**Exhibit13.01**

 

***ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC***

***(ADelaware Limited Liability Company)***

 

Financial Statements asof and for the years ended December 31, 2009 and 2008 and for the period April 2,2007 (commencement of operations) to December 31, 2007 and Report ofIndependent Registered Public Accounting Firms

 

 

 

----

 

ML SYSTEMATICMOMENTUM  FUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

TABLE OF CONTENTS

 
| ** **                                                                                                                                                                                         | ** ** | **Page** |
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|------------|----------|
|                                                                                                                                                                                               |       |     |
| REPORT  OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRMS                                                                                                                                          |       | 1        |
|                                                                                                                                                                                               |       |     |
| FINANCIAL  STATEMENTS:                                                                                                                                                                             |       |     |
|                                                                                                                                                                                               |       |     |
| Statements  of Financial Condition as of December 31, 2009 and 2008                                                                                                                           |       | 3        |
|                                                                                                                                                                                               |       |     |
| Statements of  Operations for the years ended December 31, 2009 and 2008 and for the  period April 2, 2007 (commencement of operations) to December 31,  2007                       |       | 4        |
|                                                                                                                                                                                               |       |     |
| Statements of  Changes in Members’ Capital for the years ended December 31, 2009 and  2008 and for the period April 2, 2007 (commencement of operations) to  December 31, 2007 |       | 5        |
|                                                                                                                                                                                               |       |     |
| Financial Data  Highlights for the years ended December 31, 2009 and 2008 and for the  period April 2, 2007 (commencement of operations) to December 31,  2007                      |       | 7        |
|                                                                                                                                                                                               |       |     |
| Notes  to Financial Statements                                                                                                                                                                     |       | 10       |

 

----

 

 

 

**Report of Independent RegisteredPublic Accounting Firm**

###  

To****theMembers of

ML Systematic MomentumFuturesAccess LLC:

 

In our opinion, theaccompanying statement of financial condition, and the related statements ofoperations, changes in members’ capital, and financial data highlights presentfairly, in all material respects, the financial position of ML SystematicMomentum FuturesAccess LLC at December 31, 2009, and the results of itsoperations, changes in its members’ capital, and financial data highlights forthe year then ended,****in conformitywith accounting principles generally accepted in the United States ofAmerica.  These financial statements andthe financial data highlights (hereafter referred to as the “financialstatements”) are the responsibility of the Fund’s management.  Our responsibility is to express an opinionon these financial statements based on our audit.  We conducted our audit of these statements inaccordance with the standards of the Public Company Accounting Oversight Board(United States).  Those standards requirethat we plan and perform the audit to obtain reasonable assurance about whetherthe financial statements are free of material misstatement.  An audit includes examining, on a test basis,evidence supporting the amounts and disclosures in the financial statements,assessing the accounting principles used and significant estimates made bymanagement, and evaluating the overall financial statement presentation.  We believe that our audit provides areasonable basis for our opinion.

 

 

/s/PricewaterhouseCoopersLLP

 

 

March 25, 2010

 

1

----

 

 

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTINGFIRM

 

To the Members of

ML Systematic Momentum FuturesAccess LLC:

 

We have audited the accompanying statement offinancial condition of ML Systematic Momentum FuturesAccess LLC (the “Fund”),as of December 31, 2008, and the related statements of operations, changesin members’ capital, and the financial data highlights for the year ended December 31,2008 and for the period April 2, 2007 (commencement of operations) to December 31,2007. These financial statements and financial data highlights are theresponsibility of the Fund’s management. Our responsibility is to express anopinion on these financial statements and financial data highlights based onour audits.

 

We conducted our audits in accordance with thestandards of the Public Company Accounting Oversight Board (United States).Those standards require that we plan and perform the audit to obtain reasonableassurance about whether the financial statements and financial data highlightsare free of material misstatement. The Fund is not required to have, nor werewe engaged to perform, an audit of its internal control over financial reporting.Our audits included consideration of internal control over financial reportingas a basis for designing audit procedures that are appropriate in thecircumstances, but not for the purpose of expressing an opinion on theeffectiveness of the Fund’s internal control over financial reporting.Accordingly, we express no such opinion. An audit also includes examining, on atest basis, evidence supporting the amounts and disclosures in the financialstatements, assessing the accounting principles used and significant estimatesmade by management, as well as evaluating the overall financial statementpresentation. We believe that our audits provide a reasonable basis for ouropinion.

 

In our opinion, the financial statements and financialdata highlights referred to above present fairly, in all material respects, thefinancial position of ML Systematic Momentum FuturesAccess LLC as ofDecember 31, 2008, the results of its operations, changes in members’capital and the financial data highlights for the year ended December 31,2008 and for the period April 2, 2007 (commencement of operations) to December 31,2007, in conformity with accounting principles generally accepted in the UnitedStates of America.

 

 

 

March 30, 2009

 

 

2

----

 

ML SYSTEMATICMOMENTUM FUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

STATEMENTS OF FINANCIAL CONDITION

AS OF DECEMBER 31,2009 and 2008

 
| ** **                                                                                                | ** ** | **2009**    | ** **  | **2008**    | ** ** |
|-----------------------------------------------------------------------------------------------------------|------------|-------------|-------------|-------------|------------|
| **ASSETS:**                                                                                               |       |        |        |        |       |
|                                                                                                      |       |        |        |        |       |
| Cash and cash equivalents                                                                                 |       | $           | 54,630,410  |        | $          | 36,548 |   |
| Investment in Portfolio Funds (Cost $757,978,343 and  $614,639,346)                                       |       | 787,161,250 |        | 701,122,301 |       |
| Prepaid Fee                                                                                               |       | 58,216      |        | —      |       |
| Accrued Interest Receivable                                                                               |       | 8,697       |        |        |       |
| Receivable from Portfolio Fund                                                                            |       | 36,355,806  |        | 22,935      |       |
|                                                                                                      |       |        |        |        |       |
| **TOTAL  ASSETS**                                                                                         |       | $           | 878,214,379 |        | $          | 701,181,784 |   |
|                                                                                                      |       |        |        |        |       |
| **LIABILITIES  AND MEMBERS’ CAPITAL:**                                                               |       |        |        |        |       |
| LIABILITIES:                                                                                              |       |        |        |        |       |
| Sponsor fee payable                                                                                       |       | $           | 1,442,757   |        | $          | 1,018,265 |   |
| Redemptions payable                                                                                       |       | 8,071,178   |        | 21,004,290  |       |
| Other liabilities                                                                                         |       | 399,200     |        | 461,141     |       |
|                                                                                                      |       |        |        |        |       |
| Total liabilities                                                                                         |       | 9,913,135   |        | 22,483,696  |       |
|                                                                                                      |       |        |        |        |       |
| MEMBERS’ CAPITAL:                                                                                    |       |        |        |        |       |
| Members’ Interest (742,615,122 Units and 532,683,079  Units outstanding, unlimited Units authorized) |       | 868,301,244 |        | 678,698,088 |       |
| Total members’ capital                                                                               |       | 868,301,244 |        | 678,698,088 |       |
|                                                                                                      |       |        |        |        |       |
| **TOTAL  LIABILITIES AND MEMBERS’ CAPITAL**                                                          |       | $           | 878,214,379 |        | $          | 701,181,784 |   |
| ** **                                                                                                |       |        |        |        |       |
| **NET  ASSET VALUE PER UNIT (SEE NOTE 6)**                                                                |       |        |        |        |       |

 

See notes tofinancial statements.

 

3

----

 

ML SYSTEMATICMOMENTUM FUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

STATEMENTS OFOPERATIONS

FOR THE YEARSENDED DECEMBER 31, 2009 AND 2008 AND

FOR THE PERIODAPRIL 2, 2007 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2007

 
| ** **                                   | ** ** | **2009**    | ** **  | **2008**    | ** ** | **2007**   | ** ** |
|----------------------------------------------|------------|-------------|-------------|-------------|------------|------------|------------|
| **TRADING  PROFIT (LOSS):**                  | ** ** | ** **  | ** **  | ** **  | ** ** | ** ** | ** ** |
|                                         |       |        |        |        |       |       |       |
| Realized, net                                |       | $           | (4,551,852  | )           | $          | 9,202,478  |       | $ | (560,037 | ) |
| Change in unrealized, net                    |       | (57,300,048 | )           | 71,910,257  |       | 14,550,075 |       |
|                                         |       |        |        |        |       |       |       |
| Total trading profit (loss)                  |       | (61,851,900 | )           | 81,112,735  |       | 13,990,038 |       |
|                                         |       |        |        |        |       |       |       |
| **INVESTMENT  INCOME:**                      |       |        |        |        |       |       |       |
| Interest                                     |       | 100,827     |        | 97,972      |       | 3,827      |       |
|                                         |       |        |        |        |       |       |       |
| **EXPENSES:**                                |       |        |        |        |       |       |       |
| Sponsor fee                                  |       | 14,993,578  |        | 6,953,728   |       | 485,354    |       |
| Other                                        |       | 1,066,617   |        | 632,387     |       | 504,521    |       |
| Total expenses                               |       | 16,060,195  |        | 7,586,115   |       | 989,875    |       |
|                                         |       |        |        |        |       |       |       |
| **NET  INVESTMENT INCOME (LOSS)**            |       | (15,959,368 | )           | (7,488,143  | )          | (986,048   | )          |
|                                         |       |        |        |        |       |       |       |
| **NET  INCOME (LOSS)**                       |       | $           | (77,811,268 | )           | $          | 73,624,592 |       | $ | 13,003,990 |   |
|                                         |       |        |        |        |       |       |       |
| **NET  INCOME (LOSS) PER UNIT:**             |       |        |        |        |       |       |       |
|                                         |       |        |        |        |       |       |       |
| Weighted average number of Units outstanding |       |        |        |        |       |       |       |
| Class A**                               |       | 72,278,307  |        | 23,953,472  |       | 3,034,273  |       |
| Class C*                                |       | 424,839,320 |        | 198,139,920 |       | 28,115,079 |       |
| Class D                                 |       | 27,746,997  |        | 25,725,432  |       | 57,470,233 |       |
| Class I*                                |       | 68,216,740  |        | 40,873,271  |       | 4,656,993  |       |
| Class D1***                             |       | 36,879,598  |        | 19,636,088  |       | 4,998,359  |       |
| Class DA****                            |       | 46,290,806  |        | 56,445,187  |       | —     |       |
|                                         |       |        |        |        |       |       |       |
| Net income (loss) per weighted average Unit  |       |        |        |        |       |       |       |
| Class A**                               |       | $           | (0.1065     | )           | $          | 0.2175     |       | $ | 0.1351 |   |
| Class C*                                |       | $           | (0.1252     | )           | $          | 0.2298     |       | $ | 0.1087 |   |
| Class D                                 |       | $           | (0.1098     | )           | $          | 0.2860     |       | $ | 0.1564 |   |
| Class I*                                |       | $           | (0.1129     | )           | $          | 0.2269     |       | $ | 0.0801 |   |
| Class D1***                             |       | $           | (0.0941     | )           | $          | 0.2374     |       | $ | 0.0350 |   |
| Class DA****                            |       | $           | (0.0608     | )           | $          | 0.0282     |       | $ | — |   |

 

----

*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 and liquidated as of September 30, 2009.

****(Presentationof weighted average units outstanding and net income(loss) per weighted averageunits for this share class is for the period January 1, 2009 to September 30,2009.)

 

See notes tofinancial statements.

 

4

----

 

 

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE YEARSENDED DECEMBER 31, 2009 AND 2008 AND

FOR THE PERIODAPRIL 2, 2007 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2007 (in units)

 
| ** **                | ** ** | **Initial Offering** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  December 31, 2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  December 31, 2009** | ** ** |
|---------------------------|------------|---------------------------|------------|-------------------|------------|-----------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|-------------------------------------------------------------|------------|
| Class A**            |       | —                    |       | 5,249,271         |       | (170,625        | )          | 5,078,646                                                   |       | 44,090,513        |       | (5,757,217      | )          | 43,411,942                                                  |       | 68,840,956        |       | (10,971,528     | )          | 101,281,370                                                 |       |
| Class C*             |       | —                    |       | 71,012,676        |       | (1,123,975      | )          | 69,888,701                                                  |       | 298,412,978       |       | (50,944,452     | )          | 317,357,227                                                 |       | 243,313,258       |       | (64,909,097     | )          | 495,761,388                                                 |       |
| Class D              |       | 80,000,000                |       | 16,803,705        |       | (80,000,000     | )          | 16,803,705                                                  |       | 23,519,954        |       | (5,445,345      | )          | 34,878,314                                                  |       | 12,101,406        |       | (16,996,575     | )          | 29,983,145                                                  |       |
| Class I*             |       | —                    |       | 14,757,114        |       | —          |       | 14,757,114                                                  |       | 46,161,324        |       | (7,718,330      | )          | 53,200,108                                                  |       | 41,524,978        |       | (18,911,876     | )          | 75,813,210                                                  |       |
| Class D1***          |       | —                    |       | 5,000,000         |       | (9,846          | )          | 4,990,154                                                   |       | 28,477,949        |       | (2,428,057      | )          | 31,040,046                                                  |       | 10,873,640        |       | (2,137,677      | )          | 39,776,009                                                  |       |
| Class DA****         |       | —                    |       | —            |       | —          |       | —                                                      |       | 56,445,187        |       | (3,649,745      | )          | 52,795,442                                                  |       | —            |       | (52,795,442     | )          | —                                                      |       |
|                      |       |                      |       |              |       |            |       |                                                        |       |              |       |            |       |                                                        |       |              |       |            |       |                                                        |       |
| Total Members’ Units |       | 80,000,000                |       | 112,822,766       |       | (81,304,446     | )          | 111,518,320                                                 |       | 497,107,905       |       | (75,943,146     | )          | 532,683,079                                                 |       | 376,654,238       |       | (166,722,195    | )          | 742,615,122                                                 |       |

 

----

*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 and liquidated as of September 30, 2009.

****(Presentationof weighted average units outstanding and net income(loss) per weighted averageunits for this share class is for the period January 1, 2009 to September 30,2009.)

 

See notes to financialstatements.

 

5

----

 

 

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2009 AND 2008 AND

FOR THE PERIOD APRIL 2, 2007 (COMMENCEMENT OF OPERATIONS) TO DECEMBER31, 2007

 
|                          |       |                      |       |              |       |            |       |                        |        |                                                        |       |              |       |            |        |                        |       |                                                        |       |              |        |            |       |                        |       |                                                        |        |   |   |        |   |   |         |   |   |        |   |   |        |   |
|-------------------------------|------------|---------------------------|------------|-------------------|------------|-----------------|------------|-----------------------------|-------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|-------------|-----------------------------|------------|-------------------------------------------------------------|------------|-------------------|-------------|-----------------|------------|-----------------------------|------------|-------------------------------------------------------------|-------------|--------|--------|-------------|--------|--------|--------------|--------|--------|-------------|--------|--------|-------------|--------|
| ** **                    | ** ** | **Initial Offering** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income  (Loss)** | ** **  | **Members’ Capital  December 31, 2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** **  | **Net Income  (Loss)** | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** **  | **Redemptions** | ** ** | **Net Income  (Loss)** | ** ** | **Members’ Capital  December 31, 2009** | ** **  |
| Class A**                |       | $                         | —     |              | $          | 4,977,396       |       | $                           | (169,767    | )                                                           | $          | 409,790           |       | $               | 5,217,419   |                        | $          | 50,773,605                                                  |       | $                 | (6,670,127  | )               | $          | 5,208,770                   |       | $                                                           | 54,529,667  |   | $      | 81,493,093  |   | $      | (12,896,520  | )      | $      | (7,692,771  | )      | $      | 115,433,469 |   |
| Class C*                 |       | —                    |       | 72,659,028        |       | (1,184,529      | )          | 3,057,074                   |        | 74,531,573                                                  |       | 350,073,604       |       | (60,487,671     | )           | 45,528,837                  |       | 409,646,343                                                 |       | 297,112,874       |        | (78,716,580     | )          | (53,153,380                 | )          | 574,889,257                                                 |        |
| Class D                  |       | 80,000,000                |       | 18,735,477        |       | (88,281,472     | )          | 8,988,855                   |        | 19,442,860                                                  |       | 30,338,088        |       | (6,986,221      | )           | 7,357,954                   |       | 50,152,681                                                  |       | 16,149,077        |        | (23,558,237     | )          | (2,989,145                  | )          | 39,754,376                                                  |        |
| Class I*                 |       | —                    |       | 15,493,954        |       | —          |       | 373,255                     |        | 15,867,209                                                  |       | 54,394,371        |       | (9,328,239      | )           | 9,275,144                   |       | 70,208,485                                                  |       | 52,343,272        |        | (23,702,669     | )          | (7,693,014                  | )          | 91,156,074                                                  |        |
| Class D1***              |       | —                    |       | 5,000,000         |       | (10,000         | )          | 175,016                     |        | 5,165,016                                                   |       | 33,092,685        |       | (3,043,195      | )           | 4,661,767                   |       | 39,876,273                                                  |       | 13,341,647        |        | (2,682,871      | )          | (3,466,981                  | )          | 47,068,068                                                  |        |
| Class DA****             |       | —                    |       | —            |       | —          |       | —                      |        | —                                                      |       | 56,445,187        |       | (3,752,668      | )           | 1,592,120                   |       | 54,284,639                                                  |       | —            |        | (51,468,662     | )          | (2,815,977                  | )          | —                                                      |        |
|                          | ** ** | ** **                | ** ** | ** **        | ** ** | ** **      | ** ** | ** **                  | ** **  | ** **                                                  | ** ** | ** **        | ** ** | ** **      | ** **  | ** **                  | ** ** | ** **                                                  | ** ** | ** **        | ** **  | ** **      | ** ** | ** **                  | ** ** | ** **                                                  | ** **  |
| Total  Members’ Interest |       | $                         | 80,000,000 |              | $          | 116,865,855     |       | $                           | (89,645,768 | )                                                           | $          | 13,003,990        |       | $               | 120,224,077 |                        | $          | 575,117,540                                                 |       | $                 | (90,268,121 | )               | $          | 73,624,592                  |       | $                                                           | 678,698,088 |   | $      | 460,439,963 |   | $      | (193,025,539 | )      | $      | (77,811,268 | )      | $      | 868,301,244 |   |

 

----

*Units issued June 1, 2007.

** Units issued on July 1, 2007.

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

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

****(Presentation of weighted average units outstanding and net income(loss)per weighted average units for this share class is for the period January 1,2009 to September 30, 2009.)

 

See notes to financial statements.

 

6

----

 

 

ML SYSTEMATICMOMENTUM FUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

FINANCIAL DATAHIGHLIGHTS

FOR THE YEAR ENDEDDECEMBER 31, 2009

 

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

 
| ** **                                                       | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class D1** | ** ** | **Class DA*** | ** ** |
|------------------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|-------------------|------------|--------------------|------------|
| **Per Unit Operating Performance:**                              |       |             |       |             |       |             |       |             |       |              |       |               |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Net asset value, beginning of year                               |       | $                | 1.2561     |             | $          | 1.2908           |       | $                | 1.4379     |              | $          | 1.3197             |       | $ | 1.2847 |   | $ | 1.0282 |   |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Net Realized and net unrealized change in trading  profit (loss) |       | (0.0971          | )          | (0.0995          | )          | (0.1119          | )          | (0.1022          | )          | (0.0998           | )          | 0.0073             |       |
| Interest income                                                  |       | 0.0001           |       | 0.0001           |       | 0.0002           |       | 0.0002           |       | 0.0001            |       | 0.0001             |       |
| Expenses                                                         |       | (0.0194          | )          | (0.0318          | )          | (0.0003          | )          | (0.0153          | )          | (0.0017           | )          | (0.0007            | )          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Net asset value, before liquidation                              |       | 1.1397           |       | 1.1596           |       | 1.3259           |       | 1.2024           |       | 1.1833            |       | 1.0349             |       |
| Less liquidating distribution                                    |       | —           |       | —           |       | —           |       | —           |       | —            |       | 1.0349             |       |
| Net asset value, end of year                                     |       | $                | 1.1397     |             | $          | 1.1596           |       | $                | 1.3259     |              | $          | 1.2024             |       | $ | 1.1833 |   | $ | — |   |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |               |       |
| **Total Return:****(a)**                                         |       |             |       |             |       |             |       |             |       |              |       |               |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Total return                                                     |       | -9.27            | %          | -10.17           | %          | -7.90            | %          | -8.90            | %          | -7.90             | %          | -5.50              | %          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |               |       |
| **Ratios to Average Members’ Capital:**                     | ** ** |             |       |             |       |             |       |             |       |              |       |               |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Expenses                                                         |       | 1.64             | %          | 2.64             | %          | 0.14             | %          | 1.24             | %          | 0.14              | %          | 0.10               | %          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Net investment income (loss)                                     |       | -1.63            | %          | -2.63            | %          | -0.13            | %          | -1.23            | %          | -0.13             | %          | -0.09              | %          |

 

----

*Units issuedDecember 1, 2008 and liquidated as of September 30, 2009.

(a) Thetotal return calculations are based on compounded monthly returns and iscalculated for each class taken as a whole.

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

 

See notes tofinancial statements.

 

7

----

 

ML SYSTEMATICMOMENTUM FUTURESACCESS LLC

(A Delaware LimitedLiability Company)

 

FINANCIAL DATAHIGHLIGHTS

FOR THE YEAR ENDEDDECEMBER 31, 2008

 

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

 
| ** **                                                | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class D1** | ** ** | **Class DA*** | ** ** |
|-----------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|-------------------|------------|--------------------|------------|
| **Per Unit Operating Performance:**                       |       |             |       |             |       |             |       |             |       |              |       |               |       |
| ** **                                                |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Net asset value, beginning of year                        |       | $                | 1.0273     |             | $          | 1.0664           |       | $                | 1.1571     |              | $          | 1.0752             |       | $ | 1.0350 |   | $ | 1.0000 |   |
|                                                      |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Net Realized and net unrealized change in trading  profit |       | 0.2494           |       | 0.2577           |       | 0.2846           |       | 0.2614           |       | 0.2532            |       | 0.0280             |       |
| Interest income                                           |       | 0.0003           |       | 0.0004           |       | 0.0004           |       | 0.0004           |       | 0.0003            |       | 0.0000             |       |
| Expenses                                                  |       | (0.0209          | )          | (0.0337          | )          | (0.0042          | )          | (0.0173          | )          | (0.0038           | )          | 0.0002             |       |
|                                                      |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Net asset value, end of year                              |       | $                | 1.2561     |             | $          | 1.2908           |       | $                | 1.4379     |              | $          | 1.3197             |       | $ | 1.2847 |   | $ | 1.0282 |   |
|                                                      |       |             |       |             |       |             |       |             |       |              |       |               |       |
| **Total Return:****(b)**                                  |       |             |       |             |       |             |       |             |       |              |       |               |       |
|                                                      |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Total return                                              |       | 22.20            | %          | 20.98            | %          | 24.05            | %          | 22.68            | %          | 24.05             | %          | 2.82               | %(a)       |
|                                                      |       |             |       |             |       |             |       |             |       |              |       |               |       |
| **Ratios to Average Members’ Capital:**              |       |             |       |             |       |             |       |             |       |              |       |               |       |
|                                                      |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Expenses                                                  |       | 1.85             | %          | 2.87             | %          | 0.34             | %          | 1.46             | %          | 0.34              | %          | -0.19              | %(a)       |
|                                                      |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Net investment income (loss)                              |       | -1.82            | %          | -2.84            | %          | -0.31            | %          | -1.43            | %          | -0.31             | %          | 0.19               | %(a)       |

 

----

*Units issuedDecember 1, 2008.

(a)  Theratios have been annualized and do not reflect the proportionate share ofincome and expenses of the Portfolio funds.

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

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

 

8

----

 

ML SYSTEMATICMOMENTUM FUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

FINANCIAL DATAHIGHLIGHTS

FOR THE PERIODAPRIL 2, 2007 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2007

 

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

 
| ** **                                                | ** ** | **Class A**** | ** ** | **Class C*** | ** ** | **Class D** | ** ** | **Class I*** | ** ** | **Class D1***** | ** ** |
|-----------------------------------------------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|-------------------|------------|----------------------|------------|
| **Per Unit Operating Performance:**                       |       |               |       |              |       |             |       |              |       |                 |       |
| ** **                                                |       |               |       |              |       |             |       |              |       |                 |       |
| Net asset value, beginning of year                        |       | $                  | 1.0000     |              | $          | 1.0000           |       | $                 | 1.0000     |                 | $          | 1.0000 |   | $ | 1.0000 |   |
|                                                      |       |               |       |              |       |             |       |              |       |                 |       |
| Net Realized and net change in unrealized trading  profit |       | 0.0400             |       | 0.0885            |       | 0.1613           |       | 0.0898            |       | 0.0389               |       |
| Interest income (b) (c)                              |       | —             |       | —            |       | —           |       | 0.0001            |       | —               |       |
| Expenses (c)                                              |       | (0.0127            | )          | (0.0221           | )          | (0.0042          | )          | (0.0147           | )          | (0.0039              | )          |
|                                                      |       |               |       |              |       |             |       |              |       |                 |       |
| Net asset value, end of year                              |       | $                  | 1.0273     |              | $          | 1.0664           |       | $                 | 1.1571     |                 | $          | 1.0752 |   | $ | 1.0350 |   |
|                                                      |       |               |       |              |       |             |       |              |       |                 |       |
| **Total Return: (a), (d)**                                |       |               |       |              |       |             |       |              |       |                 |       |
|                                                      |       |               |       |              |       |             |       |              |       |                 |       |
| Total return                                              |       | 2.73               | %          | 6.64              | %          | 15.71            | %          | 7.52              | %          | 3.50                 | %          |
|                                                      |       |               |       |              |       |             |       |              |       |                 |       |
| **Ratios to Average Members’ Capital:  (a)**         |       |               |       |              |       |             |       |              |       |                 |       |
|                                                      |       |               |       |              |       |             |       |              |       |                 |       |
| Expenses                                                  |       | 2.91               | %          | 4.16              | %          | 0.58             | %          | 2.72              | %          | 0.79                 | %          |
|                                                      |       |               |       |              |       |             |       |              |       |                 |       |
| Net investment income (loss)                              |       | -2.90              | %          | -4.15             | %          | -0.58            | %          | -2.71             | %          | -0.78                | %          |

 

----

* Units issued onJune 1, 2007

** Units issued onJuly 1, 2007

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

(a) Theratios have been annualized and do not reflect the proportionate share ofincome and expenses of the Portfolio Funds.

(b) Impact ofinterest income is less than $0.0001 for Class A, C, D and D1.

(c) Per Unitdata is calculated using weighted average Units during the period.

(d) The total returncalculations are based on compounded monthly returns and is calculated for eachclass taken as a whole.

An individualmembers’ return may vary from these returns based on timing of capitaltransactions.

 

See notes tofinancial statements.

 

9

----

 

ML SYSTEMATICMOMENTUM FUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

NOTES TO FINANCIALSTATEMENTS

 

1.               SUMMARY OF SIGNIFICANT ACCOUNTINGPOLICIES

 

Organization

 

ML SystematicMomentum FuturesAccess LLC (the “Fund”), a Merrill Lynch FuturesAccess Program(the “Program”) fund, was organized under the Delaware Limited LiabilityCompany Act on March 8, 2007 and commenced operations on April 2,2007.  The Fund operates as a “fund offunds”, allocating and reallocating its capital, under the direction of MerrillLynch Alternative Investments LLC (“MLAI” or the “Sponsor”), the Sponsor of theFund, among eight underlying FuturesAccess Funds (each a “Portfolio Fund”, andcollectively the “Portfolio Funds”) (See Note 2).

 

MLAI is anindirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. (“MerrillLynch”). Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”),a wholly-owned subsidiary of Merrill Lynch, is the commodity broker of thePortfolio Funds.  On September 15,2008, Merrill Lynch entered into an Agreement and Plan of Merger (as amended byAmendment No. 1 dated as of October 21, 2008, the “Merger Agreement”)with Bank of America Corporation (“Bank of America”). Pursuant to the MergerAgreement, on January 1, 2009, a wholly-owned subsidiary of Bank ofAmerica merged with and into Merrill Lynch, with Merrill Lynch continuing asthe surviving corporation and a subsidiary of Bank of America.

 

The Program is agroup of commodity pools sponsored by MLAI (each a “Program Fund” orcollectively, “Program Funds”) each of which places substantially all of itsassets in a managed futures and forward trading account managed by a single ormultiple commodity trading advisors. Each Program Fund is generally similar tothe Fund in terms of fees, Classes of Units and redemption rights. Each of theProgram Funds implements a different trading strategy.

 

The Fund offersfour Classes of Units to retail investors: Class A, Class C, Class Dand Class I. Each Class of Units was offered at $1.00 per Unit andsubsequently is offered at Net Asset Value per Unit (see Note 6). The fourClasses of Units are subject to different Sponsor fees. Classes D1 and DA areused exclusively for investments made by Systematic Momentum FuturesAccess LTDand Systematic Momentum FuturesAccess II LLC, respectively, and are not chargedSponsor fees.

 

Interests in the Fund are not insured or otherwise protected by theFederal Deposit Insurance Corporation or any other government authority.  Interests are not deposits or otherobligations of, and are not guaranteed by, Bank of America Corporation or anyof its affiliates or by any bank. Interests are subject to investment risks, including the possible lossof the full amount invested.

 

10

----

 

Estimates

 

The preparation offinancial statements in conformity with accounting principles generallyaccepted in the United States of America (“U.S. GAAP”) requires management tomake estimates 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. Certainprior year items have been reclassified to conform to the current yearpresentation.

 

Statement of Cash Flows

 

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

 

RevenueRecognition

 

The PortfolioFunds’ may invest in commodity futures, options on futures and forward contracttransactions are recorded on trade date. Open contracts are reflected in Netunrealized profit (loss) on open contracts in the Statements of FinancialCondition of the Portfolio Funds as the difference between the originalcontract value and the market value (for those commodity interests for whichmarket quotations are readily available) or at fair value.  The change in unrealized profit (loss) onopen contracts from one period to the next is reflected in Change in unrealizedunder Trading profit (loss) in the Statements of Operations of the PortfolioFunds.

 

Trading profit(loss) of the Portfolio Funds is reduced for brokerage commission costs.

 

The resultingchange between cost and market value (net of subscription and redemptionactivity in Portfolio Funds) is reflected in the Statements of Operations as “Changein unrealized”.  In addition, when the Fundredeems or partially redeems its interest in the Portfolio Funds, it recordsrealized (net profit or loss) under Trading profit (Loss) for such interests inthe Statements of Operations of the Portfolio Fund.

 

Trading profit(loss) of the Portfolio Funds is reduced for brokerage commission costs.

 

Foreign CurrencyTransactions

 

The Fund’s functional currency is the U.S. dollar; however, it and thePortfolio Funds may transact business in U.S. dollars and in currencies otherthan the U.S. dollar.  Assets andliabilities denominated in currencies other than the U.S. dollar are translatedinto U.S. dollars at the rates in effect at the date of the Statements ofFinancial Condition of the Fund and each of the Portfolio Funds.  Income and expense items denominated incurrencies other than the U.S. dollar are translated into U.S. dollars at therates in effect during the year.  Gainsand losses resulting from the translation to U.S. dollars are included inTrading Profit (loss) in the Statements of Operations of the Fund and each ofthe Portfolio Funds.

 

11

----

 

Cash and CashEquivalents

 

The Fund considers all highly liquid investments, with a maturity ofthree months or less when acquired, to be cash equivalents. Cash equivalentswere recorded at amortized cost which approximated fair value (Level II seeNote 3).  Cash was held at a nationally recognized financial institution.

 

OperatingExpenses, Offering Costs and Selling Commissions

 

The Fund pays forall routine operating costs (including ongoing offering costs, administration,custody, transfer, exchange and redemptions process, legal, regulatory filing,tax, audit, escrow, accounting and printing fees and expenses) incurred by theFund.

 

Class A Unitsare subject to a sales commission paid to Merrill Lynch ranging from 1.00% to2.50%.  Class D, and Class IUnits are subject to sales commissions up to 0.50%.  The rate assessed to a given subscription isbased upon the subscription amount. Sales commissions are directly deductedfrom subscription amounts.  Class C,DA and D1Units are not subject to any sales commissions.

 

Income Taxes

 

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

 

The Fund follows the ASC’s guidance onaccounting for uncertainty in income taxes. This guidance provides how uncertain tax positions should be recognized,measured, presented and disclosed in the financial statements.  This guidance also requires the evaluation oftax positions taken or expected to be taken in the course of preparing the Fund’sfinancial statements to determine whether the tax positions are “more-likely-than-not”to be sustained by the applicable tax authority.  Tax positions with respect to tax at the Fundlevel not deemed to meet the “more-likely-than-not” threshold would be recordedas a tax benefit or expense in the current year.  MLAI has analyzed the Fund’s tax positionsand has concluded that no provision for income tax is required in the Fund’sfinancial statements. The following are the major tax jurisdictions for theFund and the earliest tax year subject to examination: United States — 2006.

 

Distributions

 

The Members areentitled to receive, equally per Unit, any distributions which may be made bythe Fund.  No such distributions havebeen declared for the years ended December 31, 2009, 2008 and the period endedDecember 31, 2007.

 

Subscriptions

 

Units are offeredas of the close of business at the end of each month.  Shares are purchased as of the first businessday of any month at Net Asset Value (see Note 6), but the subscription requestmust be submitted at least three calendar days before the end of the precedingmonth.  Subscriptions submitted less thanthree days before the end of a month will be applied to Units subscriptions asof the beginning of the second month after receipt, unless revoked by MLAI.

 

12

----

 

Redemptions andExchanges

 

A Member mayredeem or exchange some or all of such Member’s Units at Net Asset Value (seeNote 6) as of the close of business, on the last business day of any month,upon ten calendar days’ notice (“notice period”).

 

An investor in the Fundcan exchange these Units for Units of the same Class in other ProgramFunds as of the beginning of each calendar month upon at least ten days’ priornotice.  The minimum exchange amount is$10,000.

 

Redemption andexchange requests are accepted within the notice period.  The Fund does not accept any redemptionrequests after the notice period.  Allredemption requests received after the notice period will be processed for thefollowing month.

 

Dissolution of theFund

 

TheFund may terminate if certain circumstances occur as set forth in the privateplacement memorandum, which   include butare not limited to the following:

 

(a)       Bankruptcy, dissolution,withdrawal or other termination of the trading advisors of this Fund.

(b)      Any event which wouldmake unlawful the continued existence of this Fund.

(c)       Determination by MLAI toliquidate or withdraw from the Fund.

 

2.               INVESTMENTS IN  PORTFOLIO FUNDS

 

The Portfolio Funds inwhich the Fund was invested as of December 31, 2009 and 2008 were:  ML Altis FuturesAccess LLC (“Altis”), MLAspect FuturesAccess LLC (“Aspect”), ML BlueTrend FuturesAccess LLC (“BlueTrend”), ML Chesapeake FuturesAccess LLC (“Chesapeake”), ML John LockeFuturesAccess LLC (“John Locke”), ML Transtrend DTP Enhanced FuturesAccess LLC(“Transtrend”) and ML Winton FuturesAccess LLC (“Winton”).  As of December 31, 2009, ML ChesapeakeFuturesAccess LLC is in liquidation. The Fund had a position in ML GSAFuturesAccess LLC (“GSA”) which liquidated May 31, 2009. MLAI, the Sponsorof the fund, may in its discretion, change the Portfolio Funds at any time.MLAI, also at its discretion may vary the percentage of the Fund’s totalportfolio allocated to the different Portfolio Funds. There is nopre-established range for the minimum and maximum allocations that may be madeto any given Portfolio Fund.

 

Theinvestment transactions were accounted for on a trade date basis. Theinvestments in the Portfolio Funds were valued at fair value and was reflectedin the Statements of Financial Condition. In determining fair value, MLAIutilized the net asset value of the underlying Portfolio Funds. The fair valuewas net of all fees relating to the Portfolio Funds, paid or accrued.Additionally, MLAI monitored the performance of the Portfolio Funds. Suchmonitoring procedures included, but were not limited to: monitoring marketmovements in Portfolio Funds’ investments, comparing performance to industrybenchmarks, and in-depth conference calls and site visits with the PortfolioFunds’ Managers.

 

13

----

 

 

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

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

 

----

|   * |   | Liquidated as of  May 2009              |
|---------------|--------|----------------------------------------------|
| **            |   | In liquidation as of  December 31, 2009 |
| (1)           |   | See note 5                                   |

 

At December 31,2008, details of Investments in Portfolio Funds are as follows:

 
| ** ** | ** ** | **Percentage of  Members’  Capital** | ** ** | **Fair Value** | ** **  | **Profit (Loss)** | ** ** | **Cost @ 12/31/08** | ** ** | **Management  Fees (1)** | ** **  | **Performance  Fees (1)** | ** ** | **Redemptions Permitted** | ** ** |
|------------|------------|------------------------------------------------|------------|---------------------|-------------|------------------------|------------|-------------------------------|------------|-------------------------------|-------------|--------------------------------|------------|--------------------------------|------------|
| Chesapeake |       | 10.43                                          | %          | 70,779,579          |        | 3,583,563              |       | 67,146,804                    |       | (946,192                      | )           | (1,156,091                     | )          | monthly                        |       |
| Transtrend |       | 16.47                                          | %          | 111,765,499         |        | 16,444,848             |       | 93,094,156                    |       | (1,231,913                    | )           | (6,770,217                     | )          | monthly                        |       |
| Altis      |       | 13.77                                          | %          | 93,483,991          |        | 29,676,850             |       | 64,293,199                    |       | (1,141,904                    | )           | (7,244,896                     | )          | monthly                        |       |
| Winton     |       | 16.36                                          | %          | 111,014,511         |        | 10,361,844             |       | 99,022,159                    |       | (1,190,256                    | )           | (2,396,979                     | )          | monthly                        |       |
| Aspect     |       | 10.45                                          | %          | 70,896,651          |        | 10,548,013             |       | 60,926,872                    |       | (961,833                      | )           | (2,478,788                     | )          | monthly                        |       |
| John Locke |       | 15.40                                          | %          | 104,525,135         |        | 10,325,464             |       | 92,724,807                    |       | (1,062,203                    | )           | (2,433,472                     | )          | monthly                        |       |
| BlueTrend  |       | 7.22                                           | %          | 48,989,192          |        | 7,948,538              |       | 41,040,653                    |       | (290,672                      | )           | (2,619,030                     | )          | monthly                        |       |
| GSA        |       | 13.21                                          | %          | 89,667,743          |        | (7,776,385             | )          | 96,390,696                    |       | (940,975                      | )           | (0                             | )          | monthly                        |       |
|       |       | 103.31                                         | %          | $                   | 701,122,301 |                   | $          | 81,112,735                    |       | $                             | 614,639,346 |                           | $          | (7,765,948                     | )          | $ | (25,099,473 | ) |   |   |
|            |            |                                                |            |                     |             |                        |            |                               |            |                               |             |                                |            |                                |            |  |  |  |  |  |

 

----

| (1) |   | See note 5 |
|-----|--------|------------|

 

14

----

 

These investments arerecorded at fair value and in accordance with Regulation S-X. The following issummarized financial information for each of the Portfolio Funds which requiresdisclosure.

 
| ** ** | ** ** | **As of December 31,2009**                        | ** **  | ** **                 | ** ** |
|------------|------------|------------------------------------------------------------------|-------------|----------------------------|------------|
| ** ** | ** ** | **Total Assets**                                            | ** **  | **Total Liabilities** | ** ** | **Total Capital** | ** ** | ** ** | ** ** |
| Transtrend |       | $                                                                | 238,072,475 |                       | $          | 2,171,789 |   | $ | 235,900,686 |   |   |   |
|       |       |                                                             |        |                       |       |   |   |   |   |
| Total      |       | $                                                                | 238,072,475 |                       | $          | 2,171,789 |   | $ | 235,900,686 |   |   |   |
|       |       |                                                             |        |                       |       |   |   |   |   |
| ** ** | ** ** | **As of December 31, 2008**                  | ** **  | ** **                 | ** ** |
| ** ** | ** ** | **Total Assets**                                            | ** **  | **Total Liabilities** | ** ** | **Total Capital** | ** ** | ** ** | ** ** |
| Transtrend |       | $                                                                | 234,472,658 |                       | $          | 17,137,534 |   | $ | 217,335,124 |   |   |   |
|       |       |                                                             |        |                       |       |   |   |   |   |
| Total      |       | $                                                                | 234,472,658 |                       | $          | 17,137,534 |   | $ | 217,335,124 |   |   |   |
|       |       |                                                             |        |                       |       |   |   |   |   |
| ** ** | ** ** | **For the year ended December 31,2009** | ** **  |
| ** ** | ** ** | ** **                                                       | ** **  | ** **                 | ** ** | ** ** | ** ** | **Net** | ** ** |
| ** ** | ** ** | **Income (Loss)**                                           | ** **  | **Commissions**            | ** ** | **Other** | ** ** | **Income (Loss)** | ** ** |
| Transtrend |       | $                                                                | (22,029,665 | )                          | $          | (718,793 | ) | $ | (3,081,699 | ) | $ | (25,830,157 | ) |
|       |       |                                                             |        |                       |       |   |   |   |   |
| Total      |       | $                                                                | (22,029,665 | )                          | $          | (718,793 | ) | $ | (3,081,699 | ) | $ | (25,830,157 | ) |
|       |       |                                                             |        |                       |       |   |   |   |   |
| ** ** | ** ** | **For the year ended December 31,2008** | ** **  |
| ** ** | ** ** | ** **                                                       | ** **  | ** **                 | ** ** | ** ** | ** ** | **Net** | ** ** |
| ** ** | ** ** | **Income (Loss)**                                           | ** **  | **Commissions**            | ** ** | **Other** | ** ** | **Income (Loss)** | ** ** |
| Transtrend |       | $                                                                | 24,932,397  |                       | $          | (220,822 | ) | $ | (1,496,509 | ) | $ | 23,215,066 |   |
|       |       |                                                             |        |                       |       |   |   |   |   |
| Total      |       | $                                                                | 24,932,397  |                       | $          | (220,822 | ) | $ | (1,496,509 | ) | $ | 23,215,066 |   |
|            |            |                                                                  |             |                            |            |  |  |  |  |  |  |  |  |  |

 

3.     FAIR VALUE OF INVESTMENTS

 

The FASB’s ASC’s provideauthoritative guidance on fair value measurement. This guidance defines fairvalue, establishes a framework for measuring fair value and expands disclosuresabout fair value measurements.

 

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

 

The fair valuemeasurement guidance established a hierarchal disclosure framework whichprioritizes and ranks the level of market price observability used in measuringinvestments at fair value. Market price observability is impacted by a numberof factors, including the type of investment and the characteristics specificto the investment. Investments with readily available active quoted prices orfor which fair value can be measured from actively quoted prices generally willhave a higher degree of market price observability and a lesser degree ofjudgment used in measuring fair value.

 

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

 

15

----

 

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. As required by the fair value measurement guidance, the Fund doesnot adjust the quoted price for these investments even in situations where theFund holds a large position and a sale could reasonably impact the quotedprice.

 

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 determined throughthe 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 and include situations where there is little, if any,market activity for the investment. Fair value for these investments isdetermined using valuation methodologies that consider a range of factors,including but not limited to the nature of the investment, local market conditions,trading values on public exchanges for comparable securities, current andprojected operating performance and financing transactions subsequent to theacquisition of the investment. The inputs into the determination of fair valuerequire significant management judgment. Due to the inherent uncertainty ofthese estimates, these values may differ materially from the values that wouldhave been used had a ready market for these investments existed.

 

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

 

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

 

The followingtable summarizes the valuation of the Fund’s investment by the above fair valuehierarchy levels as of December 31, 2009 and 2008:

 
| **Net unrealized**         | ** ** | ** ** | ** **  | ** **       | ** ** | ** **        | ** ** | ** **         | ** **  |
|---------------------------------|------------|------------|-------------|------------------|------------|-------------------|------------|--------------------|-------------|
| **profit (loss)**          | ** ** | ** ** | ** **  | ** **       | ** ** | ** **        | ** ** | ** **         | ** **  |
| **on open contracts** | ** ** | **Total**  | ** **  | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** **  |
|                            |       |       |        |             |       |              |       |               |        |
| December 31, 2009          |       | $          | 787,161,250 |             | $          | —            |       | $                  | 787,161,250 |   | $ | — |   |
| December 31, 2008          |       | $          | 701,122,301 |             | $          | —            |       | $                  | 701,122,301 |   | $ | — |   |

 

Effective January 1, 2009 the Fund adopted the guidance ondisclosures about derivative instruments and hedging activities which requiresqualitative disclosures about objectives and strategies for using 

 

16

----

 

derivatives, quantitative disclosures about fair value amounts of andgains and losses on derivative instruments, and disclosures aboutcredit-risk-related contingent features in derivative agreements. This guidanceonly expands the disclosure requirements for derivative instruments and relatedhedging activities and has no impact on Statements of Financial Condition orStatements of Operations or Statements of Changes in Members’ Capital. As theFund invests only in other Portfolio Funds, it does not have any directinvestments in derivative instruments.

 

4.     RELATED PARTY TRANSACTIONS

 

The PortfolioFunds’ U.S. dollar assets are maintained at MLPF&S. On assets held in U.S.dollars, Merrill Lynch credits the Portfolio Funds with interest at the mostfavorable rate payable by MLPF&S to accounts of Merrill Lynch affiliatesbut not less than 75% of such prevailing rate. The Portfolio Funds are credited with interest on any of their assetsand net gains actually held by MLPF&S non-U.S. dollar currencies at aprevailing local rate received by Merrill Lynch.  Merrill Lynch may derive certain economicbenefit, in excess of the interest which Merrill Lynch pays to the PortfolioFunds, from possession of such assets.

 

Merrill Lynchcharges the Portfolio Funds at prevailing local interest rates for financingrealized and unrealized losses on each Portfolio Fund’s non-U.S.dollar-denominated positions.  Suchamounts are netted against interest income due to the insignificance of suchamounts.

 

TheFund charges Sponsor fees on the month-end net assets after all other chargesat annual rates equal to 1.50% for Class A, 2.50% for Class C, and1.10% on Class I.  Class D, D1and DA are not charged a Sponsor Fee.  Sponsor fees are paid to MLAI.

 

No brokerage commission is charged to members at theFund level, although brokerage commissions are charged to members at thePortfolio Funds’ level, and members will be indirectly subject to their *pro rata* share of such fees based on the investment of theFund in such underlying Portfolio Funds. Brokerage commissions will bepaid on the completion or liquidation of a trade and are referred to as “round-turn”commissions, which cover both the initial purchase (or sale) and the subsequentoffsetting sale (or purchase) of a commodity futures contract.  A portion of the brokerage fees is paid toPortfolio Funds’ executing brokers, which include MLPF&S, as the commissionon their execution services. The “round-turn” commissions paid will not exceed$15 per round-turn, except in the case of certain foreign contracts on whichthe rates may be as high as $100 per round-turn due to the large size of thecontracts traded.  In general, it isestimated that aggregate brokerage commission charges will not exceed 3% andshould equal approximately 0.50% per annum of each of the Portfolio Fund’saverage month-end assets.

 

Interest andSponsor Fees as seen on the Statements of Operations are all received from orpaid to related parties.

 

The Fund holds cash at an unaffiliated bank which invests such cash ina money market fund which is managed by BlackRock, a related party to MLAI. The Cash and cash equivalents as seen on the Statements of FinancialCondition is the amount held by the related party.

 

17

----

 

5.     ADVISORY AGREEMENTS

 

Each Portfolio Fundimplements a systematic-based managed future strategy under the direction ofits trading advisors which are listed below:

 
| ** **         | ** ** | ** **                         | ** ** | **Next Renewal Date**     | ** ** |
|--------------------|------------|------------------------------------|------------|---------------------------|------------|
| **Portfolio Fund** | ** ** | **Advisor**                        | ** ** | **of Advisory Agreement** | ** ** |
| Altis              |       | Altis Partners (Jersey) Limited    |       | December 31, 2016    |       |
| Aspect             |       | Aspect Capital Management          |       | December 31, 2011    |       |
| Chesapeake*        |       | Chesapeake Capital Corporation     |       | December 31, 2016    |       |
| Transtrend         |       | Transtrend B.V.                    |       | December 31, 2012    |       |
| Winton             |       | Winton Capital Management Limited  |       | December 31, 2014    |       |
| John Locke         |       | John Locke Investments SA          |       | December 31, 2016    |       |
| GSA                |       | GSA Capital Partner, LLP           |       | June 30, 2012        |       |
| BlueTrend          |       | BlueCrest Capital Management, L.P. |       | December 31, 2010    |       |

 

----

* In liquidationas of December 31, 2009

 

The advisoryagreements shall be automatically renewed for successive three-year periodswith the exception of Transtrend which has an automatic renewal of one-yearperiod, on the same terms, unless terminated by either the Portfolio Fund orthe respective advisor upon 90 days’ notice to the other party.  The trading advisors determine the commodityfutures, options on futures and forward contract trades to be made on behalf oftheir respective Portfolio Fund accounts, subject to certain trading policiesand to certain rights reserved by MLAI.

 

The PortfolioFunds pay their respective trading advisors an annual management fee of 2.00%of their average month-end assets after reduction for the brokerage commissionsaccrued with respect to such assets. For Altis, Chesapeake, BlueTrend andTranstrend, MLAI receives 50% of the 2.00% management fees. For Aspect, Wintonand John Locke, MLAI receives 25% of the 2.00% management fees.  The remainder being paid to the respectiveTrading Advisor.

 

Performancecharged by the Portfolio Funds are calculated at 20% for all Portfolio Fundsexcept BlueTrend and Transtrend which is calculated at 25% of any New TradingProfit, as defined in the private placement memorandum, and earned by therespective advisors.  Performance feesare also paid out in respect of Units redeemed as of the end of interim month,to the extent of the applicable percentage of any New Trading Profitattributable to such Units. For the following Funds, Aspect, Winton and JohnLocke, MLAI received 25% of the 20% performance fees.

 

18

----

 

6.     NET ASSET VALUE PER UNIT

 

The Net Asset Value perUnit of the different Classes as of December 31, 2009 and 2008 are asfollows:

 

December 31, 2009

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

 

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 |   |

 

7.     WEIGHTED AVERAGE UNITS

 

The weighted average number of Units outstanding for each Class iscomputed for purposes of calculating net income per weighted average Unit. Theweighted average number of Units outstanding for the years ended December 31,2009, 2008 and the period ended December 31, 2007 equals the Unitsoutstanding for each Class as of such date, adjusted proportionately forUnits sold or redeemed based on the respective length of time each wasoutstanding during the year/period.

 

8.     RECENT ACCOUNTINGPRONOUNCEMENTS

 

In July 2009, the Financial Accounting StandardsBoard (“FASB”) issued Accounting Standards Codification (“ASC”) 105, *Generally Accepted Accounting Principles,*(ASC 105), whichapproved the FASB Accounting Standards Codification (the “Codification”) as thesingle source of authoritative nongovernmental GAAP. The Codification iseffective for interim or annual periods ending after September 15, 2009.All existing accounting standards have been superseded and all other accountingliterature not included in the Codification are considered nonauthoritative.ASC 105 was not intended to change the accounting literature and did not impactthe Fund’s financial condition or results of operations.  All accounting references within this reportare in accordance with the new Codification.

 

In April 2009,the FASB issued guidance on determining**fair**value**when**the**volume**and**level**of activity for the asset or liabilityhave significantly decreased and identifying transactions that are not orderly.This guidance**providesadditional guidance for estimating fair value in accordance with FASB guidanceon fair value measurements,when the volume and level of activity for the asset or liability havesignificantly decreased. This guidance also identifies circumstances thatindicate a transaction is not orderly. The guidance emphasizes that even ifthere has been a significant decrease in the volume and level of activity forthe asset or liability and regardless of the valuation technique(s) used,the objective of a fair value measurement remains the same. Fair value is theprice that would be received to sell an asset or paid to transfer a liabilityin an orderly transaction (that is, not a forced liquidation or distressedsale) between market participants at the measurement date under 

 

19

----

 

current marketconditions. The guidance also contains enhanced disclosure requirements wherebyfair value disclosures as well as certain disaggregated information will be disclosed.The adoption of this guidance had no impact on the financial statements.

 

In September 2009, the FASB issued *AccountingStandards Update No. 2009-12, Investments in Certain Entities That Calculate Net Asset Value perShare (or Its Equivalent) (the “ASU 2009-12”),*which is effective for interim or annual financial periodsending after December 15, 2009.  The adoption of this guidance had noimpact on the financial statements.

 

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

 

9.     MARKET AND CREDIT RISK

 

The nature of thisFund has certain risks, which cannot all be presented on the financialstatements.  The following summarizessome of those risks.

 

### Market Risk

###  

Derivative instrumentsinvolve varying degrees of market risk. Changes in the level or volatility of interest rates, foreign currencyexchange rates or the market values of the financial instruments or commoditiesunderlying such derivative instruments frequently result in changes in thePortfolio Funds’ net unrealized gains on open contracts 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 marketsmay also entail legal and political risks.

 

MLAI has procedures in place intended to controlmarket risk exposure, although there can be no assurance that they will, infact, succeed in doing so.  Theseprocedures focus primarily on monitoring the trading of the Portfolio Funds,calculating the Net Asset Value of the Fund and the Portfolio Funds as of theclose of business on each day and reviewing outstanding positions forover-concentrations.  While MLAI does notintervene in the markets to hedge or diversify the Portfolio Funds’ market exposure,MLAI may urge the respective trading advisors to reallocate positions in anattempt to avoid over-concentrations. However, such interventions are expected to be unusual.  It is expected that MLAI’s basic risk controlprocedures will consist of the ongoing process of advisor monitoring, with themarket risk controls being applied by respective trading advisors.

 

20

----

 

Credit Risk

 

The risksassociated with exchange-traded contracts are typically perceived to be lessthan those associated with over-the-counter (non-exchange-traded) transactions,because exchanges typically provide clearinghouse arrangements in which thecollective credit (in some cases limited in amount, in some cases not) of themembers of the exchange is pledged to support the financial integrity of theexchange.  In over-the-countertransactions, on the other hand, traders must rely solely on the credit oftheir respective individual counterparties. Margins, which may be subject to loss in the event of a default, aregenerally required in exchange trading, and counterparties may also requiremargin in the over-the-counter markets.

 

The credit riskassociated with these instruments from counterparty nonperformance is the netunrealized gains on open contracts, if any, included in the Statements ofFinancial Condition of the Portfolio Funds. The Portfolio Funds attempt tomitigate this risk by dealing exclusively with MLPFS as its 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.

 

Indemnifications

 

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

 

10.   SUBSEQUENT EVENTS

 

Management has evaluated theimpact of subsequent events on the Fund and has determined that there were nosubsequent events that require adjustments to, or disclosure in, the financialstatements.

 

21

----

 

*     *    *     *     *    *     *     *    *     *      *

 

To the best of the knowledge and belief of the

undersigned, theinformation contained in this

reportis accurate and complete.

 
|                                      |  |   |
|-------------------------------------------|--|--------|
| Barbra E. Kocsis                          |
| Chief Financial Officer                   |
| Merrill Lynch Alternative Investments LLC |
| Sponsor of                                |
| ML Systematic Momentum FuturesAccess LLC  |

 

22

----