       |              |             |            |       |       |       |              |       |
| Total      |       | $                 |  25,471,676 |            | $          | (383,926   | )          | $                 | (4,687,414 | ) | $ | 20,400,336 |   |

 

For the threemonths ended March 31, 2009

 
| ** ** | ** ** | ** **        | ** ** | ** **      | ** ** | ** ** | ** ** | **Net**           | ** ** |
|------------|------------|-------------------|------------|-----------------|------------|------------|------------|-------------------|------------|
| ** ** | ** ** | **Income (Loss)** | ** ** | **Commissions** | ** ** | **Other**  | ** ** | **Income (Loss)** | ** ** |
| John Locke |       | $                 | (8,137,256 | )               | $          | (296,643   | )          | $                 | (598,029   | ) | $ | (9,031,928 | ) |
|       |       |              |       |            |       |       |       |              |       |
| Total      |       | $                 | (8,137,256 | )               | $          | (296,643   | )          | $                 | (598,029   | ) | $ | (9,031,928 | ) |

 

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3.                     FAIR VALUE OF INVESTMENTS

 

TheFinancial Accounting Standards Board (“FASB”) issued the Accounting StandardsCodification (“ASC”) which provides authoritative guidance on fair valuemeasurement. This guidance defines fair value, establishes a framework formeasuring fair value and expands disclosures about fair value measurements.

 

Fair value of an investment is the amount that wouldbe received to sell the investment in an orderly transaction between marketparticipants at measurement date (i.e. the exit price). Purchase and sale ofinvestments is recorded on a trade date basis. Realized gains and losses oninvestments are recognized when the investments are sold. Any change in netunrealized gain or loss from the preceding period is reported on the Statementsof Operations.

 

Thefair value measurement guidance established a hierarchal disclosure frameworkwhich prioritizes and ranks the level of market price observability used inmeasuring investments at fair value. Market price observability is impacted bya number of factors, including the type of investment and the characteristicsspecific to the investment. Investments with readily available active quotedprices or for which fair value can be measured from actively quoted pricesgenerally will have a higher degree of market price observability and a lesserdegree of judgment used in measuring fair value.

 

Investmentsmeasured and reported at fair value are classified and disclosed in one of thefollowing categories:

 

LevelI — Quoted prices are available in active markets for identical investments asof the reporting date. The type of investments included in Level I are publiclytraded investments. As required by the fair value measurement guidance, theFund does not adjust the quoted price for these investments even in situationswhere the Fund holds a large position and a sale could reasonably impact thequoted price.

 

LevelII — Pricing inputs are other than quoted prices in active markets, which areeither directly or indirectly observable as of the reporting date, and fairvalue is determined through the use of generally accepted and understood modelsor other valuation methodologies. Investments which are generally included inthis category are investments valued using market data.

 

LevelIII — Pricing inputs are unobservable and include situations where there islittle, if any, market activity for the investment. Fair value for theseinvestments is determined using valuation methodologies that consider a rangeof factors, including but not limited to the nature of the investment, localmarket conditions, trading values on public exchanges for comparablesecurities, current and projected operating performance and financingtransactions subsequent to the acquisition of the investment. The inputs into thedetermination of fair value require significant management judgment. Due to theinherent uncertainty of these estimates, these values may differ materiallyfrom the values that would have been used had a ready market for theseinvestments existed.

 

In certain cases, the inputs used to measure fair value may fall intodifferent levels of the fair value hierarchy. In such cases, an investment’slevel within the fair value hierarchy is based on the lowest level of inputthat is significant to the fair value measurement. MLAI’s assessment of thesignificance of a particular input to the fair value measurement in itsentirety requires judgment, and considers factors specific to the investment.

 

Following is a description of the valuationmethodologies used for investments, as well as the general classification ofsuch investments pursuant to the valuation hierarchy.

 

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Investments in Portfolio Funds are valued using thenet asset value reported by the Portfolio Funds, which management believesapproximates fair value. These net asset values are the prices used to executetrades with these Portfolio Funds.

 

Although there are monthly transactions in thesePortfolio Funds, the Net Asset Value’s (“NAV”) are materially based onportfolios of Level I and Level II assets and liabilities for which the Fundhas transparency.  As such, the Funddetermined that its investments in these investment companies in this case,would be classified as Level II.

 

The following table summarizes the valuation of the Fund’s investmentby the above fair value hierarchy levels as of March 31, 2010 and December 31,2009:

 
| **Investment in**      | ** ** | ** ** | ** **  | ** **  | ** ** | ** **   | ** ** | ** **    | ** **  |
|------------------------|------------|------------|-------------|-------------|------------|--------------|------------|---------------|-------------|
| **Portfolio Funds**    | ** ** | **Total**  | ** **  | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** **  |
|                   |       |       |        |        |       |         |       |          |        |
| March 31, 2010    |       | $          | 924,235,227 |        | $          | —       |       | $             | 924,235,227 |   | $ | — |   |
| December 31, 2009 |       | $          | 787,161,250 |        | $          | —       |       | $             | 787,161,250 |   | $ | — |   |

 

There were no significant transfers to or from Level I or II during thequarter ended March 31, 2010.

 

4.               NET ASSET VALUE PER UNIT

 

The Net Asset Value per Unitof the different Classes at March 31, 2010 and December 31, 2009 areas follows:

 
| March 31, 2010          |   |
|------------------------------|--------|
|                         |   |
| **Net Asset Value per Unit** |   |
| Class A                 |   | $ | 1.1686 |   |
| Class C                 |   | 1.1860 |   |
| Class D                 |   | 1.3645 |   |
| Class I                 |   | 1.2340 |   |
| Class D1                |   | 1.2178 |   |
| Class DA                |   | — |   |
|                              |        |  |  |  |

 
| December 31, 2009       |   |
|------------------------------|--------|
|                         |   |
| **Net Asset Value per Unit** |   |
| Class A                 |   | $ | 1.1397 |   |
| Class C                 |   | 1.1596 |   |
| Class D                 |   | 1.3259 |   |
| Class I                 |   | 1.2024 |   |
| Class D1                |   | 1.1833 |   |
| Class DA                |   | — |   |
|                              |        |  |  |  |

 

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5.               MARKET, CREDITAND CONCENTRATION RISKS

 

The nature of this Fund has certain risks, which cannot be presented onthe financial statements. The following summarizes some of those risks.

 

Market Risk

 

Derivative instruments involve varying degrees of market risk.  Changes in the level or volatility ofinterest rates, foreign currency exchange rates or the market values of thefinancial instruments or commodities underlying such derivative instrumentsfrequently result in changes in Net unrealized profit (loss) on such derivativeinstruments as reflected in the Statements of Financial Condition of thePortfolio Funds.  The Fund’s exposure tomarket risk is influenced by a number of factors, including the relationshipsamong the derivative instruments held by the Portfolio Funds as well as thevolatility and liquidity of the markets in which the derivative instruments aretraded. Investments in foreign markets may also entail legal and politicalrisks.

 

MLAI hasprocedures in place intended to control market risk exposure, although therecan be no assurance that they will, in fact, succeed in doing so.  These procedures focus primarily onmonitoring the trading of the Portfolio Funds, calculating the Net Asset Valueof the Fund and the Portfolio Funds as of the close of business on each day andreviewing outstanding positions for over-concentrations.  While MLAI does not intervene in the marketsto hedge or diversify the Portfolio Funds’ market exposure, MLAI may urge therespective trading advisors to reallocate positions in an attempt to avoidover-concentrations.  However, suchinterventions are expected to be unusual. It is expected that MLAI’s basic risk control procedures will consist ofthe ongoing process of advisor monitoring, with the market risk controls beingapplied by respective trading advisors.

 

Credit Risk

 

 The risks associated with exchange-tradedcontracts are typically perceived to be less than those associated withover-the-counter (non-exchange-traded) transactions, because exchangestypically provide clearinghouse arrangements in which the collective credit (insome cases limited in amount, in some cases not) of the members of the exchangeis pledged to support the financial integrity of the exchange.  In over-the-counter transactions, on theother hand, traders must rely solely on the credit of their respectiveindividual counterparties. Margins, which may be subject to loss in the eventof a default, are generally required in exchange trading, and counterpartiesmay also require margin in the over-the-counter markets.

 

The credit riskassociated with these instruments from counterparty nonperformance is the netunrealized profit on open contracts, if any, included in the Statements ofFinancial Condition of the Portfolio Funds. The Portfolio Funds attempt tomitigate this risk by dealing exclusively with Merrill Lynch entities asclearing brokers.

 

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The Portfolio Funds, in their normal course ofbusiness, enter into various contracts, with MLPF&S acting as theircommodity broker.  Pursuant to the brokeragearrangement with MLPF&S (which includes a netting arrangement), to theextent that such trading results in receivables from and payables toMLPF&S, these receivables and payables are offset and reported as a netreceivable or payable and included in Equity in commodity futures tradingaccounts in the Statements of Financial Condition of the Portfolio Funds.

 

Concentration Risk

 

The Fund’s investments in the Portfolio Funds aresubject to the market and credit risk of the Portfolio Funds. Because themajority of the Fund’s capital is invested in the Portfolio Funds, any changesin the market conditions that would adversely affect the Portfolio Funds couldsignificantly impact the solvency of the Fund.

 

Indemnifications

 

In the normalcourse of business, the Fund has entered, or may in the future enter intoagreements that obligate the Fund to indemnify third parties, includingaffiliates of the Fund, for breach of certain representations and warrantiesmade by the Fund. No claims have actually been made with respect to suchindemnities and any quantification would involve hypothetical claims that havenot been made. Based on the Fund’s experience, MLAI expected the risk of lossto be remote and, therefore, no provision has been recorded.

 

6.               RECENT ACCOUNTING PRONOUNCEMENTS

 

In January 2010, the FASB issued an update to the fair valuemeasurements disclosure. Pursuant to this update, additional disclosures in thefinancial statements relating to transfers in and out of Levels 1 and 2 fairvalue measurements and separate disclosure of purchases, sales, issuances, andsettlements in Level 3 rollforward, will be required. In addition, this updateprovides clarifications on i) the level of aggregation of classes of assets andliabilities disclosed in the fair value measurement disclosures and ii)disclosures relating to the inputs and valuation techniques for Level 2 andLevel 3 fair value measurements. The new disclosures and clarifications ofexisting disclosures are effective for annual reporting periods beginning afterDecember 15, 2009, except for the disclosures about purchases, sales,issuances, and settlements in the Level 3 roll forward which are effective forfiscal years beginning after December 15, 2010. This update furtherenhances the fair value disclosures and the Sponsor has determined that theadoption of this update on January 1, 2010, did not have a material impactto the Fund’s financial statements.

 

7.               SUBSEQUENT EVENTS

 

BlueCrestrecently notified MLAI that it would close the underlying trading strategy ofBlueTrend to new investments due to capacity constraints on the strategy.  BlueCrest is taking this action in order tohelp protect the future performance of the BlueTrend trading strategy from over-investment.  Based on BlueCrest’s decision, MLAI closedBlueTrend to new investments as of April 1, 2010,

 

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Item2. Management’s Discussion and Analysis of Financial Condition and Results ofOperations

 

MONTH-END NET ASSET VALUE PER UNIT 

 

MLAI believes thatthe Net Asset Value used to calculate subscription and redemption value and toreport performance to investors throughout the year is a useful performancemeasure for the investors of the Fund. Therefore, the charts below referencing Net Asset Value and performancemeasurements are based on the Net Asset Value for financial reporting purposes,as discussed in Note 4 to the financial statements.

 

The Fund calculates the Net Asset Value per unit of each class of unitsas of the close of business on the last business day of each calendar month andsuch other dates as MLAI may determine in its discretion. The Fund’s “Net AssetValue” as of any calculation date will generally equal the value of the Fund’sinvestments in the underlying funds as of such date, plus any other assets heldby the Fund, minus accrued brokerage commissions, sponsor’s, management andperformance fees, organizational expense amortization and any operating costsand other liabilities of the Fund.  MLAIis authorized to make all net asset value determinations.

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS A

 
| ** ** | ** ** | **Jan. ** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------------|------------|----------|------------|----------|------------|
| 2009       |       | $              | 1.2473     |     | $          | 1.2484   |       | $ | 1.2081 |   |
| 2010       |       | $              | 1.1036     |     | $          | 1.1154   |       | $ | 1.1686 |   |

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS C

 
| ** ** | ** ** | **Jan. ** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------------|------------|----------|------------|----------|------------|
| 2009       |       | $              | 1.2807     |     | $          | 1.2808   |       | $ | 1.2385 |   |
| 2010       |       | $              | 1.1220     |     | $          | 1.1329   |       | $ | 1.1860 |   |

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS D

 
| ** ** | ** ** | **Jan. ** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------------|------------|----------|------------|----------|------------|
| 2009       |       | $              | 1.4312     |     | $          | 1.4343   |       | $ | 1.3898 |   |
| 2010       |       | $              | 1.2855     |     | $          | 1.3008   |       | $ | 1.3645 |   |

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS I

 
| ** ** | ** ** | **Jan. ** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------------|------------|----------|------------|----------|------------|
| 2009       |       | $              | 1.3110     |     | $          | 1.3126   |       | $ | 1.2708 |   |
| 2010       |       | $              | 1.1647     |     | $          | 1.1774   |       | $ | 1.2340 |   |

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS D1

 
| ** ** | ** ** | **Jan. ** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------------|------------|----------|------------|----------|------------|
| 2009       |       | $              | 1.2773     |     | $          | 1.2800   |       | $ | 1.2403 |   |
| 2010       |       | $              | 1.1473     |     | $          | 1.1609   |       | $ | 1.2178 |   |

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS DA

 
| ** ** | ** ** | **Jan. ** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------------|------------|----------|------------|----------|------------|
| 2009       |       | $              | 1.0222     |     | $          | 1.0244   |       | $ | 0.9927 |   |
|            |            |                |            |          |            |          |            |  |  |  |

 

14

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Liquidity and Capital Resources

 

The Fund does not engage in the sale of goods orservices.  The Fund’s assets are it’s (i) investmentin Portfolio Funds and (ii) cash.   Because of the low margin deposits normally required in commodityfutures trading relatively small price movements may result in substantiallosses to the Fund.  While substantiallosses could lead to a material decrease in liquidity, no such material lossesoccurred during the first quarter of 2010 and there was no impact on the Fund’sliquidity.

 

The Fund’s capital consists of the capitalcontributions of the members as increased or decreased by gains or losses ontrading, expenses, interest income, redemptions of Redeemable Units anddistributions of profits, if any.

 

Forthe three months ended March 31, 2010, Fund capital increased 5.25% from$868,301,244 to$913,905,348.  This increase wasattributable to the net gain from operations of $22,457,875, coupled with theredemption of 38,040,850 Redeemable Units resulting in an outflow of$44,363,307.  The cash outflow was offsetwith cash inflow of $67,509,536 due to subscription of 59,068,007 units.  Future redemptions could impact the amount offunds available for investment in commodity contract positions in subsequentmonths.

 

Critical Accounting Policies

 

Statement of Cash Flows

 

The Fund is not required to provide a Statement of Cash Flows.

 

Investments

 

Fair value of an investment is the amount that wouldbe received to sell the investment in an orderly transaction between marketparticipants at measurement date (i.e. the exit price). Purchase and sale ofinvestments is recorded on a trade date basis. Realized gains and losses oninvestments is recognized when the investments are sold. Any change in netunrealized gain or loss from the preceding period is reported on the Statementsof Operations.

 

Cash and Cash Equivalents

 

The Fund considers all highly liquid investments,with a maturity of three months or less when acquired, to be cash equivalents.Cash equivalents were recorded at amortized cost which approximated fair value(Level II see Note 3).  Cash was held at a nationally recognized financialinstitution.

 

Interest Rates and Income

 

TheFund currently earns interest based on the prevailing Fed Funds rate plus aspread for short cash positions and minus a spread for long cash positions. Thecurrent short term interest rates have remained extremely low when comparedwith historical rates and thus has contributed negligible amounts to overallFund performance.

 

15

----

 

Fair Value Measurements

 

Fair value is defined as the price that would bereceived to sell an asset or paid to transfer a liability in an orderlytransaction between market participants at the measurement date.  For more information on our treatment of fairvalue, see Note 3, Fair Value of Investments.

 

Income Taxes

 

No provision forincome taxes has been made in the accompanying financial statements as eachMember is individually responsible for reporting income or loss based on suchMember’s share of the Fund’s income and expenses as reported for income taxpurposes.

 

The Fund follows the ASC’s guidance onaccounting for uncertainty in income taxes. This guidance provides how uncertain tax positions should be recognized,measured, presented and disclosed in the financial statements.  This guidance also requires the evaluation oftax positions taken or expected to be taken in the course of preparing the Fund’sfinancial statements to determine whether the tax positions are “more-likely-than-not”to be sustained by the applicable tax authority.  Tax positions with respect to tax at the Fundlevel not deemed to meet the “more-likely-than-not” threshold would be recordedas a tax benefit or expense in the current year.  MLAI has analyzed the Fund’s tax positionsand has concluded that no provision for income tax is required in the Fund’sfinancial statements. The following are the major tax jurisdictions for theFund and the earliest tax year subject to examination: United States — 2007.

 

Results ofOperations

 

January 1, 2010to March 31, 2010

 

TheFund experienced a net trading profit for the first quarter of 2010 of$27,123,968.

 

ThePortfolio Funds’ long positions in equities, commodities and short positions inthe U.S. dollar resulted in profits posted to the Fund at the beginning ofJanuary.  Markets then reversed andlosses were posted in each of these asset classes and all gains accumulatedthrough the middle of the month were given back in these various markets.  Fixed income was one asset class whereexisting positioning were profitable. Long positions in short term interestrate contracts posted gains however, these gains were not enough to offsetlosses in the three other major asset classes resulting in losses being postedto the Fund at the end of January.

 

Fiveof the seven Portfolio Funds had positive performance in February resultingin profits being posted to the Fund. These were the medium and long term trendfollowers: Altis, Aspect, BlueTrend, Transtrend and Winton. Long positions infixed income drove performance. Yields generally moved lower over the course ofthe month and managers benefited from having long exposure to both bonds andshort term interest rate contracts. The Portfolio Funds’ benefited from shortpositions in European currency exposure due to the Euro and British poundlosing value against the U.S. dollar. In other asset classes, some choppinessand a lack of significant trends meant that equity indices and commodities didnot have much of an impact on the month’s returns. These two trading advisors,John Locke and Tudor Tensor, had negative performance in the month of February.These two managers utilize trend following as an important allocation and mademoney in the same areas as other trend followers. However, they also allocatecapital to shorter term strategies. One of these strategies, patternrecognition, suffered large losses in several markets that showed significantchoppiness in February which was not enough to offset the profits postedto the Fund.

 

16

----

 

Allof the Portfolio Funds in the Fund had positive performance in March resultingin profits being posted to the Fund. Equity indices drove performance for mostPortfolio Funds’ trading advisors. Positioning was firmly on the long side dueto the strength of the current up trends in global equity indices. Commoditieswere also profitable across the board due to long positions in oil and metalsand short positions in natural gas and grains. Positioning was spot on in mostof these sub sectors. Oil and metals generally rose and natural gas and grainsdeclined in March. Currencies also posted profits to the Fund. The Euro andBritish pound ended the month down, benefiting short positions in thesecurrencies. On the other hand the Canadian and Australian dollars rose,resulting in profits due to their long positions in these currencies. Fixedincome was the only losing asset class. Short term interest rate contractsgenerally stayed flat, but yields on longer term government bonds rose duringthe month, causing some losses to long positions in those instruments. Overall,the yield moves were not very large, so losses were contained.

 

January 1,2009 to March 31, 2009

 

The Fundexperienced a net trading loss in the first quarter of 2009 of $25,864,131.

 

Performanceof the Portfolio Funds was mixed in January which reflected the choppymarkets and diversification of the Portfolio Funds approach to trading. Wintonwas the best performer, while Altis and GSA performed the worst. The PortfolioFunds profited from falling equities, with long-term managers capturing more ofthe move. The Portfolio Funds also profited from a continuous down-trend incommodities. Largest losses were suffered in fixed income positions as the U.S.Treasury yields rallied and other global bonds shadowed the move.

 

Timehorizon focus did not seem to be a driver of returns in the middle of thequarter, while asset allocation played a more significant role. The PortfolioFunds had small net short exposures to equity markets and thus registered gainsin this asset class. In addition, most of the Portfolio Funds that had longpositions in the U.S. dollar against various currencies posted profits. Some ofthe Portfolio Funds that had long positions in the Japanese yen vs. the U.S. dollarposted losses due to the Japanese yen ending the month down significantlyrelative to the U.S. dollar. Fixed income markets experienced volatile swingsduring the month as most of the Portfolio Funds ended with small losses in thissector.

 

Atthe start of March, most of the Portfolio Funds had long positions in the fixedincome markets and kept this position throughout the month of March andbenefited from falling yields. John Locke was the exception. As a shorter termmanager, its positioning was influenced significantly by intra-month choppinessin fixed income markets, causing large losses.

 

Allother sectors had posted losses in March as a result of significantreversals in many markets. During March, equity markets rallied following somepositive corporate news in the first week. When the U.S. Federal Reserveannounced the start of quantitative easing mid-month, the U.S. dollar beganlosing value against most major currencies and the commodity markets which arenegatively correlated with the U.S. dollar and risk aversion moved up. Giventhat most managers in the vertical are medium to long term trend followers,they were not in a position to cut exposures very fast and were negativelyaffected by these reversals.

 

The Fund has noapplicable off-balance sheet arrangements or tabular disclosure of contractualobligations of the type described in Items 303(a)(4) and 303(a)(5) ofRegulation S-K.

 

17

----

 

Item 3. Quantitative andQualitative Disclosures About Market Risk

 

Introduction

 

The Portfolio Funds are a speculative commodity pools.The market sensitive instruments held by the Portfolio Funds are acquired forspeculative trading purposes and all or substantially all of the Fund’s assetsare subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments isintegral, not incidental, to the Fund’s main line of business.

 

Market movements result in frequent changes in thefair market value of the Portfolio Fund’s open positions and, consequently, inits earnings and cash flow. The Portfolio Fund’s market risk is influenced by awide variety of factors, including the level and volatility of interest rates,exchange rates, equity price levels, the market value of financial instrumentsand contracts, the diversification effects among the Portfolio Fund’s openpositions and the liquidity of the markets in which it trades.

 

The Portfolio Funds, under the direction of theirrespective advisors, rapidly acquire and liquidate both long and shortpositions in currency markets. Consequently, it is not possible to predict how a particular futuremarket scenario will affect performance, and the past performance is notnecessarily indicative of its future results.

 

Value at Risk is a measure of the maximum amount whichthe Portfolio Funds could reasonably be expected to lose in a given marketsector. However, the inherent uncertainty of the Portfolio Funds’ speculativetrading and the recurrence in the markets traded by the Portfolio Funds ofmarket movements far exceeding expectations could result in actual trading ornon-trading losses far beyond the indicated Value at Risk or the experience todate (i.e., “risk of ruin”). In light of the foregoing, as well as the risksand uncertainties intrinsic to all future projections, the quantificationsincluded in this section should not be considered to constitute any assuranceor representation that the Portfolio Funds’ losses in any market sector will belimited to Value at Risk or by each Portfolio Funds’ attempts to manage itsmarket risk.

 

Quantitative ForwardLooking Statements

 

The following quantitative disclosures regarding theFund’s market risk exposures contain “forward-looking statement” within themeaning of the safe harbor from civil liability provided for such statements bythe Private Securities Litigation Reform Act of 1995 (set forth in Section 27Aof the Securities Act of 1933 and Section 21E of the Securities ExchangeAct of 1934).  All quantitativedisclosures in this section are deemed to be forward-looking statements forpurposes of the safe harbor, except for statements of historical fact.

 

The Portfolio Fund’s risk exposure in the variousmarket sectors traded by the advisors is quantified below in terms of Value atRisk.  Due to the Portfolio Fund’s fairvalue accounting, any loss in the fair value of the Portfolio Fund’s openpositions is directly reflected in the Portfolio Fund’s earnings (realized orunrealized) and cash flow (at least in the case of exchange-traded contracts inwhich profits and losses on open positions are settled daily through variationmargin).

 

Maintenance margin requirements of the Portfolio Fundshave been used as the measure of its Value at Risk.  Maintenance margin requirements are set byexchanges to equal or exceed the maximum loss in the fair value of any givencontract incurred in 95%-99% of the one-day time periods included in thehistorical sample (generally approximately one year) researched for purposes ofestablishing margin levels.  Themaintenance margin levels are established by dealers and exchanges usinghistorical price studies as well as an assessment of current market volatility(including the implied volatility of the options on a given futures contract)and economic fundamentals to provide a probabilistic estimate of the maximumexpected near-term one-day price fluctuation.

 

18

----

 

In the case of market sensitive instruments which are notexchange-traded (almost exclusively currencies in the case of the PortfolioFunds), the margin requirements for the equivalent futures positions have beenused as Value at Risk.  In those rarecases in which a futures-equivalent margin is not available, dealers’ marginshave been used.

 

100% positive correlation in the different positions held in eachmarket risk category has been assumed. Consequently, the margin requirements applicable to the open contractshave been aggregated to determine each trading category’s aggregate Value atRisk.  The diversification effectsresulting from the fact that the Fund’s positions are rarely, if ever, 100%positively correlated have not been reflected.

 

# ThePortfolio Funds’ Trading Value at Risk in Different Market Sectors

#  

Thefollowing tables indicate the average, highest, and lowest trading Value atRisk associated with the Portfolio Funds’ open positions by market category forthe three months ended March 31, 2010 and March 31, 2009.

 

19

----

 
| **Altis  Class DS (1)** | **March 31, 2010** |
|------------------------------|-------------------------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 1,648,512  |               | 1.42       | %                  | $          | 1,783,484         |       | $ | 1,465,924 |   |
| Energy                   |       | 3,293,230          |       | 2.84               | %          | 3,562,863          |       | 2,928,475         |       |
| Interest Rates           |       | 3,899,614          |       | 3.37               | %          | 4,218,894          |       | 3,467,695         |       |
| Metals                   |       | 154,223            |       | 0.13               | %          | 166,850            |       | 137,142           |       |
| Stock Indices            |       | 794,061            |       | 0.69               | %          | 859,075            |       | 706,111           |       |
| Currencies               |       | 285,077            |       | 0.25               | %          | 308,417            |       | 253,502           |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 10,074,717 |               | 8.70       | %                  | $          | 10,899,583        |       | $ | 8,958,849 |   |

 

----

(1) Averagecapitalization of Altis Class DS is $115,884,948.

 
| **Altis  Class DS (1)** | **March 31, 2009** |
|------------------------------|-------------------------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| ** Market Sector**  | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 171,657    |               | 0.18       | %                  | $          | 514,971           |       | $ | 87,114 |   |
| Energy                   |       | 187,692            |       | 0.20               | %          | 563,075            |       | 134,610           |       |
| Interest Rates           |       | 10,463,884         |       | 11.09              | %          | 31,391,652         |       | 9,720,435         |       |
| Metals                   |       | 84,583             |       | 0.09               | %          | 253,748            |       | 79,345            |       |
| Stock Indices            |       | 96,054             |       | 0.10               | %          | 288,163            |       | 50,163            |       |
| Currencies               |       | 282,697            |       | 0.30               | %          | 848,090            |       | 50,954            |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 11,286,567 |               | 11.96      | %                  | $          | 33,859,699        |       | $ | 10,122,621 |   |

 

----

(1) Averagecapitalization of Altis Class DS is $94,317,331.

 

20

----

 
| **Transtrend  Class DS (2)** | **March 31, 2010** |
|-----------------------------------|-------------------------|

 
| ** **               | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|--------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector**   | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                     |       |                        |       |                       |       |                   |       |                  |       |
| Agricultural Commodities |       | $                           | 1,545,336  |                       | 0.98       | %                      | $          | 2,163,359             |       | $ | 979,787 |   |
| Energy                   |       | 6,316,357                   |       | 4.00                       | %          | 8,842,445              |       | 4,004,751             |       |
| Interest Rates           |       | 3,612,968                   |       | 2.29                       | %          | 5,057,895              |       | 2,290,725             |       |
| Metals                   |       | 1,440,857                   |       | 0.91                       | %          | 2,017,096              |       | 913,544               |       |
| Stock Indices            |       | 2,205,017                   |       | 1.39                       | %          | 3,086,865              |       | 1,398,044             |       |
| Currencies               |       | 4,993,884                   |       | 3.16                       | %          | 6,991,078              |       | 3,166,265             |       |
|                     |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                    |       | $                           | 20,114,419 |                       | 12.73      | %                      | $          | 28,158,738            |       | $ | 12,753,116 |   |

 

----

(2) Averagecapitalization of Transtrend Class DS is $158,105,697.

 
| **Transtrend  Class DS (2)** | **March 31, 2009** |
|-----------------------------------|-------------------------|

 
| ** **               | ** ** | **Average**       | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|-------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |              |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                 | 491,077    |               | 0.42       | %                  | $          | 1,473,232         |       | $ | 166,927 |   |
| Energy                   |       | 426,025           |       | 0.37               | %          | 1,278,075          |       | 79,737            |       |
| Interest Rates           |       | 7,143,450         |       | 6.17               | %          | 21,430,349         |       | 5,256,336         |       |
| Metals                   |       | 26,067            |       | 0.02               | %          | 78,200             |       | 5,041             |       |
| Stock Indices            |       | 484,204           |       | 0.42               | %          | 1,452,613          |       | 29,529            |       |
| Currencies               |       | 94,325            |       | 0.08               | %          | 282,974            |       | 53,294            |       |
|                     |       |              |       |               |       |               |       |              |       |
| TOTAL                    |       | $                 | 8,665,148  |               | 7.48       | %                  | $          | 25,995,443        |       | $ | 5,590,864 |   |

 

----

(2) Averagecapitalization of Transtrend Class DS is $115,748,006

 

21

----

 
| **Aspect  Class DS (3)** | **March 31, 2010** |
|-------------------------------|-------------------------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 611,487    |               | 0.69       | %                  | $          | 687,648           |       | $ | 497,383 |   |
| Energy                   |       | 1,225,904          |       | 1.38               | %          | 1,378,592          |       | 997,150           |       |
| Interest Rates           |       | 3,342,184          |       | 3.77               | %          | 3,758,457          |       | 2,718,532         |       |
| Metals                   |       | 1,015,024          |       | 1.15               | %          | 1,141,446          |       | 825,620           |       |
| Stock Indices            |       | 1,260,332          |       | 1.42               | %          | 1,417,307          |       | 1,025,154         |       |
| Currencies               |       | 164,004            |       | 0.19               | %          | 184,430            |       | 133,400           |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 7,618,935  |               | 8.60       | %                  | $          | 8,567,880         |       | $ | 6,197,239 |   |

 

----

(3) AverageCapitalization of Aspect Class DS is $88,559,906.

 
| **Aspect  Class DS (3) ** | **March 31, 2009** |
|-------------------------------------|-------------------------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 57,687     |               | 0.08       | %                  | $          | 173,062           |       | $ | 37,404 |   |
| Energy                   |       | 28,174             |       | 0.04               | %          | 84,523             |       | 19,478            |       |
| Interest Rates           |       | 4,654,681          |       | 6.39               | %          | 13,964,044         |       | 3,682,002         |       |
| Metals                   |       | 37,762             |       | 0.05               | %          | 113,286            |       | 31,554            |       |
| Stock Indices            |       | 38,590             |       | 0.05               | %          | 115,770            |       | 35,081            |       |
| Currencies               |       | 138,577            |       | 0.19               | %          | 415,732            |       | 76,525            |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 4,955,471  |               | 6.80       | %                  | $          | 14,866,417        |       | $ | 3,882,044 |   |

 

----

(3) AverageCapitalization of Aspect Class DS is $72,792,703

 

22

----

 
| **Winton  Class DS (4) ** | **March 31, 2010** |
|-------------------------------------|-------------------------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 1,351,482  |               | 0.84       | %                  | $          | 1,567,956         |       | $ | 1,162,046 |   |
| Energy                   |       | 884,608            |       | 0.55               | %          | 1,026,300          |       | 760,613           |       |
| Interest Rates           |       | 2,504,481          |       | 1.56               | %          | 2,905,637          |       | 2,153,429         |       |
| Metals                   |       | 2,487,213          |       | 1.55               | %          | 2,885,603          |       | 2,138,582         |       |
| Stock Indices            |       | 2,477,033          |       | 1.54               | %          | 2,873,793          |       | 2,129,829         |       |
| Currencies               |       | 1,638,238          |       | 1.02               | %          | 1,900,644          |       | 1,408,607         |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 11,343,055 |               | 7.06       | %                  | $          | 13,159,933        |       | $ | 9,753,106 |   |

 

----

(4) Averagecapitalization of Winton Class DS is $160,674,996

 
| **Winton  Class DS (4) ** | **March 31, 2009** |
|-------------------------------------|-------------------------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 85,984     |               | 0.07       | %                  | $          | 257,952           |       | $ | 56,998 |   |
| Energy                   |       | 15,785             |       | 0.01               | %          | 47,355             |       | 5,375             |       |
| Interest Rates           |       | 5,367,841          |       | 4.65               | %          | 16,103,522         |       | 4,729,437         |       |
| Metals                   |       | 16,076             |       | 0.01               | %          | 48,228             |       | 8,792             |       |
| Stock Indices            |       | 44,503             |       | 0.04               | %          | 133,510            |       | 39,237            |       |
| Currencies               |       | 180,741            |       | 0.16               | %          | 542,224            |       | 94,298            |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 5,710,930  |               | 4.94       | %                  | $          | 17,132,791        |       | $ | 4,934,137 |   |

 

----

(4) Averagecapitalization of Winton Class DS is $115,346,611

 

23

----

 
| **John  Locke Class DS (5) ** | **March 31, 2010** |
|-----------------------------------------|-------------------------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 301,229    |               | 0.24       | %                  | $          | 319,492           |       | $ | 291,928 |   |
| Energy                   |       | 286,429            |       | 0.23               | %          | 303,794            |       | 277,585           |       |
| Interest Rates           |       | 250,762            |       | 0.20               | %          | 265,965            |       | 243,019           |       |
| Metals                   |       | 244,363            |       | 0.20               | %          | 259,178            |       | 236,818           |       |
| Stock Indices            |       | 241,826            |       | 0.20               | %          | 256,487            |       | 234,359           |       |
| Currencies               |       | 57,512             |       | 0.05               | %          | 60,999             |       | 55,737            |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 1,382,121  |               | 1.12       | %                  | $          | 1,465,915         |       | $ | 1,339,446 |   |

 

----

(5) Averagecapitalization of John Locke Class DS is $123,356,365.

 
| **John  Locke Class DS (5) ** | **March 31, 2009** |
|-----------------------------------------|-------------------------|

 
| ** **               | ** ** | **Average**        | ** **  | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|-------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** **  | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |        |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 601,875     |               | 0.56       | %                  | $          | 1,805,624         |       | $ | 351,245 |   |
| Energy                   |       | 875,131            |        | 0.82               | %          | 2,625,394          |       | 193,188           |       |
| Interest Rates           |       | 105,904,949        |        | 98.93              | %          | 317,714,846        |       | 1,922,404         |       |
| Metals                   |       | 1,133,197          |        | 1.06               | %          | 3,399,590          |       | 30,523            |       |
| Stock Indices            |       | 892,539            |        | 0.83               | %          | 2,677,617          |       | 69,733            |       |
| Currencies               |       | 5,806,748          |        | 5.42               | %          | 17,420,245         |       | 585,988           |       |
|                     |       |               |        |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 115,214,439 |               | 107.62     | %                  | $          | 345,643,316       |       | $ | 3,153,081 |   |

 

----

(5) Averagecapitalization of John Locke Class DS is $107,055,519

 

24

----

 
| **BlueTrend  Class DS (6) ** | **March 31, 2010** |
|----------------------------------------|-------------------------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 578,138    |               | 0.61       | %                  | $          | 798,299           |       | $ | 276,899 |   |
| Energy                   |       | 4,951,589          |       | 5.26               | %          | 6,837,201          |       | 2,371,559         |       |
| Interest Rates           |       | 4,110,188          |       | 4.36               | %          | 5,675,386          |       | 1,968,571         |       |
| Metals                   |       | 489,640            |       | 0.52               | %          | 676,100            |       | 234,513           |       |
| Stock Indices            |       | 2,491,791          |       | 2.64               | %          | 3,440,688          |       | 1,193,441         |       |
| Currencies               |       | 167,103            |       | 0.18               | %          | 230,737            |       | 80,034            |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 12,788,449 |               | 13.57      | %                  | $          | 17,658,411        |       | $ | 6,125,017 |   |

 

----

(6) Averagecapitalization of BlueTrend Class DS is $94,225,778.

 
| **BlueTrend  Class DS (6)** | **March 31, 2009** |
|----------------------------------|-------------------------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 11,859     |               | 0.02       | %                  | $          | 35,578            |       | $ | 7,253 |   |
| Energy                   |       | 7,406              |       | 0.01               | %          | 22,219             |       | 4,902             |       |
| Interest Rates           |       | 3,316,792          |       | 6.52               | %          | 9,950,376          |       | 3,211,335         |       |
| Metals                   |       | 6,031              |       | 0.01               | %          | 18,092             |       | 4,048             |       |
| Stock Indices            |       | 36,509             |       | 0.07               | %          | 109,526            |       | 25,728            |       |
| Currencies               |       | 12,187             |       | 0.02               | %          | 36,562             |       | 5,450             |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 3,390,784  |               | 6.67       | %                  | $          | 10,172,353        |       | $ | 3,258,717 |   |

 

----

(6) Averagecapitalization of BlueTrend Class DS is $44,805,928

 

25

----

 
| **Tudor Tensor Class DS (7)** | **March 31, 2010** |
|------------------------------------|-------------------------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 231,909    |               | 0.22       | %                  | $          | 327,215           |       | $ | 174,880 |   |
| Energy                   |       | 1,124,129          |       | 1.06               | %          | 1,586,104          |       | 847,693           |       |
| Interest Rates           |       | 1,439,048          |       | 1.36               | %          | 2,030,443          |       | 1,085,170         |       |
| Metals                   |       | 353,361            |       | 0.33               | %          | 498,579            |       | 266,466           |       |
| Stock Indices            |       | 2,357,976          |       | 2.23               | %          | 3,327,019          |       | 1,778,124         |       |
| Currencies               |       | 1,276,021          |       | 1.21               | %          | 1,800,419          |       | 962,233           |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 6,782,444  |               | 6.41       | %                  | $          | 9,569,779         |       | $ | 5,114,566 |   |

 

----

(7) Averagecapitalization of Tudor Tensor Class DS is $105,723,082.

 
| **Chesapeake Class DS (4) ** | **March 31, 2009** |
|----------------------------------------|-------------------------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 155,986    |               | 0.21       | %                  | $          | 467,957           |       | 111,679 |   |
| Interest Rates           |       | 3,502,467          |       | 4.81               | %          | 10,507,400         |       | 3,227,371         |       |
| Metals                   |       | 36,515             |       | 0.05               | %          | 109,544            |       | 33,200            |       |
| Stock Futures            |       | 491                |       | 0.00               | %          | 1,474              |       | 276               |       |
| Currencies               |       | 33,578             |       | 0.05               | %          | 100,733            |       | 20,189            |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 3,729,037  |               | 5.12       | %                  | $          | 11,187,108        |       | $ | 3,392,715 |   |
|                          |            |                    |            |                    |            |                    |            |                   |            |  |  |  |

 

----

(4) Averagecapitalization of Chesapeake Class DS is $72,867,192

 

* Liquidated as ofJanuary 31, 2010.

 

26

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| **GSA Class DS (7) ** | **March 31, 2009** |
|---------------------------------|-------------------------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 578,979    |               | 0.62       | %                  | $          | 1,736,937         |       | $ | 165,243 |   |
| Energy                   |       | 685,887            |       | 0.73               | %          | 2,057,660          |       | 82,472            |       |
| Interest Rates           |       | 2,813,185          |       | 3.00               | %          | 8,439,554          |       | 60,305            |       |
| Metals                   |       | 443,970            |       | 0.47               | %          | 1,331,909          |       | 66,177            |       |
| Stock Indices            |       | 2,462,888          |       | 2.63               | %          | 7,388,665          |       | 440,437           |       |
| Currencies               |       | 800,455            |       | 0.85               | %          | 2,401,364          |       | 370,036           |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 7,785,364  |               | 8.30       | %                  | $          | 23,356,089        |       | $ | 1,184,670 |   |

 

----

(7) Averagecapitalization of GSA Class DS is $93,699,263

 

* Liquidated as ofMay 2009

 

Material Limitations on Value at Risk as an Assessment ofMarket Risk

 

The face value of the market sector instruments held by thePortfolio Funds is typically many times the applicable maintenance marginrequirement (maintenance margin requirements generally ranging betweenapproximately 1% and 10% of contract face value) as well as many times thecapitalization of the Portfolio Funds. The magnitude of the Portfolio Funds’ open positions creates a “risk ofruin” not typically found in most other investment vehicles.  Because of the size of its positions, certainmarket conditions — unusual, but historically recurring from time to time —could cause the Portfolio Funds to incur severe losses over a short period oftime.   The foregoing Value at Risk table— as well as the past performance of the Portfolio Funds — gives no indicationof this “risk of ruin.”

 

27

----

 

Non-TradingRisk

 

Foreign Currency Balances;Cash on Deposit with MLPF&S

 

The Portfolio Funds havenon-trading market risk on its foreign cash balances not needed for margin.However, these balances (as well as the market risk they represent) areimmaterial.

 

The Portfolio Funds alsohave non-trading market risk on the approximately 90%-95% of its assets whichare held in cash at MLPF&S. The value of this cash is not interest ratesensitive, but there is cash flow risk in that if interest rates decline sowill the cash flow generated on these monies.

 

Qualitative Disclosures Regarding Primary Trading Risk Exposures

 

Thefollowing qualitative disclosures regarding the Portfolio Funds’ market riskexposures — except for (i) those disclosures that are statements ofhistorical fact and (ii) the descriptions of how the Portfolio Fundsmanage their primary market risk exposures — constitute forward-lookingstatements within the meaning of Section 27A of the Securities Act and Section 21Eof the Securities Exchange Act. The Portfolio Funds’ primary market riskexposures as well as the strategies used and to be used by Portfolio Funds’managers for managing such exposures are subject to numerous uncertainties,contingencies and risks, any one of which could cause the actual results of thePortfolio Funds’ risk controls to differ materially from the objectives of suchstrategies. Government interventions, defaults and expropriations, illiquidmarkets, the emergence of dominant fundamental factors, political upheavals,changes in historical price relationships, an influx of new marketparticipants, increased regulation and many other factors could result inmaterial losses as well as in material changes to the risk exposures and therisk management strategies of the Portfolio Funds. There can be no assurancethat the Portfolio Funds’ current market exposure and/or risk managementstrategies will not change materially or that any such strategies will beeffective in either the short- or long-term. Investors must be prepared to loseall or substantially all of the time value of their investment in the Fund.

 

Item4T. Controls and Procedures

 

MLAI, the Manager of MLSystematic Momentum FuturesAccess LLC, with the participation of the Manager’sChief Executive Officer and the Chief Financial Officer, has evaluated theeffectiveness of the design and operation of its disclosure controls andprocedures with respect to the Fund as of the end of the period of thisquarterly report, and, based on this evaluation, has concluded that thesedisclosure controls and procedures are effective.  No change in internal control over financialreporting (as defined in Rule 13a-15(f) under the Securities ExchangeAct of 1934) occurred during the quarter ended March 31, 2010 that hasmaterially affected, or is reasonably likely to materially affect, the Fund’sinternal control over financial reporting.

 

28

----

 

PART II - OTHER INFORMATION

 

Item1.           Legal Proceedings

 

None.

 

Item1A.        Risk Factors

 

There are no materialchanges from risk factors as previously disclosed in the Annual Report on Form 10-Kfor the year ended December 31, 2009, filed with the Securities andExchange Commission on March 31, 2010.

 

Item2.           Unregistered Sales of Equity Securitiesand Use of Proceeds

 

(a) Issuance to accredited investors pursuant toRegulation D and Section 4(6) under the Securities Act.  The selling agent of the following Class ofUnits was MLPF&S.

 

CLASS A

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | 8,495,734  |       | 7,454,360  |   | $ | 1.1397 |   |
| Feb-10     |       | 4,599,449        |       | 4,167,678  |       | 1.1036 |   |
| Mar-10     |       | 3,694,299        |       | 3,312,085  |       | 1.1154 |   |
| Apr-10     |       | 3,799,299        |       | 3,251,154  |       | 1.1686 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS C

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | 10,791,109 |       | 9,305,889  |   | $ | 1.1596 |   |
| Feb-10     |       | 13,643,857       |       | 12,160,300 |       | 1.1220 |   |
| Mar-10     |       | 15,703,161       |       | 13,861,030 |       | 1.1329 |   |
| Apr-10     |       | 17,663,870       |       | 14,868,356 |       | 1.1860 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS D

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | 1,391,999  |       | 1,049,852  |   | $ | 1.3259 |   |
| Feb-10     |       | 990,000          |       | 770,128    |       | 1.2855 |   |
| Mar-10     |       | —           |       | —     |       | 1.3008 |   |
| Apr-10     |       | 391,999          |       | 287,284    |       | 1.3645 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS I

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | 1,914,992  |       | 1,592,641  |   | $ | 1.2024 |   |
| Feb-10     |       | 3,819,726        |       | 3,279,579  |       | 1.1647 |   |
| Mar-10     |       | 1,536,743        |       | 1,305,201  |       | 1.1774 |   |
| Apr-10     |       | 1,209,894        |       | 980,465    |       | 1.2340 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS D1

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | —     |       | —     |   | $ | 1.1833 |   |
| Feb-10     |       | 928,469          |       | 809,264    |       | 1.1473 |   |
| Mar-10     |       | —           |       | —     |       | 1.1609 |   |
| Apr-10     |       | —           |       | —     |       | 1.2178 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

----

(1) Beginningof the month Net Asset Value

 

(b)  None.

(c)   None.

 

29

----

 

Item3.           Defaults Upon Senior Securities

 

None.

 

Item4.           (Removed and Reserved)

 

Item5.           Other Information

 

None.

 

Item6.           Exhibits

 

The followingexhibits are filed herewith to this Quarterly Report on Form 10-Q:

 

31.01 and 31.02                             Rule 13a-14(a)/15d-14(a) Certifications

 

Exhibit 31.01 and31.02:               Are filed herewith.

 

32.01 and 32.02                             Section 1350 Certifications

 

Exhibit 32.01and 32.02                Are filed herewith.

 

30

----

 

**SIGNATURES**

 

Pursuant to therequirements of the Securities Exchange Act of 1934, the registrant has dulycaused this report to be signed on its behalf by the undersigned thereunto dulyauthorized.

 

 

ML SYSTEMATICMOMENTUM FUTURESACCESS LLC

 

 
|                     | By:    | MERRILL LYNCH  ALTERNATIVE                   |
|--------------------------|--------|----------------------------------------------|
|                     |   | INVESTMENTS LLC                              |
|                     |   | (Manager)                                    |
|                     |   |                                         |
|                     |   |                                         |
| Date:  May 14, 2010 | By:    | /s/  JUSTIN C. FERRI                         |
|                     |   | Justin  C. Ferri                             |
|                     |   | Chief Executive Officer  and President       |
|                     |   | (Principal Executive  Officer)               |
|                     |   |                                         |
|                     |   |                                         |
| Date: May 14, 2010  | By:    | /s/ BARBRA E. KOCSIS                         |
|                     |   | Barbra E. Kocsis                             |
|                     |   | Chief Financial Officer                      |
|                     |   | (Principal Financial and Accounting Officer) |

 

31

----