**EXHIBIT 99**

** **

**FinancialStatements of ML Systematic Momentum FuturesAccess LLC**

 

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF FINANCIALCONDITION

(unaudited)

 
| ** **                                                                                                 | ** ** | **March 31,** | ** **  | **December 31,** | ** ** |
|------------------------------------------------------------------------------------------------------------|------------|--------------------|-------------|-----------------------|------------|
| ** **                                                                                                 | ** ** | **2009**           | ** **  | **2008**              | ** ** |
| **ASSETS:**                                                                                                |       |               |        |                  |       |
|                                                                                                       |       |               |        |                  |       |
| Cash                                                                                                       |       | $                  | 161,855     |                  | $          | 36,548 |   |
| Investment in  Portfolio Funds (Cost $672,719,900 at 2009 and $614,639,346 at 2008)                        |       | 733,337,988        |        | 701,122,301           |       |
| Receivable from  Portfolio Fund                                                                            |       | —             |        | 22,935                |       |
|                                                                                                       |       |               |        |                  |       |
| **TOTAL  ASSETS**                                                                                          |       | $                  | 733,499,843 |                  | $          | 701,181,784 |   |
|                                                                                                       |       |               |        |                  |       |
| **LIABILITIES  AND MEMBERS’ CAPITAL:**                                                                |       |               |        |                  |       |
| LIABILITIES:                                                                                               |       |               |        |                  |       |
| Sponsor fee  payable                                                                                       |       | $                  | 1,111,381   |                  | $          | 1,018,265 |   |
| Redemptions  payable                                                                                       |       | 14,183,036         |        | 21,004,290            |       |
| Ongoing offering  costs payable                                                                            |       | 104,370            |        | 22,623                |       |
| Other                                                                                                      |       | 256,912            |        | 438,518               |       |
|                                                                                                       |       |               |        |                  |       |
| Total  liabilities                                                                                         |       | 15,655,699         |        | 22,483,696            |       |
|                                                                                                       |       |               |        |                  |       |
| MEMBERS’  CAPITAL:                                                                                    |       |               |        |                  |       |
| Members’  Interest (585,145,408 Units and 532,683,079 Units outstanding, unlimited  Units authorized) |       | 717,844,144        |        | 678,698,088           |       |
| Total members’  capital                                                                               |       | 717,844,144        |        | 678,698,088           |       |
|                                                                                                       |       |               |        |                  |       |
| **TOTAL  LIABILITIES AND MEMBERS’ CAPITAL**                                                           |       | $                  | 733,499,843 |                  | $          | 701,181,784 |   |
| ** **                                                                                                 | ** ** | ** **         | ** **  | ** **            | ** ** |
| **NET  ASSET VALUE PER UNIT (SEE NOTE 4)**                                                                 |       |               |        |                  |       |

 

See accompanyingnotes to financial statements.

 

1

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**FinancialStatements of ML Systematic Momentum FuturesAccess LLC**

 

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, 2009** | ** **  | **March 31, 2008** | ** ** |
| **TRADING  PROFIT (LOSS):**                   | ** ** | ** **                   | ** **  | ** **                   | ** ** |
|                                          |       |                         |        |                         |       |
| Realized                                      |       | $                            | 735         |                         | $          | 59,031 |   |
| Change in  unrealized, net                    |       | (25,864,866                  | )           | 13,582,888                   |       |
|                                          |       |                         |        |                         |       |
| Total trading  profit (loss)                  |       | (25,864,131                  | )           | 13,641,919                   |       |
|                                          |       |                         |        |                         |       |
| **INVESTMENT  INCOME:**                       |       |                         |        |                         |       |
| Interest                                      |       | 7,442                        |        | 2,404                        |       |
|                                          |       |                         |        |                         |       |
| **EXPENSES:**                                 |       |                         |        |                         |       |
| Sponsor fee                                   |       | 3,263,123                    |        | 680,290                      |       |
| Other                                         |       | 177,687                      |        | 383,244                      |       |
| Total expenses                                |       | 3,440,810                    |        | 1,063,534                    |       |
|                                          |       |                         |        |                         |       |
| **NET  INVESTMENT INCOME (LOSS)**             |       | (3,433,368                   | )           | (1,061,130                   | )          |
|                                          |       |                         |        |                         |       |
| **NET  INCOME (LOSS)**                        |       | $                            | (29,297,499 | )                            | $          | 12,580,789 |   |
|                                          |       |                         |        |                         |       |
| **NET  INCOME (LOSS) PER UNIT:**              |       |                         |        |                         |       |
|                                          |       |                         |        |                         |       |
| Weighted average  number of Units outstanding |       |                         |        |                         |       |
| Class A**                                |       | 50,543,546                   |        | 6,702,285                    |       |
| Class C*                                 |       | 354,696,908                  |        | 79,722,721                   |       |
| Class D                                  |       | 32,607,973                   |        | 17,128,976                   |       |
| Class I*                                 |       | 60,599,596                   |        | 24,971,967                   |       |
| Class D1***                              |       | 32,455,297                   |        | 4,997,767                    |       |
| Class DA****                             |       | 50,557,717                   |        | —                       |       |
|                                          |       |                         |        |                         |       |
| Net income  (loss) per weighted average Unit  |       |                         |        |                         |       |
| Class A**                                |       | $                            | (0.0506     | )                            | $          | 0.0812 |   |
| Class C*                                 |       | $                            | (0.0538     | )                            | $          | 0.0875 |   |
| Class D                                  |       | $                            | (0.0458     | )                            | $          | 0.1092 |   |
| Class I*                                 |       | $                            | (0.0492     | )                            | $          | 0.1076 |   |
| Class D1***                              |       | $                            | (0.0439     | )                            | $          | 0.1014 |   |
| Class DA****                             |       | $                            | (0.0348     | )                            | $          | — |   |

 

----

*Units issued June 1,2007.

** Units issued onJuly 1, 2007.

*** Units issuedon July 1, 2007 and Class D1 was previously known as Class D-SD.

**** Units issuedon December 1, 2008.

 

See accompanyingnotes to financial statements.

 

2

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**Financial Statements of ML Systematic Momentum FuturesAccessLLC**

 

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the three months ended March 31, 2009 and2008

(unaudited)

 
| ** **                 | ** ** | **Members’ Capital  December 31, 2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  March 31, 2008** | ** ** | **Members’ Capital December 31, 2008** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  March 31, 2009** | ** ** |
|----------------------------|------------|---------------------------------------------------|------------|-------------------|------------|-----------------|------------|------------------------------------------------|------------|--------------------------------------------------|------------|-------------------|------------|-----------------|------------|------------------------------------------------|------------|
| Class A**             |       | 5,078,646                                         |       | 3,181,564         |       | (2,445,767      | )          | 5,814,443                                      |       | 43,411,942                                       |       | 12,354,829        |       | (1,744,770      | )          | 54,022,001                                     |       |
| Class C*              |       | 69,888,701                                        |       | 30,278,614        |       | (21,178,778     | )          | 78,988,537                                     |       | 317,357,227                                      |       | 66,096,950        |       | (22,206,229     | )          | 361,247,948                                    |       |
| Class D               |       | 16,803,705                                        |       | 975,814           |       | —          |       | 17,779,519                                     |       | 34,878,314                                       |       | —            |       | (5,511,010      | )          | 29,367,304                                     |       |
| Class I*              |       | 14,757,114                                        |       | 16,500,907        |       | (1,559,302      | )          | 29,698,719                                     |       | 53,200,108                                       |       | 13,155,387        |       | (5,352,553      | )          | 61,002,942                                     |       |
| Class D1***           |       | 4,990,154                                         |       | 11,419            |       | —          |       | 5,001,573                                      |       | 31,040,046                                       |       | 2,914,238         |       | (1,582,722      | )          | 32,371,562                                     |       |
| Class DA****          |       | —                                            |       | —            |       | —          |       | —                                         |       | 52,795,442                                       |       | —            |       | (5,661,791      | )          | 47,133,651                                     |       |
|                       |       |                                              |       |              |       |            |       |                                           |       |                                             |       |              |       |            |       |                                           |       |
| Total Members’  Units |       | 111,518,320                                       |       | 50,948,318        |       | (25,183,847     | )          | 137,282,791                                    |       | 532,683,079                                      |       | 94,521,404        |       | (42,059,075     | )          | 585,145,408                                    |       |

 

----

*Units issued June 1,2007.

** Units issued on July 1,2007.

*** Units issued on July 1,2007 and Class D1 was previously known as Class D-SD.

**** Units issued on December 1,2008.

 

See accompanying notes tofinancial statements.

 

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**Financial Statements of ML Systematic Momentum FuturesAccessLLC**

 

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS  OFCHANGES IN MEMBERS’ CAPITAL

For the three months ended March 31, 2009 and2008

(unaudited)

 
| ** **                    | ** ** | **Members’ Capital  December 31, 2007** | ** **  | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income  (Loss)** | ** **  | **Members’ Capital  March 31, 2008** | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** **  | **Redemptions** | ** ** | **Net Income   (Loss)** | ** ** | **Members’ Capital  March 31, 2009** | ** **  |
|-------------------------------|------------|---------------------------------------------------|-------------|-------------------|------------|-----------------|------------|------------------------|-------------|------------------------------------------------|------------|---------------------------------------------------|------------|-------------------|-------------|-----------------|------------|-------------------------|------------|------------------------------------------------|-------------|
|                          |       |                                              |        |              |       |            |       |                   |        |                                           |       |                                              |       |              |        |            |       |                    |       |                                           |        |
| Class A**                |       | $                                                 | 5,217,419   |              | $          | 3,522,310       |       | $                      | (2,750,049  | )                                              | $          | 544,267                                           |       | $                 | 6,533,947   |            | $          | 54,529,667              |       | $                                              | 15,440,789  |   | $ | (2,148,819 | ) | $ | (2,555,650 | ) | $ | 65,265,987 |   |
| Class C*                 |       | 74,531,573                                        |        | 33,865,728        |       | (23,457,663     | )          | 6,971,801              |        | 91,911,439                                     |       | 409,646,343                                       |       | 84,875,891        |        | (28,065,108     | )          | (19,083,152             | )          | 447,373,974                                    |        |
| Class D                  |       | 19,442,860                                        |        | 1,270,999         |       | —          |       | 1,870,574              |        | 22,584,433                                     |       | 50,152,681                                        |       | —            |        | (7,900,412      | )          | (1,494,918              | )          | 40,757,351                                     |        |
| Class I*                 |       | 15,867,209                                        |        | 18,233,580        |       | (1,818,681      | )          | 2,687,322              |        | 34,969,430                                     |       | 70,208,485                                        |       | 17,289,573        |        | (7,009,265      | )          | (2,978,698              | )          | 77,510,095                                     |        |
| Class D1***              |       | 5,165,016                                         |        | 11,999            |       | —          |       | 506,825                |        | 5,683,840                                      |       | 39,876,273                                        |       | 3,722,356         |        | (2,025,884      | )          | (1,423,587              | )          | 40,149,158                                     |        |
| Class DA****             |       | —                                            |        | —            |       | —          |       | —                 |        | —                                         |       | 54,284,639                                        |       | —            |        | (5,735,566      | )          | (1,761,494              | )          | 46,787,579                                     |        |
| ** **                    | ** ** | ** **                                        | ** **  | ** **        | ** ** | ** **      | ** ** | ** **             | ** **  | ** **                                     | ** ** | ** **                                        | ** ** | ** **        | ** **  | ** **      | ** ** | ** **              | ** ** | ** **                                     | ** **  |
| Total Members’  Interest |       | $                                                 | 120,224,077 |              | $          | 56,904,616      |       | $                      | (28,026,393 | )                                              | $          | 12,580,789                                        |       | $                 | 161,683,089 |            | $          | 678,698,088             |       | $                                              | 121,328,609 |   | $ | (52,885,054 | ) | $ | (29,297,499 | ) | $ | 717,844,144 |   |

 

----

*Units issued June 1,2007.

** Units issued on July 1,2007.

*** Units issued on July 1,2007 and Class D1 was previously known as Class D-SD.

**** Units issued on December 1,2008.

 

See accompanying notes tofinancial statements.

 

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**Financial Statements of ML Systematic Momentum FuturesAccessLLC**

 

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

NOTES TO FINANCIALSTATEMENTS

(unaudited)

 

1.               SUMMARYOF SIGNIFICANT ACCOUNTING POLICIES

 

MLSystematic Momentum FuturesAccess LLC (the “Fund”) was organized under theDelaware Limited Liability Company Act on March 8, 2007 and commencedtrading activities on April 2, 2007. The Fund issues new units of limitedliability company interest (“Units”) at Net Asset Value per Unit as of thebeginning of each calendar month.

 

MerrillLynch Alternative Investments LLC (“MLAI”) is the sponsor (“Sponsor”) andmanager (“Manager”) of the Fund. MLAI is an indirect wholly-owned subsidiary ofMerrill Lynch & Co., Inc. (“Merrill Lynch”).  Merrill Lynch, Pierce, Fenner &Smith Incorporated (“MLPF&S”), a wholly-owned subsidiary of Merrill Lynch,is the Fund’s commodity broker. On September 15, 2008, Merrill Lynch &Co., Inc. (“Merrill Lynch” or the “Company”) entered into an Agreement andPlan of Merger (as amended by Amendment No. 1 dated as of October 21,2008, the “Merger Agreement”) with Bank of America Corporation (“Bank ofAmerica”). Pursuant to the Merger Agreement, on January 1, 2009, awholly-owned subsidiary of Bank of America (“Merger Sub”) merged with and intoMerrill Lynch, with Merrill Lynch continuing as the surviving corporation and asubsidiary of Bank of America (the “Merger”).

 

In the opinion ofmanagement, these interim financial statements contain all adjustments necessaryto present fairly the financial position of the Fund as of March 31, 2009,and the results of its operations for the three months ended March 31,2009 and 2008. However, the operating results for the interim period may not beindicative 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 period ended December 31, 2008.

 

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.

 

Certain prior yearitems have been reclassified to conform to the current year presentation.

 

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**Financial Statements of ML Systematic Momentum FuturesAccessLLC**

 

2.               INVESTMENTS IN UNDERLYING FUNDS

 

The eight funds (each a “Portfolio Fund” and collectively “PortfolioFunds”) in which the Fund is invested as of March 31, 2009 are: ML AltisFuturesAccess LLC (“Altis”), ML Aspect FuturesAccess LLC (“Aspect”), MLChesapeake FuturesAccess LLC (“Chesapeake”), ML Blue Trend FuturesAccess LLC (“BlueTrend”), ML GSA FuturesAccess LLC (“GSA”), ML John Locke FuturesAccess LLC (“JohnLocke”) ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”)  and ML Winton FuturesAccess LLC (“Winton”).  MLAI, in its discretion may, change thePortfolio Funds at any time. MLAI, also at its discretion may vary thepercentage of the Fund’s total portfolio allocated to the different PortfolioFunds. There is no pre-established range for the minimum and maximumallocations that may be made to any given Portfolio Fund.

 

At March 31, 2009 Investments in Portfolio Funds at fair value areas follows:

 
| ** ** | ** ** | **Percentage of  Members’  Capital** | ** ** | **Fair Value** | ** **  |
|------------|------------|-------------------------------------------|------------|----------------|-------------|
| Chesapeake |       | 10.43                                     | %          | 74,845,294     |        |
| Transtrend |       | 16.26                                     | %          | 116,717,552    |        |
| Altis      |       | 13.38                                     | %          | 96,052,871     |        |
| Winton     |       | 16.57                                     | %          | 118,946,176    |        |
| Aspect     |       | 10.20                                     | %          | 73,241,921     |        |
| John Locke |       | 14.69                                     | %          | 105,470,230    |        |
| BlueTrend  |       | 7.30                                      | %          | 52,407,932     |        |
| GSA        |       | 13.33                                     | %          | 95,656,012     |        |
|       |       | 102.16                                    | %          | $              | 733,337,988 |   |
|            |            |                                           |            |                |             |  |

 

Total Investments in Portfolio Funds at Fair Value(Cost $672,719,900) 

 

At December 31, 2008, Investments in Portfolio Funds at fair valueare as follows:

 
| ** ** | ** ** | **Percentage of   Members’  Capital** | ** ** | **Fair Value** | ** **  |
|------------|------------|--------------------------------------------|------------|----------------|-------------|
| Chesapeake |       | 10.43                                      | %          | 70,779,579     |        |
| Transtrend |       | 16.47                                      | %          | 111,765,499    |        |
| Altis      |       | 13.77                                      | %          | 93,483,991     |        |
| Winton     |       | 16.36                                      | %          | 111,014,511    |        |
| Aspect     |       | 10.45                                      | %          | 70,896,651     |        |
| John Locke |       | 15.40                                      | %          | 104,525,135    |        |
| BlueTrend  |       | 7.22                                       | %          | 48,989,192     |        |
| GSA        |       | 13.21                                      | %          | 89,667,743     |        |
|       |       | 103.31                                     | %          | $              | 701,122,301 |   |
|            |            |                                            |            |                |             |  |

 

Total Investments in Portfolio Funds at Fair Value(Cost $614,639,346) 

 

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**Financial Statements of ML Systematic Momentum FuturesAccessLLC**

 

3.               FAIRVALUE OF INVESTMENTS

 

In September 2006,the Financial Accounting Standards Board (“FASB”) issued Statement of FinancialAccounting Standards No. 157, Fair Value Measurement (“FAS 157”). FAS 157defines fair value, establishes a framework for measuring fair value andexpands disclosures about fair value measurements. The Fund adopted FAS 157 asof January 1, 2008. The adoption of FAS 157 did not have a material impacton the Fund’s financial statements.

 

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 Statementof Operations.

 

FAS 157 established ahierarchal disclosure framework which prioritizes and ranks the level of marketprice observability used in measuring investments at fair value. Market priceobservability is impacted by a number of factors, including the type ofinvestment and the characteristics specific to the investment. Investments withreadily available active quoted prices or for which fair value can be measuredfrom actively quoted prices generally will have a higher degree of market priceobservability and a lesser degree of judgment used in measuring fair value.

 

Investments measured andreported at fair value are classified and disclosed in one of the followingcategories:

 

Level I — Quoted pricesare available in active markets for identical investments as of the reportingdate. The type of investments included in Level I are publicly tradedinvestments.

 

Level II — Pricing inputsare other than quoted prices in active markets, which are either directly orindirectly observable as of the reporting date, and fair value is determinedthrough the use of generally accepted and understood models or other valuationmethodologies. Investments which are generally included in this category areinvestments valued using market data.

 

Level III — Pricinginputs are unobservable including the Fund’s own assumptions in determining thefair value of investments.

 

In certain cases,the inputs used to measure fair value may fall into different levels of thefair value hierarchy. In such cases, an investment’s level within the fairvalue hierarchy is based on the lowest level of input that is significant tothe fair value measurement. The Sponsor’s assessment of the significance of aparticular input to the fair value measurement in its entirety requiresjudgment, 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.

 

Investments in other investment companies are valuedusing the net asset value reported by the investment company. These net assetvalues are the prices used to execute trades with these investmentcompanies.  If appropriate, adjustmentsto the reported net asset value may be made based on various factors,including, but not limited to, the attributes of the interest held, includingthe rights and obligations, and any restrictions or illiquidity.

 

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**Financial Statements of ML Systematic Momentum FuturesAccessLLC**

 

Although there are monthly transactions in theseinvestment company interests, the NAV’s are materially based on portfolios ofLevel I and Level II assets and liabilities for which the Fund hastransparency.  As such, the Funddetermined that its investments in these investment companies in this case,would be classified as Level II.

 

The followingtable summarizes the valuation of the Fund’s investment by the above FAS 157fair value hierarchy levels as of December 31, 2008 and March 31,2009:

 
| ** **                     | ** ** | **Total** | ** **  | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|--------------------------------|------------|-----------|-------------|-------------|------------|--------------|------------|---------------|------------|
| Investment in  Portfolio Funds |       |      |        |        |       |         |       |          |       |
|                           |       |      |        |        |       |         |       |          |       |
| 12/31/2008                     |       | $         | 701,122,301 |        | N/A        |         | $          | 701,122,301   |       | N/A |   |
|                           |       |      |        |        |       |         |       |          |       |
| 03/31/2009                     |       | $         | 733,337,988 |        | N/A        |         | $          | 733,337,988   |       | N/A |   |

 

The Fund adopted Statement of Financial Accounting Standards No. 161,“Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”)as of January 1, 2009 which requires qualitative disclosures aboutobjectives and strategies for using derivatives, quantitative disclosures aboutfair value amounts of and gains and losses on derivative instruments, anddisclosures about credit-risk-related contingent features in derivative agreements.FAS 161 only expands the disclosure requirements for derivative instruments andrelated hedging activities and has no impact on Statement of FinancialCondition or Statement of Income and Expenses and Partners’ Capital. The Fundinvests only in other Portfolio Funds, it does not have any direct investmentsin derivative instruments.

 

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**Financial Statements of ML Systematic Momentum FuturesAccessLLC**

 

4.               NETASSET VALUE PER UNIT

 

For financial reportingpurposes, in conformity with U.S. GAAP, the Fund amortizes over a twelve-monthperiod the initial offering costs for purposes of determining Net Asset Value.Such costs initially were paid by MLAI. For all other purposes, including computing Net Asset Value for purposesof member subscription and redemption activity, such costs are amortized over60 months. Consequently, the Net Asset Value and Net Asset Value per Unit ofthe different Classes for financial reporting purposes and for all other purposesat March 31, 2009 and December 31, 2008 are as follows:

 

March 31, 2009

 
| ** **    | ** ** | **Net Asset Value**     | ** **        | ** **                | ** ** | **Net Asset Value per Unit** | ** ** |
|---------------|------------|-------------------------|-------------------|---------------------------|------------|------------------------------|------------|
| ** **    | ** ** | **All Other  Purposes** | ** **        | **Financial   Reporting** | ** ** | **Number of   Units**        | ** ** | **All Other   Purposes** | ** ** | **Financial   Reporting** | ** ** |
| Class A  |       | $                       | 65,268,089        |                      | $          | 65,265,987                   |       | 54,022,001 |   | $ | 1.2081 |   | $ | 1.2081 |   |
| Class C  |       | 447,407,196             |              | 447,373,974               |       | 361,247,948                  |       | 1.2385 |   | 1.2384 |   |
| Class D  |       | 40,814,606              |              | 40,757,351                |       | 29,367,304                   |       | 1.3898 |   | 1.3878 |   |
| Class I  |       | 77,519,481              |              | 77,510,095                |       | 61,002,942                   |       | 1.2708 |   | 1.2706 |   |
| Class D1 |       | 40,151,563              |              | 40,149,158                |       | 32,371,562                   |       | 1.2403 |   | 1.2403 |   |
| Class DA |       | 46,787,580              |              | 46,787,579                |       | 47,133,651                   |       | 0.9927 |   | 0.9927 |   |
|          |       | $                       |  717,948,515 |                      | $          | 717,844,144                  |       | 585,145,408 |   |   |   |   |   |
|               |            |                         |                   |                           |            |                              |            |  |  |  |  |  |  |  |  |

 

December 31, 2008

 
| ** **    | ** ** | **Net Asset Value**     | ** **        | ** **                | ** ** | **Net Asset Value per Unit** | ** ** |
|---------------|------------|-------------------------|-------------------|---------------------------|------------|------------------------------|------------|
| ** **    | ** ** | **All Other  Purposes** | ** **        | **Financial   Reporting** | ** ** | **Number of  Units**    | ** ** | **All Other   Purposes** | ** ** | **Financial  Reporting** | ** ** |
| Class A  |       | $                       | 54,531,772        |                      | $          | 54,529,667                   |       | 43,411,942 |   | $ | 1.2561 |   | $ | 1.2561 |   |
| Class C  |       | 409,679,565             |              | 409,646,343               |       | 317,357,227                  |       | 1.2909 |   | 1.2908 |   |
| Class D  |       | 50,209,935              |              | 50,152,681                |       | 34,878,314                   |       | 1.4396 |   | 1.4379 |   |
| Class I  |       | 70,217,871              |              | 70,208,485                |       | 53,200,108                   |       | 1.3199 |   | 1.3197 |   |
| Class D1 |       | 39,878,678              |              | 39,876,273                |       | 31,040,046                   |       | 1.2848 |   | 1.2847 |   |
| Class DA |       | 54,284,639              |              | 54,284,639                |       | 52,795,442                   |       | 1.0282 |   | 1.0282 |   |
|          |       | $                       |  678,802,460 |                      | $          | 678,698,088                  |       | $ | 532,683,079 |   |   |   |   |   |
|               |            |                         |                   |                           |            |                              |            |  |  |  |  |  |  |  |  |  |

 

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**Financial Statements of ML Systematic Momentum FuturesAccessLLC**

 

5.               MARKET, CREDIT AND CONCENTRATION RISKS

 

Thenature of this Fund has certain risks, which cannot be presented on thefinancial statements.  Additionally, theFund invests in other commodity funds with similar market risk as mentionedbelow.  The following summarizes some ofthose risks.

 

MarketRisk

 

Derivativeinstruments 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.

 

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, if any, included in the Statements of Financial Condition ofthe Portfolio Funds. The Portfolio Funds attempt to mitigate this risk bydealing exclusively with Merrill Lynch entities as clearing brokers.

 

The Portfolio Funds, in their normal course ofbusiness, enter into various contracts, with Merrill Lynch Pierce, Fenner &Smith Inc., (“MLPF&S”) acting as their commodity broker.  Pursuant to the brokerage arrangement withMLPF&S (which includes a netting arrangement), to the extent that suchtrading results in receivables from and payables to MLPF&S, thesereceivables and payables are offset and reported as a net receivable or payableand included in Equity in commodity futures trading accounts in the Statementsof 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.

 

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**Financial Statements of ML Systematic Momentum FuturesAccessLLC**

 

6.               RECENTACCOUNTING PRONOUNCEMENTS

 

InMay 2008, the FASB issued Statement of Financial Accounting Standards No. 162,“*The Hierarchy of Generally Accepted AccountingPrinciples*” (“FAS 162”). FAS 162 identifies the sources ofaccounting principles and the framework for selecting the accounting principlesused in preparing financial statements of nongovernmental entities that arepresented in conformity with U.S. GAAP. Currently, U.S. GAAP hierarchy isprovided in the American Institute of Certified Public Accountants U.S.Auditing Standards (“AU”) Section 411, “*The Meaningof Present Fairly in Conformity With Generally Accepted Accounting Principles*”(“AU Section 411”). FAS 162 is effective 60 days following the SEC’sapproval of the Public Company Accounting Oversight Board’s amendments to AU Section 411.The Fund does not expect the adoption of FAS 162 to have an impact on itsfinancial statements.

 

In April 2009,the FASB issued FSP No. FAS 157-4, “*DeterminingFair Value When the Volume and Level of Activity for the Asset or LiabilityHave Significantly Decreased and Identifying Transactions That Are Not Orderly*”(FSP 157-4). FSP 157-4 provides additional guidance for estimating fair valuein accordance with FASB Statement No. 157, *Fair Value Measurements*, when the volume and level ofactivity for the asset or liability have significantly decreased. This FSP alsoincludes guidance on identifying circumstances that indicate a transaction isnot orderly. The FSP emphasizes that even if there has been a significantdecrease in the volume and level of activity for the asset or liability andregardless of the valuation technique(s) used, the objective of a fairvalue measurement remains the same. Fair value is the price that would bereceived to sell an asset or paid to transfer a liability in an orderly transaction(that is, not a forced liquidation or distressed sale) between marketparticipants at the measurement date under current market conditions. The FSPalso contains enhanced disclosure requirements whereby fair value disclosuresas well as certain disaggregated information will be disclosed beginning in thesecond quarter 2009.

 

7.              SUBSEQUENTEVENT

 

ML GSAFuturesAccess LLC as one of the Portfolio Funds in which the Fund, aFuturesAccess fund of funds, invests. As of April 30, 2009, approximately 13%of the capital of the Fund was allocated to GSA. However, the underlyingmanager of GSA has informed the Sponsor that it is discontinuing the strategyand will no longer act as the trading adviser for GSA. As a result, effectiveon or about May 31, 2009, GSA will be liquidated and Systematic Momentum willno longer invest in GSA. The Sponsor may reallocate the liquidation proceedsamong other new or existing Portfolio Funds.

 

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