**Exhibit 13.01**

 

***ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC***

***(A Delaware Limited Liability Company)***

 

Financial Statements as of and for the years ended

December 31, 2010, 2009 and 2008

and Reports of Independent Registered Public Accounting Firms

 

 

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ML SYSTEMATIC MOMENTUM  FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

TABLE OF CONTENTS

 
| ** **                                                                                                   | **Page** |
|--------------------------------------------------------------------------------------------------------------|----------|
|                                                                                                         |     |
| REPORTS   OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRMS                                                  | 2        |
|                                                                                                         |     |
| FINANCIAL   STATEMENTS:                                                                                      |     |
|                                                                                                         |     |
| Statements   of Financial Condition as of December 31, 2010 and 2009                                    | 4        |
|                                                                                                         |     |
| Statements   of Operations for the years ended December 31, 2010, 2009 and 2008                         | 5        |
|                                                                                                         |     |
| Statements   of Changes in Members’ Capital for the years ended December 31, 2010, 2009   and 2008 | 6        |
|                                                                                                         |     |
| Financial   Data Highlights for the years ended December 31, 2010, 2009 and 2008                        | 8        |
|                                                                                                         |     |
| Notes   to Financial Statements                                                                              | 11       |

 

1

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**Report of Independent Registered Public Accounting Firm**

 

To the Members of

ML Systematic Momentum FuturesAccess LLC:

 

In our opinion, the accompanying statements of financial condition, and the related statements of operations, changes in members’ capital, and financial data highlights present fairly, in all material respects, the financial position of ML Systematic Momentum FuturesAccess LLC (the “Fund”) at December 31,2010 and December 31, 2009, and the results of its operations, the changes in its members’ capital and its financial data highlights for the years then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and the financial data highlights (hereafter referred to as the “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the 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 by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

 

 

/s/ PricewaterhouseCoopers LLP 

 

 

March 15, 2011

 

*PricewaterhouseCoopers LLP, 300 Madison Avenue, New York, NY 10017*

*T: (646) 471 3000, F: (646) 471 8320, www.pwc.com/us*

 

2

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Members of 

ML Systematic Momentum FuturesAccess LLC:

 

We have audited the accompanying statements of operations, changes in members’ capital and the financial data highlights of ML Systematic Momentum FuturesAccess LLC (the “Fund”), for the year ended December 31, 2008. These financial statements and financial data highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial data highlights based on our audit.

 

We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial data highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also 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 by management, as well as evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion.

 

In our opinion, the financial statements and financial data highlights referred to above present fairly, in all material respects, the results of operations, changes in members’ capital and the financial data highlights of ML Systematic Momentum FuturesAccess LLC for the year ended December 31, 2008, in conformity with accounting principles generally accepted in the United States of America.

 

/s/ Deloitte & Touche LLP

 

New York, New York 

March 15, 2011

 
|   | A   member firm of **Deloitte Touche Tohmatsu** |
|--------|-------------------------------------------------|

 

3

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ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

STATEMENTS OF FINANCIAL CONDITION

AS OF DECEMBER 31, 2010 and 2009

 
| ** **                                                                                                 | ** ** | **2010**      | ** **    | **2009**    | ** ** |
|------------------------------------------------------------------------------------------------------------|------------|---------------|---------------|-------------|------------|
| **ASSETS:**                                                                                                |       |          |          |        |       |
|                                                                                                       |       |          |          |        |       |
| Cash and cash equivalents                                                                                  |       | $             | 312,720       |        | $          | 54,630,410 |   |
| Investment in Portfolio Funds (Cost $917,232,393   at 2010 and $757,978,343 at 2009)                       |       | 1,038,634,185 |          | 787,161,250 |       |
| Other assets                                                                                               |       | 120,000       |          | 58,216      |       |
| Accrued Interest Receivable                                                                                |       | 48            |          | 8,697       |       |
| Receivable from Portfolio Fund                                                                             |       | —        |          | 36,355,806  |       |
|                                                                                                       |       |          |          |        |       |
| **TOTAL ASSETS**                                                                                           |       | $             | 1,039,066,953 |        | $          | 878,214,379 |   |
|                                                                                                       |       |          |          |        |       |
| **LIABILITIES AND MEMBERS’ CAPITAL:**                                                                 |       |          |          |        |       |
| LIABILITIES:                                                                                               |       |          |          |        |       |
| Sponsor fee payable                                                                                        |       | $             | 1,718,827     |        | $          | 1,442,757 |   |
| Redemptions payable                                                                                        |       | 9,355,655     |          | 8,071,178   |       |
| Other liabilities                                                                                          |       | 580,585       |          | 399,200     |       |
|                                                                                                       |       |          |          |        |       |
| Total liabilities                                                                                          |       | 11,655,067    |          | 9,913,135   |       |
|                                                                                                       |       |          |          |        |       |
| MEMBERS’ CAPITAL:                                                                                     |       |          |          |        |       |
| Members’ Interest (803,714,707 Units and   742,615,122 Units outstanding, unlimited Units authorized) |       | 1,027,411,886 |          | 868,301,244 |       |
| Total members’ capital                                                                                |       | 1,027,411,886 |          | 868,301,244 |       |
|                                                                                                       |       |          |          |        |       |
| **TOTAL LIABILITIES AND MEMBERS’   CAPITAL**                                                          |       | $             | 1,039,066,953 |        | $          | 878,214,379 |   |
| ** **                                                                                                 | ** ** | ** **    | ** **    | ** **  | ** ** |
| **NET ASSET VALUE PER UNIT:**                                                                              |       |          |          |        |       |
| ** **                                                                                                 | ** ** | ** **    | ** **    | ** **  | ** ** |
| Class A                                                                                               |       | $             | 1.2523        |        | $          | 1.1397 |   |
| Class C                                                                                               |       | $             | 1.2615        |        | $          | 1.1596 |   |
| Class D                                                                                               |       | $             | 1.4789        |        | $          | 1.3259 |   |
| Class I                                                                                               |       | $             | 1.3265        |        | $          | 1.2024 |   |
| Class D1                                                                                              |       | $             | 1.3199        |        | $          | 1.1833 |   |
| Class DA                                                                                              |       | $             | —        |        | $          | — |   |
|                                                                                                       |       |          |          |        |       |
| See notes to financial statements.                                                                         |       |          |          |        |       |

 

4

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ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

STATEMENTS OF OPERATIONS

FOR THE YEARS ENDED DECEMBER 31, 2010, 2009 AND 2008

 
| ** **                                   | ** ** | **2010**    | ** ** | **2009**    | ** ** | **2008**      | ** ** |
|----------------------------------------------|------------|-------------|------------|-------------|------------|---------------|------------|
| **TRADING PROFIT (LOSS):**                   | ** ** | ** **  | ** ** | ** **  | ** ** | ** **    | ** ** |
|                                         |       |        |       |        |       |          |       |
| Realized, net                                |       | $           | 16,360,846 |        | $          | (4,551,852    | )          | $ | 9,202,478 |   |
| Change in unrealized, net                    |       | 92,218,885  |       | (57,300,048 | )          | 71,910,257    |       |
|                                         |       |        |       |        |       |          |       |
| Total trading profit (loss)                  |       | 108,579,731 |       | (61,851,900 | )          | 81,112,735    |       |
|                                         |       |        |       |        |       |          |       |
| **INVESTMENT INCOME:**                       |       |        |       |        |       |          |       |
| Interest                                     |       | 3,003       |       | 100,827     |       | 97,972        |       |
|                                         |       |        |       |        |       |          |       |
| **EXPENSES:**                                |       |        |       |        |       |          |       |
| Sponsor fee                                  |       | 18,769,349  |       | 14,993,578  |       | 6,953,728     |       |
| Other                                        |       | 1,451,397   |       | 1,066,617   |       | 632,387       |       |
| Total expenses                               |       | 20,220,746  |       | 16,060,195  |       | 7,586,115     |       |
|                                         |       |        |       |        |       |          |       |
| **NET INVESTMENT INCOME (LOSS)**             |       | (20,217,743 | )          | (15,959,368 | )          | (7,488,143    | )          |
|                                         |       |        |       |        |       |          |       |
| **NET INCOME (LOSS)**                        |       | $           | 88,361,988 |        | $          | (77,811,268   | )          | $ | 73,624,592 |   |
|                                         |       |        |       |        |       |          |       |
| **NET INCOME (LOSS) PER UNIT:**              |       |        |       |        |       |          |       |
|                                         |       |        |       |        |       |          |       |
| Weighted average number of Units outstanding |       |        |       |        |       |          |       |
| Class A                                 |       | 109,375,008 |       | 72,278,307  |       | 23,953,472    |       |
| Class C                                 |       | 531,784,589 |       | 424,839,320 |       | 198,139,920   |       |
| Class D                                 |       | 30,338,915  |       | 27,746,997  |       | 25,725,432    |       |
| Class I                                 |       | 79,536,161  |       | 68,216,740  |       | 40,873,271    |       |
| Class D1                                |       | 37,708,328  |       | 36,879,598  |       | 19,636,088    |       |
| Class DA*                               |       | —      |       | 46,290,806  |       | 56,445,187.00 |       |
|                                         |       |        |       |        |       |          |       |
| Net income (loss) per weighted average Unit  |       |        |       |        |       |          |       |
| Class A                                 |       | $           | 0.1146     |        | $          | (0.1065       | )          | $ | 0.2175 |   |
| Class C                                 |       | $           | 0.1053     |        | $          | (0.1252       | )          | $ | 0.2298 |   |
| Class D                                 |       | $           | 0.1602     |        | $          | (0.1098       | )          | $ | 0.2860 |   |
| Class I                                 |       | $           | 0.1255     |        | $          | (0.1129       | )          | $ | 0.2269 |   |
| Class D1                                |       | $           | 0.1317     |        | $          | (0.0941       | )          | $ | 0.2374 |   |
| Class DA*                               |       | $           | —     |        | $          | (0.0608       | )          | $ | 0.0282 |   |

 

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* 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.

 

5

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ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2010, 2009 AND 2008

 
| ** **                  | ** ** | **Members’ Capital**  | ** ** | ** **        | ** ** | ** **      | ** ** | **Members’ Capital**  | ** ** | ** **        | ** ** | ** **      | ** ** | **Members’ Capital**  | ** ** | ** **        | ** ** | ** **      | ** ** | **Members’ Capital**  | ** ** |
|-----------------------------|------------|---------------------------------|------------|-------------------|------------|-----------------|------------|---------------------------------|------------|-------------------|------------|-----------------|------------|---------------------------------|------------|-------------------|------------|-----------------|------------|---------------------------------|------------|
| ** **                  | ** ** | **December 31, 2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **December 31, 2008** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **December 31, 2009** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **December 31, 2010** | ** ** |
| Class A                |       | 5,078,646                       |       | 44,090,513        |       | (5,757,217      | )          | 43,411,942                      |       | 68,840,956        |       | (10,971,528     | )          | 101,281,370                     |       | 37,454,263        |       | (28,793,436     | )          | 109,942,197                     |       |
| Class C                |       | 69,888,701                      |       | 298,412,978       |       | (50,944,452     | )          | 317,357,227                     |       | 243,313,258       |       | (64,909,097     | )          | 495,761,388                     |       | 117,503,045       |       | (67,357,146     | )          | 545,907,287                     |       |
| Class D                |       | 16,803,705                      |       | 23,519,954        |       | (5,445,345      | )          | 34,878,314                      |       | 12,101,406        |       | (16,996,575     | )          | 29,983,145                      |       | 10,949,271        |       | (6,931,705      | )          | 34,000,711                      |       |
| Class I                |       | 14,757,114                      |       | 46,161,324        |       | (7,718,330      | )          | 53,200,108                      |       | 41,524,978        |       | (18,911,876     | )          | 75,813,210                      |       | 13,078,347        |       | (10,583,415     | )          | 78,308,142                      |       |
| Class D1               |       | 4,990,154                       |       | 28,477,949        |       | (2,428,057      | )          | 31,040,046                      |       | 10,873,640        |       | (2,137,677      | )          | 39,776,009                      |       | 2,388,929         |       | (6,608,568      | )          | 35,556,370                      |       |
| Class DA*              |       | —                          |       | 56,445,187        |       | (3,649,745      | )          | 52,795,442                      |       | —            |       | (52,795,442     | )          | —                          |       | —            |       | —          |       | —                          |       |
|                        |       |                            |       |              |       |            |       |                            |       |              |       |            |       |                            |       |              |       |            |       |                            |       |
| Total   Members’ Units |       | 111,518,320                     |       | 497,107,905       |       | (75,943,146     | )          | 532,683,079                     |       | 376,654,238       |       | (166,722,195    | )          | 742,615,122                     |       | 181,373,855       |       | (120,274,270    | )          | 803,714,707                     |       |

 

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

 

See notes to financial statements.

 

6

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ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2010, 2009 AND 2008
|                          |       |                            |         |              |       |            |       |                |        |                            |       |              |       |            |        |                |       |                            |       |              |         |            |       |                |       |                            |        |   |   |        |   |   |         |   |   |       |   |   |          |   |
|-------------------------------|------------|---------------------------------|--------------|-------------------|------------|-----------------|------------|---------------------|-------------|---------------------------------|------------|-------------------|------------|-----------------|-------------|---------------------|------------|---------------------------------|------------|-------------------|--------------|-----------------|------------|---------------------|------------|---------------------------------|-------------|--------|--------|-------------|--------|--------|--------------|--------|--------|------------|--------|--------|---------------|--------|
| ** **                    | ** ** | **Members’ Capital**  | ** **   | ** **        | ** ** | ** **      | ** ** | **Net Income** | ** **  | **Members’ Capital**  | ** ** | ** **        | ** ** | ** **      | ** **  | **Net Income** | ** ** | **Members’ Capital**  | ** ** | ** **        | ** **   | ** **      | ** ** | **Net Income** | ** ** | **Members’ Capital**  | ** **  |
| ** **                    | ** ** | **December 31, 2007** | ** **   | **Subscriptions** | ** ** | **Redemptions** | ** ** | **(Loss)**          | ** **  | **December 31, 2008** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** **  | **(Loss)**          | ** ** | **December 31, 2009** | ** ** | **Subscriptions** | ** **   | **Redemptions** | ** ** | **(Loss)**          | ** ** | **December 31, 2010** | ** **  |
| Class A                  |       | $                               | 5,217,419.00 |              | $          | 50,773,605      |       | $                   | (6,670,127  | )                               | $          | 5,208,770         |       | $               | 54,529,667  |                | $          | 81,493,093                      |       | $                 | (12,896,520  | )               | $          | (7,692,771          | )          | $                               | 115,433,469 |   | $      | 43,208,239  |   | $      | (33,492,677  | )      | $      | 12,533,508 |   | $      | 137,682,539   |   |
| Class C                  |       | 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                     |       | 137,194,846       |         | (79,462,491     | )          | 56,020,888          |       | 688,642,500                     |        |
| Class D                  |       | 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                      |       | 15,063,878        |         | (9,395,654      | )          | 4,861,560           |       | 50,284,160                      |        |
| Class I                  |       | 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                      |       | 15,803,018        |         | (13,065,374     | )          | 9,978,523           |       | 103,872,241                     |        |
| Class D1                 |       | 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                      |       | 2,952,144         |         | (8,057,275      | )          | 4,967,509           |       | 46,930,446                      |        |
| Class DA*                |       | —                          |         | 56,445,187        |       | (3,752,668      | )          | 1,592,120           |        | 54,284,639                      |       | —            |       | (51,468,662     | )           | (2,815,977          | )          | —                          |       | —            |         | —          |       | —              |       | —                          |        |
| ** **                    | ** ** | ** **                      | ** **   | ** **        | ** ** | ** **      | ** ** | ** **          | ** **  | ** **                      | ** ** | ** **        | ** ** | ** **      | ** **  | ** **          | ** ** | ** **                      | ** ** | ** **        | ** **   | ** **      | ** ** | ** **          | ** ** | ** **                      | ** **  |
| Total   Members’ Capital |       | $                               | 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 |   | $      | 214,222,125 |   | $      | (143,473,471 | )      | $      | 88,361,988 |   | $      | 1,027,411,886 |   |

 

----

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

 

See notes to financial statements.

 

7

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ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDED DECEMBER 31, 2010

 

The following per unit data and ratios have been derived from information provided in the financial statements.

 
| ** **                                                        | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class D1** | ** ** |
|-------------------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|-------------------|------------|
| **Per Unit Operating Performance:**                               |       |             |       |             |       |             |       |             |       |              |       |
|                                                              |       |             |       |             |       |             |       |             |       |              |       |
| Net asset value, beginning of year                                |       | $                | 1.1397     |             | $          | 1.1596           |       | $                | 1.3259     |              | $          | 1.2024 |   | $ | 1.1833 |   |
|                                                              |       |             |       |             |       |             |       |             |       |              |       |
| Net Realized and net unrealized change in trading   profit (loss) |       | 0.1319           |       | 0.1333           |       | 0.1551           |       | 0.1396           |       | 0.1384            |       |
| Interest income                                                   |       | 0.0000           |       | 0.0000           |       | 0.0000           |       | 0.0000           |       | 0.0000            |       |
| Expenses                                                          |       | (0.0193          | )          | (0.0314          | )          | (0.0021          | )          | (0.0155          | )          | (0.0018           | )          |
|                                                              |       |             |       |             |       |             |       |             |       |              |       |
| Net asset value, end of year                                      |       | $                | 1.2523     |             | $          | 1.2615           |       | $                | 1.4789     |              | $          | 1.3265 |   | $ | 1.3199 |   |
|                                                              |       |             |       |             |       |             |       |             |       |              |       |
| **Total Return: (a)**                                             |       |             |       |             |       |             |       |             |       |              |       |
|                                                              |       |             |       |             |       |             |       |             |       |              |       |
| Total return                                                      |       | 9.88             | %          | 8.78             | %          | 11.54            | %          | 10.32            | %          | 11.54             | %          |
|                                                              |       |             |       |             |       |             |       |             |       |              |       |
| **Ratios to Average Members’   Capital:**                    |       |             |       |             |       |             |       |             |       |              |       |
|                                                              |       |             |       |             |       |             |       |             |       |              |       |
| Expenses                                                          |       | 1.66             | %          | 2.67             | %          | 0.15             | %          | 1.26             | %          | 0.15              | %          |
|                                                              |       |             |       |             |       |             |       |             |       |              |       |
| Net investment income (loss)                                      |       | -1.66            | %          | -2.67            | %          | -0.15            | %          | -1.26            | %          | -0.15             | %          |

 

----

(a) The total return calculations are based on compounded monthly returns and is calculated for each class taken as a whole. An individual members’ return may vary from these returns based on timing of capital transactions.

 

See notes to financial statements.

 

8

----

 

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDED DECEMBER 31, 2009

 

The following per unit data and ratios have been derived from information provided in the financial 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 issued December 1, 2008 and liquidated as of September 30, 2009.

(a) The total return calculations are based on compounded monthly returns and is calculated for each class taken as a whole. An individual members’ return may vary from these returns based on timing of capital transactions.

 

See notes to financial statements.

 

9

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ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDED DECEMBER 31, 2008

 

The following per unit data and ratios have been derived from information provided in the financial 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               | %          |
|                                                       |       |             |       |             |       |             |       |             |       |              |       |               |       |
| **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               | %          |

 

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*Units issued December 1, 2008.

(a)  The ratios have been annualized and do not reflect the proportionate share of income and expenses of the Portfolio funds.

(b) The total return calculations are based on compounded monthly returns and is calculated for each class taken as a whole. An individual members’ return may vary from these returns based on timing of capital transactions.

 

See notes to financial statements.

 

10

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ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

NOTES TO FINANCIAL STATEMENTS

 

1.               SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

Organization

 

ML Systematic Momentum FuturesAccess LLC (the “Fund”), a Merrill Lynch FuturesAccess Program (the “Program”) fund, was organized under the Delaware Limited Liability Company Act on March 8, 2007 and commenced operations on April 2, 2007.  The Fund operates as a “fund of funds”, allocating and reallocating its capital, under the direction of Merrill Lynch Alternative Investments LLC (“MLAI” or the “Sponsor”), the Sponsor of the Fund, among seven underlying FuturesAccess Funds (each a “Portfolio Fund”, and collectively the “Portfolio Funds”) (See Note 2).

 

MLAI is an indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. (“Merrill Lynch”). Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”), a wholly-owned subsidiary of Merrill Lynch, is the commodity broker of the Portfolio Funds. Merrill Lynch is a wholly-owned subsidiary of Bank of America Corporation.

 

The Program is a group of commodity pools sponsored by MLAI (each a “Program Fund” or collectively, “Program Funds”) each of which places substantially all of its assets in a managed futures and forward trading account managed by a single or multiple commodity trading advisors. Each Program Fund is generally similar to the Fund in terms of fees, Classes of Units and redemption rights. Each of the Program Funds implements a different trading strategy.

 

As of December 31, 2010 the Fund offers four Classes of Units to retail investors: Class A, Class C, Class D and Class I. Each Class of Units was offered at $1.00 per Unit and subsequently is offered at Net Asset Value per Unit. The four Classes of Units are subject to different Sponsor fees. Class D1 is used exclusively for investments made by Systematic Momentum FuturesAccess LTD. Class DA was used exclusively for investments made by Systematic Momentum FuturesAccess II LLC until its liquidation at September 30, 2009.

 

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

 

11

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Estimates

 

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period.  Actual results could differ from those estimates and such differences could be material.

 

Statement of Cash Flows

 

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

 

Revenue Recognition

 

The Portfolio Funds’ may invest in commodity futures, options on futures and forward contract transactions which are recorded on trade date. Open contracts are reflected in Net unrealized profit (loss) on open contracts in the Statements of Financial Condition of the Portfolio Funds as the difference between the original contract value and the market value (for those commodity interests for which market quotations are readily available) or at fair value.  The change in unrealized profit (loss) on open contracts from one period to the next is reflected in Change in unrealized under Trading profit (loss) in the Statements of Operations of the Portfolio Funds.

 

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

 

The resulting change between cost and market value (net of subscription and redemption activity in the investment in the Portfolio Funds) is reflected in the Statements of Operations as “Change in unrealized”.  In addition, when the Fund redeems or partially redeems its interest in the Portfolio Funds, it records realized (net profit or loss) under Trading profit (Loss) for such interests in the Statements of Operations of the Portfolio Fund.

 

Foreign Currency Transactions

 

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

 

12

----

 

Cash and Cash Equivalents

 

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

 

Operating Expenses and Selling Commissions

 

The Fund pays for all 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 the Fund.

 

Class A Units are subject to a sales commission paid to Merrill Lynch ranging from 1.00% to 2.50%.  Class D and Class I Units are subject to sales commissions up to 0.50%.  The rate assessed to a given subscription is based upon the subscription amount. Sales commissions are directly deducted from subscription amounts.  Class C and D1Units are not subject to any sales commissions.

 

Income Taxes

 

No provision for income taxes has been made in the accompanying financial statements as each Member is individually responsible for reporting income or loss based on such Member’s share of the Fund’s income and expenses as reported for income tax purposes.

 

The Fund follows the Accounting Standard Codification (“ASC”) guidance on accounting 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 of tax positions taken or expected to be taken in the course of preparing the Fund’s financial 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 Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year.  MLAI has analyzed the Fund’s tax positions and has concluded that no provision for income tax is required in the Fund’s financial statements. The following are the major tax jurisdictions for the Fund and the earliest tax year subject to examination: United States — 2007.

 

Distributions

 

The Members are entitled to receive, equally per Unit, any distributions which may be made by the Fund. No such distributions have been declared for the years ended December 31, 2010, 2009 and 2008.

 

Subscriptions

 

Units are offered as of the close of business at the end of each month.  Shares are purchased as of the first business day of any month at Net Asset Value, but the subscription request must be submitted at least three calendar days before the end of the preceding month.  Subscriptions submitted less than three days before the end of a month will be applied to Units subscriptions as of the beginning of the second month after receipt, unless revoked by MLAI.

 

13

----

 

Redemptions and Exchanges

 

A Member may redeem or exchange some or all of such Member’s Units at Net Asset Value 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 Fund can exchange these Units for Units of the same Class in other Program Funds as of the beginning of each calendar month upon at least ten days’ prior notice.  The minimum exchange amount is $10,000.

 

Redemption and exchange requests are accepted within the notice period.  The Fund does not accept any redemption requests after the notice period.  All redemption requests received after the notice period will be processed for the following month.

 

Dissolution of the Fund

 

The Fund may terminate if certain circumstances occur as set forth in the private placement memorandum, which   include but are not limited to the following:

 

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

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

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

 

2.         INVESTMENTS IN  PORTFOLIO FUNDS

 

The Portfolio Funds in which the Fund was invested as of December 31, 2010 and 2009 were:  ML Altis FuturesAccess LLC (“Altis”), ML Aspect FuturesAccess LLC (“Aspect”), ML Blue Trend FuturesAccess LLC (“Blue Trend”), ML John Locke FuturesAccess LLC (“John Locke”) ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”), ML Tudor Tensor FuturesAccess LLC (“Tudor Tensor”) and ML Winton FuturesAccess LLC (“Winton”).  The Fund had positions in ML Chesapeake FuturesAccess LLC (“Chesapeake”) which liquidated January 31, 2010 and ML GSA FuturesAccess LLC (“GSA”) which liquidated May 31, 2009. MLAI, the Sponsor of 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 total portfolio allocated to the different Portfolio Funds. There is no pre-established range for the minimum and maximum allocations that may be made to any given Portfolio Fund.

 

The investment transactions were accounted for on the trade date. The investments in the Portfolio Funds were valued at fair value and were reflected in the Statements of Financial Condition. In determining fair value, MLAI utilized the net asset value of the underlying Portfolio Funds. The fair value was net of all fees relating to the Portfolio Funds, paid or accrued. Additionally, MLAI monitored the performance of the Portfolio Funds. Such monitoring procedures included, but were not limited to: monitoring market movements in Portfolio Funds’ investments, comparing performance to industry benchmarks, and in-depth conference calls and site visits with the Portfolio Funds’ Managers.

 

14

----

 

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

 
| ** **   | ** ** | **Percentage of   Members’   Capital** | ** ** | **Fair Value** | ** **    | **Profit (Loss)** | ** ** | **Cost @ 12/31/10** | ** ** | **Management   Fees** | ** **  | **Performance   Fees** | ** ** | **Redemptions Permitted** | ** ** |
|--------------|------------|--------------------------------------------------|------------|---------------------|---------------|------------------------|------------|-------------------------------|------------|-----------------------|-------------|------------------------|------------|--------------------------------|------------|
| Chesapeake*  |       | 0.00                                             | %          | —              |          | (2,598,008             | )          | —                        |       | (144,407              | )           | —                 |       | monthly                        |       |
| Transtrend   |       | 17.87                                            | %          | 183,615,388         |          | 29,487,583             |       | 170,118,192                   |       | (3,404,718            | )           | —                 |       | monthly                        |       |
| Altis        |       | 13.05                                            | %          | 134,073,398         |          | 12,597,945             |       | 104,309,484                   |       | (2,445,604            | )           | —                 |       | monthly                        |       |
| Winton       |       | 17.74                                            | %          | 182,231,744         |          | 20,913,669             |       | 159,384,935                   |       | (3,399,640            | )           | —                 |       | monthly                        |       |
| Aspect       |       | 10.04                                            | %          | 103,142,819         |          | 14,049,609             |       | 89,607,738                    |       | (1,888,760            | )           | —                 |       | monthly                        |       |
| John   Locke |       | 14.08                                            | %          | 144,651,209         |          | 10,500,284             |       | 135,795,468                   |       | (2,627,905            | )           | —                 |       | monthly                        |       |
| BlueTrend    |       | 15.53                                            | %          | 159,597,862         |          | 18,370,900             |       | 131,991,494                   |       | (2,703,505            | )           | —                 |       | monthly                        |       |
| Tudor        |       | 12.78                                            | %          | 131,321,765         |          | 5,257,749              |       | 126,025,082                   |       | (2,391,031            | )           | —                 |       | monthly                        |       |
|         |       |                                             |       |                |          |                   |       |                          |       |                  |        |                   |       |                           |       |
|         |       | 101.09                                           | %          | $                   | 1,038,634,185 |                   | $          | 108,579,731                   |       | $                     | 917,232,393 |                   | $          | (19,005,570                    | )          | $ | — |   |   |   |
|              |            |                                                  |            |                     |               |                        |            |                               |            |                       |             |                        |            |                                |            |  |  |  |  |  |

 

----

* Liquidated as of January 31, 2010.

 

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** | ** **  | **Performance   Fees** | ** ** | **Redemptions Permitted** | ** ** |
|--------------|------------|--------------------------------------------------|------------|---------------------|-------------|------------------------|------------|-------------------------------|------------|-----------------------|-------------|------------------------|------------|--------------------------------|------------|
| Chesapeake** |       | 8.01                                             | %          | 89,097,919          |        | 548,547                |       | 85,817,248                    |       | (1,610,421            | )           | (66,420                | )          | monthly                        |       |
| Transtrend   |       | 13.69                                            | %          | 152,211,381         |        | (25,830,157            | )          | 159,370,194                   |       | (2,728,503            | )           | (174                   | )          | monthly                        |       |
| Altis        |       | 10.37                                            | %          | 115,332,711         |        | (8,896,043             | )          | 95,037,963                    |       | (2,077,161            | )           | —                 |       | monthly                        |       |
| Winton       |       | 14.26                                            | %          | 158,630,744         |        | (8,375,671             | )          | 155,014,029                   |       | (2,753,086            | )           | (76                    | )          | monthly                        |       |
| Aspect       |       | 7.75                                             | %          | 86,166,474          |        | (8,874,084             | )          | 85,326,225                    |       | (1,594,961            | )           | (4,182                 | )          | monthly                        |       |
| John   Locke |       | 11.22                                            | %          | 124,737,088         |        | (9,350,844             | )          | 126,419,973                   |       | (2,692,888            | )           | —                 |       | monthly                        |       |
| BlueTrend    |       | 5.48                                             | %          | 60,984,933          |        | 2,608,281              |       | 50,992,711                    |       | (1,136,431            | )           | (575,116               | )          | monthly                        |       |
| GSA*         |       | 0.00                                             | %          | —              |        | (3,681,929             | )          | —                        |       | (690,487              | )           | —                 |       | monthly                        |       |
|         |       | 70.78                                            | %          | $                   | 787,161,250 |                   | $          | (61,851,900                   | )          | $                     | 757,978,343 |                   | $          | (15,283,938                    | )          | $ | (645,968 | ) |   |   |
|              |            |                                                  |            |                     |             |                        |            |                               |            |                       |             |                        |            |                                |            |  |  |  |  |  |

 

----

* Liquidated as of May 2009

** Liquidated as of January 31, 2010.

 

As of December 31, 2010 and 2009, no single investment in the Portfolio Funds exceeds 5% of Member’

 

15

----

 

These investments are recorded at fair value and in accordance with Regulation S-X. The following is summarized financial information for each of the Portfolio Funds which requires disclosure.

 
| ** ** | ** ** | **As of December 31, 2010** | ** **  |
|------------|------------|-------------------------------------------------|-------------|
| ** ** | ** ** | **Total Assets**                           | ** **  | **Total Liabilities** | ** ** | **Total Capital** | ** ** |
| Transtrend |       | $                                               | 258,918,312 |   | $ | 2,958,512 |   | $ | 255,959,800 |   |
|       |       |                                            |        |   |   |   |   |
| Total      |       | $                                               | 258,918,312 |   | $ | 2,958,512 |   | $ | 255,959,800 |   |

 
| ** ** | ** ** | **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 |   |

 
| ** ** | ** ** | **For the year ended December 31,2010** | ** ** |
|------------|------------|------------------------------------------------------------------|------------|
| ** ** | ** ** | ** **                                                       | ** ** | ** ** | ** ** | ** ** | ** ** | **Net** | ** ** |
| ** ** | ** ** | **Income (Loss)**                                           | ** ** | **Commissions** | ** ** | **Other** | ** ** | **Income (Loss)** | ** ** |
| Transtrend |       | $                                                                | 35,391,195 |   | $ | (912,767 | ) | $ | (4,990,845 | ) | $ | 29,487,583 |   |
|       |       |                                                             |       |   |   |   |   |   |   |
| Total      |       | $                                                                | 35,391,195 |   | $ | (912,767 | ) | $ | (4,990,845 | ) | $ | 29,487,583 |   |

 
| ** ** | ** ** | **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 | ) |

 

3.              FAIR VALUE OF INVESTMENTS

 

The Financial Accounting Standards Board (“FASB”) issued the ASC which provide authoritative guidance on fair value measurement. This guidance defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements.

 

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

 

The fair value measurement guidance established a hierarchal disclosure framework which prioritizes and ranks the level of market price observability used in measuring investments at fair value. Market price observability is impacted by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.

 

16

----

 

Investments measured and reported at fair value are classified and disclosed in one of the following categories:

 

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

 

Level II — Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of generally accepted and understood models or other valuation methodologies. Investments which are generally included in this category are investments valued using market data.

 

Level III — Pricing inputs are unobservable and include situations where there is little, if any, market activity for the investment. Fair value for these investments is determined 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 and projected operating performance and financing transactions subsequent to the acquisition of the investment. The inputs into the determination of fair value require significant management judgment. Due to the inherent uncertainty of these estimates, these values may differ materially from the values that would have 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 the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. MLAI’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.

 

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

 

Investments in Portfolio Funds are valued using the net asset value reported by the Portfolio Funds, which management believes approximates fair value. These net asset values are the prices used to execute trades with these Portfolio Funds.

 

Although there are monthly transactions in these Portfolio Funds, the Net Asset Value’s (“NAV”) are materially based on portfolios of Level I and Level II assets and liabilities for which the Fund has transparency.  As such, the Fund determined that its investments in these investment companies in this case, would be classified as Level II. There were no transfers to or from Level II during 2010 and 2009.

 

17

----

 

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

 
| **Investment in ** | ** ** | ** ** | ** **    | ** **       | ** ** | ** **        | ** ** | ** **         | ** **    |
|------------------------------|------------|------------|---------------|------------------|------------|-------------------|------------|--------------------|---------------|
| **Portfolio Funds**     | ** ** | **Total**  | ** **    | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** **    |
|                         |       |       |          |             |       |              |       |               |          |
| December 31, 2010       |       | $          | 1,038,634,185 |             | $          | —            |       | $                  | 1,038,634,185 |   | $ | — |   |
| December 31, 2009       |       | $          | 787,161,250   |             | $          | —            |       | $                  | 787,161,250   |   | $ | — |   |

 

4.                     RELATED PARTY TRANSACTIONS

 

The Portfolio Funds’ 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 most favorable rate payable by MLPF&S to accounts of Merrill Lynch affiliates but not less than 75% of such prevailing rate.  The Portfolio Funds are credited with interest on any of their assets and net gains actually held by MLPF&S in non-U.S. dollar currencies at a prevailing local rate received by Merrill Lynch.  Merrill Lynch may derive certain economic benefit, in excess of the interest which Merrill Lynch pays to the Portfolio Funds, from possession of such assets.

 

Merrill Lynch charges the Portfolio Funds at prevailing local interest rates for financing realized and unrealized losses on each Portfolio Fund’s non-U.S. dollar-denominated positions.  Such amounts are netted against interest income due to the insignificance of such amounts.

 

The Fund charges Sponsor fees on the month-end net assets after all other charges at annual rates equal to 1.50% for Class A, 2.50% for Class C, and 1.10% on Class I.  Class D1 and D are not charged a Sponsor Fee.   Sponsor fees are paid to MLAI.

 

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

 

Interest and Sponsor Fees as presented on the Statements of Operations are all received from or paid to related parties.

 

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

 

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5.                     ADVISORY AGREEMENTS

 

Each Portfolio Fund implements a systematic-based managed futures strategy under the direction of its 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, 2011              |       |
| Tudor                   |       | Tudor Investment Corporation       |       | December 31, 2012              |       |

 

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* Liquidated as of May 31, 2009

** Liquidated as of January 31, 2010.

 

The advisory agreements shall be automatically renewed for successive three-year periods with the exception of Transtrend which has an automatic renewal of one-year period and Tudor which has an automatic renewal of two-year period on the same terms, unless terminated by either the Portfolio Fund or the respective advisor upon 90 days’ notice to the other party.  The trading advisors determine the commodity futures, options on futures and forward contract trades to be made on behalf of their respective Portfolio Fund accounts, subject to certain trading policies and to certain rights reserved by MLAI.

 

The Portfolio Funds pay their respective trading advisors an annual management fee of 2.00% of their average month-end assets after reduction for the brokerage commissions accrued with respect to such assets. For Altis, BlueTrend, Transtrend and Tudor, MLAI receives 50% of the 2.00% management fees. For Aspect, Winton and John Locke, MLAI receives 25% of the 2.00% management fees.  The remainder is paid to the respective Trading Advisor.

 

Performance charged by the Portfolio Funds are calculated at 20% for all Portfolio Funds except BlueTrend and Transtrend which is calculated at 25% of any New Trading Profit, as defined in the private placement memorandum, and earned by the respective advisors.  Performance fees are 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 Profit attributable to such Units. For the following Funds, Aspect, Winton and John Locke, MLAI received 25% of the 20% performance fees.

 

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6.                     WEIGHTED AVERAGE UNITS

 

The weighted average number of Units outstanding for each Class is computed for purposes of calculating net income (loss) per weighted average Unit. The weighted average number of Units outstanding for the years ended December 31, 2010, 2009 and 2008 equals the Units outstanding for each Class as of such date, adjusted proportionately for Units sold or redeemed based on the respective length of time each was outstanding during the year/period.

 

7.                     RECENT ACCOUNTING PRONOUNCEMENTS

 

In January 2010, the FASB issued an update to the fair value measurements disclosure. Pursuant to this update, additional disclosures in the financial statements relating to transfers in and out of Levels 1 and 2 fair value measurements and separate disclosure of purchases, sales, issuances, and settlements in Level 3 rollforward, will be required. In addition, this update provides clarifications on i) the level of aggregation of classes of assets and liabilities disclosed in the fair value measurement disclosures and ii) disclosures relating to the inputs and valuation techniques for Level 2 and Level 3 fair value measurements. The new disclosures and clarifications of existing disclosures are effective for annual reporting periods beginning after December 15, 2009, except for the disclosures about purchases, sales, issuances, and settlements in the Level 3 roll forward which are effective for fiscal years beginning after December 15, 2010. This update further enhances the fair value disclosures and the Sponsor has determined that the adoption of this update would not have a material impact to the Fund’s financial statements.

 

8.                     MARKET AND CREDIT RISK

 

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

 

Market Risk

 

Derivative instruments involve varying degrees of market risk.  Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the financial instruments or commodities underlying such derivative instruments frequently result in changes in the Portfolio Funds’ net unrealized gains on open contracts on such derivative instruments as reflected in the Statements of Financial Condition of the Portfolio Funds.  The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Portfolio Funds as well as the volatility and liquidity of the markets in which the derivative instruments are traded.  Investments in foreign markets may also entail legal and political risks.

 

MLAI has procedures in place intended to control market risk exposure, although there can be no assurance that they will, in fact, succeed in doing so.  These procedures focus primarily on monitoring the trading of the Portfolio Funds, calculating the Net Asset Value of the Fund and the Portfolio Funds as of the close of business on each day and reviewing outstanding positions for over-concentrations.  While MLAI does not intervene in the markets to hedge or diversify the Portfolio Funds’ market exposure, MLAI may urge the respective trading advisors to reallocate positions in an attempt to avoid over-concentrations.  However, such interventions are expected to be unusual.  It is expected that MLAI’s basic risk control procedures will consist of the ongoing process of advisor monitoring, with the market risk controls being applied by respective trading advisors.

 

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Credit Risk

 

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

 

The credit risk associated with these instruments from counterparty nonperformance is the net unrealized gains on open contracts, if any, included in the Statements of Financial Condition of the Portfolio Funds. The Portfolio Funds attempt to mitigate this risk by dealing exclusively with MLPF&S as its clearing brokers.

 

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

 

Indemnifications

 

In the normal course of business the Fund has entered, or may in the future enter, into agreements that obligate the Fund to indemnify third parties, including affiliates of the Fund, for breach of certain representations and warranties made by the Fund. No claims have actually been made with respect to such indemnities and any quantification would involve hypothetical claims that have not been made. Based on the Fund’s experience, MLAI expected the risk of loss to be remote and, therefore, no provision has been recorded.

 

9.                     SUBSEQUENT EVENTS

 

Management has evaluated the impact of subsequent events on the Fund and has determined that there were no subsequent events that require adjustments to, or disclosure in, the financial statements.

 

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*     *     *     *     *     *     *     *     *     *      *

 

To the best of the knowledge and belief of the

undersigned, the information contained in this

report is accurate and complete.

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

 

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