**EXHIBIT 99**

 

PART I - FINANCIALINFORMATION

Item 1. FinancialStatements

 

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

 
| ** **                                                                                                | ** ** | **June 30,** | ** **  | **December 31,** | ** ** |
|-----------------------------------------------------------------------------------------------------------|------------|--------------|-------------|------------------|------------|
| ** **                                                                                                | ** ** | **2009**     | ** **  | **2008**         | ** ** |
| **ASSETS:**                                                                                               | ** ** | ** **   |        |             |       |
|                                                                                                      |       |         |        |             |       |
| Cash                                                                                                      |       | $            | 47,288,454  |             | $          | 36,548 |   |
| Accrued Interest Recievable                                                                               |       | 28,841       |        | —           |       |
| Investment in Portfolio Funds (Cost $693,018,030 at  2009 and $614,639,346 at 2008)                       |       | 723,425,334  |        | 701,122,301      |       |
| Due from Managers                                                                                         |       | 944          |        | —           |       |
| Receivable from Portfolio Fund                                                                            |       | —       |        | 22,935           |       |
|                                                                                                      |       |         |        |             |       |
| **TOTAL ASSETS**                                                                                          |       | $            | 770,743,573 |             | $          | 701,181,784 |   |
|                                                                                                      |       |         |        |             |       |
| **LIABILITIES AND MEMBERS’ CAPITAL:**                                                                | ** ** | ** **   |        |             |       |
| LIABILITIES:                                                                                              |       |         |        |             |       |
| Sponsor fee payable                                                                                       |       | $            | 1,209,434   |             | $          | 1,018,265 |   |
| Redemptions payable                                                                                       |       | 6,756,358    |        | 21,004,290       |       |
| Other                                                                                                     |       | 64,910       |        | 461,141          |       |
|                                                                                                      |       |         |        |             |       |
| Total liabilities                                                                                         |       | 8,030,702    |        | 22,483,696       |       |
|                                                                                                      |       |         |        |             |       |
| MEMBERS’ CAPITAL:                                                                                    | ** ** | ** **   |        |             |       |
| Members’ Interest (648,186,814 Units and 532,683,079  Units outstanding, unlimited Units authorized) |       | 762,712,871  |        | 678,698,088      |       |
| Total members’ capital                                                                               |       | 762,712,871  |        | 678,698,088      |       |
|                                                                                                      |       |         |        |             |       |
| **TOTAL LIABILITIES AND MEMBERS’  CAPITAL**                                                          |       | $            | 770,743,573 |             | $          | 701,181,784 |   |
| ** **                                                                                                |       |         |        |             |       |
| **NET ASSET VALUE PER UNIT (SEE NOTE  4)**                                                                |       |         |        |             |       |

 

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** | ** ** | **For the six**   | ** ** | **For the six**   | ** **  |
|----------------------------------------------|------------|-------------------|-------------|-------------------|------------|-------------------|------------|-------------------|-------------|
| ** **                                   | ** ** | **months ended**  | ** **  | **months ended**  | ** ** | **months ended**  | ** ** | **months ended**  | ** **  |
| ** **                                   | ** ** | **June 30, 2009** | ** **  | **June 30, 2008** | ** ** | **June 30, 2009** | ** ** | **June 30, 2008** | ** **  |
| **TRADING PROFIT (LOSS):**                   |       |              |        |              |       |              |       |              |        |
|                                         |       |              |        |              |       |              |       |              |        |
| Realized                                     |       | $                 | 2,467,088   |              | $          | —            |       | $                 | 2,467,823   |   | $ | 59,031 |   |
| Change in unrealized, net                    |       | (30,209,096       | )           | 28,052,291        |       | (56,073,962       | )          | 41,635,179        |        |
|                                         |       |              |        |              |       |              |       |              |        |
| Total trading profit (loss)                  |       | (27,742,008       | )           | 28,052,291        |       | (53,606,139       | )          | 41,694,210        |        |
|                                         |       |              |        |              |       |              |       |              |        |
| **INVESTMENT INCOME:**                       | ** ** | ** **        | ** **  | ** **        | ** ** | ** **        |       |              |        |
| Interest                                     |       | 29,631            |        | 75,127            |       | 37,073            |       | 77,531            |        |
|                                         |       |              |        |              |       |              |       |              |        |
| **EXPENSES:**                                | ** ** | ** **        | ** **  | ** **        | ** ** | ** **        |       |              |        |
| Sponsor fee                                  |       | 3,551,089         |        | 1,382,240         |       | 6,814,212         |       | 2,062,530         |        |
| Other                                        |       | 98,649            |        | 162,346           |       | 276,337           |       | 545,590           |        |
| Total expenses                               |       | 3,649,738         |        | 1,544,586         |       | 7,090,549         |       | 2,608,120         |        |
|                                         |       |              |        |              |       |              |       |              |        |
| **NET INVESTMENT INCOME (LOSS)**             |       | (3,620,107        | )           | (1,469,459        | )          | (7,053,476        | )          | (2,530,589        | )           |
|                                         |       |              |        |              |       |              |       |              |        |
| **NET INCOME (LOSS)**                        |       | $                 | (31,362,115 | )                 | $          | 26,582,832        |       | $                 | (60,659,615 | ) | $ | 39,163,621 |   |
|                                         |       |              |        |              |       |              |       |              |        |
| **NET INCOME (LOSS) PER UNIT:**              | ** ** | ** **        | ** **  | ** **        | ** ** | ** **        | ** ** | ** **        | ** **  |
| ** **                                   | ** ** | ** **        | ** **  | ** **        | ** ** | ** **        | ** ** | ** **        | ** **  |
| Weighted average number of Units outstanding |       |              |        |              |       |              |       |              |        |
| Class A**                                    |       | 63,876,988        |        | 16,746,116        |       | 57,210,267        |       | 11,724,200        |        |
| Class C*                                     |       | 404,899,308       |        | 154,464,636       |       | 379,798,108       |       | 117,093,678       |        |
| Class D                                      |       | 25,297,946        |        | 24,517,703        |       | 28,952,960        |       | 20,823,339        |        |
| Class I*                                     |       | 66,425,628        |        | 41,200,934        |       | 63,512,612        |       | 33,086,451        |        |
| Class D1***                                  |       | 35,748,383        |        | 14,008,975        |       | 34,101,840        |       | 9,503,371         |        |
| Class DA****                                 |       | 45,821,817        |        | —            |       | 48,189,767        |       | —            |        |
|                                         |       |              |        |              |       |              |       |              |        |
| Net income (loss) per weighted average Unit  |       |              |        |              |       |              |       |              |        |
| Class A**                                    |       | $                 | (0.0464     | )                 | $          | 0.1026            |       | $                 | (0.0965     | ) | $ | 0.1929 |   |
| Class C*                                     |       | $                 | (0.0515     | )                 | $          | 0.1025            |       | $                 | (0.1052     | ) | $ | 0.1948 |   |
| Class D                                      |       | $                 | (0.0484     | )                 | $          | 0.1247            |       | $                 | (0.0939     | ) | $ | 0.2366 |   |
| Class I*                                     |       | $                 | (0.0483     | )                 | $          | 0.0999            |       | $                 | (0.0974     | ) | $ | 0.2056 |   |
| Class D1***                                  |       | $                 | (0.0432     | )                 | $          | 0.1324            |       | $                 | (0.0870     | ) | $ | 0.2484 |   |
| Class DA****                                 |       | $                 | (0.0361     | )                 | $          | —            |       | $                 | (0.0709     | ) | $ | — |   |

 

----

*Units issued June1, 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 notes tofinancial statements.

 

2

----

 

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the six months ended June 30, 2009 and 2008

(unaudited in Units)

 
| ** **                | ** ** | **Members’ Capital  December 31, 2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  June 30, 2008** | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  June 30, 2009** | ** ** |
|---------------------------|------------|----------------------------------------------|------------|-------------------|------------|-----------------|------------|------------------------------------------|------------|----------------------------------------------|------------|-------------------|------------|-----------------|------------|------------------------------------------|------------|
| Class A**                 |       | 5,078,646                                    |       | 17,890,903        |       | (2,710,871      | )          | 20,258,678                               |       | 43,411,942                                   |       | 29,378,781        |       | (6,332,948      | )          | 66,457,775                               |       |
| Class C*                  |       | 69,888,701                                   |       | 133,450,969       |       | (24,047,852     | )          | 179,291,818                              |       | 317,357,227                                  |       | 133,881,500       |       | (35,581,512     | )          | 415,657,215                              |       |
| Class D                   |       | 16,803,705                                   |       | 11,022,530        |       | (644,127        | )          | 27,182,108                               |       | 34,878,314                                   |       | —            |       | (15,638,873     | )          | 19,239,441                               |       |
| Class I*                  |       | 14,757,114                                   |       | 29,721,479        |       | (1,579,351      | )          | 42,899,242                               |       | 53,200,108                                   |       | 24,909,087        |       | (13,034,453     | )          | 65,074,742                               |       |
| Class D1***               |       | 4,990,154                                    |       | 14,765,382        |       | —          |       | 19,755,536                               |       | 31,040,046                                   |       | 8,454,565         |       | (1,582,722      | )          | 37,911,889                               |       |
| Class DA****              |       | —                                       |       | —            |       | —          |       | —                                   |       | 52,795,442                                   |       | —            |       | (8,949,690      | )          | 43,845,752                               |       |
|                      |       |                                         |       |              |       |            |       |                                     |       |                                         |       |              |       |            |       |                                     |       |
| Total Members’ Units |       | 111,518,320                                  |       | 206,851,263       |       | (28,982,201     | )          | 289,387,382                              |       | 532,683,079                                  |       | 196,623,933       |       | (81,120,198     | )          | 648,186,814                              |       |

 

----

*Units issued June1, 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 notes tofinancial statements.

 

3

----

 

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the six months ended June 30, 2009 and 2008

(unaudited)

 
| ** **                   | ** ** | **Members’ Capital  December 31, 2007** | ** **  | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income  (Loss)** | ** **  | **Members’ Capital  June 30, 2008** | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** **  | **Redemptions** | ** ** | **Net Income  (Loss)** | ** ** | **Members’ Capital  June 30, 2009** | ** **  |
|------------------------------|------------|----------------------------------------------|-------------|-------------------|------------|-----------------|------------|------------------------|-------------|------------------------------------------|------------|----------------------------------------------|------------|-------------------|-------------|-----------------|------------|------------------------|------------|------------------------------------------|-------------|
| Class A**                    |       | $                                            | 5,217,419   |              | $          | 20,214,417      |       | $                      | (3,053,721  | )                                        | $          | 2,261,936                                    |       | $                 | 24,640,051  |            | $          | 54,529,667             |       | $                                        | 35,638,288  |   | $ | (7,549,705 | ) | $ | (5,518,981 | ) | $ | 77,099,269 |   |
| Class C*                     |       | 74,531,573                                   |        | 154,755,299       |       | (26,883,355     | )          | 22,809,551             |        | 225,213,068                              |       | 409,646,343                                  |       | 167,504,515       |        | (44,147,220     | )          | (39,919,611            | )          | 493,084,027                              |        |
| Class D                      |       | 19,442,860                                   |        | 14,023,255        |       | (848,637        | )          | 4,927,142              |        | 37,544,620                               |       | 50,152,681                                   |       | —            |        | (21,718,952     | )          | (2,661,894             | )          | 25,771,835                               |        |
| Class I*                     |       | 15,867,209                                   |        | 33,883,944        |       | (1,844,255      | )          | 6,803,972              |        | 54,710,870                               |       | 70,208,485                                   |       | 31,981,356        |        | (16,526,680     | )          | (6,178,416             | )          | 79,484,745                               |        |
| Class D1***                  |       | 5,165,016                                    |        | 16,865,338        |       | —          |       | 2,361,020              |        | 24,391,374                               |       | 39,876,273                                   |       | 10,437,901        |        | (2,025,884      | )          | (2,965,070             | )          | 45,323,220                               |        |
| Class DA****                 |       | —                                       |        | —            |       | —          |       | —                 |        | —                                   |       | 54,284,639                                   |       | —            |        | (8,919,221      | )          | (3,415,643             | )          | 41,949,775                               |        |
|                         |       |                                         |        |              |       |            |       |                   |        |                                     | ** ** | ** **                                   |       |              |        |            |       |                   | ** ** | ** **                               | ** **  |
| Total Members’ Interest |       | $                                            | 120,224,077 |              | $          | 239,742,253     |       | $                      | (32,629,968 | )                                        | $          | 39,163,621                                   |       | $                 | 366,499,983 |            | $          | 678,698,088            |       | $                                        | 245,562,060 |   | $ | (100,887,662 | ) | $ | (60,659,615 | ) | $ | 762,712,871 |   |

 

----

*Units issued June1, 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 notes tofinancial statements.

 

4

----

 

 

ML SYSTEMATICMOMENTUM FUTURESACCESS LLC

(a DelawareLimited Liability Company)

FINANCIAL DATAHIGHLIGHTS

FOR THE THREEMONTHS ENDED JUNE 30, 2009

 
| ** **                                               | ** ** | **2009**    | ** ** | **2009**    | ** ** | **2009**    | ** ** | **2009**    | ** ** | **2009**     | ** ** | **2009**      | ** ** |
|----------------------------------------------------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|--------------|------------|---------------|------------|
| ** **                                               | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class D1** | ** ** | **Class DA*** | ** ** |
| ** **                                               | ** ** | ** **  | ** ** | ** **  | ** ** | ** **  | ** ** | ** **  | ** ** | ** **   | ** ** | ** **    | ** ** |
| **Per Unit Operating Performance:**                      |       |        |       |        |       |        |       |        |       |         |       |          |       |
|                                                     |       |        |       |        |       |        |       |        |       |         |       |          |       |
| Net asset value, beginning of period                     |       | $           | 1.2081     |        | $          | 1.2385      |       | $           | 1.3898     |         | $          | 1.2708        |       | $ | 1.2403 |   | $ | 0.9927 |   |
|                                                     |       |        |       |        |       |        |       |        |       |         |       |          |       |
| Realized and change in unrealized trading profit  (loss) |       | (0.0434     | )          | (0.0444     | )          | (0.0499     | )          | (0.0456     | )          | (0.0446      | )          | (0.0357       | )          |
| Brokerage commissions                                    |       | —      |       | —      |       | —      |       | —      |       | —       |       | —        |       |
| Interest income                                          |       | 0.0000      |       | 0.0000      |       | 0.0001      |       | 0.0000      |       | 0.0000       |       | 0.0000        |       |
| Expenses                                                 |       | (0.0046     | )          | (0.0078     | )          | (0.0005     | )          | (0.0038     | )          | (0.0002      | )          | (0.0002       | )          |
|                                                     |       |        |       |        |       |        |       |        |       |         |       |          |       |
| Net asset value, end of period                           |       | $           | 1.1601     |        | $          | 1.1863      |       | $           | 1.3395     |         | $          | 1.2214        |       | $ | 1.1955 |   | $ | 0.9568 |   |
|                                                     |       |        |       |        |       |        |       |        |       |         |       |          |       |
| **Total Return:**                                        |       |        |       |        |       |        |       |        |       |         |       |          |       |
|                                                     |       |        |       |        |       |        |       |        |       |         |       |          |       |
| Total return before Performance fees                     |       | -3.98       | %          | -4.22       | %          | -3.62       | %          | -3.88       | %          | -3.62        | %          | -3.62         | %          |
| Performance fees                                         |       | 0.00        | %          | 0.00        | %          | 0.00        | %          | 0.00        | %          | 0.00         | %          | 0.00          | %          |
| Total return after Performance fees                      |       | -3.98       | %          | -4.22       | %          | -3.62       | %          | -3.88       | %          | -3.62        | %          | -3.62         | %          |
|                                                     |       |        |       |        |       |        |       |        |       |         |       |          |       |
| **Ratios to Average Members’ Capital:**             |       |        |       |        |       |        |       |        |       |         |       |          |       |
|                                                     |       |        |       |        |       |        |       |        |       |         |       |          |       |
| Expenses (excluding Performance fees)                    |       | 0.40        | %          | 0.65        | %          | 0.03        | %          | 0.30        | %          | 0.03         | %          | 0.03          | %          |
| Performance fees                                         |       | 0.00        | %          | 0.00        | %          | 0.00        | %          | 0.00        | %          | 0.00         | %          | 0.00          | %          |
| Expenses (including Performance fees)                    |       | 0.40        | %          | 0.65        | %          | 0.03        | %          | 0.30        | %          | 0.03         | %          | 0.03          | %          |
|                                                     |       |        |       |        |       |        |       |        |       |         |       |          |       |
| Net investment income (loss)                             |       | -0.40       | %          | -0.64       | %          | -0.02       | %          | -0.30       | %          | -0.02        | %          | -0.02         | %          |

 

----

*Units issuedDecember 1, 2008

 

See notes tofinancial statements.

 

5

----

 

ML SYSTEMATICMOMENTUM FUTURESACCESS LLC

(a DelawareLimited Liability Company)

FINANCIAL DATAHIGHLIGHTS

FOR THE SIX MONTHSENDED JUNE 30, 2009

 

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

 
| ** **                                               | ** ** | **2009**    | ** ** | **2009**    | ** ** | **2009**    | ** ** | **2009**    | ** ** | **2009**     | ** ** | **2009**      | ** ** |
|----------------------------------------------------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|--------------|------------|---------------|------------|
| ** **                                               | ** ** | **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 |   |
|                                                     |       |        |       |        |       |        |       |        |       |         |       |          |       |
| Realized and change in unrealized trading profit  (loss) |       | (0.0864     | )          | (0.0886     | )          | (0.0976     | )          | (0.0909     | )          | (0.0887      | )          | (0.0710       | )          |
| Brokerage commissions                                    |       | —      |       | —      |       | —      |       | —      |       | —       |       | —        |       |
| Interest income                                          |       | 0.0001      |       | 0.0001      |       | 0.0001      |       | 0.0001      |       | 0.0001       |       | 0.0000        |       |
| Expenses                                                 |       | (0.0097     | )          | (0.0160     | )          | (0.0009     | )          | (0.0075     | )          | (0.0006      | )          | (0.0004       | )          |
|                                                     |       |        |       |        |       |        |       |        |       |         |       |          |       |
| Net asset value, end of period                           |       | $           | 1.1601     |        | $          | 1.1863      |       | $           | 1.3395     |         | $          | 1.2214        |       | $ | 1.1955 |   | $ | 0.9568 |   |
|                                                     |       |        |       |        |       |        |       |        |       |         |       |          |       |
| **Total Return:**                                        |       |        |       |        |       |        |       |        |       |         |       |          |       |
|                                                     |       |        |       |        |       |        |       |        |       |         |       |          |       |
| Total return before Performance fees                     |       | -7.64       | %          | -8.11       | %          | -6.95       | %          | -7.46       | %          | -6.95        | %          | -6.95         | %          |
| Performance fees                                         |       | 0.00        | %          | 0.00        | %          | 0.00        | %          | 0.00        | %          | 0.00         | %          | 0.00          | %          |
| Total return after Performance fees                      |       | -7.64       | %          | -8.11       | %          | -6.95       | %          | -7.46       | %          | -6.95        | %          | -6.95         | %          |
|                                                     |       |        |       |        |       |        |       |        |       |         |       |          |       |
| **Ratios to Average Members’ Capital:**             |       |        |       |        |       |        |       |        |       |         |       |          |       |
|                                                     |       |        |       |        |       |        |       |        |       |         |       |          |       |
| Expenses (excluding Performance fees)                    |       | 0.80        | %          | 1.29        | %          | 0.05        | %          | 0.60        | %          | 0.05         | %          | 0.05          | %          |
| Performance fees                                         |       | 0.00        | %          | 0.00        | %          | 0.00        | %          | 0.00        | %          | 0.00         | %          | 0.00          | %          |
| Expenses (including Performance fees)                    |       | 0.80        | %          | 1.29        | %          | 0.05        | %          | 0.60        | %          | 0.05         | %          | 0.05          | %          |
|                                                     |       |        |       |        |       |        |       |        |       |         |       |          |       |
| Net investment income (loss)                             |       | -0.79       | %          | -1.29       | %          | -0.05       | %          | -0.59       | %          | -0.05        | %          | -0.05         | %          |

 

----

*Class DS and waspreviously known as Class D-SM.

**Class DT waspreviously known as Class D-TF.

See notes tofinancial statements.

 

6

----

 

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

NOTES TO FINANCIALSTATEMENTS

(unaudited)

 

1.               SUMMARY OF SIGNIFICANT ACCOUNTINGPOLICIES

 

MLSystematic Momentum FuturesAccess LLC (the “Fund”) was organized under theDelaware Limited Liability Company Act on March 8, 2007 and commenced tradingactivities on April 1, 2007. The Fund issues new units of limited liabilitycompany interest (“Units”) at Net Asset Value per Unit as of the beginning ofeach 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 & SmithIncorporated (“MLPF&S”), a wholly-owned subsidiary of Merrill Lynch, is theFund’s commodity broker. On September 15, 2008, Merrill Lynch entered into anAgreement and Plan of Merger (as amended by Amendment No. 1 dated as of October21, 2008, the “Merger Agreement”) with Bank of America Corporation (“Bank ofAmerica”). Pursuant to the Merger Agreement, on January 1, 2009, a wholly-ownedsubsidiary of Bank of America merged with and into Merrill Lynch, with MerrillLynch continuing as the surviving corporation and a subsidiary of Bank ofAmerica.

 

In the opinion ofmanagement, these interim financial statements contain all adjustmentsnecessary for a fair statement of the financial position of the Fund as of June30, 2009, and the results of its operations for the three and six months ended June30, 2009 and 2008. However, the operating results for the interim period maynot 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, 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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2.               INVESTMENTS INUNDERLYING FUNDS

 

The seven funds (each a “Portfolio Fund” and collectively “PortfolioFunds”) in which the Fund is invested as of June 30, 2009 are: ML AltisFuturesAccess LLC (“Altis”), ML Aspect FuturesAccess LLC (“Aspect”), MLChesapeake FuturesAccess LLC (“Chesapeake”), ML Blue Trend FuturesAccess LLC (“BlueTrend”), ML John Locke FuturesAccess LLC (“John Locke”) ML Transtrend DTPEnhanced FuturesAccess LLC (“Transtrend”) and ML Winton FuturesAccess LLC (“Winton”). Effective May 31, 2009, GSAwas liquidated and the Fund no longer invests in GSA. The Sponsor reallocatedthe liquidation proceeds among the existing Portfolio Funds. MLAI, in itsdiscretion may, change the Portfolio Funds at any time. MLAI, also at itsdiscretion may vary the percentage of the Fund’s total portfolio allocated tothe different Portfolio Funds. There is no pre-established range for theminimum and maximum allocations that may be made to any given Portfolio Fund.

 

At June 30, 2009 Investments in Portfolio Funds at fair value are asfollows:

 
| ** ** | ** ** | **Percentage of  Members’  Capital** | ** ** | **Fair Value** | ** **  |
|------------|------------|-------------------------------------------|------------|----------------|-------------|
| Chesapeake |       | 10.17                                     | %          | 77,594,808     |        |
| Transtrend |       | 18.25                                     | %          | 139,208,867    |        |
| Altis      |       | 13.04                                     | %          | 99,493,296     |        |
| Winton     |       | 18.31                                     | %          | 139,665,636    |        |
| Aspect     |       | 9.48                                      | %          | 72,289,793     |        |
| John Locke |       | 18.54                                     | %          | 141,382,052    |        |
| BlueTrend  |       | 7.05                                      | %          | 53,790,882     |        |
| GSA (a)    |       | 0.00                                      | %          | —         |        |
|       |       | 94.84                                     | %          | $              | 723,425,334 |   |
|            |            |                                           |            |                |             |  |

 

Total Investmentsin Portfolio Funds at Fair Value (Cost $693,018,030)

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(a) In May, the GSA Portfolio was liquidated and Systematic Momentum nolonger invests in the GSA Portfolio.

 

At December 31, 2008, Investments in Portfolio Funds at fair value areas 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 Investmentsin Portfolio Funds at Fair Value (Cost $614,639,346)

 

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3.               FAIR VALUE OF INVESTMENTS

 

In September 2006, theFinancial 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 impact onthe 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 which managementbelieves approximates fair value. These net asset values are the prices used toexecute trades with these investment companies. If appropriate, adjustments to the reported net asset value may be madebased on various factors, including, but not limited to, the attributes of theinterest held, including the rights and obligations, and any restrictions orilliquidity.

 

Although there are monthly transactions in theseinvestment company interests, the Net Asset Value’s (“NAV”) are materiallybased on portfolios of Level I and Level II assets and liabilities for whichthe Fund has transparency.  As such, theFund determined that its investments in these investment companies in thiscase, would be classified as Level II.

 

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The followingtable summarizes the valuation of the Fund’s investment by the above FAS 157fair value hierarchy levels as of December 31, 2008 and June 30, 2009:

 
| ** **                    | ** ** | **Total** | ** **  | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|-------------------------------|------------|-----------|-------------|-------------|------------|--------------|------------|---------------|------------|
| Investment in Portfolio Funds |       |      |        |        |       |         |       |          |       |
|                          |       |      |        |        |       |         |       |          |       |
| December 31, 2008             |       | $         | 701,122,301 |        | N/A        |         | $          | 701,122,301   |       | N/A |   |
|                          |       |      |        |        |       |         |       |          |       |
| June 30, 2009                 |       | $         | 723,425,334 |        | N/A        |         | $          | 723,425,334   |       | N/A |   |

 

The Fund adopted Statement of Financial Accounting Standards No. 161, “Disclosuresabout Derivative Instruments and Hedging Activities” (“FAS 161”) as of January 1,2009 which requires qualitative disclosures about objectives and strategies forusing derivatives, quantitative disclosures about fair value amounts of andgains and losses on derivative instruments, and disclosures aboutcredit-risk-related contingent features in derivative agreements. FAS 161 onlyexpands the disclosure requirements for derivative instruments and relatedhedging activities and has no impact on Statement of Financial Condition orStatement of Operations and Members’ Capital. As the Fund invests only in otherPortfolio Funds, it does not have any direct investments in derivativeinstruments.

 

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4.               NET ASSET VALUE PER UNIT

 

In conformity with U.S.GAAP, the Fund amortizes over a twelve-month period the initial offering costsfor purposes of determining Net Asset Value. The Net Asset Value per Unit ofthe different Classes at June 30, 2009 and December 31, 2008 are as follows:

 

June 30, 2009

 
| ** ** | ** ** | **Net Asset Value per Unit** | ** ** |
|------------|------------|------------------------------|------------|
| Class A    |       | $                            | 1.1601     |   |
| Class C    |       | 1.1863                       |       |
| Class D    |       | 1.3395                       |       |
| Class I    |       | 1.2214                       |       |
| Class D1   |       | 1.1955                       |       |
| Class DA   |       | 0.9568                       |       |
|            |            |                              |            |  |

 

December 31, 2008

 
| ** ** | ** ** | **Net Asset Value per Unit** |   |
|------------|------------|------------------------------|--------|
| Class A    |       | $                            | 1.2561 |   |
| Class C    |       | 1.2908                       |   |
| Class D    |       | 1.4379                       |   |
| Class I    |       | 1.3197                       |   |
| Class D1   |       | 1.2847                       |   |
| Class DA   |       | 1.0282                       |   |
|            |            |                              |        |  |

 

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5.               MARKET, CREDIT ANDCONCENTRATION 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 MLPF&S acting as theircommodity broker.  Pursuant to thebrokerage arrangement with MLPF&S (which includes a netting arrangement),to the extent 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.

 

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6.               RECENT ACCOUNTING PRONOUNCEMENTS

 

InMay 2008, the FASB issued Statement of Financial Accounting Standards No. 162, “*The Hierarchy of Generally Accepted Accounting Principles*” (“FAS162”). FAS 162 identifies the sources of accounting principles and theframework for selecting the accounting principles used in preparing financialstatements of nongovernmental entities that are presented in conformity withU.S. GAAP. Currently, U.S. GAAP hierarchy is provided in the American Instituteof Certified Public Accountants U.S. Auditing Standards (“AU”) Section 411, “*The Meaning of Present Fairly in Conformity With Generally AcceptedAccounting Principles*” (“AU Section 411”). FAS 162 is effective 60days following the SEC’s approval of the Public Company Accounting OversightBoard’s amendments to AU Section 411. The Fund does not expect the adoption ofFAS 162 to have an impact on its financial statements.

 

In April 2009, theFASB 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, *FairValue Measurements*, when the volume and level of activity for theasset or liability have significantly decreased. This FSP also includesguidance on identifying circumstances that indicate a transaction is notorderly. The FSP emphasizes that even if there has been a significant decreasein the volume and level of activity for the asset or liability and regardlessof the valuation technique(s) used, the objective of a fair value measurementremains the same. Fair value is the price that would be received to sell anasset or paid to transfer a liability in an orderly transaction (that is, not aforced liquidation or distressed sale) between market participants at themeasurement date under current market conditions. The FSP also containsenhanced disclosure requirements whereby fair value disclosures as well ascertain disaggregated information will be disclosed. The Fund does not expectthe adoption of FSP 157-4 to have an impact on its financial statements.

 

In June 2008, the FASB issued Statement of Financial AccountingStandards No. 168, “The FASB Accounting Standards Codification and “TheHierarchy of Generally Accepted Accounting Principles - a replacement of FASBStatement No. 162” (“FAS 168”).  FAS 168identifies the sources of accounting principles and the framework for selectingthe accounting principles used in preparing financial statements ofnongovernmental entities that are presented in conformity with U.S. GAAP.  FAS 168 will be effective for financialstatements that cover interim and annual periods ending after September 15,2009.  The Fund does not expect theadoption of FAS 168 to have an impact on our financial statements

 

FASB issued Statement of Financial Accounting Standards Statement No. 165,Subsequent Events (“FAS 165”), which is effective for interim and annualperiods ending after June 15, 2009.  FAS165 establishes general standards of accounting for and disclosure of eventsthat occur after the balance sheet date but before financial statements areissued or are available to be issued.  Itrequires the disclosure of the date through which an entity has evaluatedsubsequent events and the basis for that date. The Fund has performed anevaluation of subsequent events, as defined under FAS 165, through August 14,2009, which is the date the financial statements were issued, and determinedthat there are no subsequent events that are required to be adjusted to, or disclosedin, the financial statements other than those disclosed in the subsequent eventsection in Note 7.

 

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7.               SUBSEQUENT EVENT

 

Thefollowing subsequent event occurred that requires disclosure under FAS 165.

 

1.Effective as of August 13, 2009, Paul Morton resigned as a Chief ExecutiveOfficer and President of MLAI and resigned as a member of MLAI’s Board ofManagers.

 

2.Effective as of August 13, 2009, Thomas W. Lee resigned as a Vice President ofMLAI and resigned as a member of MLAI’s Board of Managers.

 

3.Effective as of August 13, 2009, Justin C. Ferri, a Vice President and a memberof MLAI’s Board of Managers, became the Chief Executive Officer and Presidentof MLAI. He continues to serve as a member of MLAI’s Board of Managers, aposition which he held prior to his appointment as the Chief Executive Officerand President.

 

4. Effective as of August 13,2009, Deann Morgan, a Vice President of MLAI,  became a member of MLAI’sBoard of Managers. She continues to serve as aVice President of MLAI, a position which she held prior to her appointment as amember of MLAI’s Board of Managers.

 

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