-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, A92ueQe8SzeAPSJSlpBjiVSsMNVgHXh+rIEpDLtzRnlqZt3p3//7LFxPNKChEZu+ O8Kr83MXkSZIQv93NaxnWA== 0001104659-10-017445.txt : 20100331 0001104659-10-017445.hdr.sgml : 20100331 20100330193915 ACCESSION NUMBER: 0001104659-10-017445 CONFORMED SUBMISSION TYPE: 10-K PUBLIC DOCUMENT COUNT: 21 CONFORMED PERIOD OF REPORT: 20091231 FILED AS OF DATE: 20100331 DATE AS OF CHANGE: 20100330 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ML Systematic Momentum FuturesAccess LLC CENTRAL INDEX KEY: 0001393359 STANDARD INDUSTRIAL CLASSIFICATION: [6221] IRS NUMBER: 300408280 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-K SEC ACT: 1934 Act SEC FILE NUMBER: 000-52505 FILM NUMBER: 10715592 BUSINESS ADDRESS: STREET 1: 800 SCUDDERS MILL ROAD SECTION 2G CITY: PLAINSBORO STATE: NJ ZIP: 08536 BUSINESS PHONE: 877-465-8435 MAIL ADDRESS: STREET 1: 800 SCUDDERS MILL ROAD SECTION 2G CITY: PLAINSBORO STATE: NJ ZIP: 08536 10-K 1 a10-3641_410k.htm 10-K

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-K

x Annual Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the fiscal year ended: December 31, 2009

o Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

Commission file number: 0-52505

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(Exact name of registrant as specified in its charter)

Delaware		30-0408280
(State or other jurisdiction of		(I.R.S. Employer
incorporation or organization)		Identification No.)

c/o Merrill Lynch Alternative Investments LLC

Four World Financial Center, 6th Floor

250 Vesey Street

New York, New York 10080

(Address of principal executive offices)

(Zip Code)

212-449-3517

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act: None

Securities registered pursuant to Section 12(g) of the Act: Units of Limited Liability Company Interest

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. Yes o No x

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or 15(d) of the Act. Yes o No x

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

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

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K is not contained herein, and will not be contained, to the best of registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K. x

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

Large accelerated filer o		Accelerated filer o

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

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

The Units of the limited liability company interest of the registrant are not publicly traded. Accordingly, there is no aggregate market value for the registrant’s outstanding equity that is readily determinable.

As February 28, 2010 units of limited liability company interest with a Net Asset Value of $868,882,656 were outstanding and held by non-affiliates.

Documents Incorporated by Reference

The registrant’s 2009 Annual Reports and Report of Independent Registered Public Accounting Firms, the annual report to security holders for the period ended December 31, 2009, is incorporated by reference into Part II, Item 8, and Part IV hereof and filed as an Exhibit herewith. Copies of the annual report are available free of charge by contacting Alternative Investments Client Services at 1-866-MER-ALTS.

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

ANNUAL REPORT FOR 2009 ON FORM 10-K

Table of Contents

		PAGE

PART I

Item 1.	Business	1

Item 1A.	Risk Factors	6

Item 1B.	Unresolved Staff Comments	8

Item 2.	Properties	8

Item 3.	Legal Proceedings	8

Item 4.	Reserved	8

PART II

Item 5.	Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities	9

Item 6.	Selected Financial Data	11

Item 7.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	20

Item 7A.	Quantitative and Qualitative Disclosures about Market Risks	25

Item 8.	Financial Statements and Supplementary Data	36

Item 9.	Changes in and Disagreements with Accountants on Accounting and Financial Disclosure	36

Item 9A(T).	Controls and Procedures	36

Item 9B.	Other Information	37

PART III

Item 10.	Directors, Executive Officers and Corporate Governance	38

Item 11.	Executive Compensation	40

Item 12.	Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters	40

Item 13.	Certain Relationships and Related Transactions and Director Independence	40

Item 14.	Principal Accountant Fees and Services	41

PART IV

Item 15.	Exhibits and Financial Statement Schedules	43

PART I

Item 1: Business

(a) General Development of Business:

ML Systematic Momentum FuturesAccess LLC (the “Fund”) was organized under the Delaware Limited Liability Company Act on March 8, 2007 and commenced activities on April 2, 2007. The Fund operates as a “fund of funds” allocating and reallocating its capital under the direction of Merrill Lynch Alternate Investments LLC (“MLAI”), the sponsor and manager of the Fund, among eight underlying MLAI sponsored and managed Futures Access Funds (each a “Portfolio Fund,” and collectively the “Portfolio Funds”). The Fund issues new units of limited liability company interest (“Units”) at Net Asset Value per Unit (see Item 6 for discussion of net asset value and net asset value per unit for subscriptions and redemptions purposes hereinafter referred to as Net Asset Value and Net Asset Value per Unit ) as of the beginning of each calendar month.

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

The Fund calculates the net asset value per Unit of each class of Units as of the close of business on the last business day of each calendar month and such other dates as MLAI may determine in its discretion. The Fund’s net asset value as of any calculation date will generally equal the value of the Fund’s investments in the underlying funds as of such date, plus any other assets held by the Fund, minus accrued brokerage commissions, sponsor’s, management and performance fees, organizational expense amortization and any operating costs and other liabilities of the Fund. MLAI is authorized to make all net asset value determinations.

The Net Asset Value and the Net Asset Value per Unit in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) was $868,301,244 and $1.1397 for Class A, $1.1596 for Class C, $1.3259 for Class D, $1.2024 for Class I, $1.1833 for Class D1 and $0 for Class DA.

The highest month-end Net Asset Value per Unit for Class A since the Fund began operations was $1.2561 (December 31, 2008) and the lowest was $0.9090 (August 31, 2007.) The highest month-end Net Asset Value per Unit for Class C since the Fund began operations was $1.2909 (December 31, 2008) and the lowest was $0.9467 (August 31, 2007). The highest month-end Net Asset Value per Unit for Class D since the Fund began operations was $1.4396 (December 31, 2008) and the lowest was $1.0212 (August 31 2007).The highest month-end Net Asset Value per Unit for Class I since the Fund began Operations was $1.3199 (December 31, 2008) and the lowest was $0.9500 (August 31, 2007). The highest month-end Net Asset Value per Unit for Class D1 since the Fund began operations was $1.2848 (December 31, 2008) and the lowest was $0.9113 (August 31, 2007) . The highest month-end Net Asset Value per Unit for Class DA since the Fund began Operations was $1.0282 (December 31, 2008) and the lowest was $0.9460 (July 31, 2009).

(b) Financial Information about Segments:

The Fund’s business constitutes only one segment for financial reporting purposes, i.e., a speculative “commodity pool”. The Fund does not engage in sales of goods or services.

General

The Fund may invest in seven separate funds which trade in the futures and forward markets with the objective of achieving substantial capital appreciation.

The Portfolio Funds in which the Fund may invest as of December 31, 2009 are: ML Altis FuturesAccess LLC

(“Altis”), ML Aspect FuturesAccess LLC (“Aspect”), ML BlueTrend Futures (“BlueTrend”), ML Chesapeake FuturesAccess LLC (“Chesapeake”), ML John Locke FuturesAccess LLC (“John Locke”), ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”) and ML Winton FuturesAccess LLC (“Winton”). Each underlying fund has its own Trading Advisor. MLAI, the sponsor and manager of the Fund, may in its discretion, change the Portfolio Funds at any time. MLAI, also at it 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.

ML Systematic Momentum FuturesAccess LLC currently invests in the following underlying Portfolio Funds which are advised, respectively, by the trading advisors (“Trading Advisors”) as indicated below:

Portfolio Funds		Trading Advisors

ML Altis FuturesAccess LLC		Altis Partners (Jersey) Limited
(the “Altis Fund”)		(“Altis”)
ML Aspect FuturesAccess LLC		Aspect Capital Limited
(the “Aspect Fund”)		(“Aspect”)
ML Chesapeake FuturesAccess LLC		Chesapeake Capital Corporation
(the “Chesapeake Fund”)		(“Chesapeake”)
ML Transtrend DTP Enhanced FuturesAccess LLC		Transtrend B.V.
(the “Transtrend Fund”)		(“Transtrend”)
ML Winton FuturesAccess LLC		Winton Capital Management Limited
(the “Winton Fund”)		(“Winton”)
ML John Locke FuturesAccess LLC		John Locke Investments SA
(the “John Locke Fund”)		(“John Locke”)
ML BlueTrend FuturesAccess LLC		BlueCrest Capital Management, L.P.
(the “BlueTrend Fund”)		(“BlueTrend”)
ML GSA FuturesAccess LLC*		GSA Capital Partner, LLP
(the “GSA Fund”)		(“GSA”)

* GSA Fund Liquidated as of May 2009

As used herein, references to the Fund’s (i) trading activities, (ii) trading advisors, (iii) custody of assets arrangements and (iv) accounts refer to such activities, trading advisors, arrangements and accounts of the Portfolio Funds through which the Fund invests, as applicable.

Employees

The Fund has no Employees.

Use of Proceeds and Cash Management Income

Subscription Proceeds

The Fund’s cash is used as security for and to pay the Fund’s trading losses as well as its expenses and redemptions. The primary use of the proceeds of the sale of the Units is to permit the Portfolio Funds to trade on a speculative basis in a wide range of different futures and forwards markets on behalf of the Fund (through the Portfolio Funds). While being used for this purpose, the Fund’s assets are also generally available for cash management, as more fully described below under “Cash Assets”.

Market Sectors

The respective advisors of the Portfolio Funds apply their proprietary systems to a broadly-diversified portfolio of futures and forward markets.

The Portfolio Funds’ commitments to different types of markets — U.S. and non-U.S., regulated and non-regulated — differ substantially from time to time, as well as over time. The Portfolio Funds have no policy restricting its relative commitment to any of these different types of markets.

Market Types

The Portfolio Funds trade on a variety of United States and foreign futures exchanges as well as “over the counter”. Substantially all of the Portfolio Funds’ off-exchange trading takes place in the highly liquid, institutionally-based currency forward markets.

Many of the Portfolio Funds’ currency trades are executed in the spot and forward foreign exchange markets (the “FX Markets”) where there are no direct execution costs. Instead, the participants, banks and dealers in the FX Markets take a “spread” between the prices at which they are prepared to buy and sell a particular currency and such spreads are built into the pricing of the spot or forward contracts with the Portfolio Funds.

Custody of Assets

Substantially, all of the Portfolio Funds’ assets are currently held in one or more Commodity Futures Trading Commission (“CFTC”) regulated customer accounts at MLPF&S or at a fund managed by an affiliated entity as discussed below.

Cash Assets

Each Portfolio Fund will generally earn interest, as described below, on its “Cash Assets”, which can be generally described as the cash actually held by the Portfolio Fund plus its “open trade equity” (unrealized gain and loss marked to market daily on open positions of the Portfolio Funds). Cash Assets are held primarily in U.S. dollars, and to a lesser extent in foreign currencies, and are comprised of each Portfolio Funds’ cash balances held in the offset accounts (as described below) — which include “open trade equity” (unrealized gain and loss on open positions) on United States futures contracts, which is paid into or out of the Portfolio Funds’ account on a daily basis; the Portfolio Funds’ cash balance in foreign currencies derived from their trading in non-U.S. dollar denominated futures and options contracts, which includes open trade equity on those exchanges which settle gains and losses on open positions in such contracts prior to closing out such positions. Cash Assets do not include and the Portfolio Funds do not earn interest income on the Portfolio Funds’ gains or losses on its open forward, commodity option and certain foreign futures positions since such gains and losses are not collected or paid until such positions are closed out.

The Portfolio Funds’ Cash Assets may be greater than, less than or equal to the Portfolio Funds’ Net Asset Value (on which the redemption value of the Units is based) primarily because Net Asset Value reflects all gains and losses on open positions as well as accrued but unpaid expenses.

Interest Earned on the Fund’s U.S. Dollar Cash Assets

Certain of each FuturesAccess Fund’s U.S. dollar “Cash Assets” (as defined below) are held by MLPF&S in customer segregated accounts and primarily invested in CFTC-eligible investments (including, without limitation, commercial paper, U.S. government and government agency securities, prime non-U.S. government securities, corporate notes and money market funds). Cash Assets may also be maintained in “offset accounts” at major U.S. banks, interest bearing savings accounts maintained with major U.S. banks unaffiliated with Merrill Lynch and/or money market investment funds that are managed by third party managers, including affiliates of Merrill Lynch.

Offset accounts are non-interest bearing demand deposit accounts maintained with banks unaffiliated with Merrill Lynch. MLPF&S may in the future elect to maintain accounts of this nature with one or more of its affiliates. Offset account deposits reduce Merrill Lynch’s borrowing costs with such banks. An integral feature of the offset arrangements is that the participating banks specifically acknowledge that the offset accounts are for the benefit of MLPF&S’ customers, not subject to any Merrill Lynch liability.

To the extent that Cash Assets are placed with affiliates of Merrill Lynch, Merrill Lynch indirectly receives certain economic benefits and therefore has a conflict of interest in selecting such third parties. For example, Merrill Lynch may invest in money market funds managed by BlackRock, Inc. or its affiliates (“BlackRock”). Merrill Lynch is a substantial stockholder in BlackRock and, therefore, potentially benefits from its economic interest in BlackRock whenever BlackRock

receives compensation for managing Cash Assets invested in money market investment funds managed by BlackRock.

Interest Paid by Merrill Lynch on Non-U.S. Dollar Cash Assets

Each FuturesAccess Fund will generally earn interest, as described below, on its Cash Assets, which can be generally described as the cash actually held by such FuturesAccess Fund, plus its “open trade equity” (unrealized gain and loss marked to market daily on open positions). Cash Assets are held primarily in U.S. dollars, and to a lesser extent in non-U.S. currencies, and comprise the following: (a) each FuturesAccess Fund’s cash balances, plus open trade equity onU.S. futures; and (b) each FuturesAccess Fund’s cash balances held in non-U.S. currencies as a result of realized profits and losses derived from its trading in non-U.S. dollar-denominated futures and options contracts, plus open trade equity on those exchanges which settle gains and losses on open positions in such contracts prior to closing out such positions.Cash Assets do not include, and the FuturesAccess Funds do not earn interest income on, the FuturesAccess Funds’ gains or losses on their open forward, commodity option and certain non-U.S. futures positions as such gains and losses are not collected or paid until such positions are closed out.

Each FuturesAccess Fund’s Cash Assets may be greater than, less than or equal to such FuturesAccess Fund’s Net Asset Value (on which the redemption value of the Units is based) primarily because Net Asset Value reflects all gains and losses on open positions as well as accrued but unpaid expenses.

MLPF&S intends to pay interest on the FuturesAccess Funds’ Cash Assets (irrespective of how such Cash Assets are held or invested) at the most favorable rate payable by MLPF&S to accounts of Merrill Lynch affiliates, from time to time, although the actual rate paid to FuturesAccess Funds may be lower. In no event, however, will the rate so paid on such Cash Assets be less than 75% of such prevailing rate. MLPF&S retains the additional economic benefit derived from possession of the FuturesAccess Funds’ Cash Assets.

MLPF&S, in the course of acting as commodity broker for the FuturesAccess Funds, lends certain currencies to, and borrows certain currencies from, the FuturesAccess Funds. In the course of doing so, MLPF&S both retains certain amounts of interest and receives other economic benefits. In doing so, MLPF&S follows its standard procedures (as such procedures may change over time) for paying interest on the assets of the commodity pools sponsored by MLAI and other MLPF&S affiliates and traded through MLPF&S.

Charges

The following table summarizes the charges incurred by the Fund for the years ended December 31, 2009, 2008 and for the period April 2, 2007 (commencement of operations) to December 31, 2007.

	2009				2008				2007
Charges	Dollar Amount		% of Average Month-End Net Assets		Dollar Amount		% of Average Month-End Net Assets		Dollar Amount		% of Average Month-End Net Assets
Other Expenses	$	1,066,617	0.14	%	$	632,387	0.18	%	$	504,521	0.60	%
Sponsor fees	14,993,578		1.94	%	6,953,728		1.97	%	485,354		0.58	%
Total	$	16,060,195	2.08	%	$	7,586,115	2.15	%	$	989,875	1.18	%

The foregoing table does not reflect the bid-ask spreads paid by the Portfolio Funds on their forward trading, or the benefits which may be derived by Merrill Lynch from the deposit of certain of the Portfolio Funds’ U.S. dollar assets maintained at MLPF&S.

The Fund’s average month-end Net Asset Values during 2009, 2008 and 2007 equaled $772,699,779, $352,254,725 and $83,843,527, respectively.

During 2009, the Fund earned $100,827 in interest income, or approximately 0.012 % of the Fund’s average month-end Net Asset Values . During 2008, the Fund earned $97,972 in interest income, or approximately 0.028% of the Fund’s average month-end Net Asset Values . During 2007, the Fund earned $3,827 in interest income, or approximately 0.005% of the Fund’s average month-end Net Asset Values .

Description of Current Charges

Recipient	Nature of Payment	Amount of Payment

MLPF&S	Use of assets	Merrill Lynch may derive an economic benefit from the deposit of certain of the Portfolio Funds’ U.S. dollar assets in accounts maintained at MLPF&S.

MLAI	Sponsor Fees	A flat-rate monthly charge of 0.125% of 1% (1.50% annual rate) on Class A units, flat-rate monthly charge of 0.2083 of 1% (2.50% annual rate) on Class C units, a flat-rate monthly charge of 0.0917 of 1% (1.10% annual rate) on Class I units (including the monthly interest credit and before reduction for accrued month end redemptions, distributions, brokerage commissions, sponsor fees, management fees in each case as of the month of determination. Class D, D1 and DA do not pay a sponsor fee.

MLPF&S	Sales Commissions	Class A Units are subject to a sales commission paid to MLPF&S ranging from 1.0% to 2.5%. Class D and Class I Units are subject to sales commissions up to 0.5%. The rate assessed to a given subscription is based upon the subscription amount. Sales commissions are deducted from proceeds prior to entering the fund. Shares purchased and reflected in the fund records are net of any commissions charged by MLPF&S. Class C, D1 and DA Units are not subject to any sales commission.

Merrill Lynch International Bank (“MLIB”) (or an affiliate); Other counterparties	Bid—ask spreads	Bid—ask spreads are not accounted for separately as an accounting item because bid-ask spreads are an integral part of the price paid or received on all contracts for generally accepted accounting principles.

MLIB (or an affiliate); Other counterparties	EFP differentials	Certain of the Portfolio Funds’ currency trades may be executed in the form of “exchange of futures for physical” transactions, in which a counterparty (which may be MLIB or an affiliate) receives an additional “differential” spread for exchanging the Fund’s cash currency positions for equivalent futures positions.

Others	Operating expense of Fund including audit, legal and tax services	Actual payments to third parties.

MLPF&S; Others	Brokerage Commissions	The aggregate brokerage commissions charges should equal approximately 0.50% per annum of each of the Portfolio Funds’ average month-end asset.

Portfolio Funds Advisors and MLAI	Management fees	A flat monthly charge of 0.1667 of 1% of the Portfolio Funds’ month-end assets (a 2% annual rate). MLAI receives certain percentage of the management fees paid by the Portfolio Funds’ from the advisors.

Portfolio Funds Advisors and MLAI	Annual Performance Fees	Portfolio Funds receive 20% to 25% of their New Trading Profits, as performance fees. For Certain Portfolio Funds MLAI receives 25% of the 20% or 25% performance fee. “New Trading Profits” equal any increase in the Net Asset Value of the Fund, prior to reduction for any accrued performance fee, as of the current performance fee calculation date over the Fund’s “High Water Mark.” The “High Water Mark” attributable to the Fund equals the highest Net Asset Value after reduction for the performance fee then paid, as of any preceding performance fee calculation date. Net Asset Value, solely for purposes of calculating the performance fee, does not include any interest income earned by the Fund.

Regulation

The CFTC has delegated to the National Futures Association responsibility for the registration of “commodity trading advisors,” “commodity pool operators,” “futures commission merchants,” “introducing brokers” and their respective associated persons, and “floor brokers” and “floor traders.” The Commodity Exchange Act requires commodity pool operators such as MLAI, commodity trading advisors such as the Portfolio Funds Trading Advisor and commodity brokers or futures commission merchants (“FCMs”) such as MLPF&S to be registered and to comply with various reporting and record keeping requirements. CFTC regulations also require FCMs to maintain a minimum level of net capital. In addition, the CFTC and certain commodities exchanges have established limits referred to as “speculative position limits” on the maximum net long or net short speculative positions that any person may hold or control in any particular futures or options contracts traded on U.S. commodities exchanges. All accounts owned or managed by each of the Portfolio Fund’s respective Trading Advisors will be combined for position limit purposes. The Trading Advisor could be required to liquidate positions in order to comply with such limits. Any such liquidation could result in substantial costs to the Fund. In addition, many futures exchanges impose limits beyond which the price of a futures contract may not trade during the course of a trading day, and there is a potential for a futures contract to reach its daily price limit for several days in a row, making it impossible for the Trading Advisor to liquidate a position and thereby experiencing dramatic losses. Currency forward contracts are not subject to regulation by any U.S. government agency.

Other than in respect of the registration requirements pertaining to the Fund’s securities under Section 12(g) of the Securities Exchange Act of 1934, the Fund is generally not subject to regulation by the Securities and Exchange Commission (the “SEC”). However, MLAI itself is registered as an “investment adviser” under the Investment Advisers Act of 1940. MLPF&S is also regulated by the SEC and the Financial Industry Regulatory Authority (“FINRA”).

(d) Financial Information about Geographic Areas

The Portfolio Funds do not engage in material operations in foreign countries, nor is a material portion of the Fund’s revenue derived from customers in foreign countries.

The Portfolio Funds may trade on a number of foreign commodity exchanges. The Portfolio Funds and the Fund do not engage in the sales of goods or services.

Item 1A: Risk Factors

Past Performance Not Necessarily Indicative of Future Results

Past performance is not necessarily indicative of future results. The Trading Advisors’ past performance may not be representative of how they may trade in the future for the Portfolio Funds.

Volatile Markets; Highly Leveraged Trading

Futures and forward trading is highly leveraged, and market price levels are volatile and materially affected by unpredictable factors such as weather and governmental intervention. The combination of leverage and volatility creates a high degree of risk.

Importance of General Market Conditions

Overall market or economic conditions — which neither MLAI nor the Trading Advisors can predict or control — have a material effect on the performance of any managed futures strategy.

Possibility of Additional Government or Market Regulation

Market disruptions and the dramatic increase in the capital allocated to alternative investment strategies during recent years have led to increased governmental as well as self-regulatory scrutiny of the alternative investment funds industry in general. In addition, certain legislation proposing greater regulation of the industry periodically is considered by the U.S. Congress, as well as the governing bodies of foreign jurisdictions. It is impossible to predict what, if any, changes in the regulations applicable to the Fund, MLAI, the markets in which they trade and invest or the counterparties with which they do business may be instituted in the future. Any such regulation could have a material adverse impact on the profit potential of the Fund, as well as require increased transparency as to the identity of the Fund’s members.

Forward Trading

The Portfolio Funds will trade in the forward markets in addition to trading in the future markets. The forward markets are over-the-counter, non-exchange traded markets, and in trading in these forward markets, the Portfolio Funds will be dependent on the credit standing of the counterparties with which they trade, without the financial support of any clearinghouse system. In addition, the prices offered for the same forward contract may vary significantly among different forward market participants. Forward markets counterparties are under no obligation to enter into forward transactions, including transactions through which the Portfolio Funds are attempting to liquidate open positions.

Effects of Speculative Position Limits

The CFTC and the U.S. commodities exchanges have established limits referred to as “speculative position limits” on the maximum net long or net short speculative positions that any person may hold or control in any particular futures or options contracts traded on U.S. commodities exchanges. For example, the CFTC currently imposes speculative position limits on a number of agricultural commodities (e.g., corn, oats, wheat, soybeans and cotton). All commodity accounts controlled by the Trading Advisor and its principals and their affiliates are combined for speculative position limit purposes. The Trading Advisor could be required to liquidate positions held for the Fund, or may not be able to fully implement trading instructions generated by its trading models, in order to comply with such limits. Any such liquidation or limited implementation could result in substantial costs to the Fund.

Increased Assets Under Management

There appears to be a tendency for the rates of return achieved by managed futures advisors to decline as assets under management increase. The trading advisors have not agreed to limit the amount of additional equity which it may manage.

Trading Advisor Risk

The Fund is subject to the risk of the bad judgment, negligence or misconduct of the trading advisors. There have been a number of instances in recent years in which private investment funds have incurred substantial losses due to Trading Advisor misconduct.

Changes in Trading Strategy

The Trading Advisors may make material changes in its trading strategies without the knowledge or seeking the approval of MLAI.

Illiquid Markets

Certain positions held by the Portfolio Funds may become illiquid, preventing the Trading Advisors from acquiring positions otherwise indicated by its strategy or making it impossible for the Trading Advisors to close out positions against which the market is moving.

Certain futures markets are subject to “daily price limits,” restricting the maximum amount by which the price of a particular contract can change during any given trading day. Once a contract’s price has moved “the limit,” it may be impossible or economically non-viable to execute trades in such contract. From time to time, prices have moved “the limit” for a number of consecutive days, making it impossible for traders against whose positions the market was moving to prevent large losses.

Trading on Non-U.S. Exchanges

The Trading Advisors may trade extensively on non-U.S. exchanges. These exchanges are not regulated by any United States governmental agency. The Portfolio Funds and consequently the Fund could incur substantial losses trading on foreign exchanges to which they would not have been subject had the Trading Advisors limited their trading to U.S. markets.

The profits and losses derived from trading foreign futures and forwards will generally be denominated in foreign currencies; consequently, the Portfolio Funds will be subject to a certain degree of exchange-rate risk in trading such contracts.

The Portfolio Funds Could Lose Assets and Have Its Trading Disrupted Due to the Bankruptcy of One of the Parties

The Portfolio Funds’ are subject to the risk of insolvency of a counterparty, an exchange, a clearinghouse or MLPF&S. Portfolio Funds’ assets could be lost or impounded during lengthy bankruptcy proceedings. Were a substantial portion of the Portfolio Funds’ capital tied up in a bankruptcy, MLAI might suspend or limit trading, perhaps causing the Portfolio Funds’ to miss significant profit opportunities. There are increased risks in dealing with unregulated trading counterparties including the risk that assets may not benefit from the protection afforded to “customer funds” deposited with regulated dealers and brokers.

Item 1B: Unresolved Staff Comments

MLAI is currently responding to the SEC comment letter dated February 4, 2010.

Item 2: Properties

The Fund and the Portfolio Funds do not use any physical properties in the conduct of their business.

The Fund’s offices are the administrative offices of MLAI (Merrill Lynch Alternative Investments LLC, Four World Financial Center, 6th Floor, 250 Vesey Street, New York, New York 10080). MLAI performs administrative services for the Fund from MLAI’s offices.

Item 3: Legal Proceedings

None

Item 4: Reserved

PART II

Item 5: Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities

Item 5(a)

(a) Market Information:

There is no established public trading market for the Units, and none is likely to develop. Members may redeem Units on ten days written notice to MLAI as of the last day of each month at their Net Asset Value , subject to certain early redemption charges.

(b) Holders:

As of December 31, 2009, there were 9,847 holders of Units, none of whom owned 5% or more of the Fund’s Units.

Fund has not made and does not contemplate making any distributions on the Units.

(d) Securities Authorized for Issuance Under Equity Compensation Plans:

Not applicable.

(e) Performance Graph

Not applicable.

(f) Recent Sales of Unregistered Securities:

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

CLASS A

	Subscription
	Amount		Units	NAV (1)
Jan-09	$	3,599,510	2,865,624	$	1.2561
Feb-09	5,720,556		4,586,351	1.2473
Mar-09	6,120,723		4,902,854	1.2484
Apr-09	5,762,982		4,769,891	1.2081
May-09	8,887,887		7,577,702	1.1729
Jun-09	5,546,629		4,676,359	1.1861
Jul-09	6,263,068		5,398,731	1.1601
Aug-09	6,042,246		5,274,307	1.1456
Sep-09	7,667,607		6,611,716	1.1597
Oct-09	15,636,738		13,322,602	1.1737
Nov-09	5,007,503		4,415,009	1.1342
Dec-09	5,237,644		4,439,810	1.1797
Jan-10	8,495,734		7,454,360	1.1397
Feb-10	4,599,449		4,167,678	1.1036

CLASS C

	Subscription
	Amount		Units	NAV (1)
Jan-09	$	28,240,030	21,876,234	$	1.2909
Feb-09	26,028,041		20,323,293	1.2807
Mar-09	30,607,819		23,897,423	1.2808
Apr-09	33,059,489		26,693,168	1.2385
May-09	29,957,332		24,935,352	1.2014
Jun-09	19,611,804		16,156,030	1.2139
Jul-09	25,790,268		21,740,089	1.1863
Aug-09	15,532,334		13,269,828	1.1705
Sep-09	16,895,697		14,271,220	1.1839
Oct-09	39,415,410		32,922,995	1.1972
Nov-09	18,657,066		16,140,727	1.1559
Dec-09	13,317,583		11,086,899	1.2012
Jan-10	10,791,109		9,305,889	1.1596
Feb-10	13,643,857		12,160,300	1.1220

CLASS D

	Subscription
	Amount		Units	NAV (1)
Jan-09	$	—	—	$	1.4396
Feb-09	—		—	1.4312
Mar-09	—		—	1.4343
Apr-09	—		—	1.3898
May-09	—		—	1.3509
Jun-09	—		—	1.3679
Jul-09	5,147,100		3,842,553	1.3395
Aug-09	1,999,999		1,510,117	1.3244
Sep-09	2,574,998		1,918,205	1.3424
Oct-09	599,981		441,065	1.3603
Nov-09	4,568,999		3,471,620	1.3161
Dec-09	1,258,000		917,846	1.3706
Jan-10	1,391,999		1,049,852	1.3259
Feb-10	990,000		770,128	1.2855

CLASS I

	Subscription
	Amount		Units	NAV (1)
Jan-09	$	5,655,080	4,284,476	$	1.3199
Feb-09	7,755,169		5,915,461	1.3110
Mar-09	3,879,323		2,955,450	1.3126
Apr-09	5,761,281		4,533,586	1.2708
May-09	7,170,562		5,810,357	1.2341
Jun-09	1,759,941		1,409,757	1.2484
Jul-09	4,077,683		3,338,532	1.2214
Aug-09	2,590,820		2,147,207	1.2066
Sep-09	2,282,822		1,868,256	1.2219
Oct-09	6,931,734		5,603,665	1.2370
Nov-09	1,787,328		1,494,796	1.1957
Dec-09	2,691,529		2,163,435	1.2440
Jan-10	1,914,992		1,592,641	1.2024
Feb-10	3,819,726		3,279,579	1.1647

CLASS D1

	Subscription
	Amount		Units	NAV (1)
Jan-09	$	—	—	$	1.2848
Feb-09	3,722,356		2,914,238	1.2773
Mar-09	—		—	1.2800
Apr-09	529,675		427,054	1.2403
May-09	4,504,529		3,736,028	1.2057
Jun-09	1,681,341		1,377,245	1.2208
Jul-09	1,048,230		876,813	1.1955
Aug-09	715,895		605,664	1.1820
Sep-09	—		—	1.1981
Oct-09	807,517		665,116	1.2141
Nov-09	—		—	1.1746
Dec-09	332,104		271,482	1.2233
Jan-10	—		—	1.1833
Feb-10	928,469		809,264	1.1473

CLASS DA

	Subscription
	Amount		Units	NAV (1)
Jan-09	$	—	—	$	1.0282
Feb-09	—		—	1.0222
Mar-09	—		—	1.0244
Apr-09	—		—	0.9927
May-09	—		—	0.9649
Jun-09	—		—	0.9770
Jul-09	—		—	0.9568
Aug-09	—		—	0.9460
Sep-09	—		—	0.9588
Oct-09	—		—	0.9716
Nov-09	—		—	—
Dec-09	—		—	—
Jan-10	—		—	—
Feb-10	—		—	—

(1) Beginning of the month Net Asset Value

Item 5(b)

Not applicable.

Item 5(c)

Not applicable.

Item 6: Selected Financial Data

The following selected financial data has been derived from the financial statements of the Fund.

Statement of Operations	For the year ended December 31, 2009			For the year ended December 31, 2008			For the period April 2, 2007 (Commencement of operations) to December 31, 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 fees	14,993,578			6,953,728			485,354
Other	1,066,617			651,887			504,521
Total Expenses	16,060,195			7,605,615			989,875

NET INVESTMENT INCOME (LOSS)	(15,959,368		)	(7,507,643		)	(986,048		)

NET INCOME (LOSS)	$	(77,811,268	)	$	73,605,092		$	13,003,990

Balance Sheet Data	December 31, 2009		December 31, 2008		December 31, 2007

Members’ Capital	$	868,301,244	$	678,698,088	$	120,224,077
Net Asset Value per Class A Unit	1.1397		1.2561		1.0273
Net Asset Value per Class C Unit	1.1596		1.2908		1.0664
Net Asset Value per Class D Unit	1.3259		1.4379		1.1571
Net Asset Value per Class I Unit	1.2024		1.3197		1.0752
Net Asset Value per Class D1 Unit	1.1833		1.2847		1.0350
Net Asset Value per Class DA Unit	—		1.0282		—

See notes to financial statements

As of December 31, 2009 and 2008 the Net Asset Value per Unit of the different Classes are as follows:

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	1.2909
Class D	1.4396
Class I	1.3199
Class D1	1.2848
Class DA	1.0282

MLAI believes that the Net Asset Value used to calculate subscription and redemption value and report performance to investors throughout the year is the most valuable financial information to the Members of the Fund.


MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A

	Jan.		Feb.		Mar.		Apr.		May		June		July		Aug.		Sept.		Oct.		Nov.		Dec.
2007	n/a		n/a		n/a		n/a		n/a		n/a		$	0.9588	$	0.9090	$	0.9705	$	1.0272	$	1.0093	$	1.0278
2008	$	1.0416	$	1.1508	$	1.1243	$	1.1183	$	1.1597	$	1.2164	$	1.1364	$	1.1075	$	1.1220	$	1.1807	$	1.2232	$	1.2561
2009	$	1.2473	$	1.2484	$	1.2081	$	1.1729	$	1.1861	$	1.1601	$	1.1456	$	1.1597	$	1.1737	$	1.1342	$	1.1797	$	1.1397

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C

	Jan.		Feb.		Mar.		Apr.		May		June		July		Aug.		Sept.		Oct.		Nov.		Dec.
2007	n/a		n/a		n/a		n/a		n/a		$	1.0432	$	0.9993	$	0.9467	$	1.0099	$	1.0680	$	1.0486	$	1.0668
2008	$	1.0803	$	1.1926	$	1.1642	$	1.1570	$	1.1988	$	1.2564	$	1.1727	$	1.1420	$	1.1559	$	1.2154	$	1.2581	$	1.2909
2009	$	1.2807	$	1.2808	$	1.2385	$	1.2014	$	1.2139	$	1.1863	$	1.1705	$	1.1839	$	1.1972	$	1.1559	$	1.2012	$	1.1596

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D

	Jan.		Feb.		Mar.		Apr.		May		June		July		Aug.		Sept.		Oct.		Nov.		Dec.
2007	n/a		n/a		n/a		$	1.0339	$	1.0719	$	1.1206	$	1.0757	$	1.0212	$	1.0916	$	1.1569	$	1.1381	$	1.1603
2008	$	1.1774	$	1.3025	$	1.2741	$	1.2689	$	1.3175	$	1.3836	$	1.2942	$	1.2629	$	1.2810	$	1.3497	$	1.4001	$	1.4396
2009	$	1.4312	$	1.4343	$	1.3898	$	1.3509	$	1.3679	$	1.3395	$	1.3244	$	1.3424	$	1.3603	$	1.3161	$	1.3706	$	1.3259

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I

	Jan.		Feb.		Mar.		Apr.		May		June		July		Aug.		Sept.		Oct.		Nov.		Dec.
2007	n/a		n/a		n/a		n/a		n/a		$	1.0444	$	1.0017	$	0.9500	$	1.0146	$	1.0743	$	1.0559	$	1.0756
2008	$	1.0905	$	1.2052	$	1.1779	$	1.1719	$	1.2157	$	1.2756	$	1.1920	$	1.1622	$	1.1777	$	1.2397	$	1.2848	$	1.3199
2009	$	1.3110	$	1.3126	$	1.2708	$	1.2341	$	1.2484	$	1.2214	$	1.2066	$	1.2219	$	1.2370	$	1.1957	$	1.2440	$	1.2024

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D1

	Jan.		Feb.		Mar.		Apr.		May		June		July		Aug.		Sept.		Oct.		Nov.		Dec.
2007	n/a		n/a		n/a		n/a		n/a		n/a		$	0.9600	$	0.9113	$	0.9741	$	1.0324	$	1.0157	$	1.0356
2008	$	1.0508	$	1.1624	$	1.1371	$	1.1324	$	1.1758	$	1.2348	$	1.1550	$	1.1271	$	1.1432	$	1.2045	$	1.2495	$	1.2848
2009	$	1.2773	$	1.2800	$	1.2403	$	1.2057	$	1.2208	$	1.1955	$	1.1820	$	1.1981	$	1.2141	$	1.1746	$	1.2233	$	1.1833

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DA

	Jan.		Feb.		Mar.		Apr.		May		June		July		Aug.		Sept.		Oct.		Nov.		Dec.
2008	n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		$	1.0282
2009	$	1.0222	$	1.0244	$	0.9927	$	0.9649	$	0.9770	$	0.9568	$	0.9460	$	0.9588	$	0.9716	n/a		n/a		n/a

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(CLASS A UNITS) (5)

December 31, 2009

Type of Pool: Single Advisor Non-“Principal Protected”(1)

Inception of Trading: July 1, 2007

Aggregate Subscriptions $137,287,249

Current Capitalization: $115,433,499

Worst Monthly Drawdown(2): (6.58)% (July 2008)

Worst Peak-to-Valley Drawdown(3): (9.70)% (January-October 2009)

Net Asset Value per Unit for Class A, December 31, 2009: $1.1397

Monthly Rates of Return (4)

Month	2009		2008		2007
January	.70	%	1.34	%	—
February	0.09		10.48		—
March	(3.22	)	(2.29	)	—
April	(2.92	)	(0.54	)	—
May	1.13		3.70		—
June	(2.19	)	4.89		—
July	(1.25	)	(6.58	)	-4.12	%
August	1.23		(2.54	)	(5.19	)
September	1.21		1.31		6.76
October	(3.37	)	5.23		5.85
November	4.01		3.60		(1.74	)
December	-3.39		2.69		1.83

Compound Annual Rate of Return	(9.27	)%	22.21	%	2.78	%

(1) Certain funds are structured so as to guarantee to investors that their investment will be worth no less than a specified amount (typically, the initial purchase price) as of a date certain after the date of investment. The CFTC refers to such funds as “principal protected”.

(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since July 1, 2007 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since July 1, 2007 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.

(4) Monthly Rate of Return is the net performance of the Fund during the month of determination (including interest income and after all expenses have been accrued or paid) divided by the total equity of the Fund as of the beginning of such month.

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit .. The inception to date total return is 13.97%.

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(CLASS C UNITS) (5)

December 31, 2009

Type of Pool: Single Advisor Non-“Principal Protected”(1)

Inception of Trading: June 1, 2007

Aggregate Subscriptions: $719,845,732

Current Capitalization: $574,889,256

Worst Monthly Drawdown(2): (6.66)% (July 2008)

Worst Peak-to-Valley Drawdown(3): (10.46)% (January-October 2009)

Net Asset Value per Unit for Class C, December 31, 2009: $1.1596

Monthly Rates of Return (4)

Month	2009		2008		2007
January	(.79	)%	1.27	%	—
February	0.01		10.40		—
March	(3.30	)	(2.38	)	—
April	(3.00	)	(0.62	)	—
May	1.04		3.61		—
June	(2.27	)	4.80		4.32	%
July	(1.33	)	(6.66	)	(4.20	)
August	1.14		(2.62	)	(5.27	)
September	1.12		1.22		6.67
October	(3.45	)	5.15		5.76
November	3.92		3.51		(1.82	)
December	-3.46		2.61		1.74

Compound Annual Rate of Return	(10.17	)%	21.00	%	6.68	%

(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since June 1, 2007 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since June 1, 2007 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit .. The inception to date total return is 15.95%.

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(CLASS D UNITS) (5)

December 31, 2009

Type of Pool: Single Advisor Non-“Principal Protected”(1)

Inception of Trading: April 2, 2007

Aggregate Subscriptions: $145,222,642

Current Capitalization: $39,754,375

Worst Monthly Drawdown(2): (6.46)% (July 2008)

Worst Peak-to-Valley Drawdown(3): (8.87)% (July-August 2007)

Net Asset Value per Unit for Class D, December 31, 2009: $1.3259

Monthly Rates of Return (4)

Month	2009		2008		2007
January	(.58	)%	1.47	%	—
February	0.22		10.63		—
March	(3.10	)	(2.18	)	—
April	(2.80	)	(0.41	)	3.43	%
May	1.26		3.83		3.64
June	(2.08	)	5.02		4.54
July	(1.13	)	(6.46	)	(4.00	)
August	1.36		(2.42	)	(5.07	)
September	1.33		1.43		6.90
October	(3.25	)	5.36		5.98
November	4.14		3.73		(1.62	)
December	-3.26		2.82		1.96

Compound Annual Rate of Return	(7.90	)%	24.06	%	16.04	%

(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since April 2, 2007 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since April 2, 2007 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit .. The inception to date total return is 32.40%.

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(CLASS I UNITS) (5)

December 31, 2009

Type of Pool: Single Advisor Non-“Principal Protected”(1)

Inception of Trading: June 1, 2007

Aggregate Subscriptions: $122,231,597

Current Capitalization: $91,156,074

Worst Monthly Drawdown(2): (6.55)% (July 2008)

Worst Peak-to-Valley Drawdown(3): (9.40)% ( January-October 2009)

Net Asset Value per Unit for Class I, December 31, 2009: $1.2024

Monthly Rates of Return (4)

Month	2009		2008		2007
January	(.67	)%	1.39	%	—
February	0.12		10.52		—
March	(3.18	)	(2.27	)	—
April	(2.89	)	(0.51	)	—
May	1.16		3.74		—
June	(2.16	)	4.93		4.44	%
July	(1.21	)	(6.55	)	(4.09	)
August	1.27		(2.50	)	(5.16	)
September	1.24		1.33		6.80
October	(3.34	)	5.26		5.88
November	4.05		3.65		(1.71	)
December	(3.35	)	2.72		1.86

Compound Annual Rate of Return	(8.90	)%	22.71	%	7.56	%

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit .. The inception to date total return is 20.23%.

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(CLASS D1 UNITS) (5)

December 31, 2009

Type of Pool: Single Advisor Non-“Principal Protected”(1)

Inception of Trading: July 1, 2007

Aggregate Subscriptions: $51,434,332

Current Capitalization: $47,068,068

Worst Monthly Drawdown(2): (6.46)% ( July 2008)

Worst Peak-to-Valley Drawdown(3): (8.87)% (July-August 2007)

Net Asset Value per Unit for Class D1, December 31, 2009: $1.1833

Monthly Rates of Return (4)

Month	2009		2008		2007
January	(.58	)%	1.47	%	—
February	0.21		10.62		—
March	(3.10	)	(2.18	)	—
April	(2.79	)	(0.41	)	—
May	1.25		3.83		—
June	(2.07	)	5.02		—
July	(1.13	)	(6.46	)	(4.00	)
August	1.36		(2.42	)	(5.07	)
September	1.34		1.43		6.90
October	(3.25	)	5.36		5.98
November	4.15		3.74		(1.62	)
December	(3.27	)	2.83		1.96

Compound Annual Rate of Return	(7.90	)%	24.07	%	3.56	%

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit .. The inception to date total return is 18.33%.

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(CLASS DA UNITS) (5)

December 31, 2009

Type of Pool: Single Advisor Non-“Principal Protected”(1)

Inception of Trading: December 1, 2008

Aggregate Subscriptions: $56,445,187

Current Capitalization: $ 0

Worst Monthly Drawdown(2): (3.09)% ( March 2009)

Worst Peak-to-Valley Drawdown(3): (7.99)% (Jan-July 2009)

Net Asset Value per Unit for Class DA, December 31, 2009: $0

Monthly Rates of Return (4)

Month	2009		2008
January	(0.58	)%	—
February	0.22		—
March	(3.09	)	—
April	(2.80	)	—
May	1.25		—
June	(2.07	)	—
July	(1.13	)	—
August	1.35		—
September	1.34		—
October	—		—
November	—		—
December	—		2.82	%

Compound Annual Rate of Return	(5.50	)%	2.82	%

(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since December 1, 2008 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since December 1, 2008 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit .. The inception to date of liquidation total return is (2.84)%. Class DA was liquidated on September 30, 2009.

Item 7: Management’s Discussion and Analysis of Financial Condition and Results of Operations

Operational Overview

This performance summary is an outline description of how the Fund performed in the past, not necessarily any indication of how it will perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused such movements, but simply occurred at or about the same time.

The Portfolio Funds are unlikely to be profitable in markets in which such trends do not occur. Static or erratic prices are likely to result in losses. Similarly, unexpected events (for example, a political upheaval, natural disaster or governmental intervention) can lead to major short-term losses, as well as gains.

While there can be no assurance that the Portfolio Funds will be profitable under any given market condition, markets in which substantial and sustained price movements occur typically offer the best profit potential for the Portfolio Funds and consequently the Fund.

Results of Operations/Performance Summary

2009

	Total Trading
Year ended December 31, 2009	Profit (Loss)
Chesapeake	$	548,547
Transtrend	(25,830,157		)
Altis	(8,896,043		)
Winton	(8,375,671		)
Aspect	(8,874,084		)
John Locke	(9,350,844		)
BlueTrend	2,608,281
GSA*	(3,681,929		)

	$	(61,851,900	)

*Liquidated as of May 30, 2009

The Fund experienced a net trading loss for the year ended December 31, 2009 of $61,851,900

Performance of the Portfolio Funds was mixed in January which reflected the choppy markets and diversification of the Portfolio Funds approach to trading. Winton was the best performer, while Altis and GSA performed the worst. The Portfolio Funds profited from falling equities, with long-term managers capturing more of the move. The Portfolio Funds also profited from a continuous down-trend in commodities. Largest losses were suffered in fixed income positions as the U.S. Treasury yields rallied and other global bonds shadowed the move. Time horizon focus did not seem to be a driver of returns in the middle of the first quarter, while asset allocation played a more significant role. The Portfolio Funds had small net short exposures to equity markets and thus registered gains in this asset class. In addition, most of the Portfolio Funds that had long positions in the U.S. dollar against various currencies posted profits. Some of the Portfolio Funds that had long positions in the Japanese yen vs. the U.S. dollar posted losses due to the Japanese yen ending the month down significantly relative to the U.S. dollar. Fixed income markets experienced volatile swings during the month as most of the Portfolio Funds ended with small losses in this sector. At the start of March, most of the Portfolio Funds had long positions in the fixed income markets. and kept this position throughout the month of March and benefited from falling yields. John Locke was the exception, since as a shorter term manager, its positioning was influenced significantly by intra-month choppiness in fixed income markets causing large losses. All other sectors had posted losses in March as a result of significant reversals in many markets. During March, equity markets rallied following some positive corporate news in the first week. When the U.S. Federal Reserve announced the start of quantitative easing mid-month, the U.S. dollar began losing value against most major

currencies and the commodity markets which are negatively correlated with the U.S. dollar and risk aversion moved up. Given that most managers in the vertical are medium to long term trend followers, they were not in a position to cut exposures very fast and were negatively affected by these reversals.

The market environment that caused a loss for the Fund in March continued through April as well. The Portfolio Funds continued to be positioned against market moves and experienced losses in most of the sectors they traded. In March, being long fixed income helped to offset losses in equity indices, currencies and commodities. In April, the losses in equity indices, currencies and commodities were more muted as many Portfolio Funds had trimmed risk in those sectors; however, long positions in fixed income proved to be a problem as global bond yields rose significantly, hurting those long positions. Overall, fixed income was the worst performing sector for the Portfolio Funds, followed by currencies. The Portfolio Funds approach to trading was mixed exposure in commodities, making money in some markets and losing money in others. In equities the positioning was more on the short side, but with extremely small exposures; losses thus were muted. May was a continuation of March and April in terms of market direction and moves. Equities and commodities were up, and bonds and the U.S. dollar was down. These new trends gave many Portfolio Fund managers a reason to adjust their portfolios to match the new environment resulting in profits being posted to the Fund. Short and medium term Portfolio Funds were more in sync with markets given that they adjust faster to new trends, while longer term Portfolio Funds have held on to their pre-March positioning somewhat longer and were not able to avoid losses. So the main difference in May relative to March and April was that many Portfolio Funds were now correctly positioned to take advantage of current trends. Short to medium term managers (John Locke, BlueTrend, Altis, Transtrend) had better performance than longer term managers (Winton, Chesapeake, Aspect). The shorter term managers adjusted better to the current market environment where equities and commodities performed well and the U.S. dollar and bonds performed poorly. Risk by asset class continued to be biased towards fixed income which had a roughly 50% risk allocation, down from more than 80% in April. Fixed income was the asset class with the fewest reversals and thus risk had moved there as equities, commodities and currencies experienced changes in trend during March. But the risk allocated to other asset classes were moving up: commodities were a third of the total and the remainder was split between currencies and equities. March, April and May had been characterized by market moves most commonly seen during periods where investors were risk seeking. There were up moves in equities and commodities and down moves in bonds and the U.S. dollar. The Portfolio Fund managers were just beginning to adjust their portfolios to match these new market directions. After suffering losses during March and April (as they were not positioned for the new trends that began in early March), most managers had begun turning around their portfolios to be more in line with where markets were going and many were able to post gains in May, but came to a stop in June as several events took place. First, short term interest rates suffered a sharp reversal during the first week of the month and the U.S. dollar had a similar reversal, gaining against most currencies. Then, mid-month, the up trends in equities and commodities reversed, as sentiment became risk averse again. As a result of these moves, most asset classes ended the month with negative attribution. The worst were short term rates and commodities. The second quarter ended with losses being posted to the Fund. The worst were short term rates and commodities. Medium term managers had the worst performance as they not only suffered from the rates and U.S. dollar moves, but also the reversals in equities and commodities. John Locke, the manager with the shortest time horizon was able to avoid big losses. Winton and Chesapeake, the longest term managers, had relatively smaller losses because the equity and commodity reversals were actually good for them since they were still holding on to their pre-March positions in those asset classes.

Losses were posted to the Fund in July which was characterized by two types of moves in many markets. At the beginning of the month, equities, commodities and bond yields were moving lower while the United States dollar gained ground against other major currencies. In mid-July, sentiment reversed and equities and commodities resumed their up trends from prior month and the United States dollar lost value against other major currencies. The moves in the second part of the month were larger in magnitude, therefore, the Portfolio Funds who shifted towards ‘risk seeking’ trades faster performed better. Transtrend was an underperformer resulting in losses in the synthetic markets it trades in. Losses were posted to the Fund in August attributable to a continuation of trends from the second half of July. Equities and fixed income ended the month up. Similarly, most commodities finished up (except oil, natural gas and grains) and currency performance was mixed. Coming into August, Portfolio Funds had small long positions in all geographies in equity indices. In commodities, the Portfolio Funds had more long positions than short positions i.e. long positions in crude oil, softs and metals with short positions in natural gas, grains and livestock. In currencies, the Portfolio Funds held short positions in the United States dollar and in fixed income; it was long across the yield curve. In general, the equity and fixed income positioning posted profits for the Portfolio Funds throughout the month of August. Similarly, the Portfolio Funds were spot on in their commodity positioning except in crude oil. Currencies were mixed and losses in some markets canceled out profits in others. Sugar, metals and equity positions were the best performers. In September, the Portfolio Funds made most of their profits in equity indices and currencies as trends from late summer continued. Short positions in the United States dollar performed the best as the United States dollar continued to slide against other major currencies. Long equity index and long fixed income positions

also continued to be profitable for the Portfolio Funds as there were neither reversals nor choppiness in those asset classes as trends from late summer continued. Commodities detracted from performance due to choppiness in crude oil and huge adverse moves in natural gas. Transtrend was the only Portfolio Fund showing a loss for the month due to its short positions in natural gas.

In October the Portfolio Funds had the positioning that had been working in August and September with long positions in equity indices and fixed income and short positions in the U.S. dollar. In commodities, there were long positions in metals with short positions in energy and grains. These positions worked in the first three weeks of the month. Equities and metals appreciated and the U.S. dollar continued its decline, so those positions posted profits to the Fund. However, the gains were offset by losses from the bond positions where yields rose and in the energy positions prices went up. Overall, the Portfolio Funds finished the first three weeks of October slightly up. In the last week of October, big reversals hit most markets. Equities and commodities declined and the U.S. dollar and bonds rallied posting losses to the Fund. Those reversals proved to be temporary and trends that had been in place since earlier in the year resumed during November. The Portfolio Funds kept their positioning during the week of reversals and thus were able to capitalize on the resumption of trends resulting in profits being posted to the Fund. In November, market moves were well aligned with positioning. Long positions in equity indices and global equity markets ended the month up significantly, resulting in profits being posted to the Fund. Similarly, the U.S. dollar continued its slid and the Portfolio Funds benefiting from the short positions in the U.S. dollar. In fixed income, global interest rates continued to come down, resulting in profits for the Portfolio Funds posting profits to the Fund in their long positions in interest rates and bond positions. Commodities also contributed positively to performance due to long positions in precious metals. Overall, most managers made money in all asset classes as trends continued in the direction of their positioning. Losses were posted to the Fund in December. This was due primarily to reversals in three of the six major asset classes in which the Fund invests through the Portfolio Funds. Fixed income was the worst performer where yields rose sharply during the month, hurting long positioning in both interest rates and bonds. Currencies also saw a big reversal as the U.S. dollar appreciated sharply against major foreign currencies which went against the Portfolio Funds short positions in the U.S. dollar. Finally in commodities, oil, natural gas and precious metals saw big reversals, especially in the first part of December, hurting existing positions. Equity indices posted profits with the long term up trend continued, generating profits. However, the profits were not enough to offset the losses.

Most of the losses in 2009 came during the March-July period. March marked the beginning of some significant reversals in equities, currencies and commodities which medium and long term trend followers were not well prepared to deal with. These reversals caused relatively large losses at first until mid summer when managers finally turned around their portfolios to match the new trends. The rest of the year was marked by choppiness in a very large number of markets and smaller frequent reversals, which prevented funds from making back earlier losses. Certain Portfolio Funds had relatively weak returns in 2009, underperforming their peers, and Transtrend and Aspect were two such Portfolio Funds. These Poftfolio Funds had some concentrated positions over the course of the year that went against them, causing them to have worse than average returns. BlueTrend was an outperformer as it dealt with reversal periods better and was able to shift its exposures around faster during these periods.

2008

	Total Trading
Year ended December 31, 2008	Profit (Loss)
Chesapeake	$	3,583,563
Transtrend	16,444,848
Altis	29,676,850
Winton	10,361,844
Aspect	10,548,013
John Locke	10,325,464
BlueTrend	7,948,538
GSA	(7,776,386		)

	$	81,112,735

The Fund experienced a net trading profit for the year ended December 31, 2008 of $81,112,735

Profits were posted to the Fund for the first quarter. The Portfolio Funds had long positions in fixed income and precious metals, both of which benefited from fears of a United States recession, as well as sharp U.S. rate cuts. The continuing rally in grain markets was another source of profit for the Portfolio Funds. Losses came primarily from energy markets as oil prices weakened and natural gas rebounded. Going into February, commodities and fixed income are the two

largest risk allocations for the Portfolio Funds as they continue to be long in most fixed income markets, while in commodities, they generally have long positions in grains, softs and precious metals, and shorts in livestock. Energy exposure has been cut back significantly after January’s losses. Profits continue to be posted to the Fund in the middle of the quarter due to returns earned in surging commodity markets. Grains and softs rallied strongly due to low inventories and positive forecasts of demand. Energy and metals climbed as these sectors are perceived as an inflation hedge. The other profitable trades included short currency positions against the U.S. dollar. The Fund posted losses at the end of the quarter. The strong trends in commodity markets in February made a sharp reversal in March, hurting most funds in the vertical. The grains and precious metals sectors recorded particularly large reversals. The Portfolio Funds were able to participate more in the upward move in February than in the March reversal thereby preserving its gains for the first quarter. The Portfolio Funds were able to limit the damage in March by reducing leverage. Most managers scaled back positions in inverse proportion to rising volatility in commodity markets.

Profits were posted to the Fund for the second quarter. The Portfolio Funds made gains in their long energy positions at the beginning of the quarter, as oil and natural gas hit historic highs which were offset by losses from reversals in financial futures markets. Most of the Portfolio Funds came into April with short positions in the U.S. dollar, long positions in bonds and short positions in equities. However, markets experienced a relief rally in April as investors began to believe the credit crisis might be over. This caused the U.S. dollar to rebound, bonds to fall and equities to rise, thus hurting the Portfolio Funds performance. The Portfolio Funds with more energy exposure did better in the month, as well as the Portfolio Funds who had short positions in the financial futures were able to unwind their positions quickly. Profits continued to be posted to the Fund in the middle of the quarter. May was a month where energies jumped to record levels. Crude oil was up 13% and natural gas was up 6.6%, continuing trends from previous months. The primary drivers of performance for the Fund was in the commodities and energy sectors. Non-commodity markets were mixed as most of the Funds managed to be flat to positive in the financial markets overall. The second quarter ended with profits being posted to the Fund. The Portfolio Funds made money through long positions in commodities and short equities positions.

Losses were posted to the Fund at the beginning of the third quarter. The Portfolio Funds posted losses at the beginning of the quarter as bullish trends in commodities dramatically reversed. The Portfolio Funds came into the month of July with long positions in most of the commodity markets. After having made most of their year-to-date gains in commodities, the Portfolio Funds had the largest losses in these markets. Goldman Sachs Commodity Index was down for the month, as well as the Energy sub-index and the correction was particularly severe in Natural Gas Index which was also down. The Portfolio Funds had a second month of poor performance in August. There were two major trends that caused the Portfolio Funds to lose money. The first was the strengthening in the U.S. dollar, following a long period of declines against most major currencies. Typically, the Portfolio Funds will be short on the U.S. dollar positions which caused losses to be posted to the Fund in the middle of the quarter. The second trend was the continued decline in commodities, following the dramatic reversal from July. Profits were posted to the Fund at the end of the third quarter. September witnessed an extended weakness in financial markets that was manifested in a sharp sell-off in global equities and commodities, including energies, grains, and industrial metals. Bond yields fell moderately, while the U.S. dollar continued its upward move against other major currencies. The Portfolio Funds performance exhibited a fair amount of variance which was a function of the time frame of the underlying strategy. Medium-term trend followers who form the bulk of Systematic Momentum, did quite well as they were correctly positioned for the market moves.

Profits were posted to the Fund in the fourth quarter. October was a story of two months. The first half of the month was characterized by an acute panic in financial markets with global equities, commodities, and high yielding currencies dropping and dollar rising. The second half that started with the equity market rally on Monday October 13th was characterized by wild day to day volatility but kept most markets relatively range bound. Most Portfolio Funds generated sizable returns in the first half of the month and then succeeded to keep most of these gains. Altis, Bluetrend, and Transtrend were the best performers. All three benefited from bearish moves in commodities and equities and a strong U.S. dollar in the first half of the month. The majority of the losses came from GSA short term models going long Japanese and Hong Kong equities towards the beginning of the month anticipating a bounce in stock markets. Unfortunately, these models were caught in a significant market drop and experienced sizable losses. All other Portfolio Funds had a positive performance in October. Profits were posted to the Fund in November in lieu of a stormy month in the financial markets. Most of the Portfolio Funds stayed away from volatile equity markets and instead benefited from long positions in global bonds as bonds rallied and short positions in commodities as commodities continued to decline. On average, fixed income was the best contributor to the performance, followed by commodities, and then currencies as a distant third place. The Fund posted profits at the end of the year. The largest gains were made in fixed income as the Portfolio Funds profited from long positions across the curve as yields continued to fall dramatically. Short positions in commodities, particularly energy, and long positions in the Euro versus the short British pound positions also proved profitable. Equity returns were flat on the month as risk in stocks was minimal.

2007

	Total Trading
Year ended December 31, 2007	Profit (Loss)
Chesapeake	$	907,352
Transtrend	3,553,620
Altis	2,911,774
Winton	2,796,394
Aspect	1,770,147
John Locke	1,760,297
Alphasimplex	(943,062		)
GSA	1,233,516

	$	13,990,038

The Fund experienced a net trading profit for the period ended December 31, 2007 of $13,990,038

The beginning of the second quarter profits were posted for the Fund through mid-quarter. However, as the second quarter ended there was resurgence in market volatility as bonds sold off heavily in the first half of the month on growing optimism for global growth and then rallied on renewed concerns in the sub-prime lending market. Similarly, equity markets experienced wide swings and ended the second quarter lower partly on concerns about the potential for contagion on the back of Bear Stearns’ troubled credit focused hedge funds. Although the core long term trend followers performed well throughout the month of June, the out-performance in the portfolio came from the short term models of Altis and GSA. Both of these managers captured reversals in equity markets and were able to profit both long and short over the course of the month. Natural gas shorts also generated positive results. In currencies, most managers were successful capturing strength in the Australian dollar, Canadian dollar, and the British pound as well as continuing to underweight the persistently weak Japanese yen.

The third quarter began with extreme market reversals. Practically all markets which were trending upward retraced as investors exited in an attempt to reduce risk. Credit worries and a softening housing market finally caught up to the equity markets and led to a big rally in global bonds. The Japanese yen, which has been persistently weak for years, suddenly rallied against all of its higher yielding counterparts. As a result of the reversals, losses were posted to the Fund. Long term market trends continued to unwind at the middle part of the third quarter as the long positions in the Foreign Exchange carry trades, long international equities, long energy and long metals due to a spike in risk aversion on August 16th caused significant losses in each of these trades posting losses for the Fund. The third quarter ended with a very strong performance after a turbulent summer. Strong trends re-emerged in commodities in particular, as wheat gained 21%, and crude oil rose 11% due to supply factors. In addition, precious metals rallied, with gold up by 10% and silver up by 13% due to the U.S. dollar weakening which caused demand for precious metals as a store of value. The U.S Federal Reserve’s 50 basis points mid-month rate cut also helped to invigorate investor risk appetite, helping FX carry trades and boosting global equity markets.

The year ended with gains being posted for the Fund (1.7% for December) bringing the return since its April 2007 inception to 16.04%. Trends were particularly strong in commodities, with rallies in grains, oil and gold, as well as continued declines in base metals. Individual managers with a larger allocation to the commodity space tended to outperform during the month of December. Financial futures markets were more difficult to trade due to choppy conditions. In bonds, several managers came into December with a long bias, but yields rose at the start of the month due to better than expected United States economic news, as well the decision of the U.S. Federal Government to lower rates by only 25 basis points, which was less than some had expected. In Futures and Exchange currencies, an early strengthening of the U.S. dollar caught several managers by surprise, as they were generally positioned for further U.S. dollar weakness. Finally, in equities a lack of trends meant that risk exposures were limited in this area.

Variables Affecting Performance

The principal variables that determine the net performance of the Fund are gross profitability from the Portfolio Funds’ trading activities and interest income.

The Fund currently earns interest based on the prevailing Fed Funds rate plus a spread for short cash

positions and minus a spread for long cash positions. The current short term interest rates have remained extremely low when compared with historical rates and thus has contributed negligible amounts to overall Fund performance.

During the period set forth above in “Selected Financial Data”, the interest rates in many countries were at unusually low levels. In addition, low interest rates are frequently associated with reduced fixed income market volatility, and in static markets the Fund’s profit potential generally tends to be diminished. On the other hand, during periods of higher interest rates, the relative attractiveness of a high risk investment such as the Fund may be reduced as compared to high yielding and much lower risk fixed-income investments.

The Fund’s Sponsor Fees are a constant percentage of the Fund’s net assets.

Unlike many investment fields, there is no meaningful distinction in the operation of the Fund between realized and unrealized profits. Most of the contracts traded by the Portfolio Funds are highly liquid and can be closed out at any time.

Except in unusual circumstances, factors—regulatory approvals, cost of goods sold, employee relations and the like—which often materially affect an operating business, have no material impact on the Fund.

Liquidity; Capital Resources

The Portfolio Funds borrow only to a limited extent and only on a strictly short-term basis in order to finance losses on non-U.S. dollar denominated trading positions pending the conversion of the U.S. dollar deposits. These borrowings are at a prevailing short-term rate in the relevant currency.

Substantially all of the Portfolio Funds’ assets are held in cash at the underlying Fund. The Net Asset Value of the Portfolio Funds’ cash is not affected by inflation. However, changes in interest rates could cause periods of strong up or down price trends, during which the profit potential generally increases. Inflation in commodity prices could also generate price movements, which the strategies might successfully follow.

Because substantially all of the Portfolio Funds’ assets are held in cash at the underlying Fund, the Portfolio Funds should be able to close out any or all of its open trading positions and liquidate any or all of its securities holdings quickly and at market prices, except in very unusual circumstances. This permits the advisors to limit losses as well as reduce market exposure on short notice should its strategies indicate doing so. In addition, because there is a readily available market value for the Portfolio Funds positions and assets, the Fund’s monthly Net Asset Value calculations are precise, and investors need only wait ten business days to receive the full redemption proceeds of their Units.

(The Portfolio Funds and the Fund have no applicable off-balance sheet arrangements or tabular disclosure of contractual obligations of the type described in Items 3.03(a)(4) and 3.03(a)(5) of Regulation S-K.)

Recent Accounting Developments

Recent accounting developments are discussed in Exhibit 13.01.

Item 7A: Quantitative and Qualitative Disclosures About Market Risks

Introduction

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

Market movements result in frequent changes in the fair market value of the Portfolio Fund’s open positions and, consequently, in its earnings and cash flow. The Portfolio Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments

and contracts, the diversification effects among the Portfolio Fund’s open positions and the liquidity of the markets in which it trades.

The Portfolio Funds, under the direction of their respective advisors, rapidly acquire and liquidate both long and short positions in currency markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the past performance is not necessarily indicative of its future results.

Value at Risk is a measure of the maximum amount which the Portfolio Funds could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Portfolio Funds’ speculative trading and the recurrence in the markets traded by the Portfolio Funds of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the experience to date (i.e., “risk of ruin”). In light of the foregoing, as well as the risks and uncertainties intrinsic to all future projections, the quantifications included in this section should not be considered to constitute any assurance or representation that the Portfolio Funds’ losses in any market sector will be limited to Value at Risk or by each Portfolio Funds’ attempts to manage its market risk.

Quantifying The Fund’s Trading Value At Risk

Quantitative Forward-Looking Statements

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

The Portfolio Fund’s risk exposure in the various market sectors traded by the advisors is quantified below in terms of Value at Risk. Due to the Portfolio Fund’s fair value accounting, any loss in the fair value of the Portfolio Fund’s open positions is directly reflected in the Portfolio Fund’s earnings (realized or unrealized) and cash flow (at least in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).

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

In the case of market sensitive instruments which are not exchange-traded (almost exclusively currencies in the case of the Portfolio Funds), the margin requirements for the equivalent futures positions have been used as Value at Risk. In those rare cases in which a futures-equivalent margin is not available, dealers’ margins have been used.

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

The Fund’s Trading Value at Risk in Different Market Sectors

The following information with respect to Value at Risk (“VAR”) is set forth in respect of Portfolio Funds separately, rather than for the Partnership on a stand alone basis.

Altis Class DS (1)

December 31, 2009

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	143,099	0.14	%	$	253,440	$	30,906
Energy	173,925		0.17	%	479,521		27,763
Interest Rates	8,974,327		8.72	%	11,279,824		6,852,385
Metals	377,634		0.37	%	846,000		79,345
Stock Indices	514,223		0.50	%	1,284,200		32,824
Currencies	268,591		0.26	%	614,380		32,398

TOTAL	$	10,451,799	10.16	%	$	14,757,365	$	7,055,621

(1) Average capitalization of Altis Class DS is $102,900,268.

Altis Class DS (1)

December 31, 2008

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	537,989	1.05	%	$	1,457,645	$	54,072
Energy	484,425		0.95	%	1,866,010		12,268
Interest Rates	5,445,032		10.64	%	9,901,636		189,310
Metals	363,811		0.71	%	1,102,077		76,849
Stock Indices	454,286		0.89	%	2,255,421		17,466
Currencies	587,321		1.15	%	3,175,386		60,466

TOTAL	$	7,872,864	15.39	%	$	19,758,175	$	410,431

(1) Average capitalization of Altis Class DS is $51,152,408.

Transtrend Class DS (2)

December 31, 2009

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	287,291	0.21	%	$	1,249,337	$	25,964
Energy	473,736		0.35	%	1,767,710		8,648
Interest Rates	11,698,484		8.71	%	17,620,289		6,258,260
Metals	184,060		0.14	%	568,495		2,859
Stock Indices	703,797		0.52	%	1,882,750		35,158
Currencies	551,625		0.41	%	1,936,468		63,452

TOTAL	$	13,898,993	10.34	%	$	25,025,049	$	6,394,341

(2) Average capitalization of Transtrend Class DS is $134,299,237.

Transtrend Class DS (2)

December 31, 2008

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	230,975	0.41	%	$	737,580	$	11,638
Energy	361,749		0.65	%	1,088,792		7,598
Interest Rates	4,203,179		7.55	%	5,982,076		1,355,396
Metals	171,708		0.31	%	464,718		6,735
Stock Indices	340,747		0.61	%	708,767		93,824
Currencies	839,469		1.51	%	2,386,648		28,161

TOTAL	$	6,147,827	11.04	%	$	11,368,581	$	1,503,352

(2) Average capitalization of Transtrend Class DS is $55,662,905.

Aspect Class DS (3)

December 31, 2009

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	80,011	0.10	%	$	304,395	$	2,532
Energy	64,288		0.08	%	156,172		8,652
Interest Rates	8,234,058		10.46	%	15,531,929		4,899,067
Metals	160,258		0.20	%	642,631		3,770
Stock Indices	225,044		0.29	%	874,765		6,162
Currencies	417,518		0.53	%	1,162,691		101,820

TOTAL	$	9,181,177	11.66	%	$	18,672,583	$	5,022,003

(3) Average Capitalization of Aspect Class DS is $78,704,541.

Aspect Class DS (3)

December 31, 2008

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	148,700	0.34	%	$	714,478	$	32,584
Energy	233,858		0.53	%	986,545		34,838
Interest Rates	4,320,580		9.83	%	9,259,536		1,806,236
Metals	100,382		0.23	%	453,072		30,959
Stock Indices	286,373		0.65	%	1,162,802		12,758
Currencies	519,459		1.18	%	1,999,966		21,707

TOTAL	$	5,609,352	12.76	%	$	14,576,399	$	1,939,082

(3) Average Capitalization of Aspect Class DS is $43,969,426.

Chesapeake Class DS (4)

December 31, 2009

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	497,738	0.63	%	$	1,421,839	$	82,583
Energy	286,359		0.36	%	1,259,154		—
Interest Rates	6,197,947		7.82	%	12,519,402		3,643,951
Metals	749,491		0.95	%	2,270,314		36,503
Stock Indices	5,263		0.01	%	60,929		—
Stock Futures	622,603		0.79	%	2,759,350		—
Currencies	334,975		0.42	%	1,066,633		24,613

TOTAL	$	8,694,376	10.98	%	$	21,357,621	$	3,787,650

(4) Average capitalization of Chesapeake Class DS is $79,257,947.

Chesapeake Class DS (4)

December 31, 2008

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	424,562	0.97	%	$	1,109,107	$	37,416
Energy	326,563		0.75	%	831,598		—
Interest Rates	3,795,627		8.70	%	5,290,783		1,900,688
Metals	177,554		0.41	%	463,991		16,817
Stock Indices	0		0.00	%	0		—
Stock Futures	77,646		0.18	%	194,747		—
Currencies	563,387		1.29	%	1,593,178		8,064

TOTAL	$	5,365,339	12.30	%	$	9,483,404	$	1,962,985

(4) Average capitalization of Chesapeake Class DS is $43,646,766.

Winton Class DS (5)

December 31, 2009

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	58,746	0.04	%	$	149,603	$	2,205
Energy	31,407		0.02	%	71,287		951
Interest Rates	7,461,866		5.51	%	8,893,168		6,431,814
Metals	154,343		0.11	%	511,177		12,354
Stock Indices	310,604		0.23	%	1,122,663		55,130
Currencies	645,294		0.48	%	1,287,106		132,495

TOTAL	$	8,662,260	6.39	%	$	12,035,004	$	6,634,949

(5) Average capitalization of Winton Class DS is $135,368,736.

Winton Class DS (5)

December 31, 2008

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	214,796	0.39	%	$	519,675	$	18,738
Energy	225,550		0.41	%	595,566		25,326
Interest Rates	3,710,683		6.73	%	5,492,995		2,436,724
Metals	142,340		0.26	%	342,340		2,260
Stock Indices	357,042		0.65	%	1,461,669		13,188
Currencies	633,040		1.15	%	1,425,678		48,123

TOTAL	$	5,283,451	9.59	%	$	9,837,923	$	2,544,359

(5) Average capitalization of Winton Class DS is $55,171,794.

John Locke Class DS (6)

December 31, 2009

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	313,590	0.24	%	$	968,849	$	6,390
Energy	403,371		0.31	%	1,812,797		16,382
Interest Rates	34,726,623		26.79	%	305,915,780		1,922,404
Metals	553,205		0.43	%	3,324,914		30,523
Stock Indices	467,182		0.36	%	1,976,182		10,675
Currencies	2,189,133		1.69	%	13,102,677		284,578

TOTAL	$	38,653,104	29.82	%	$	327,101,199	$	2,270,952

(6) Average capitalization of John Locke Class DS is $129,613,433.

John Locke Class DS (6)

December 31, 2008

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	81,008	0.16	%	$	264,554	$	3,386
Energy	93,615		0.19	%	368,725		9,148
Interest Rates	2,846,509		5.78	%	4,922,791		769,897
Metals	72,635		0.15	%	221,857		24,169
Stock Indices	79,826		0.16	%	261,571		9,144
Currencies	302,614		0.61	%	585,364		36,707

TOTAL	$	3,476,207	7.05	%	$	6,624,862	$	852,451

(6) Average capitalization of John Locke Class DS is $49,220,916.

GSA Class DS (7)

December 31, 2009

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	435,011	0.46	%	$	815,648	$	3,108
Energy	526,153		0.56	%	1,174,250		46,954
Interest Rates	3,525,322		3.73	%	5,661,734		60,305
Metals	340,934		0.36	%	1,145,669		31,825
Stock Indices	1,859,526		1.97	%	4,304,255		49,439
Currencies	631,915		0.67	%	1,553,411		126,297

TOTAL	$	7,318,861	7.75	%	$	14,654,967	$	317,928

(7) Average capitalization of GSA Class DS is $94,571,167

* Fund Liquidated as of May 2009

GSA Class DS (7)

December 31, 2008

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	285,166	0.64	%	$	1,152,955	$	2,042
Energy	202,513		0.46	%	1,064,598		73
Interest Rates	3,436,052		7.75	%	6,162,630		733,412
Metals	95,405		0.22	%	383,155		1,862
Stock Indices	1,418,651		3.20	%	4,930,657		32,488
Currencies	796,969		1.80	%	3,194,233		15,376

TOTAL	$	6,234,756	14.07	%	$	16,888,228	$	785,253

(7) Average capitalization of GSA Class DS is $44,330,539

BlueTrend Class DS (8)

December 31, 2009

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	8,854	0.02	%	$	18,143	$	1,911
Energy	73,830		0.13	%	203,775		3,359
Interest Rates	4,042,757		7.27	%	7,381,548		2,075,299
Metals	16,462		0.03	%	46,937		2,774
Stock Indices	149,273		0.27	%	503,568		6,718
Currencies	36,183		0.07	%	124,434		1,492

TOTAL	$	4,327,359	7.79	%	$	8,278,405	$	2,091,553

(8) Average capitalization of BlueTrend Class DS is $55,643,996

BlueTrend Class DS (8)

December 31, 2008

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	9,193	0.02	%	$	12,073	$	5,601
Energy	19,281		0.05	%	23,984		15,292
Interest Rates	2,114,861		5.06	%	2,819,418		1,731,202
Metals	12,429		0.03	%	24,924		4,706
Stock Indices	81,211		0.19	%	193,271		23,960
Currencies	23,859		0.06	%	35,515		11,374

TOTAL	$	2,260,834	5.41	%	$	3,109,185	$	1,792,135

(8) Average capitalization of BlueTrend Class DS is $44,805,928

Material Limitations on Value at Risk as an Assessment of Market Risk

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

Non-Trading Risk

The Portfolio Funds have non-trading market risk on their foreign cash balances not needed for margin.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Fund’s market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Fund’s primary market risk exposures as well as the strategies used and to be used by MLAI and the Portfolio Funds’ advisors for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Fund’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Fund’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of the time value of their investment in the Fund.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

Trading Risk

MLAI has procedures in place intended to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. While MLAI does not itself intervene in the markets to hedge or diversify the Portfolio Funds’ market exposure, MLAI may urge the Portfolio Funds’ advisors to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are unusual, except in cases in which it appears that the advisors have begun to deviate from past practice and trading policies or to be trading erratically, MLAI’s basic control procedures consist of simply of the ongoing process of monitoring the advisors with the market risk controls being applied by the advisors themselves.

Risk Management

Portfolio Funds attempt to control risk in all aspects of the investment process — from confirmation of a trend to determining the optimal exposure in a given market, and to money management issues such as the startup or upgrade of investor accounts. Portfolio Funds double check the accuracy of market data, and will not trade a market without multiple price sources for analytical input. In constructing a portfolio, Portfolio Funds seek to control overall risk as well as the risk of any one position, and Portfolio Funds trade only markets that have been identified as having positive performance characteristics. Trading discipline requires plans for the exit of a market as well as for entry. Portfolio Funds factor the point of exit into the decision to enter (stop loss). The size of Portfolio Fund’s positions in a particular market is not a matter of how large a return can be generated but of how much risk it is willing to take relative to that expected return.

To attempt to reduce the risk of volatility while maintaining the potential for excellent performance, proprietary research is conducted on an ongoing basis to refine the Portfolio Funds investment strategies. Research may suggest substitution of alternative investment methodologies with respect to particular contracts; this may occur, for example, when the testing of a new methodology has indicated that its use might have resulted in different historical performance. In addition, risk management research and analysis may suggest modifications regarding the relative weighting among various contracts, the addition or deletion of particular contracts for a program, or a change in position size in relation to account equity. The weighting of capital committed to various markets in the investment programs is dynamic, and Portfolio Funds may vary the weighting at its discretion as market conditions, liquidity, position limit considerations and other factors warrant.

Portfolio Funds may determine that risks arise when markets are illiquid or erratic, which may occur cyclically during holiday seasons, or on the basis of irregularly occurring market events. In such cases, Portfolio Funds at its sole discretion may override computer-generated signals and may at times use discretion in the application of its quantitative models, which may affect performance positively or negatively.

Adjustments in position size in relation to account equity have been and continue to be an integral part of Portfolio Fund’s investment strategy. At its discretion, Portfolio Funds may adjust the size of a position in relation to equity in certain markets or entire programs. Such adjustments may be made at certain times for some programs but not for others. Factors which may affect the decision to adjust the size of a position in relation to account equity include ongoing research, program volatility, assessments of current market volatility and risk exposure, subjective judgment, and evaluation of these and other general market conditions.

Non-Trading Risk

The Fund and the Portfolio Funds control the non-trading exchange rate risk by regularly converting foreign currency balances back into U.S. dollars at least once per week and more frequently if a particular foreign currency balance becomes unusually high.

The Fund and the Portfolio Funds have cash flow interest rate risk on its cash on deposit with MLPF&S and in the BlackRock sponsored money market fund in that declining interest rates would cause the income from such cash to decline. However, a certain amount of cash or cash equivalents must be held by the Fund in order to facilitate margin payments and pay expenses and redemptions. MLAI does not take any steps to limit the cash flow risk on the cash held on deposit at MLPF&S and in the BlackRock sponsored money market fund.

Item 8: Financial Statements and Supplementary Data

Net Income (Loss) by Quarter

Eight Quarters through December 31, 2009

	Fourth			Third		Second			First			Fourth		Third			Second		First
	Quarter			Quarter		Quarter			Quarter			Quarter		Quarter			Quarter		Quarter
	2009			2009		2009			2009			2008		2008			2008		2008
Total Income (Loss)	$	(21,795,932	)	$	13,613,925	$	(27,712,377	)	$	(25,856,689	)	$	69,068,458	$	(29,629,492	)	$	28,127,418	$	13,644,323
Total Expenses	4,679,304			4,290,343		3,649,738			3,440,810			2,710,614		2,267,381			1,544,586		1,063,534
Net Income (Loss)	$	(26,475,236	)	$	9,323,582	$	(31,362,115	)	$	(29,297,499	)	$	66,357,844	$	(31,896,873	)	$	26,582,832	$	12,580,789

Net Income (Loss) per weighted average Unit (a)	$	(0.0359	)	$	0.0133	$	(0.0488	)	$	(0.0504	)	$	0.1347	$	(0.0851	)	$	0.1059	$	0.0942

(a) The Net Income (Loss) per weighted average Unit is based on the weighted average of the total Units for each quarter.

The financial statements required by this Item are included in Exhibit 13.01.

The supplementary financial information (“information about oil and gas producing activities”) specified by Item 302(b) of Regulation S-K is not applicable.

Item 9: Changes in and Disagreements with Accountants on Accounting and Financial Disclosure

The Board of Managers of MLAI, the Manager of the Fund, dismissed Deloitte & Touche as the independent registered public accounting firm for the Fund, effective April 20, 2009. The Board of Managers of the Manager, on behalf of the Fund, approved the engagement of PricewaterhouseCoopers LLP as the independent registered public accounting firm of the Fund effective April 20, 2009.

There were no disagreements with the respective independent registered public accounting firms on accounting and financial disclosure.

Item 9A(T): Controls and Procedures

MLAI’s Chief Executive Officer and the Chief Financial Officer, on behalf of the Fund, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Fund as of the year ended December 31, 2009, and, based on its evaluation, has concluded that these disclosure controls and procedures are effective.

Changes in Internal Control over Financial Reporting

No change in internal control over financial reporting (as defined in Rule 13a-15(f) under the Securities Exchange Act of 1934) occurred during the quarter ended December 31, 2009 that has materially affected, or is reasonable likely to materially affect, the Fund’s internal control, over financial reporting.

Management’s Report on Internal Control over Financial Reporting

The Fund’s management is responsible for establishing and maintaining adequate internal control over financial reporting. The Fund’s internal control over financial reporting is a process designed under the supervision of MLAI’s Chief Executive Officer and the Chief Financial Officer, on behalf of the Fund and is effected by management, other personnel and service providers to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles and included those policy and procedures that:

· Pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Fund.

· Provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the Fund are being made only in accordance with authorizations of management and directors of the Fund; and

· Provide reasonable assurance regarding prevention or timely detection of unauthorized acquisitions, use or disposition of the Fund’s assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting can provide only reasonable assurance with respect to financial statement preparation and presentation. Projections of any evaluation of effectiveness to future periods are subject to the risks that controls may become inadequate because of changes in condition, or that the degree of compliance with the policies or procedures may deteriorate.

The Fund’s management assessed the effectiveness of the Funds’ internal control over financial reporting as of December 31, 2009. In making this assessment, management used the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in “Internal Control-Integrated Framework”.

Based on its assessment the Fund’s management concluded that at December 31, 2009, the Fund’s internal control over financial reporting was effective.

This annual report does not include an attestation report of the Fund’s independent registered public accounting firm regarding internal control over financial reporting. Management’s report was not subject to attestation by the Fund’s independent registered public accounting firm pursuant to temporary rules of the Securities and Exchange Commission that permit the Fund to provide only management’s report for this annual report.

Item 9B: Other Information

Not applicable.

PART III

Item 10: Directors, Executive Officers and Corporate Governance

10(a) and 10(b) Identification of Directors and Executive Officers:

As a limited company, the Fund has no officers or directors and is managed by MLAI. Trading decisions are made by Portfolio Funds’ Trading Advisors on behalf of the Fund.

The managers and executive officers of MLAI and their respective business backgrounds are as follows:

Justin C. Ferri Chief Executive Officer, President and Manager

Barbra E. Kocsis Chief Financial Officer

(Principal Financial and Accounting Officer)

Deann Morgan Vice President and Manager

Justin C. Ferri is the Chief Executive Officer, President and Manager of MLAI. Mr. Ferri, 34 years old, has been the Chief Executive Officer and President of MLAI since August 2009. Mr. Ferri has been a Manager of MLAI and has been listed as a principal of MLAI since July 29, 2008. He has been registered with NFA as an associated person of MLAI since September 11, 2009. He also serves as Managing Director within the Merrill Lynch Global Wealth & Investment Management group and the Global Investments Solutions group (“GWIM” and “GIS,” respectively), responsible for heading GWIM’s Alternative Investments business. In addition, Mr. Ferri serves as Vice President of IQ Investment Advisors LLC (“IQ”), an indirect, wholly-owned investment adviser subsidiary of Merrill Lynch & Co., and serves as President of each of IQ’s publicly traded closed-end mutual fund companies. Prior to his role in GIS, Mr. Ferri was a Director in the MLPF&S Global Private Client Market Investments & Origination group, and before that, he served as a Vice President and head of the MLPF&S Global Private Client Rampart Equity Derivatives team. Prior to joining Merrill Lynch in 2002, Mr. Ferri was a Vice President within the Quantitative Development group of mPower Advisors LLC from 1999 to 2002, and prior to that, he worked in the Private Client division of J.P. Morgan & Co. He holds a B.A. degree from Loyola College in Maryland.

Barbra E. Kocsis is the Chief Financial Officer for MLAI. Ms. Kocsis,43 years old, has been the Chief Financial Officer of MLAI since October 2006. Ms. Kocsis has been listed with the NFA as a principal of MLAI since May 21, 2007 and is a Director within the Merrill Lynch Global Wealth Management Investment Services group, positions she has held since October 2006. Prior to serving in her current roles, she was the Fund Controller of MLAI from May 1999 to September 2006. Before joining MLAI, Ms. Kocsis held various accounting and tax positions at Derivatives Portfolio Management LLC from May 1992 until May 1999, at which time she held the position of accounting director. Prior to that, she was an associate at Coopers & Lybrand in both the audit and tax practices from September 1988 to February 1992. She graduated cum laude from Monmouth College with a Bachelor of Science in Business Administration - Accounting.

Deann Morgan is a Vice President and Manager of MLAI. Ms. Morgan, 40 years old, has been a Vice President of MLAI and Managing Director of GIS since March 2008. As Managing Director of GIS, Ms. Morgan heads Alternative Investments Origination. From April 2006 until March 2008, Ms. Morgan was a Director for Merrill Lynch’s Investments, Wealth Management & Insurance group, where she was responsible for origination of private equity and listed alternative investments. Between August 2004 and April 2006, Ms. Morgan worked for Merrill Lynch’s Investment Banking Group covering Asian corporate clients. She received her M.B.A. from University of Chicago and her B.B.A. from University of Michigan. Ms. Morgan has been registered with NFA as an associated person and listed as a principal of MLAI since August 21, 2009. Ms. Morgan has also been registered with NFA as an associated person of MLPF&S since April 13, 2009.

As of December 31, 2009, the principals of MLAI had no investment in the Fund.

MLAI acts as the sponsor, general partner or manager to seven public futures funds whose units of limited

partner or member interests are registered under the Securities Exchange Act of 1934: ML Aspect FuturesAccess LLC, ML Select Futures I L.P., ML Systematic Momentum FuturesAccess LLC, Bluetrend FuturesAccess LLC, ML Transtrend DTP Enhanced FuturesAccess LLC, ML Trend-Following Futures Fund L.P, and ML Winton FuturesAccess LLC. Because MLAI serves as the sole sponsor, general partner or manager of each of these Funds, the officers and managers of MLAI effectively manage them as officers and directors of such funds.

None.

(d) Family Relationships:

None.

(e) Business Experience:

See Item 10(a) and (b) above.

(f) Involvement in Certain Legal Proceedings:

None.

(g) Promoters and Control Persons:

Not applicable.

(h) Section 16(a) Beneficial Ownership Reporting Compliance:

Not applicable.

Code of Ethics:

MLAI and Merrill Lynch have adopted a code of ethics which applies to the Fund’s (MLAI’s) principal executive officer and principal financial officer or persons performing similar functions on behalf of the Fund. A copy of the code of ethics is available to any person, without charge, upon request by calling 1-866-MER-ALTS.

Nominating Committee:

Not applicable. (Neither the Fund nor MLAI has nominating committee.)

Audit Committee: Audit Committee Financial Expert:

Not applicable. (Neither the Fund nor MLAI has an audit committee. There are no listed shares of the Fund or MLAI.)

Item 11: Executive Compensation

The managers and officers of MLAI are remunerated by Merrill Lynch in their respective positions. The Fund does not itself have any officers, managers or employees. The Portfolio Funds pay Brokerage Commissions to an affiliate of MLAI and the Fund pays Sponsor Fees to MLAI. MLAI or its affiliates may also receive certain economic benefits from possession of the Fund’s and Portfolio Funds’ U.S. dollar assets. The managers and officers receive no “other compensation” from the Fund, and the managers receive no compensation for serving as managers of MLAI. There are no compensation plans or arrangements relating to a change in control of either the Fund or MLAI.

Item 12: Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters

(a) Security Ownership of Certain Beneficial Owners:

Not applicable. (The Units are non-voting securities limited liability company interests. The Fund is managed by MLAI, its sponsor and manager.)

(b) Security Ownership of Management:

As of December 31, 2009, MLAI owned no Unit-equivalent member interests, and the principals of MLAI did not own any Units.

None.

(d) Securities Authorized of Issuance Under Equity Compensation Plans:

Not applicable.

Item 13: Certain Relationships and Related Transactions and Director Independence

(a) Transactions between Merrill Lynch and the Fund

Some of the service providers to the Fund are affiliates of Merrill Lynch. However, none of the fees paid by the Fund to such Merrill Lynch affiliates were negotiated and such fees charged to the Fund might be higher than would have been obtained in arms-length negotiations.

The Portfolio Funds pay MLPF&S and its affiliates substantial Brokerage Commissions and Sponsor Fees as well as bid-ask spreads on forward currency trades. The Portfolio Funds also pay MLPF&S interest on short-term loans extended by MLPF&S to cover losses on foreign currency positions.

Within the Merrill Lynch organization, MLAI is the beneficiary of the revenues received by different Merrill Lynch entities from the Fund and Portfolio Funds. MLAI controls the management of the Fund and serves as its promoter. Although MLAI has not sold any assets, directly or indirectly, to the Fund, MLAI makes substantial profits from the Fund due to the foregoing revenues.

No loans have been, are or will be outstanding between MLAI or any of its principals and the Fund.

MLAI pays substantial selling commissions and trailing commissions to MLPF&S for distributing the Units. MLAI is ultimately paid back for these expenditures from the revenues it receives from the Fund.

(b) Certain Business Relationships:

MLPF&S, an affiliate of MLAI, acts as the principal commodity broker for the Portfolio Funds.

In 2009, the Fund expensed (i) Sponsor fees of $14,993,578 earned by MLAI.

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.

See Item 1(c), “Narrative Description of Business — Charges” and “— Description of Current Charges” for a discussion of other business dealings between MLAI affiliates and the Fund.

None.

(d) Transactions with Promoters:

Not applicable.

(e) Director Independence

No person who served as a manager of MLAI during 2009 would be considered independent (based on the definition of an independent director under the NASDAQ rules.)

Item 14: Principal Accountant Fees and Services

(a) Audit Fees

Aggregate fees billed for professional services rendered by PricewaterhouseCoopers LLP in connection with the audit of the Fund’s financial statements as of and for the year ended December 31, 2009 were $93,000.

Aggregate fees billed for professional services rendered by Deloitte & Touche LLP in connection with the audits of the Fund’s financial statements as of and for the year ended December 31, 2008 were $93,000, respectively.

(b) Audit-Related Fees

There were no other audit-related fees billed for the years ended December 31, 2009 and 2008 related to the Fund.

No fees were billed by PricewaterhouseCoopers LLP or any member firms of PricewaterhouseCoopers and their respective affilitates for the year ended December 31, 2009 for professional services rendered to the fund in connection with tax compliance, tax advice and tax planning.

Aggregate fees billed for professional services rendered by Deloitte Tax LLP in connection with the tax compliance, advice and preparation of the Fund’s tax returns for the year ended December 31, 2009 were $52,250.

(d) All Other Fees

No fees were billed by PricewaterhouseCoopers LLP or any member firms of PricewaterhouseCoopers and their respective affiliates for the year ended December 31, 2009 and for any other professional services in relation to the Fund.

No fees were billed by Deloitte & Touche LLP, Deloitte Tax LLP, or any member firms of Deloitte Touche Tohmatsu and their respective affiliates during the year ended December 31, 2008 and the period ended December 31, 2007 for any other professional services in relation to the Fund.

Neither the Fund nor MLAI has an audit committee to pre-approve principal accountant fees and services. In lieu of an audit committee, the managers and the principal financial officer pre-approve all billings prior to the commencement of services.

PART IV

Item 15: Exhibits and Financial Statement Schedules

		Page:
1.	Financial Statements (found in Exhibit 13.01):

	REPORTS OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRMS	1

	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

	Statement 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 year 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

2.	Financial Statement Schedules:

	(a) Financial Statements of ML TransTrend DTP Enhanced FuturesAccess LLC

	Report of Independent Registered Public Accounting Firm	1

	Statements of Financial Condition as of December 31, 2009 and 2008	2

	Statements of Operations for the years ended December 31, 2009, 2008 and for the period April 2, 2007 (commencement of operations) to December 31, 2007	3

	Statements of Changes in Member’s Capital for the years ended December 31, 2009, 2008 and for the period April 2, 2007 (commencement of operations) to December 31, 2007	4

	Financial Data Highlights for the years ended December 31, 2009, 2008 and for period April 2, 2007 (commencement of operations) to December 31, 2007	6

	Notes to Financial Statements	9

	Financial statement schedules not included in this Form 10-K have been omitted for the reason that they are not required or are not applicable or that equivalent information has been included in the financial statements or notes thereto.

3. Exhibits:

The following exhibits are incorporated by reference or are filed herewith to this Annual Report on Form 10-K:

Designation		Description

3.01		Certificate of Formation of ML Systematic Momentum FuturesAccess LLC.

Exhibit 3.01:		Is incorporated herein by reference from Exhibit 3.1 contained in the Registration Statement (File No. 0-52505) filed on November 14, 2007, on Form 10 under the Securities Exchange Act of 1934 (the Registrant’s Registration Statement).

3.02		Amended and Restated Limited Liability Company Operating Agreement of ML Systematic Momentum FuturesAccess LLC.

Exhibit 3.02		Is filed herewith.

13.01		2009 Annual Report and Report of Independent Registered Public Accounting Firm.

13.02		Financial Statements of ML TransTrend DTP Enhanced FuturesAccess LLC

Exhibit 13.01
Exhibit 13.02:		are filed herewith.

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

Exhibit 31.01		Are filed herewith.
and 31.02:

32.01 and 32.02		Section 1350 Certifications

Exhibit 32.01
and 32.02:		Are filed herewith.

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC
By: MERRILL LYNCH ALTERNATIVE INVESTMENTS LLC, Manager
By:	/s/Justin C. Ferri
Justin C. Ferri
Chief Executive Officer, President and Manager
(Principal Executive Officer)

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, this report has been signed on March 31, 2010 by the following persons on behalf of the Registrant and in the capacities indicated.

Signature	Title	Date

/s/ Justin C. Ferri	Chief Executive Officer, President and Manager	March 31, 2010
Justin C. Ferri

/s/ Barbra E. Kocsis	Chief Financial Officer	March 31, 2010
Barbra E. Kocsis	(Principal Financial and Accounting Officer)

s/ Deann Morgan	Vice President and Manager	March 31, 2010
Deann Morgan

(Being the principal executive officer, the principal financial and accounting officer and a majority of the managers of Merrill Lynch Alternative Investments LLC)

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

2009 FORM 10-K

INDEX TO EXHIBITS

		Exhibit

Exhibit 3.02		Amended and Restated Limited Liability Company Operating Agreement of ML Systematic Momentum FuturesAccess LLC.

Exhibit 13.01		2009 Annual Report and Report of Independent Registered Public Accounting Firm

Exhibit 13.02		ML Transtrend DTP Enchanced FuturesAccess LLC Financial Statements as of 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 of Independent Registered Public Accounting Firms

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

Exhibit 32.01 and 32.02		Sections 1350 Certifications

EX-3.02 2 a10-3641_4ex3d02.htm EX-3.02

EXHIBIT 3.02

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

AMENDED AND RESTATED
LIMITED LIABILITY COMPANY
OPERATING AGREEMENT

THE UNITS OF LIMITED LIABILITY COMPANY INTEREST CREATED HEREBY HAVE NOT BEEN REGISTERED UNDER THE SECURITIES ACT OF 1933, AS AMENDED, OR ANY STATE SECURITIES ACT, AND MAY NOT BE SOLD, TRANSFERRED, PLEDGED OR HYPOTHECATED EXCEPT AS PERMITTED UNDER APPLICABLE SECURITIES LAWS AND WITH THE CONSENT OF THE SPONSOR.

Merrill Lynch Alternative Investments LLC

Sponsor

November 30, 2009

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

AMENDED AND RESTATED LIMITED LIABILITY COMPANY OPERATING AGREEMENT

TABLE OF CONTENTS

ARTICLE I ORGANIZATION

SECTION 1.01. OBJECTIVES AND PURPOSES	1

SECTION 1.02. INVESTMENT OF CASH RESERVES	2

SECTION 1.03. FISCAL YEAR; ACCOUNTING PERIODS	3

SECTION 1.04. REGISTERED AGENT AND OFFICE; PRINCIPAL OFFICE	3

SECTION 1.05. TERM	3

SECTION 1.06. NON-ASSIGNABILITY OF UNITS; SUBSTITUTED INVESTORS; LIMITED ASSIGNABILITY OF THE SPONSOR’S INTEREST	3

SECTION 1.07. LIABILITY OF INVESTORS	4

ARTICLE II CAPITAL AND TAX ALLOCATIONS

SECTION 2.01. CAPITAL CONTRIBUTIONS	4

SECTION 2.02. OPENING CAPITAL ACCOUNTS	6

SECTION 2.03. FINANCIAL ALLOCATIONS AMONG THE UNITS	7

SECTION 2.04. NET ASSET VALUE	7

SECTION 2.05. SPONSOR’S FEES; OPERATING EXPENSES	8

SECTION 2.06. ALLOCATION OF PROFITS AND LOSSES FOR FINANCIAL PURPOSES	9

SECTION 2.07. ALLOCATION OF PROFITS AND LOSSES FOR INCOME TAX PURPOSES	9

SECTION 2.08. CHARGEBACKS TO CURRENT OR FORMER INVESTORS	11

SECTION 2.09. PROCESSING OF SUBSCRIPTIONS	12

SECTION 2.10. VALUATION OF ASSETS	12

SECTION 2.11. USE OF ESTIMATES	13

SECTION 2.12. ACCOUNTING PRACTICES	13

ARTICLE III PARTICIPATION IN SYSTEMATIC MOMENTUM FUTURESACCESS PROPERTY; REDEMPTIONS AND DISTRIBUTIONS

SECTION 3.01. NO UNDIVIDED INTERESTS IN SYSTEMATIC MOMENTUM FUTURESACCESS PROPERTY	14

SECTION 3.02. REDEMPTIONS OF UNITS; EXCHANGES	14

SECTION 3.03. WITHDRAWALS OF CAPITAL BY THE SPONSOR	15

SECTION 3.04. MANDATORY REDEMPTIONS	15

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TABLE OF CONTENTS (cont.)

SECTION 3.05. MANDATORY REDEMPTIONS TO PAY TAXES	15

SECTION 3.06. DISTRIBUTIONS	15

SECTION 3.07. FORM OF DISTRIBUTION AND REDEMPTION PAYMENTS	15

SECTION 3.08. REMOVAL OF THE SPONSOR	16

ARTICLE IV WITHDRAWAL OF THE SPONSOR AND INVESTORS

SECTION 4.01. WITHDRAWAL OF THE SPONSOR	16

SECTION 4.02. WITHDRAWAL OF AN INVESTOR	16

SECTION 4.03. STATUS AFTER WITHDRAWAL	16

ARTICLE V MANAGEMENT

SECTION 5.01. AUTHORITY OF THE SPONSOR	17

SECTION 5.02. SERVICE PROVIDERS; INVESTMENTS; ACCOUNTS	17

SECTION 5.03. ACTIVITIES OF THE SPONSOR PARTIES	17

SECTION 5.04. SERVICES PERFORMED FOR SYSTEMATIC MOMENTUM FUTURESACCESS	18

SECTION 5.05. INTERESTED PARTIES	18

SECTION 5.06. EXCULPATION	18

SECTION 5.07. INDEMNIFICATION	19

SECTION 5.08. FUTURESACCESS FUNDS’ STANDARD OF LIABILITY AND INDEMNIFICATION	19

SECTION 5.09. INVESTORS’ TRANSACTIONS	19

SECTION 5.10. RELIANCE BY THIRD PARTIES	19

SECTION 5.11. REGISTRATION OF ASSETS	19

SECTION 5.12. LIMITATION ON AUTHORITY OF THE SPONSOR	19

ARTICLE VI ADMISSION OF INVESTORS

SECTION 6.01. PROCEDURE AS TO NEW INVESTORS	20

SECTION 6.02. PROCEDURE AS TO NEW MANAGERS	20

ARTICLE VII BOOKS OF ACCOUNT; AUDITS; REPORTS TO INVESTORS

SECTION 7.01. BOOKS OF ACCOUNT	20

SECTION 7.02. ANNUAL AUDIT	20

SECTION 7.03. INTERIM REPORTS	21

ARTICLE VIII CONFLICTS OF INTEREST

SECTION 8.01. INVESTORS’ CONSENT	21

SECTION 8.02. INVESTORS’ REPRESENTATIVE	21

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TABLE OF CONTENTS (cont.)

ARTICLE IX DISSOLUTION AND WINDING UP

SECTION 9.01. EVENTS OF DISSOLUTION	22

SECTION 9.02. DISSOLUTION	22

ARTICLE X MISCELLANEOUS PROVISIONS

SECTION 10.01. INVESTORS NOT TO CONTROL	23

SECTION 10.02. POWER OF ATTORNEY	23

SECTION 10.03. AMENDMENTS; CONSENTS	23

SECTION 10.04. NOTICES	24

SECTION 10.05. LEGAL EFFECT; MANNER OF EXECUTION	24

SECTION 10.06. ENTIRE AGREEMENT	24

SECTION 10.07. GOVERNING LAW	24

SECTION 10.08. CONSENT TO JURISDICTION	24

SECTION 10.09. “TAX MATTERS PARTNER”; TAX ELECTIONS	24

SECTION 10.10. DETERMINATION OF MATTERS NOT PROVIDED FOR IN THIS AGREEMENT	25

SECTION 10.11. NO PUBLICITY	25

SECTION 10.12. SURVIVAL	25

SECTION 10.13. WAIVERS	25

SECTION 10.14. VOTING RIGHTS	25

SECTION 10.15. ISSUANCE OF DIFFERENT CLASSES	25

SECTION 10.16. COMPLIANCE WITH THE ADVISERS ACT; SECURITIES LAWS	25

SECTION 10.17. AMENDMENT AND RESTATEMENT	25

TESTIMONIUM

SIGNATURES

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ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

AMENDED AND RESTATED
LIMITED LIABILITY COMPANY OPERATING AGREEMENT

THIS AMENDED AND RESTATED LIMITED LIABILITY COMPANY OPERATING AGREEMENT (“Agreement”) dated November 30, 2009 of ML Systematic Momentum FuturesAccess LLC (“Systematic Momentum FuturesAccess”) by and among Merrill Lynch Alternative Investments LLC, a Delaware limited liability company (the “Sponsor”), and those persons who shall invest in the units of limited liability company interest (“Units”) created pursuant to this Agreement — Class A, Class C, Class D Class I and such other classes as may be established in the future — and shall therefore be admitted as members (such members being hereinafter sometimes referred to collectively as “Investors”; provided that for purposes of voting, Units held by the Sponsor shall not be considered to be held by an Investor).

WHEREAS, the parties hereto desire to continue Systematic Momentum FuturesAccess, a limited liability company under the provisions of the Delaware Limited Liability Company Act (the “Act”), which shall allocate and reallocate under the direction of the Sponsor its capital among the single-advisor funds included in the Merrill Lynch FuturesAccessSM Program (“FuturesAccess”); such other funds to be hereinafter sometimes referred to as “FuturesAccess Funds.”

WHEREAS, the Sponsor is the sponsor of Systematic Momentum FuturesAccess and the sponsor and manager of each of the FuturesAccess Funds for purposes of the Act.

WHEREAS, in addition to FuturesAccess, the Sponsor also sponsors the HedgeAccessSM Program (“HedgeAccess”) of private investment funds concentrating on securities, rather than futures and forward trading (such funds being hereinafter referred to as “HedgeAccess Funds”).

WHEREAS, the parties hereby desire to set forth the terms pursuant to which Systematic Momentum FuturesAccess shall be governed.

NOW, THEREFORE, in consideration of the premises, the mutual agreements herein contained and other good and valuable consideration, the receipt and sufficiency of which are hereby acknowledged, the parties hereto agree as follows:

ARTICLE I
ORGANIZATION

SECTION 1.01. OBJECTIVES AND PURPOSES.

(a) Systematic Momentum FuturesAccess shall have the following objectives and purposes:

(i) to allocate and reallocate its capital among different FuturesAccess Funds under the direction of the Sponsor, attempting to achieve consistently high risk-adjusted returns by implementing an active multi-advisor managed futures program;

(ii) to maintain such cash reserves as the Sponsor may from time to time deem to be appropriate and to invest and manage all such cash reserves; and

(iii) to engage in any other lawful act or activity within and without the United States for which limited liability companies may be organized under the laws of the State of Delaware.

(b) Systematic Momentum FuturesAccess, and the Sponsor on behalf of Systematic Momentum FuturesAccess, shall have the power to enter into, make and perform all contracts and other undertakings, and engage in all activities and transactions as may be necessary or advisable to the carrying out of the foregoing purposes, including, without limitation, the power:

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(i) to invest in and redeem from FuturesAccess Funds, allocating and reallocating its capital among FuturesAccess Funds in the discretion of the Sponsor;

(ii) indirectly to trade futures, forwards, options and other instruments, on margin and otherwise, through investing in FuturesAccess Funds;

(iii) to borrow money from banks or brokers by hypothecation or pledge of all or part of the assets of Systematic Momentum FuturesAccess;

(iv) to exercise, as applicable, all rights, powers, privileges and other incidents of ownership or possession with respect to the assets of Systematic Momentum FuturesAccess;

(v) to open, maintain and close bank, brokerage and other accounts;

(vi) to prepare and file all tax returns required of Systematic Momentum FuturesAccess and make any election or determination on behalf of Systematic Momentum FuturesAccess in connection therewith or as otherwise required or permitted by applicable tax laws;

(vii) to bring, defend, compromise and settle legal actions or other claims on behalf of Systematic Momentum FuturesAccess;

(viii) to maintain insurance on behalf of Systematic Momentum FuturesAccess, including indemnification insurance; and

(ix) to take any and all such actions as the Sponsor may deem to be necessary or advisable in connection with the foregoing.

SECTION 1.02. INVESTMENT OF CASH RESERVES. The Sponsor shall allocate and reallocate Systematic Momentum FuturesAccess’ capital among different FuturesAccess Funds, attempting to adapt Systematic Momentum FuturesAccess’ overall portfolio to changing market conditions while also achieving diversification in the trading strategies implemented for Systematic Momentum FuturesAccess.

The FuturesAccess Funds among which Systematic Momentum FuturesAccess allocates its capital may execute transactions in commodity interests, currency interests, swap agreements, and any other manner of instruments, on either a principal or an agency basis, with or through affiliates of the Sponsor (the Sponsor and such affiliates being hereafter referred to as “Merrill Lynch”) or third parties. The sole clearing broker and the principal forward trading counterparty for the FuturesAccess Funds among which the Sponsor allocates and reallocates Systematic Momentum FuturesAccess’ capital shall be Merrill Lynch unless the Sponsor otherwise determines and such change is not materially adverse to the interests of the Investors.

The FuturesAccess Funds among which the Sponsor allocates and reallocates Systematic Momentum FuturesAccess’ capital shall deposit all or substantially all of their capital with Merrill Lynch or any other clearing brokers selected by the Sponsor pursuant to the arrangements described in the “Part One (A) Confidential Program Disclosure Document: FuturesAccessSM Program General Information,” the “Part One (B) Confidential Program Disclosure Document: Trading Advisor Information” and the “Part Two Confidential Program Disclosure Document: Statement of Additional Information,” as they may be updated or supplemented from time to time (collectively, the “Confidential Program Disclosure Document”), all Investors acknowledging that Merrill Lynch will not only receive futures brokerage commissions and bid-ask spreads from the FuturesAccess Funds but also will retain significant economic benefits from the possession of the FuturesAccess Funds’ assets (including assets representing Systematic Momentum FuturesAccess’ investment in such FuturesAccess Fund) in addition to the interest which Merrill Lynch will credit to Systematic Momentum FuturesAccess’ account. In addition, the Sponsor may maintain Systematic Momentum FuturesAccess’ reserve assets (as well as those of the FuturesAccess Funds) in deposit or similar accounts with, or in money market funds advised or sponsored by, one

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or more affiliates of the Sponsor, which affiliates may benefit from the possession of such assets, as well as with unaffiliated entities. The interest paid by such affiliated and unaffiliated entities on Systematic Momentum FuturesAccess’ and the FuturesAccess Funds’ cash so invested will be paid to Systematic Momentum FuturesAccess or such FuturesAccess Funds, as the case may be. However, neither the Sponsor nor any of its affiliates (or any third parties) will be obligated to account to Systematic Momentum FuturesAccess, any FuturesAccess Fund or any Investor for the additional economic benefits which the Sponsor or any such affiliate may derive from possession of Systematic Momentum FuturesAccess’ assets.

SECTION 1.03. FISCAL YEAR; ACCOUNTING PERIODS. The fiscal year of Systematic Momentum FuturesAccess shall end on each December 31. Systematic Momentum FuturesAccess’ accounting periods (“Accounting Periods”), as of the end of each of which increases and decreases in Systematic Momentum FuturesAccess’ “Net Assets” (as defined in Section 2.04) — as notified to the Sponsor by the FuturesAccess Funds in which the Sponsor invests Systematic Momentum FuturesAccess’ capital — shall be calculated and reflected in the “Net Asset Value” (as defined in Section 2.04) of the Units issued by Systematic Momentum FuturesAccess, shall begin: (i) as of the day that Systematic Momentum FuturesAccess first begins operations; (ii) as of the day that any Unit is issued; (iii) as of the day immediately following any redemption of Units or withdrawal from an Investor’s Capital Account; (iv) as of the beginning of each calendar month; and (v) as of such other day as the Sponsor may determine. An Accounting Period shall end on the day immediately preceding the beginning of the next Accounting Period.

SECTION 1.04. REGISTERED AGENT AND OFFICE; PRINCIPAL OFFICE. Systematic Momentum FuturesAccess shall maintain in the State of Delaware a registered agent and office. The identity and location of said registered agent and office shall be determined by the Sponsor, and may be changed from time to time by the Sponsor.

The initial registered office of Systematic Momentum FuturesAccess in the State of Delaware is c/o The Corporation Trust Company, Corporation Trust Center, 1209 Orange Street, Wilmington, New Castle County, Delaware 19801.

The principal office of Systematic Momentum FuturesAccess shall be located at the offices of the Sponsor, 4 World Financial Center, 250 Vesey Street, 6th Floor, New York, New York 10080, or such other place as the Sponsor may designate from time to time.

SECTION 1.05. TERM. The term of Systematic Momentum FuturesAccess commenced as of the date its Certificate of Formation was filed with the Secretary of State of the State of Delaware, and shall continue until terminated by the dissolution and winding up of Systematic Momentum FuturesAccess as hereinafter provided.

SECTION 1.06. NON-ASSIGNABILITY OF UNITS; SUBSTITUTED INVESTORS; LIMITED ASSIGNABILITY OF THE SPONSOR’S INTEREST.

(a) No Investor shall assign, encumber, pledge, hypothecate or otherwise transfer any of such Investor’s Units without the consent of the Sponsor, and any assignment, encumbrance, pledge, hypothecation or transfer of Units, whether voluntary, involuntary or by operation of law, to which the Sponsor does not consent shall result in the Units so assigned, encumbered, pledged, hypothecated or otherwise transferred being mandatorily redeemed as of the end of the month during which such purported assignment, encumbrance, pledge, hypothecation or transfer occurred. Any assignment, encumbrance, pledge, hypothecation or transfer which shall result in the termination of Systematic Momentum FuturesAccess for federal income tax purposes shall be null and void ab initio and of no legal force or effect whatsoever. An assigning Investor shall remain liable to Systematic Momentum FuturesAccess as provided in the Act, regardless of whether his or her assignee becomes a substituted Investor.

(b) The Sponsor may not assign, encumber, pledge, hypothecate or otherwise transfer all or any portion of its manager’s interest in Systematic Momentum FuturesAccess; provided, that the Sponsor may assign such interest to an affiliate of the Sponsor upon notice (which need not be prior notice) to the Investors or in connection with the sale or transfer of all or a material portion of the Sponsor’s equity or assets. See Sections 4.01 and 6.02.

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SECTION 1.07. LIABILITY OF INVESTORS.

(a) Nothing herein shall require the Sponsor to maintain any minimum net worth or shall make any person associated with the Sponsor individually liable for any debt, liability or obligation of Systematic Momentum FuturesAccess or of the Sponsor.

(b) No Investor shall have any obligation to restore any negative balance in the capital account established for each Unit pursuant to Section 2.02 (“Capital Account”) of such Investor.

(c) The Sponsor shall have no obligation to restore any negative balance in any Investor’s or in the Sponsor’s Capital Account.

(d) Except as provided in Section 2.08 (providing for chargebacks to current or former Investors), the Sponsor and the Investors shall be liable for the repayment, satisfaction and discharge of debts, liabilities and obligations of Systematic Momentum FuturesAccess only to the extent of the Sponsor’s or such Investor’s investment in Systematic Momentum FuturesAccess and not in excess thereof.

ARTICLE II
CAPITAL AND TAX ALLOCATIONS

SECTION 2.01. CAPITAL CONTRIBUTIONS. All contributions of capital to Systematic Momentum FuturesAccess (“Capital Contributions”) shall be made in cash. Capital Contributions may be made in such amounts, and at such times, as the Sponsor may determine. The Sponsor may permit certain Investors to make smaller initial or subsequent Capital Contributions than is otherwise generally required by the Sponsor without entitling any other Investor to make smaller initial or subsequent Capital Contributions.

Investors will receive Units in return for their Capital Contributions. Each class of Units (“Class”) shall initially be issued at $1.00 per Unit, and thereafter at Net Asset Value.

Systematic Momentum FuturesAccess shall invest in each of the FuturesAccess Funds as a single investor, irrespective of the different times that Investors subscribe for Units.

The Sponsor (and/or any other Merrill Lynch entity) may, but need not, make Capital Contributions as of any date that any Units are issued. Merrill Lynch may provide initial (“seed”) capital to enable Systematic FuturesAccess to begin trading before sufficient client capital has been raised to meet the Systematic Momentum FuturesAccess’ minimum capitalization. Seed capital (if any) will be invested in Class D Units. However, neither the Sponsor nor any other Merrill Lynch entity has any obligation to “seed” Systematic Momentum FuturesAccess (or any other FuturesAccess Fund). The Units may be issued in the four Classes described herein— Class A Units, Class C Units, Class D Units and Class I Units. Units of a new Class or series may be issued in the Sponsor’s sole discretion.

Sales commissions will be deducted from Class A, Class D and Class I subscriptions as described in the Confidential Program Disclosure Document, and the net amount of such subscriptions (after deducting applicable sales commissions) will be invested in the Units. The Sponsor may waive or reduce sales commissions for certain Investors without entitling any other Investor to any such waiver or reduction.

Fractional Units shall not be issued to Investors (but may be issued to the Sponsor or any other Merrill Lynch entity). Investors’ subscriptions shall be used to purchase the largest whole number of Units of the appropriate Class possible. Any subscription amount which cannot be used to purchase whole Units shall be credited (in cash) to Investors’ Merrill Lynch customer securities accounts.

Provided Systematic Momentum FuturesAccess’ overall minimum capitalization is met, there is no minimum number of Units of a particular Class that must be sold in order for Units of that particular Class to be issued.

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Once Systematic Momentum FuturesAccess has begun operations, there is no minimum dollar amount of subscriptions that must be received as of the beginning of any calendar quarter in order for additional Units of any Class to be issued. All Units will be issued only as the Sponsor may determine, irrespective of how many subscriptions are received.

Eligibility for Class A Units, Class C Units, Class D Units and Class I Units shall be determined on the basis of an Investor’s total “FuturesAccess Investment” (defined below) in FuturesAccess overall as well as, in the case of Class D Units, in a particular FuturesAccess Fund. An Investor’s “FuturesAccess Investment,” determined as of the beginning of each month, equals the greater of:

(i) the aggregate Net Asset Value of an Investor’s outstanding Units in FuturesAccess (or in a particular FuturesAccess Fund, as applicable) based on the most recently available Net Asset Values, plus pending subscriptions; or

(ii) an Investor’s net subscriptions to FuturesAccess overall (or to a particular FuturesAccess Fund, as applicable). Net subscriptions means an Investor’s aggregate subscriptions less aggregate redemptions (not including pending redemptions).

Class A and Class C Units shall be assigned for FuturesAccess Investments up to $5,000,000; Class I Units are assigned for FuturesAccess Investments of $5,000,000 or more; and Class D Units are assigned for FuturesAccess Investments in an individual FuturesAccess Fund of $5,000,000 or more or aggregate FuturesAccess Investments of $15,000,000 or more.

Except for purposes of determining Class D eligibility in a particular FuturesAccess Fund, the purchase and sale of Units in an exchange shall offset each other and shall have no effect on the amount of an Investor’s net subscriptions to FuturesAccess overall.

FuturesAccess Investments attributable to certain related accounts may be combined for purposes of determining an Investor’s Class I and Class D eligibility. In addition, Investors who participate in Merrill Lynch’s HedgeAccess® Program, which is composed of private investment funds which primarily trade securities (“HedgeAccess”), shall be permitted to aggregate their Investments in FuturesAccess and HedgeAccess for purposes of determining such Investors’ Class I and Class D eligibility.

Systematic Momentum FuturesAccess will itself acquire Class DS Units in the underlying FuturesAccess Funds.

There shall be no minimum FuturesAccess Investment required to invest in Class A or Class C Units (other than the minimum subscription amounts required to invest in a particular FuturesAccess Fund or FuturesAccess overall).

New Investors whose initial subscription equals or exceeds $5,000,000 shall be issued Class I Units in each FuturesAccess Fund in which they invest. If an existing Investor, whose FuturesAccess Investment is less than $5,000,000, makes an additional subscription which causes such Investor’s FuturesAccess Investment to equal or exceed $5,000,000 (including the new subscription), the entire new subscription shall be invested in Class I Units. The Investor’s existing Units shall not be converted from Class A or Class C (as the case may be) to Class I Units, but all subsequent subscriptions and exchanges made by such Investor shall be for Class I Units.

Class D eligibility is determined on both an individual FuturesAccess Fund and an overall FuturesAccess basis.

Investors whose initial subscription to any one FuturesAccess Fund equals or exceeds $5,000,000 shall be issued Class D Units in that FuturesAccess Fund. If an Investor, whose FuturesAccess Investment in a particular FuturesAccess Fund is less than $5,000,000, makes an additional subscription or exchange into that FuturesAccess Fund which causes such Investor’s FuturesAccess Investment to equal or exceed $5,000,000 (including the new subscription or exchange), the entire new subscription or exchange into that FuturesAccess Fund shall be invested in Class D Units. The Investor’s existing Units in that FuturesAccess Fund shall not be converted to Class D Units, but all subsequent subscriptions or exchanges made by such Investor into the same FuturesAccess Fund shall be for Class D Units. However, notwithstanding the fact that an Investor’s FuturesAccess Investment in a particular FuturesAccess Fund equals or

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exceeds $5,000,000, if that Investor invests or exchanges into another FuturesAccess Fund in which such Investor’s FuturesAccess Investment is less than $5,000,000, such Investor shall not receive Class D Units in such other FuturesAccess Fund (except as described immediately below).

New Investors whose initial subscription equals or exceeds $15,000,000 shall be issued Class D Units in each FuturesAccess Fund in which they invest, irrespective of whether such Investor’s FuturesAccess Investments in any one FuturesAccess Fund equals or exceeds $5,000,000. If an existing Investor, whose FuturesAccess Investment is less than $15,000,000, makes an additional subscription immediately after which such Investor’s FuturesAccess Investment equals or exceeds $15,000,000 (including the new subscription), the entire new subscription shall be invested in Class D Units. The Investor’s existing Units shall not be converted to Class D Units, but all subsequent subscriptions and exchanges made by such Investor will be for Class D Units.

Subscriptions made to all FuturesAccess Funds shall be aggregated for purposes of determining whether an Investor is eligible to invest in Class D or Class I Units.

Once an Investor is issued Class I or Class D Units, such Investor shall continue to be issued Class I or Class D Units (as applicable) irrespective of subsequent redemptions or Unit value depreciation; provided that, if an Investor withdraws entirely from FuturesAccess or a particular FuturesAccess Fund and subsequently reinvests, such Investor’s Class I and/or Class D Unit eligibility shall be determined from the date of such reinvestment as if such Investor had never previously participated in FuturesAccess or such FuturesAccess Fund.

Merrill Lynch officers and employees invest in Class I Units without regard to the $5,000,000 minimum “Program Investment” requirement. Such exemption from the minimum FuturesAccess Investment requirement shall not be generally available to other Investors.

Certain Merrill Lynch clients may invest in Class I or a customized Class of Units on different terms than those described herein, depending on the type of Merrill Lynch Account held by such clients. In addition, Systematic Momentum FuturesAccess may from time to time offer to certain Merrill Lynch clients a customized Class of Units having different financial terms than those described herein or the Confidential Program Disclosure Document, provided that doing so does not have a material adverse effect on existing Investors. Such customized Classes will generally be designed for Investors who are subject to additional fees on their investments in the FuturesAccess Funds depending on the type of Merrill Lynch Account held by such Investors or other reasons, and shall not be generally available to other Investors.

The amount of each Investor’s Capital Contribution shall be set forth in such Investor’s FuturesAccess Program Subscription and Exchange Agreement Signature Page. A FuturesAccess Program Subscription and Exchange Agreement (including the FuturesAccess Program Subscription and Exchange Agreement Signature Page) must be completed and accepted by the Sponsor prior to an Investor’s initial Capital Contribution if such Investor is not already an investor in FuturesAccess. The Sponsor may require a new Program Subscription and Exchange Agreement Signature Page each time an existing Investor makes an additional Capital Contribution or exchange.

The aggregate of all Capital Contributions shall be available to Systematic Momentum FuturesAccess to carry out its objectives and purposes.

No Investor shall be obligated to make any additional Capital Contributions, except as provided in Section 2.08.

No provision of this Agreement shall be construed as guaranteeing the return, by any Sponsor Party or Systematic Momentum FuturesAccess, of all or any part of the Capital Contribution(s) of any Investor.

SECTION 2.02. OPENING CAPITAL ACCOUNTS.

(a) There shall be established for each Unit of each Class on the books of Systematic Momentum FuturesAccess, as of the first day of each Accounting Period, an opening capital account (“Opening Capital Account”) which, for the Accounting Period as of the beginning of which such Unit is issued, shall be the Capital Contribution made in respect of such Unit and which, for each Accounting Period thereafter, shall be an amount equal to the closing capital account (“Closing Capital Account”)

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(determined as set forth in Section 2.06) attributable to such Unit for the immediately preceding Accounting Period.

(b) The Sponsor may, but shall not be required to, make Capital Contributions to Systematic Momentum FuturesAccess from time to time as new Units are issued, which shall be accounted for on a Unit-equivalent basis and shall participate in the profits and losses of the Units on the same basis as the Capital Accounts of the Class D Units.

(c) For all purposes of this Agreement, references to Units shall be deemed to include the Sponsor’s Capital Account on a Unit-equivalent basis (unless the context otherwise requires or the reference is made explicit for greater certainty).

SECTION 2.03. FINANCIAL ALLOCATIONS AMONG THE UNITS. The net profits and losses are allocated to each Class as provided in Section 2.06 and shall be allocated equally among the Units of such Class. All Units of the same Class shall have the same Net Asset Value.

SECTION 2.04. NET ASSET VALUE. For the purposes of this Agreement, unless the context otherwise requires, “Net Assets” and “Net Asset Value” shall mean assets less liabilities. For purposes of determining Opening Capital Accounts, Net Asset Value shall be determined as of the beginning of, and for purposes of determining Closing Capital Accounts, Net Asset Value will be determined as of the close of, business on the relevant valuation date.

(a) The assets of Systematic Momentum FuturesAccess shall include:

(i) all FuturesAccess Fund investments held by Systematic Momentum FuturesAccess;

(ii) all cash on hand or on deposit in bank or other interest-bearing accounts, including any interest accrued thereon;

(iii) all bills, demand notes and accounts receivable;

(iv) all securities (including, without limitation, money-market funds, Treasury bills and other short-term, interest-bearing instruments), commodity interests, currency interests, swap agreements and all other instruments owned or contracted for by Systematic Momentum FuturesAccess;

(v) all interest accrued on any interest-bearing securities owned by Systematic Momentum FuturesAccess except to the extent that the same is included or reflected in the valuation of such securities; and

(vi) all other assets of every kind and nature, including prepaid expenses.

(b) The liabilities of Systematic Momentum FuturesAccess shall be deemed to include the following (provided, however, that in determining the amount of such liabilities, Systematic Momentum FuturesAccess may calculate expenses of a regular or recurring nature for any given period on an estimated basis in advance, and may accrue the same in such manner as the Sponsor may deem appropriate over such period):

(i) all bills and accounts payable;

(ii) all expenses accrued, reimbursable or payable; and

(iii) all other liabilities, present or future, including such reserves as the Sponsor may (as contemplated by Section 2.04(g)), deem advisable.

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(c) The “Sponsor’s Fees” (as defined in Section 2.05(a)) shall be determined, and Units’ Capital Accounts correspondingly reduced, after the allocation of the other components of Net Asset Value, as described above.

(d) Operating expenses shall be allocated among the Units pro rata based on their respective Net Asset Values as of the beginning of the month.

(e) Extraordinary costs, if any, shall be allocated as incurred in such manner as the Sponsor may deem to be fair and equitable.

(f) Organizational and initial offering costs shall be deducted from Net Asset Value in installments as of the end of each of the first 60 calendar months after the initial issuance of the Units, as contemplated by Section 2.05(b) (for financial and performance reporting purposes, all such costs must be deducted from Net Asset Value as of the date of such initial issuance).

(g) All Investors, by becoming party to this Agreement, hereby agree and consent to the Sponsor’s authority to establish whatever reserves the Sponsor may determine to be appropriate in order to cover losses, contingencies, liabilities, uncertain valuations and other factors. Such authority shall extend to the Sponsor establishing such reserves as the sponsor of underlying FuturesAccess Funds. Any such reserves shall, unless the Sponsor determines that such reserves are properly attributable to certain but less than all outstanding Units, reduce the Net Asset Value of the Units of each Class pro rata based on their respective Net Asset Values, after reduction for accrued Sponsor’s Fees, operating expenses and extraordinary expenses until such time, if any, as such reserves are reversed. Reserves, when reversed, shall be similarly allocated among the Units then outstanding pro rata based on their respective Net Asset Value (irrespective of whether such Units were outstanding when the reserves were established).

(h) The Sponsor may suspend the calculation of Net Asset Value during any period when one or more of the FuturesAccess Funds in which Systematic Momentum FuturesAccess is invested is not reporting its Net Asset Value. The Sponsor will give notice of any such suspension to all Investors.

SECTION 2.05. SPONSOR’S FEES; OPERATING EXPENSES.

(a) The Sponsor shall receive monthly sponsor’s fees (“Sponsor’s Fees”), payable in arrears of 1/12 of 1.50%, 2.50%, 0% and 1.10%, respectively, of the aggregate Net Asset Value of the Class A, Class C, Class D and Class I Units, in each case as of the close of business (as determined by the Sponsor) on the last business day of each calendar month (Net Asset Value for purposes of calculating the Sponsor’s Fees shall not be reduced by the accrued Sponsor’s Fees being calculated). The Sponsor’s Fees shall be accrued monthly. The Sponsor may waive or reduce Sponsor’s Fees for certain Investors without entitling any other Investor to any such waiver or reduction.

(b) As contemplated by Section 2.04(f), Systematic Momentum FuturesAccess shall reimburse the Sponsor for the organizational and initial offering costs incurred by Systematic Momentum FuturesAccess in respect of the initial offering of the Units (of all Classes combined) in installments as of the end of each of the first 60 calendar months of Systematic Momentum FuturesAccess’ operation, beginning with the end of the first calendar month after the initial issuance of the Units. Systematic Momentum FuturesAccess shall expense such costs over the same 60-month schedule. If Systematic Momentum FuturesAccess dissolves prior to the end of such 60 calendar-month period, any remaining reimbursement obligation with respect to organizational and initial offering costs shall be eliminated.

(c) The Sponsor’s Fees, as well as operating expenses due to the Sponsor (including: organizational and initial offering costs; ongoing offering costs; administrative, custody, transfer, subscription and redemption processing, legal, regulatory, filing, tax, audit, escrow, accounting and printing costs; and extraordinary expenses), shall be debited by the Sponsor directly from Systematic Momentum FuturesAccess’ account and paid to the Sponsor, where appropriate, as if to a third party, not credited to the Sponsor’s Capital Account.

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(d) Systematic Momentum FuturesAccess shall pay all transaction costs relating to any direct investing done by it, as incurred.

(e) The Sponsor’s Fees, but not reimbursement payments for organizational and initial offering costs, shall be appropriately pro rated in the case of partial calendar months.

(f) Systematic Momentum FuturesAccess shall pay all expenses, including administrative and ongoing offering costs, as well as any extraordinary expenses, incurred in its operations (including the expenses of any services provided by the Sponsor, other than in its capacity as Sponsor, or its affiliates); provided, that Systematic Momentum FuturesAccess shall not pay any allocable Sponsor overhead.

(g) The Sponsor retains outside service providers to supply tax reporting, custody and accounting services to FuturesAccess. Systematic Momentum FuturesAccess’ operating costs will include its allocable share of the fees and expenses of such service providers, as well as the fees and expenses of any Merrill Lynch entity which may provide such (or other) services in the future.

(h) The Capital Account of the Sponsor (if any) shall not be subject to Sponsor’s Fees.

SECTION 2.06. ALLOCATION OF PROFITS AND LOSSES FOR FINANCIAL PURPOSES. As of the end of each Accounting Period and before giving effect to any redemptions then being made, the Closing Capital Account of each Class shall be determined by adjusting the Opening Capital Account of each such Class as of the beginning of such Accounting Period in the following manner:

(a) Any increase or decrease in the Net Asset Value of Systematic Momentum FuturesAccess, after deduction of all operating expenses, but prior to accrual of the Sponsor’s Fees, during such Accounting Period shall be credited pro rata, without any order or priority, among: (i) each Class of Units; and (ii) the Sponsor’s Capital Account, if any, based in each case on the aggregate Opening Capital Accounts attributable to each such Class of Units and the Sponsor’s Capital Account. Extraordinary expenses shall be allocated as the Sponsor may determine.

(b) If the Closing Capital Account per Unit of any Class is reduced to zero, any further decrease in the Net Asset Value per Unit shall be allocated to the Sponsor’s Capital Account, if any.

(c) The Sponsor’s Fee shall be debited from each Class, in each case after the Section 2.06(a) and (b) allocations are made.

(d) The Net Assets of each Class shall be divided equally among all Units of such Class.

SECTION 2.07. ALLOCATION OF PROFITS AND LOSSES FOR INCOME TAX PURPOSES.

(a) A Tax Account shall be established for each Unit of each Class. The Tax Accounts of all outstanding Units shall initially be equal to each Unit’s net purchase price (i.e., the subscription price for such Unit reduced by any sales commissions) and shall subsequently be increased by such Unit’s share of the taxable and tax-exempt income and gain of Systematic Momentum FuturesAccess and decreased by such Unit’s share of the items of loss or expense and nondeductible items of loss or expense of Systematic Momentum FuturesAccess, as well as by any distributions.

(b) For federal income tax purposes, items of ordinary income and loss, capital gain and capital loss shall, unless the Sponsor believes that doing so would not equitably reflect the economic experience of the Units, be allocated as of December 31 of each year among the Units, in the following order and priority:

(i) Items of ordinary income and deduction generated by Systematic Momentum FuturesAccess (as reported to it by the FuturesAccess Funds in which it invests shall be allocated pro rata among

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the Units which were outstanding during the months in such year when such items of ordinary income and deduction accrued.

(ii) Gains will be allocated FIRST, to Investors who have redeemed Units during such year (including as of December 31), to the extent of the positive difference (if any) between the amounts received or receivable upon redemption and the respective Tax Account balances of the redeemed Units. SECOND, gains will be allocated to Investors to the extent of the positive difference (if any) between the Capital Account balance and the Tax Account balance attributable to their remaining Units. THIRD, gains will be allocated among all Investors based on the respective Net Asset Values of their outstanding Units.

(iii) Losses shall be allocated FIRST, to Investors who have redeemed Units during such year (including as of December 31), to the extent of the negative difference (if any) between the amounts received or receivable upon redemption and the respective Tax Account balances of the redeemed Units. SECOND, losses shall be allocated to Investors to the extent of the negative difference (if any) between the Capital Account balance and Tax Account balance attributable to their remaining Units. THIRD, losses shall be allocated among all Investors based on the respective Net Asset Values of their outstanding Units.

(iv) In the case of each of the FIRST and SECOND allocation levels set forth in Sections 2.07(b)(ii) and (iii), if there is insufficient gain or loss to make the complete allocation required at such level, such allocation will be made pro rata among all Investors who are subject to an allocation at such level in accordance with the respective amounts which would have been allocated had a complete allocation been possible.

(v) Sponsor’s Fees, as well as the operating expenses (in each case as adjusted to reflect the non-deductibility of all or a portion of such Sponsor’s Fees and operating expenses) and extraordinary expenses, shall be allocated, for tax purposes, to the Investors based on the amount of the foregoing actually debited from the Units’ respective Capital Accounts of the Investors’ respective Units.

(vi) Items of ordinary income and/or gain attributable to amounts received by Systematic Momentum FuturesAccess from the Trading Advisor for payment to the Sponsor shall be specially allocated to the Sponsor.

(c) The character of items of income, gain, loss or deduction (ordinary, short-term and long-term) and of the items required to be separately stated by Section 702(a) of the Internal Revenue Code of 1986, as amended (the “Code”), shall be allocated to the Investors pursuant to this Section 2.07 so as equitably to reflect, without discrimination or preference among Investors, the amounts credited or debited to the Units’ respective Capital Accounts pursuant to Section 2.06. Furthermore, to the extent that the FuturesAccess Fund has a net long-term capital gain or loss that may be subject to more than one maximum federal income tax rate, allocations of such gain or loss shall be made pro rata from among the amounts subject to each maximum tax rate.

(d) In the case of Units which are transferred during a fiscal year, the tax allocations shall be made to such Units as provided above. The tax items so allocated will then be divided among the transferor(s) and the transferee(s) based on the number of months during such year that each held such Units, or in such other manner as the Sponsor may deem equitable.

(e) Having in mind the principles of the allocations set forth above in this Section 2.07 (to which all Investors consent by becoming Investors), the Sponsor may nevertheless make such allocations of items of ordinary income and gain, ordinary deduction and loss and any items required to be separately stated by Section 702(a) of the Code as the Sponsor may deem fair and equitable — even if not consistent with the foregoing allocations — in order to cause the tax items allocated to the Investors, respectively, better to

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take into account (as determined by the Sponsor) the Units’ respective Opening Capital Accounts and distributive shares of net profit and net loss, any entry of new Investors, any redemptions, any differences between income for tax purposes and for Net Asset Value purposes, the differences between the Classes of Units and any other special circumstances which may arise; provided, however, that no such allocation by the Sponsor shall discriminate unfairly against any Investor; and provided further, that the Sponsor shall be under no obligation whatsoever to deviate from the allocations set forth above.

(f) Systematic Momentum FuturesAccess may, to the extent practicable (i.e., to the extent that Systematic Momentum FuturesAccess receives gross tax allocations from the FuturesAccess Funds in which it invests), allocate tax items on a gross rather than a net basis.

(g) Allocations pursuant to this Section 2.07 are solely for purposes of federal, state and local taxes and shall not affect, or in any way be taken into account in computing, any Unit’s Capital Account or share of net profits, net losses or distributions.

(h) The tax allocations set forth in this Section 2.07 are intended to allocate items of Systematic Momentum FuturesAccess’ income, gains, losses and deductions (ordinary, short-term and long-term) in accordance with Sections 704(b) and 704(c) of the Code, and the regulations thereunder, including, without limitation, the requirements set forth therein regarding a “qualified income offset.”

(i) The Sponsor may make such modifications to this Agreement as the Sponsor believes may be required to comply with Section 704 of the Code and the regulations thereunder.

(j) In the event that the Sponsor determines to issue a new Class of Units, the foregoing tax allocations shall be adjusted so as equitably to allocate tax items between or among the different Classes.

SECTION 2.08. CHARGEBACKS TO CURRENT OR FORMER INVESTORS. Each Investor, by subscribing for Units, agrees to repay, despite the fact that such Investor no longer remains an Investor, to Systematic Momentum FuturesAccess any amount (including interest at the rate set by the Sponsor in good faith from the date of any payment of redemption or distribution proceeds to such Investor by Systematic Momentum FuturesAccess) which the Sponsor may reasonably determine to be due to Systematic Momentum FuturesAccess from such Investor as a result, for example, of any claims arising (prior or subsequent to such Investor’s withdrawal from Systematic Momentum FuturesAccess) relating to events or circumstances (whether known or unknown at the time of such Investor’s withdrawal) in existence while such Investor was an Investor or, subject to the following paragraph, in the event that the Net Asset Value per Unit (of any Class) at which such Investor was permitted to redeem is later determined to have been overstated or otherwise miscalculated due to circumstances (whether known or unknown at the time of such Investor’s redemption) in existence as of the date of redemption (either of the level of Systematic Momentum FuturesAccess or at that of one of the underlying FuturesAccess Fund in which it invests. In no event shall any provision of this Section 2.08 require an Investor to repay to Systematic Momentum FuturesAccess any amounts in excess of the redemption proceeds received by such Investor from, or the amounts distributed to such Investor by, Systematic Momentum FuturesAccess, plus interest thereon as provided above.

In the event that the Sponsor determines that an amount paid by Systematic Momentum FuturesAccess to a withdrawn or continuing Investor was less or more than the amount which such Investor was, in fact, entitled to receive, the Sponsor shall not (unless the Sponsor otherwise determines) attempt to make appropriate adjusting payments to, or formally request appropriate adjusting payments from, such withdrawn Investor or make retroactive adjustments to such continuing Investor’s Units in order to reflect such discrepancy, but rather shall reflect such adjustments in the Accounting Period in which they become known.

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SECTION 2.09. PROCESSING OF SUBSCRIPTIONS.

(a) The Sponsor may admit new Investors to Systematic Momentum FuturesAccess at such times and upon such notice (if any) as the Sponsor may determine. Investors’ Merrill Lynch Accounts will be debited on or about the issuance date of such Units, and the amount so debited, less any applicable sales commission, will be invested directly in Systematic Momentum FuturesAccess. No interest will be payable in respect of any such subscriptions.

(b) Investors acknowledge that the admission of new Investors may change the overall allocation of Systematic Momentum FuturesAccess’ portfolio among the underlying FuturesAccess Funds.

(c) To the extent required by Rule 15c2-4 of the Securities Exchange Act of 1934, as amended, all subscriptions while held in escrow during the initial offering period pending release to Systematic Momentum FuturesAccess shall be held by a bank independent of the Sponsor, its affiliates, and their respective officers, employees, representatives and agents (each, a “Sponsor Party” and, collectively, the “Sponsor Parties”).

SECTION 2.10. VALUATION OF ASSETS. For all purposes of this Agreement, including, without limitation, the determination of the Net Asset Value per Unit of each Class, the assets of Systematic Momentum FuturesAccess shall be valued according to the following principles:

(a) The Net Assets of Systematic Momentum FuturesAccess are its assets less its liabilities determined in accordance with generally accepted accounting principles and as described below.

(b) Systematic Momentum FuturesAccess’ investments in the FuturesAccess Funds shall be valued by such FuturesAccess Funds.

(c) The Sponsor shall value any asset of Systematic Momentum FuturesAccess not invested in a FuturesAccess Fund by applying the following general principles:

(i) commodity interests and currency interests which are traded on a United States exchange shall be valued at their settlement on the date as of which the values are being determined;

(ii) commodity interests and currency interests not traded on a United States exchange shall be valued based upon policies established by the Sponsor, generally based on prices as reported by any reliable source selected by the Sponsor, consistently applied for each variety of interest;

(iii) swap agreements shall be valued in the good faith discretion of the Sponsor based on quotations received from dealers deemed appropriate by the Sponsor;

(iv) bank and other interest-bearing accounts, Treasury bills and other short-term, interest-bearing instruments shall be valued at cost plus accrued interest;

(v) securities which are traded on a national securities exchange shall be valued at their closing price on the date as of which their value is being determined on the national securities exchange on which such securities are principally traded or on a consolidated tape which includes such exchange, whichever shall be selected by the Sponsor, or, if there is no closing price on such date on such exchange or consolidated tape, at the prior day’s closing price;

(vi) securities not traded on a national securities exchange but traded over-the-counter shall be valued based on prices as reported by any reliable source selected by the Sponsor;

(vii) money-market funds shall be valued at their net asset value on the date as of which their value is being determined;

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(viii) if on the date as of which any valuation is being made, the exchange or market herein designated for the valuation of any given assets is not open for business, the basis for valuing such assets shall be such value as the Sponsor may deem fair and reasonable;

(ix) all other assets, including securities traded on foreign exchanges, and liabilities shall be valued in good faith by the Sponsor, including assets and liabilities for which there is no readily identifiable market value;

(x) the foregoing valuations may be modified by the Sponsor if and to the extent that it shall determine that modifications are advisable in order better to reflect the true value of any asset; and

(xi) the Sponsor, as sponsor of each FuturesAccess Fund, may reduce the valuation of any asset (or of a FuturesAccess Fund) by reserves established, as contemplated by Section 2.04(g), to reflect losses, contingencies, liabilities, uncertain valuations or other factors, which the Sponsor determines reduce, or might reduce, the value of such asset (or of a FuturesAccess Fund as a whole in the case of reserves not specifically attributable to any particular asset).

All determinations of value by the Sponsor shall be final and conclusive as to all Investors, in the absence of manifest error, and the Sponsor shall be absolutely protected in relying upon valuations furnished to the Sponsor by third parties, provided that such reliance is in good faith.

The Sponsor may suspend the calculation of Net Asset Value during any period when any of the FuturesAccess Funds in which Systematic Momentum FuturesAccess invests has done so.

SECTION 2.11. USE OF ESTIMATES. The Sponsor is authorized to make all Net Asset Value determinations (including, without limitation, for purposes of determining redemption payments and calculating Sponsor’s Fees) on the basis of estimated numbers (in most cases as estimated by the Sponsor itself as sponsor of the respective FuturesAccess Funds). The Sponsor shall not (unless the Sponsor otherwise determines) attempt to make any retroactive adjustments in order to reflect the differences between such estimated and the final numbers, but rather shall reflect such differences in the Accounting Period in which final numbers become available. The Sponsor also shall not (unless the Sponsor otherwise determines) revise Sponsor’s Fee calculations to reflect differences between estimated and final numbers (including differences which have resulted in economic benefit to a Sponsor Party).

If, after payment of redemption proceeds, the Sponsor determines that adjustment to the Net Asset Value of the redeemed Units is necessary, the redeeming Investor (if the Net Asset Value is adjusted upwards) or the remaining Investors (if the Net Asset Value is adjusted downwards) will bear the risk of such adjustment. The redeeming Investor will neither receive further distributions from, nor will it be required to reimburse, Systematic Momentum FuturesAccess in such circumstances.

All Investors acknowledge and agree that because Systematic Momentum FuturesAccess will invest in multiple FuturesAccess Funds the likelihood of there being material discrepancies between estimated and final Net Asset Values is greater in the case of Systematic Momentum FuturesAccess than in the case of any single FuturesAccess Fund.

SECTION 2.12. ACCOUNTING PRACTICES. All matters concerning FuturesAccess Fund accounting practices shall be determined by the Sponsor on a fair and equitable basis, and all such determinations shall be final and conclusive as to all Investors. However, the Sponsor shall be under no obligation whatsoever to make any deviations from the allocations set forth in this Article II.

In reporting Net Asset Values to Investors and third parties on an interim basis, the Sponsor shall be entitled to accrue fees and payments due at the end of a period as if such fees or payments were due (on a pro rata basis, if appropriate) as of the end of an interim period within such period.

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ARTICLE III

PARTICIPATION IN SYSTEMATIC MOMENTUM FUTURESACCESS PROPERTY;

REDEMPTIONS AND DISTRIBUTIONS

SECTION 3.01. NO UNDIVIDED INTERESTS IN SYSTEMATIC MOMENTUM FUTURESACCESS PROPERTY. Each Unit shall represent an interest in Systematic Momentum FuturesAccess, not an undivided interest in any property of the Systematic Momentum FuturesAccess (including its investments in FuturesAccess Funds). The Units shall constitute personal property for all purposes.

SECTION 3.02. REDEMPTIONS OF UNITS; EXCHANGES.

(a) Timing and Amount of Redemptions. Subject to this Section 3.02, an Investor shall be entitled to redeem all or part of such Investor’s Units as of the end of any calendar month, upon giving at least 10 days’ written or oral notice. Investors who have Merrill Lynch customer securities accounts may give such notice by contacting their Merrill Lynch Financial Advisor, orally or in writing; Investors who no longer have a Merrill Lynch customer securities account must submit written notice of redemption, with the signature guaranteed by a United States bank or broker-dealer, to the Sponsor.

(b) No Redemption Fees. Systematic Momentum FuturesAccess shall not charge any redemption fees.

(c) Payment of Redemptions. The Sponsor shall cause Systematic Momentum FuturesAccess to distribute to redeeming Investors the estimated Net Asset Value of the Units redeemed by them, generally approximately 10 business days after the effective date of redemption, although there can be no assurance of the timing of such payment.

Units which have been redeemed, but the proceeds of which have not yet been paid, shall nevertheless be deemed to have ceased to be outstanding from the effective date of redemption for all other purposes hereunder.

No interest shall be paid to Investors on redemption proceeds held pending distribution. Systematic Momentum FuturesAccess shall retain any such interest.

(d) Suspension of Redemptions. In the event that Systematic Momentum FuturesAccess suspends the calculation of Net Asset Value, the Sponsor shall, upon written notice to all affected Investors, suspend any or all redemption requests (as well as any request to exchange Units for units of other funds included in FuturesAccess). Any unsatisfied redemption requests shall be suspended until such time as Systematic Momentum FuturesAccess is again able to calculate Net Asset Value. All Units subject to suspended redemption requests shall continue to be treated as outstanding for all purposes hereunder, as if no redemption requests relating thereto had been submitted, until the effective date of their suspended redemption. During any period in which Systematic Momentum FuturesAccess has suspended redemptions, Investors will not be able to exchange Units for units of other FuturesAccess Funds.

If the Sponsor determines that a portion, but not all, of pending redemption requests can be processed in due course, the requests of all Investors submitting timely redemption requests with respect to any given redemption date shall be satisfied pro rata (based on the aggregate Net Asset Value of the Units requested to be redeemed by all Investors) from such funds as the Sponsor determines are available for distribution.

In addition to the foregoing provisions of this Section 3.02(d), the Sponsor may delay or suspend both the payment of redemption proceeds and the effective date of redemptions if the Sponsor determines that not doing so would have adverse consequences for the non-redeeming Investors.

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(e) Exchanges. Investors may generally exchange Units for units in other FuturesAccess Funds as described in the FuturesAccess Program Subscription and Exchange Agreement and Signature Pages thereto, as supplemented and amended from time to time. Any circumstance leading to a delay or suspension of either redemption dates or the receipt of the proceeds of redemptions from Systematic Momentum FuturesAccess shall have a corresponding effect on Investors’ exercise of their Exchange Privileges relating to Systematic Momentum FuturesAccess.

SECTION 3.03. WITHDRAWALS OF CAPITAL BY THE SPONSOR.

(a) The Sponsor may withdraw capital from its Capital Account(s), if any, without notice to the Investors.

(b) To the extent Merrill Lynch has provided any “seed” capital to Systematic Momentum FuturesAccess, Merrill Lynch will redeem $50,000 of its Units (by aggregate Net Asset Value) for each $50,000 in net client investments (i.e., subscriptions minus client redemptions and exchanges) received by Systematic Momentum FuturesAccess after it begins operation. Notwithstanding the foregoing, Merrill Lynch may vary the foregoing redemption schedule upon advance agreement with the Trading Advisor (e.g., Merrill Lynch may agree not to begin withdrawing all or a portion of its initial seed capital for a specified period of time) and may withdraw seed capital at different times and on different terms than are available to Investors.

SECTION 3.04. MANDATORY REDEMPTIONS.

(a) The Sponsor may mandatorily redeem part or all of the Units held by a particular Investor if the Sponsor determines that (i) such Investor’s continued holding of Units could result in adverse consequences to Systematic Momentum FuturesAccess, (ii) such Investor has a history of excessive exchanges between different FuturesAccess Funds and/or HedgeAccess funds that is contrary to the purpose and/or efficient management of the Programs, (iii) such Investor’s investment in the Units, or aggregate investment in FuturesAccess, is below the minimum level established by the Sponsor (including any increase in such minimum level that the Sponsor may implement in the future) or (iv) for any other reason.

(b) The Sponsor will mandatorily redeem all of Systematic Momentum FuturesAccess’ outstanding Units in the event that the Sponsor concludes that it is no longer advisable to operate Systematic Momentum FuturesAccess or if the amount of assets invested in Systematic Momentum FuturesAccess declines to a level that the Sponsor believes makes the continued operation of Systematic Momentum FuturesAccess impracticable or uneconomical.

(c) Units mandatorily redeemed shall be redeemed as of the specified month-end without any further action on the part of the affected Investor, and the provisions of Sections 3.02 and 3.07 shall apply. In the event that the Sponsor mandatorily redeems any of an Investor’s Units, such Investor shall have the option to redeem all of such Investor’s Units as of the date fixed for redemption.

SECTION 3.05. MANDATORY REDEMPTIONS TO PAY TAXES. In the event that Systematic Momentum FuturesAccess is required to pay or withhold state, local or other taxes with respect to a particular Investor or Investors, Systematic Momentum FuturesAccess may redeem an appropriate number of such Investor’s or Investors’ Units as of the end of the Accounting Period immediately following such payment in order to reimburse Systematic Momentum FuturesAccess for the amount of such payment, together with interest on the amounts so paid at the 91-day Treasury bill rate as in effect as of the beginning of each calendar month, starting with the calendar month in which such payment is made, through the end of such Accounting Period.

SECTION 3.06. DISTRIBUTIONS. Distributions by Systematic Momentum FuturesAccess to Investors shall be made in the sole discretion of the Sponsor. No distributions are required.

SECTION 3.07. FORM OF DISTRIBUTION AND REDEMPTION PAYMENTS. No Investor shall have the right to demand or receive any property other than cash upon redemption. Distributions or payouts made to Investors may be

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made in cash or in-kind, provided that such in-kind distribution or payout is not materially adverse to the interests of the Investors.

SECTION 3.08. REMOVAL OF THE SPONSOR. Upon at least 60 days written notice to the Sponsor and all Investors in Systematic Momentum FuturesAccess, the Sponsor may be required to withdraw as manager of Systematic Momentum FuturesAccess by a vote of Investors owning not less than 50% of the outstanding Units (by Net Asset Value), not including Units held by Sponsor Parties. Any such removal shall be effective as of the end of the calendar quarter in which such vote occurs.

ARTICLE IV

WITHDRAWAL OF THE SPONSOR AND INVESTORS

SECTION 4.01. WITHDRAWAL OF THE SPONSOR.

(a) The Sponsor may withdraw from Systematic Momentum FuturesAccess at any time, without any breach of this Agreement, upon 90 calendar days’ written notice to the Investors. Withdrawal of the Sponsor shall not dissolve Systematic Momentum FuturesAccess if at the time there is at least one other manager remaining; however, all Investors shall be entitled to redeem their Units, in total and not in part, as of the effective date of any such withdrawal by the Sponsor, unless an entity affiliated with the Sponsor remains as a manager of Systematic Momentum FuturesAccess. Nothing in this Section 4.01(a) shall, however, restrict the Sponsor from assigning and delegating its rights and obligations under this Agreement to an affiliate of the Sponsor upon notice (which need not be prior notice) to the Investors or in connection with the sale of all or a material portion of the Sponsor’s equity or assets.

(b) Withdrawal of the last remaining manager shall dissolve Systematic Momentum FuturesAccess.

SECTION 4.02. WITHDRAWAL OF AN INVESTOR. An Investor shall withdraw from Systematic Momentum FuturesAccess upon redemption of all of such Investor’s outstanding Units. Withdrawal of an Investor shall not be a cause for dissolution of Systematic Momentum FuturesAccess.

SECTION 4.03. STATUS AFTER WITHDRAWAL. Except to the extent provided in Section 2.08 or Section 7.02, each Investor upon redemption of the last of such Investor’s Units shall cease to have any rights under this Agreement.

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ARTICLE V

MANAGEMENT

SECTION 5.01. AUTHORITY OF THE SPONSOR.

(a) The management and operation of Systematic Momentum FuturesAccess and the determination of its policies shall be vested exclusively in the Sponsor. The Sponsor shall have the authority and power on behalf and in the name of Systematic Momentum FuturesAccess to carry out any and all of the objectives and purposes of Systematic Momentum FuturesAccess set forth in Section 1.01: make, execute, sign and file a Certificate of Formation of Systematic Momentum FuturesAccess, any amendments thereto authorized herein, any amendments to this Agreement authorized herein, and all such other instruments, documents and certificates, which may, from time to time, be required by, or deemed advisable by the Sponsor under, the laws of the United States of America, the State of Delaware, the State of New Jersey, the State of New York or any other state or political subdivision in which the Sponsor shall determine that Systematic Momentum FuturesAccess shall do business, to effectuate, implement and continue the valid existence of Systematic Momentum FuturesAccess; and perform all acts and enter into, execute and perform all contracts and other undertakings which the Sponsor may deem necessary or advisable in connection with such objectives and purposes or incidental thereto. All actions and determinations to be made by the Sponsor hereunder shall, unless otherwise expressly provided, be made in the Sponsor’s sole and absolute discretion.

(b) The Sponsor is specifically authorized to manage Systematic Momentum FuturesAccess’ cash flow, including through paying its costs by bank or other borrowings.

SECTION 5.02. SERVICE PROVIDERS; INVESTMENTS; ACCOUNTS. The Sponsor is hereby authorized and empowered to carry out and implement any and all of the objectives and purposes of Systematic Momentum FuturesAccess, including and without limiting the generality of the foregoing:

(a) to invest in and redeem from, allocating and reallocating Systematic Momentum FuturesAccess’ capital among, the various FuturesAccess Funds;

(b) to engage attorneys, accountants, agents and other persons as the Sponsor may deem necessary or advisable;

(c) to open, maintain and close accounts, including margin, discretionary and cash management accounts, with brokers, dealers, counterparties or other persons (in each case, including affiliates of the Sponsor) and to pay the customary fees and charges applicable to transactions in, or the maintenance of, all such accounts;

(d) to invest in money-market funds (including funds sponsored by affiliates of the Sponsor), Treasury bills or other short-term, interest-bearing instruments;

(e) to open, maintain and close bank and other interest-bearing and non-interest-bearing accounts; and

(f) to enter into, make, execute and perform such contracts, agreements and other undertakings as the Sponsor may deem necessary, advisable or incidental to the conduct of the business of Systematic Momentum FuturesAccess.

SECTION 5.03. ACTIVITIES OF THE SPONSOR PARTIES.

(a) The respective Sponsor Parties will not devote their full business time, or any material portion of their business time, to Systematic Momentum FuturesAccess, as each is involved in the management of numerous other client and proprietary accounts. However, the Sponsor hereby agrees to devote to the objectives and purposes of Systematic Momentum FuturesAccess such amount of the business time of its officers and employees as the Sponsor shall deem necessary for the management of the affairs of

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Systematic Momentum FuturesAccess; provided, however, that nothing contained in this Section 5.03(a) shall preclude any Sponsor Party from acting as a director, stockholder, officer or employee of any corporation, a trustee of any trust, a partner of any partnership, a manager or member of any other limited liability company or an administrative official of any other business or governmental entity, or from receiving compensation for services rendered thereto, from participating in profits derived from investments in any such entity or from investing in any securities or other property for such person’s own account.

(b) As contemplated by Section 2.05(g), the Sponsor retains outside service providers to supply certain services to FuturesAccess, including, but not limited to: tax reporting; custody; accounting; and escrow services to FuturesAccess. Operating costs include Systematic Momentum FuturesAccess’ allocable share of the fees and expenses of such (or other) service providers, as well as the fees and expenses of any Sponsor Party which may provide such (or other) services in the future.

SECTION 5.04. SERVICES PERFORMED FOR SYSTEMATIC MOMENTUM FUTURESACCESS. Any Sponsor Party may perform administrative services for Systematic Momentum FuturesAccess, without such Sponsor Party waiving its fees for such services.

SECTION 5.05. INTERESTED PARTIES. The fact that a Sponsor Party or an Investor is directly or indirectly interested in or connected with Systematic Momentum FuturesAccess or a related party with which or with whom Systematic Momentum FuturesAccess has dealings, including but not limited to the Sponsor’s sharing in the Management Fees paid and Performance Fees paid by the underlying FuturesAccess Funds in which the Sponsor invests, the receipt or rebate of other advisory and/or management fees, brokerage commissions, “bid-ask” spreads, mark-ups or other expenses, shall not preclude such dealings or make them void or voidable; and neither Systematic Momentum FuturesAccess nor any of the Investors shall have any rights in or to any such dealings or in or to any profits derived therefrom.

SECTION 5.06. EXCULPATION. The Sponsor Parties shall not be liable to Systematic Momentum FuturesAccess or any Investor for any claims, costs, expenses, damages or losses arising out of or in connection with this Agreement, the Sponsor acting as manager of Systematic Momentum FuturesAccess, Systematic Momentum FuturesAccess in general or the offering of the Units, for any conduct undertaken or omitted in good faith, and in the belief that such conduct or omission was in, or not opposed to, the best interests of Systematic Momentum FuturesAccess; provided, that such conduct or omission did not constitute gross negligence or intentional misconduct on the part of such Sponsor Party.

No Sponsor Party shall be liable to Systematic Momentum FuturesAccess or any Investor for failure to obtain for any FuturesAccess Fund or Systematic Momentum FuturesAccess the lowest negotiated brokerage commission rates, or to combine or arrange trading orders so as to obtain the lowest brokerage commission rates with respect to any transaction on behalf of any FuturesAccess Fund or for the failure to recapture, directly or indirectly, any brokerage commissions for the benefit of the FuturesAccess Fund or Systematic Momentum FuturesAccess.

No Sponsor Party shall be liable to Systematic Momentum FuturesAccess or any Investor for claims, costs, expenses, damages or losses due to circumstances beyond any Sponsor Party’s control, or due to the negligence, dishonesty, bad faith or misfeasance of any third party chosen by a Sponsor Party in good faith.

In no respect by way of limiting the foregoing exculpatory provisions but rather by way of greater certainty, no Sponsor Party shall be liable to Systematic Momentum FuturesAccess or any Investor for any actions or omissions of: (i) the trading advisor for any FuturesAccess Fund; (ii) any broker, dealer or counterparty unaffiliated with Merrill Lynch chosen by a Sponsor Party in good faith; or (iii) any broker, dealer or counterparty chosen by the trading advisor for any FuturesAccess Fund.

Affiliates of the Sponsor will provide Systematic Momentum FuturesAccess with futures brokerage, forward dealing and other counterparty and dealer services, and shall receive compensation in connection therewith.

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SECTION 5.07. INDEMNIFICATION. Systematic Momentum FuturesAccess shall indemnify and hold harmless the Sponsor Parties from and against any claims, costs, expenses, damages or losses (including, without limitation, from and against any judgment, settlement, attorneys’ fees and other costs or expenses incurred in connection with the defense of any actual or threatened action or proceeding) suffered or sustained by any of them by reason of the fact that a Sponsor Party is or was connected in any respect with Systematic Momentum FuturesAccess; provided, that the conduct or omission which led to such claim, cost, expense, damage or loss met the standard of exculpation set forth in Section 5.06 above.

Systematic Momentum FuturesAccess shall advance payments asserted by a Sponsor Party to be due under the preceding paragraph pending a final determination of whether such indemnification is, in fact, due; provided, that such Sponsor Party agrees in writing to return any amounts so advanced (without interest) in the event such indemnification is finally determined not to be due.

Whether or not a Sponsor Party is entitled to indemnification hereunder shall be determined by the judgment of independent counsel as to whether such Sponsor Party has reasonable grounds for asserting that indemnification is so due, unless otherwise determined by a court, arbitral tribunal or administrative forum.

In the event Systematic Momentum FuturesAccess is made a party to any claim, dispute or litigation, or otherwise incurs any loss or expense, as a result of or in connection with any Investor’s activities, obligations or liabilities unrelated to Systematic Momentum FuturesAccess’ business, such Investor shall indemnify and reimburse Systematic Momentum FuturesAccess for all loss and expense incurred, including attorneys’ fees.

SECTION 5.08. FUTURESACCESS FUNDS’ STANDARD OF LIABILITY AND INDEMNIFICATION. The Investors acknowledge and agree that each FuturesAccess Fund in which Systematic Momentum FuturesAccess invests will apply the same standard of liability and indemnification to the Sponsor in its capacity as sponsor of such FuturesAccess Fund.

SECTION 5.09. INVESTORS’ TRANSACTIONS. Nothing in this Agreement is intended to prohibit any Investor from buying, selling or otherwise transacting in securities, commodity interests, currency interests, swap agreements or other instruments for such Investor’s own account, including commodity interests, currency interests, swap agreements, securities or other instruments which are the same as those held by Systematic Momentum FuturesAccess or any FuturesAccess Fund in which Systematic Momentum FuturesAccess invests.

SECTION 5.10. RELIANCE BY THIRD PARTIES. In dealing with the Sponsor acting on behalf of Systematic Momentum FuturesAccess, no person shall be required to inquire into the authority of the Sponsor to bind Systematic Momentum FuturesAccess. Persons dealing with Systematic Momentum FuturesAccess shall also be entitled to rely on a certification by the Sponsor with regard to the authority of other persons to act on behalf of Systematic Momentum FuturesAccess in any matter.

SECTION 5.11. REGISTRATION OF ASSETS. Any assets owned by Systematic Momentum FuturesAccess may be registered in Systematic Momentum FuturesAccess’ name, in the name of a nominee or in “street name.”

SECTION 5.12. LIMITATION ON AUTHORITY OF THE SPONSOR. The Sponsor shall not have the authority without the consent of Investors holding more than 50% of the outstanding Units (by Net Asset Value), not including Units held by Sponsor Parties, then held by Investors to:

(a) do any act in contravention of this Agreement (other than pursuant to the Sponsor’s authority to unilaterally amend this Agreement, as provided in Section 10.03);

(b) confess a judgment against Systematic Momentum FuturesAccess; or

(c) possess Systematic Momentum FuturesAccess property or assign rights to specific FuturesAccess Fund property for other than a FuturesAccess Fund purpose.

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ARTICLE VI

ADMISSION OF INVESTORS

SECTION 6.01. PROCEDURE AS TO NEW INVESTORS. The Sponsor may, as of the beginning of any calendar month (or as of such other times as the Sponsor may deem appropriate), admit one or more new Investors by issuing to such Investor(s) Units of the appropriate Class. Each new Investor to FuturesAccess shall execute and deliver an appropriate FuturesAccess Program Subscription and Exchange Agreement, and the Sponsor may require that each additional Capital Contribution (whether a new subscription or an exchange) shall be accompanied by a new FuturesAccess Program Subscription and Exchange Agreement Signature Page. Systematic Momentum FuturesAccess may charge an Investor such amount as may be deemed appropriate by the Sponsor to compensate Systematic Momentum FuturesAccess in the case of any Capital Contribution received by Systematic Momentum FuturesAccess after the day as of which the new Investor making such Capital Contribution is admitted to Systematic Momentum FuturesAccess and such Investor’s Units are deemed to have been issued.

Admission of a new Investor shall not result in a dissolution of Systematic Momentum FuturesAccess.

SECTION 6.02. PROCEDURE AS TO NEW MANAGERS. One or more additional managers may be admitted to Systematic Momentum FuturesAccess by the Sponsor, without the consent of any Investor, if, but only if, the additional manager or managers are affiliates of the Sponsor or successors to all or a material portion of the Sponsor’s equity or assets. The Sponsor shall promptly notify the Investors of the admission of any such affiliated manager or managers (such notice need not, however, be prior notice). No manager or managers which is not or are not affiliated with the Sponsor may be admitted to Systematic Momentum FuturesAccess without the consent of Investors holding more than 50% of the outstanding Units (by Net Asset Value), not including Units held by Sponsor Parties, then held by Investors; provided, that the foregoing restriction shall not apply in the case of a sale of all or a material portion of the Sponsor’s equity or assets.

ARTICLE VII

BOOKS OF ACCOUNT; AUDITS; REPORTS TO INVESTORS

SECTION 7.01. BOOKS OF ACCOUNT. The books of account of Systematic Momentum FuturesAccess shall be maintained in accordance with generally accepted accounting principles under the accrual basis of accounting by or under the supervision of the Sponsor and shall be open to inspection by any Investor or such Investor’s representative during regular business hours; provided, however, that such books and records shall only be available for inspection pursuant to a valid, non-commercial purpose related to an Investor’s status as an Investor.

SECTION 7.02. ANNUAL AUDIT. The accounts of Systematic Momentum FuturesAccess shall be audited as of the close of each fiscal year by an independent public accounting firm (the “Accountant”) selected by the Sponsor and in accordance with the applicable Commodity Futures Trading Commission regulations.

The Sponsor or its agents shall cause to be prepared and mailed to each Investor, including Investors who have redeemed all of their Units and withdrawn but who were Investors at any time during a fiscal year, audited financial statements and a report prepared by the Accountant, setting forth as of the end of such fiscal year:

(a) the assets and liabilities of Systematic Momentum FuturesAccess;

(b) the net capital appreciation or depreciation of Systematic Momentum FuturesAccess for such fiscal year;

(c) the Net Asset Value of Systematic Momentum FuturesAccess as of the end of such fiscal year; and

(d) the Net Asset Value per Unit of each Class as of the end of such fiscal year.

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The Sponsor shall not be required to provide Investors with an annual audit in respect of any given year by any particular date in the following year, nor shall the Net Asset Value of the Units be audited as of any date other than the end of a fiscal year.

The Investors acknowledge that the Sponsor will be unable to provide the Investors with Systematic Momentum FuturesAccess’ audited financial statements until the Sponsor has received the audited financial statements from the underlying FuturesAccess Funds in which Systematic Momentum FuturesAccess invests.

The Sponsor or its agents shall cause each Investor, including former Investors who were Investors at any time during such fiscal year, to be furnished with all information relating to Systematic Momentum FuturesAccess necessary to enable such Investor to prepare such Investor’s federal income tax return; provided, that all Investors acknowledge and agree that such information may initially be provided in the form of estimates pending completion of Systematic Momentum FuturesAccess’ audit for such fiscal year, and that Investors may be required to obtain extensions of the date by which their federal and state income tax returns must be filed. The Sponsor will have no liability to any Investor as a result of such Investor being required to obtain any such extensions.

SECTION 7.03. INTERIM REPORTS. From time to time, but no less frequently than monthly, the Sponsor shall cause to be prepared and delivered (at the expense of Systematic Momentum FuturesAccess), to each Investor interim reports indicating Systematic Momentum FuturesAccess’ estimated results of operations and presenting such other matters concerning Systematic Momentum FuturesAccess’ operations as the Sponsor may deem appropriate as well as those required by the applicable Commodity Futures Trading Commission regulations. The estimated performance of Systematic Momentum FuturesAccess will be available upon request to the Sponsor by any Investor.

ARTICLE VIII

CONFLICTS OF INTEREST

SECTION 8.01. INVESTORS’ CONSENT. Each Investor, by subscribing for Units, gives full and informed consent to the conflicts of interest to which the Sponsor Parties are subject in their operation of Systematic Momentum FuturesAccess, as disclosed in the Confidential Program Disclosure Document and as contemplated herein (including without limitation the Sponsor sharing in the Management and Performance Fees paid with respect to Systematic Momentum FuturesAccess’ investment in the FuturesAccess Funds, whether such sharing is achieved directly or through the FuturesAccess Fund’s special allocation to the Sponsor of such shared Management Fees and Performance Fees), and covenants not to object to or bring any proceedings against any Sponsor Party relating to any such conflicts of interest; provided, that such Sponsor Party complies with the standard of exculpation set forth in Section 5.06.

In addition to the provisions of the preceding paragraph, the Sponsor is hereby specifically authorized to invest Systematic Momentum FuturesAccess’ assets in FuturesAccess Funds which direct transactions to Sponsor Parties.

SECTION 8.02. INVESTORS’ REPRESENTATIVE.

(a) An Investors’ Representative — a professional services firm that is independent of the Sponsor and its affiliates and that does not otherwise perform material services for the Sponsor or any affiliated entity (other than as an investors’ representative for other funds) — may be appointed by the Sponsor from time to time as a means of providing (or withholding) the informed consent of Investors required for Systematic Momentum FuturesAccess to enter into certain transactions which otherwise may be inappropriate or impermissible due to the conflicts of interest involved (for example, allocations to FuturesAccess Funds in which the Sponsor or its affiliates have a substantial proprietary interest). The transactions submitted to the Investors’ Representative for consent will typically be transactions which the Sponsor believes to be in the best interests of Systematic Momentum FuturesAccess but which, nevertheless, may require Investor consent under Section 206(3) or other applicable provisions of the Investment Advisers Act of 1940, as amended (the “Advisers Act”). The role of the Investors’ Representative will not be to make investment recommendations or pricing determinations nor to review the merits of any transaction presented to it, but only to confirm that the conflicts of interest involved have been resolved and that Systematic Momentum FuturesAccess enters into such transactions on an arm’s length basis. The Investors’ Representative will

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be exculpated and indemnified to the same extent as the Sponsor.

(b) The Sponsor has initially appointed Arthur F. Bell, Jr. & Associates, L.L.C. to act as the Investors’ Representative. The Sponsor will notify Investors of any change in the appointment of the Investors’ Representative and will report annually to Investors all transactions approved by the Investors’ Representative during the fiscal-year period then ended. The Sponsor may resolve conflict of interest situations itself without referring the matter to the Investors’ Representative, unless otherwise required by law.

(c) By subscribing for Units in Systematic Momentum FuturesAccess, each Investor expressly authorizes the Sponsor to appoint an Investors’ Representative to act as their agent in consenting (or withholding consent) to transactions presented to it.

ARTICLE IX

DISSOLUTION AND WINDING UP

SECTION 9.01. EVENTS OF DISSOLUTION. Systematic Momentum FuturesAccess will be dissolved, the affairs of Systematic Momentum FuturesAccess will be wound up and Systematic Momentum FuturesAccess will be liquidated upon the occurrence of any of the following events:

(a) bankruptcy, dissolution, withdrawal or other termination of the last remaining manager of Systematic Momentum FuturesAccess;

(b) any event which would make unlawful the continued existence of Systematic Momentum FuturesAccess;

(c) withdrawal of the Sponsor unless at such time there is at least one remaining manager; or

(d) the determination by the Sponsor to liquidate the FuturesAccess Fund and wind up its affairs.

Nothing in this Section 9.01 shall impair the right of Investors holding more than 50% of the outstanding Units then held by Investors to vote within 90 calendar days of any of the foregoing events of dissolution to continue Systematic Momentum FuturesAccess on the terms set forth herein (if it is lawful to do so), and to appoint one or more managers for Systematic Momentum FuturesAccess.

SECTION 9.02. DISSOLUTION. Upon the dissolution of Systematic Momentum FuturesAccess, the Sponsor (or, if the Sponsor has withdrawn, such other liquidator as the Investors may, by vote of more than 50% of the outstanding Units by Net Asset Value, not including Units held by Sponsor Parties, select) shall wind up Systematic Momentum FuturesAccess’ affairs and, in connection therewith, shall distribute Systematic Momentum FuturesAccess’ assets in the following manner and order:

(a) FIRST, to the payment and discharge of all claims of creditors of Systematic Momentum FuturesAccess (including creditors who are Investors);

(b) SECOND, to the establishment of such reserves as the Sponsor (or such other liquidator) may consider reasonably necessary or appropriate for any losses, contingencies, liabilities or other matters of or relating to Systematic Momentum FuturesAccess; provided, however, that if and when the Sponsor (or such other liquidator) determines that the causes for such reserves have ceased to exist, the monies, if any, then held in reserve shall be distributed in the manner hereinafter provided; and

(c) THIRD, after making all final allocations contemplated by Article II (and for such purposes treating the date of dissolution as if it were a December 31), to the distribution in cash of the remaining assets of Systematic Momentum FuturesAccess among the Investors in accordance with the positive balance in each such Investor’s Closing Capital Account as of the last day of the Accounting Period in which Systematic Momentum FuturesAccess’ dissolution occurs. Any assets distributed in kind in the liquidation

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shall be valued, for purposes of such distribution, in accordance with Section 2.10 as of the date of distribution, and any difference between such value and the carrying value of such assets shall, to the extent not otherwise taken into account in determining Net Asset Value, be deemed to constitute income or loss to Systematic Momentum FuturesAccess.

ARTICLE X

MISCELLANEOUS PROVISIONS

SECTION 10.01. INVESTORS NOT TO CONTROL. The Investors shall take no part in the conduct or control of Systematic Momentum FuturesAccess’ business and shall have no authority or power to act for or to bind Systematic Momentum FuturesAccess.

SECTION 10.02. POWER OF ATTORNEY. Each Investor, by subscribing for Units, does hereby constitute and appoint the Sponsor, as such Investor’s true and lawful representative and attorney-in-fact, with authority in such Investor’s name, place and stead to make, execute, sign and file a Certificate of Formation of Systematic Momentum FuturesAccess, any amendments thereto authorized herein, any amendments to this Agreement authorized herein, and all such other instruments, documents and certificates which may, from time to time, be required by, or deemed advisable by the Sponsor under, the laws of the United States of America, the State of Delaware, the State of New Jersey, the State of New York or any other state or political subdivision in which the Sponsor shall determine that Systematic Momentum FuturesAccess shall do business, to effectuate, implement and continue the valid existence of Systematic Momentum FuturesAccess.

SECTION 10.03. AMENDMENTS; CONSENTS. This Agreement may not be modified or amended without the written consent of the Sponsor.

This Agreement may be modified or amended at any time with the consent of the Sponsor and by Investors holding more than 50% of the outstanding Units (by Net Asset Value) not including Units held by Sponsor Parties.

For all purposes of this Agreement, except as provided in the last paragraph of this Section 10.03, when the consent of Investors is required, the affirmative consent of Investors is not required; “negative consent” by failure to object in writing after reasonable notice of a proposed modification or amendment is sufficient — 30 calendar days to be conclusively presumed to constitute “reasonable notice” for such purposes.

The Sponsor may, without the consent of the Investors, modify or amend any provision of this Agreement for any of the following purposes:

(a) to add to this Agreement any further covenants, restrictions, undertakings or other provisions for the protection or benefit of Investors;

(b) to cure any ambiguity or to correct or supplement any provision contained herein which may be defective or inconsistent with any other provisions contained herein or in the Confidential Program Disclosure Document;

(c) to cause the allocations contained in Article II to comply with Section 704 of the Code or any other statutory provisions or regulations relating to such allocations;

(d) to provide for the issuance of new Classes of Units, or to amend the manner in which Units may be exchanged among funds in FuturesAccess or between different Classes of Units, provided that doing so is not adverse to outstanding Units (as contemplated by Section 10.13); or

(e) to make any other change not materially adverse to the interests of the Investors.

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Notwithstanding anything in this Section 10.03 to the contrary, without the affirmative written consent of each Investor affected thereby, no such modification or amendment shall: reduce the liabilities, obligations or responsibilities of the Sponsor (except that the Sponsor may take action to admit any person or entity which is an affiliate of the Sponsor as a substitute manager, and to provide for the Sponsor subsequently to withdraw from Systematic Momentum FuturesAccess or to provide for the Sponsor to withdraw from Systematic Momentum FuturesAccess without admitting any such substitute manager to Systematic Momentum FuturesAccess); increase the liabilities of Investors; or reduce the participation of Investors in the profits and losses of Systematic Momentum FuturesAccess or in any distributions made by Systematic Momentum FuturesAccess as set forth herein.

SECTION 10.04. NOTICES. Any notice to Systematic Momentum FuturesAccess or the Sponsor relating to this Agreement shall be in writing and delivered in person or by registered or certified mail and addressed to the Sponsor at the principal office of Systematic Momentum FuturesAccess. All notices and reports sent to the Investors shall be addressed to each Investor at the address set forth in such Investor’s FuturesAccess Program Subscription and Exchange Agreement (including the FuturesAccess Program Subscription and Exchange Agreement Signature Page). Any Investor may designate a new address by written notice to the Sponsor. Unless otherwise specifically provided in this Agreement, a notice shall be deemed to have been given to Systematic Momentum FuturesAccess or the Sponsor when actually received by the Sponsor, and to have been given to an Investor three business days after being deposited in a post office or regularly maintained mailbox or when delivered in person. The Sponsor may waive any notice requirement relating to notice to Systematic Momentum FuturesAccess or to itself, but no such waiver shall constitute a continuing waiver.

SECTION 10.05. LEGAL EFFECT; MANNER OF EXECUTION. This Agreement shall be binding upon the Investors, the Sponsor and their respective permitted successors and assigns. This Agreement shall inure to the benefit of the foregoing parties as well as to the benefit of the Sponsor Parties.

This Agreement may be executed by power-of-attorney embodied in a FuturesAccess Program Subscription and Exchange Agreement (including the FuturesAccess Program Subscription and Exchange Agreement Signature Page) or similar instrument with the same effect as if the parties executing the FuturesAccess Program Subscription and Exchange Agreement (including the FuturesAccess Program Subscription and Exchange Agreement Signature Page) or similar instrument had all executed one counterpart of this Agreement; provided, that this Agreement may also be executed in separate counterparts.

SECTION 10.06. ENTIRE AGREEMENT. This Agreement constitutes the entire agreement between the parties hereto and amends, restates, and supersedes all prior agreements among any of the parties hereto with respect to the matters referred to herein, and no other agreement, verbal or otherwise, shall be binding as between the parties unless it shall be in writing and signed by the party against whom enforcement is sought.

SECTION 10.07. GOVERNING LAW. THIS AGREEMENT SHALL BE GOVERNED BY AND CONSTRUED IN ACCORDANCE WITH THE LAWS OF THE STATE OF DELAWARE, WITHOUT REGARD TO PRINCIPLES OF CONFLICTS OF LAWS. THE RIGHTS AND LIABILITIES OF THE INVESTORS SHALL BE AS PROVIDED IN THE ACT, EXCEPT AS HEREIN OTHERWISE EXPRESSLY PROVIDED.

SECTION 10.08. CONSENT TO JURISDICTION. All controversies arising hereunder or in connection with the affairs of Systematic Momentum FuturesAccess shall be brought in the state or federal courts located in New York, New York, and all Investors hereby irrevocably consent to such jurisdiction and venue.

SECTION 10.09. “TAX MATTERS PARTNER”; TAX ELECTIONS. The Sponsor is designated as the “Tax Matters Partner” for Systematic Momentum FuturesAccess and shall be empowered to make or revoke any elections now or hereafter required or permitted to be made by the Code, regulations promulgated thereunder or any state or local tax law.

Unless the Sponsor otherwise consents, each Investor, by subscribing for Units, agrees not to treat any tax item on such Investor’s individual tax return in a manner inconsistent with the treatment of such item by Systematic Momentum

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FuturesAccess, as reflected on the Schedule K-1 or other information statement furnished by Systematic Momentum FuturesAccess to such Investor, or to file any claim for refund relating to any such tax item which would result in such inconsistent treatment.

SECTION 10.10. DETERMINATION OF MATTERS NOT PROVIDED FOR IN THIS AGREEMENT. The Sponsor shall be empowered to decide, in its good faith judgment, any questions arising with respect to Systematic Momentum FuturesAccess or to this Agreement, and to provide for matters arising hereunder but which are not specifically set forth herein, as the Sponsor may deem to be in, or not opposed to, the best interests of Systematic Momentum FuturesAccess.

SECTION 10.11. NO PUBLICITY. Each Investor agrees that such Investor will in no event provide information concerning Systematic Momentum FuturesAccess to any third party, knowing that such third party may use such information in any form of publication, newsletter or circular, whether publicly or privately distributed. Each Investor’s investment in Systematic Momentum FuturesAccess, as well as the performance of such investment, shall be maintained on a strictly confidential basis; provided, that the Sponsor may make use of Systematic Momentum FuturesAccess’ performance record in the ordinary course of the Sponsor’s business activities.

SECTION 10.12. SURVIVAL. The indemnity and exculpation provisions hereof, as well as the obligations to settle accounts, shall survive the withdrawal of any Investor as well as the dissolution of Systematic Momentum FuturesAccess.

SECTION 10.13. WAIVERS. The Sponsor may waive any provision of this Agreement restricting the actions of Investors in respect of certain but not all Investors provided that doing so will have no adverse effect on other Investors.

SECTION 10.14. VOTING RIGHTS. The voting rights of the Units shall be determined by their respective Net Asset Values. In determining the number of Units entitled to vote or consent and the number of votes or consents needed for approval of any matter for which such a vote or consent is provided for herein, Units held by any Sponsor Party (including, without limitation, the Sponsor’s Capital Account, if any, on a Unit-equivalent basis) shall not be counted.

SECTION 10.15. ISSUANCE OF DIFFERENT CLASSES.

(a) The Sponsor may, at any time and from time to time, issue different Classes of Units, and may adjust the allocation, voting and other provisions of this Agreement so as equitably to reflect the issuance of such additional Classes. The Sponsor may also alter the terms on which Units of any Class are sold, provided that doing so does not adversely affect existing Investors.

(b) The fact that, for purposes of convenience, Units issued by Systematic Momentum FuturesAccess shall be designated as being Units of different “Classes” shall in no respect imply that these Units constitute different classes of equity interests as opposed to simply being subject to different fees.

SECTION 10.16. COMPLIANCE WITH THE ADVISERS ACT; SECURITIES LAWS.

(a) To the extent that any provision hereof may be construed in a manner inconsistent with the Advisers Act, it is the express intent of the Sponsor and the Investors that such provision be interpreted and applied ab initio so as to comply with the Advisers Act in all respects (even if doing so effectively amends the terms of this Agreement).

(b) Nothing in this Agreement shall be deemed to constitute a waiver by any Investor of such Investor’s rights under any federal or state securities laws.

SECTION 10.17. AMENDMENT AND RESTATEMENT. This Agreement amends and restates all prior limited liability company operating agreements of Systematic Momentum FuturesAccess.

* * * * * * *

A-25

IN WITNESS WHEREOF, the undersigned have executed this Agreement by their respective representatives thereunto duly authorized.

INVESTORS:		SPONSOR:

By:	Merrill Lynch Alternative Investments LLC	Merrill Lynch Alternative Investments LLC
	Attorney-in-Fact

By:		By:

A-26

EX-13.01 3 a10-3641_4ex13d01.htm EX-13.01

Exhibit 13.01

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(A Delaware Limited Liability Company)

Financial Statements as of 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 of Independent Registered Public Accounting Firms

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(A Delaware Limited 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 Registered Public Accounting Firm

To the Members of

ML Systematic Momentum FuturesAccess LLC:

In our opinion, the accompanying statement 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 at December 31, 2009, and the results of its operations, changes in its members’ capital, and financial data highlights for the year 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 audit. We conducted our audit of these statements 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 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 audit provides a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

March 25, 2010

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Members of

ML Systematic Momentum FuturesAccess LLC:

We have audited the accompanying statement of financial condition of ML Systematic Momentum FuturesAccess LLC (the “Fund”), as of December 31, 2008, and the related statements of 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. 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 audits.

We conducted our audits 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 audits 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 audits provide 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 financial position of ML Systematic Momentum FuturesAccess LLC as of December 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 United States of America.

March 30, 2009

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(A Delaware Limited 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 to financial statements.

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(A Delaware Limited Liability Company)

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

	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 on July 1, 2007.

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

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

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 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 on July 1, 2007.

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

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

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 DECEMBER 31, 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 previously known 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.

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.

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		%(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 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.

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

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

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	$	1.0000		$	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 on June 1, 2007

** Units issued on July 1, 2007

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

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

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

(d) 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.

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 eight 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. On September 15, 2008, Merrill Lynch entered into an Agreement and Plan of Merger (as amended by Amendment No. 1 dated as of October 21, 2008, the “Merger Agreement”) with Bank of America Corporation (“Bank of America”). Pursuant to the Merger Agreement, on January 1, 2009, a wholly-owned subsidiary of Bank of America merged with and into Merrill Lynch, with Merrill Lynch continuing as the surviving corporation and a subsidiary of Bank of America.

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.

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 (see Note 6). The four Classes of Units are subject to different Sponsor fees. Classes D1 and DA are used exclusively for investments made by Systematic Momentum FuturesAccess LTD and Systematic Momentum FuturesAccess II LLC, respectively, and are not charged Sponsor fees.

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.

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

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 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 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.

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

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.

Cash and Cash Equivalents

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

Operating Expenses, Offering Costs 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, DA 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 ASC’s 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 — 2006.

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, 2009, 2008 and the period ended December 31, 2007.

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 (see Note 6), 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.

Redemptions and Exchanges

A Member may redeem or exchange some or all of such Member’s Units at Net Asset Value (see Note 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 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.

2. INVESTMENTS IN PORTFOLIO FUNDS

The Portfolio Funds in which the Fund was invested as of December 31, 2009 and 2008 were: ML Altis FuturesAccess LLC (“Altis”), ML Aspect FuturesAccess LLC (“Aspect”), ML BlueTrend FuturesAccess LLC (“Blue Trend”), ML Chesapeake FuturesAccess LLC (“Chesapeake”), ML John Locke FuturesAccess LLC (“John Locke”), ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”) and ML Winton FuturesAccess LLC (“Winton”). As of December 31, 2009, ML Chesapeake FuturesAccess LLC is in liquidation. The Fund had a position in 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 a trade date basis. The investments in the Portfolio Funds were valued at fair value and was 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.

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

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 31,2009
	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 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 is recorded on a trade date basis. Realized gains and losses on investments is 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.

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.

The following table summarizes the valuation of the Fund’s investment by the above fair value hierarchy 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 on disclosures about derivative instruments and hedging activities which requires qualitative disclosures about objectives and strategies for using

derivatives, quantitative disclosures about fair value amounts of and gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements. This guidance only expands the disclosure requirements for derivative instruments and related hedging activities and has no impact on Statements of Financial Condition or Statements of Operations or Statements of Changes in Members’ Capital. As the Fund invests only in other Portfolio Funds, it does not have any direct investments in derivative instruments.

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 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 D, D1 and DA 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 seen on the Statements of Operations are all received from or paid to related parties.

5. ADVISORY AGREEMENTS

Each Portfolio Fund implements a systematic-based managed future 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, 2010

* In liquidation as of December 31, 2009

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, 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, Chesapeake, BlueTrend and Transtrend, 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 being 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.

6. NET ASSET VALUE PER UNIT

The Net Asset Value per Unit of the different Classes as of December 31, 2009 and 2008 are as follows:

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 is computed for purposes of calculating net income per weighted average Unit. The weighted average number of Units outstanding for the years ended December 31, 2009, 2008 and the period ended December 31, 2007 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.

8. RECENT ACCOUNTING PRONOUNCEMENTS

In July 2009, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Codification (“ASC”) 105, Generally Accepted Accounting Principles, (ASC 105), which approved the FASB Accounting Standards Codification (the “Codification”) as the single source of authoritative nongovernmental GAAP. The Codification is effective for interim or annual periods ending after September 15, 2009. All existing accounting standards have been superseded and all other accounting literature not included in the Codification are considered nonauthoritative. ASC 105 was not intended to change the accounting literature and did not impact the Fund’s financial condition or results of operations. All accounting references within this report are 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 liability have significantly decreased and identifying transactions that are not orderly. This guidance provides additional guidance for estimating fair value in accordance with FASB guidance on fair value measurements, when the volume and level of activity for the asset or liability have significantly decreased. This guidance also identifies circumstances that indicate a transaction is not orderly. The guidance emphasizes that even if there has been a significant decrease in the volume and level of activity for the asset or liability and regardless of the valuation technique(s) used, the objective of a fair value measurement remains the same. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction (that is, not a forced liquidation or distressed sale) between market participants at the measurement date under

current market conditions. The guidance also contains enhanced disclosure requirements whereby fair 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 Accounting Standards Update No. 2009-12, Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) (the “ASU 2009-12”), which is effective for interim or annual financial periods ending after December 15, 2009. The adoption of this guidance had no impact on the financial statements.

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.

9. 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.

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 MLPFS 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.

10. 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.

* * * * * * * * * * *

To the best of the knowledge and belief of the

undersigned, the information contained in this

report is accurate and complete.


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

EX-13.02 4 a10-3641_4ex13d02.htm EX-13.02

Exhibit 13.02

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

Financial Statements as of 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 of Independent Registered Public Accounting Firms

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited 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, 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, 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, 2008 and for the period April 2, 2007 (commencement of operations) to December 31, 2007	7

Notes to Financial Statements	10

Report of Independent Registered Public Accounting Firm

To the Members of

ML Transtrend DTP Enhanced FuturesAccess LLC:

In our opinion, the accompanying statement 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 Transtrend DTP Enhanced FuturesAccess LLC at December 31, 2009, and the results of its operations, changes in its members’ capital, and financial data highlights for the year 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 audit. We conducted our audit of these statements 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 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 audit provides a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

March 25, 2010

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Members of

ML Transtrend DTP Enhanced FuturesAccess LLC:

We have audited the accompanying statement of financial condition of ML Transtrend DTP Enhanced FuturesAccess LLC (the “Fund”), as of December 31, 2008, and the related statements of 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. 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 audits.

In our opinion, the financial statements and financial data highlights referred to above present fairly, in all material respects, the financial position of ML Transtrend DTP Enhanced FuturesAccess LLC as of December 31, 2008, and 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 United States of America.

March 30, 2009

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

AS OF DECEMBER 31, 2009 AND 2008

	2009		2008
ASSETS:
Equity in commodity futures trading accounts:
Cash (including restricted cash of $25,737,325 for 2009 and $15,307,220 for 2008)	$	236,868,172	$	227,695,348
Net unrealized profit on open contracts	1,146,497		6,740,529
Cash and cash equivalents	34,980		27,291
Accrued interest recievable	22,826		9,490

TOTAL ASSETS	$	238,072,475	$	234,472,658

LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Brokerage commissions payable	$	68,556	$	37,485
Sponsor and Advisory fees payable	381,285		14,552,403
Redemptions payable	1,523,104		2,375,459
Other liabilities	198,844		172,187

Total liabilities	2,171,789		17,137,534

MEMBERS’ CAPITAL:
Members’ Interest (171,805,932 Units and 131,802,114 Units outstanding, unlimited Units authorized)	235,900,686		217,335,124
Total members’ capital	235,900,686		217,335,124

TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	238,072,475	$	234,472,658

See notes to financial statements.

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS

FOR THE YEARS ENDED DECEMBER 31, 2009, 2008 AND FOR THE PERIOD APRIL 2, 2007

(COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2007

	2009			2008			2007
TRADING PROFIT (LOSS):

Realized, net	$	(30,087,116	)	$	58,391,558		$	18,830,414
Change in unrealized, net	(5,594,032		)	2,997,703			3,742,826
Brokerage commissions	(1,209,739		)	(642,724		)	(580,731		)

Total trading profit (loss)	(36,890,887		)	60,746,537			$	21,992,509

INVESTMENT INCOME:
Interest	17,531			2,502,184			3,463,933

EXPENSES:
Management fee	3,904,212			2,462,288			862,994
Sponsor fee	453,477			255,504			9,750
Performance fee	326			14,415,123			5,282,368
Other	572,395			626,258			155,223
Total expenses	4,930,410			17,759,173			6,310,335

NET INVESTMENT LOSS	(4,912,879		)	(15,256,989		)	(2,846,402		)

NET INCOME (LOSS)	$	(41,803,766	)	$	45,489,548		$	19,146,107

NET INCOME (LOSS) PER UNIT:

Weighted average number of Units outstanding
Class A*	1,786,054			638,706			39,446
Class C**	13,264,190			7,827,256			610,408
Class D***	1,152,610			1,758,848			1,149,319
Class I****	956,805			735,189			590,000
Class DS*****	87,628,053			39,395,367			11,953,746
Class DT******	46,262,586			63,481,706			90,305,640


Net income (loss) per weighted average Unit
Class A*	$	(0.2701	)	$	0.3033		$	(0.0411	)
Class C**	$	(0.2511	)	$	0.2791		$	0.0961
Class D***	$	(0.2186	)	$	0.2716		$	(0.0447	)
Class I****	$	(0.2848	)	$	0.3109		$	0.0609
Class DS*****	$	(0.2948	)	$	0.4174		$	0.2973
Class DT******	$	(0.2521	)	$	0.4089		$	0.1722

*Class A commenced on September 1, 2007.

**Class C commenced on July 1, 2007.

***Class D commenced on November 1, 2007.

****Class I commenced on October 1, 2007.

*****Class DS was previously known as Class D-SM and commenced on April 2, 2007.

******Class DT was previously known as Class D-TF and commenced on June 1, 2007.

See notes to financial statements.

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2009, 2008 AND FOR THE PERIOD APRIL 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*	—	107,731	—		107,731	961,358	(131,633	)	937,456	1,476,622	(142,255	)	2,271,823
Class C**	—	821,211	(68,985	)	752,226	10,739,116	(1,092,947	)	10,398,395	6,948,101	(2,863,733	)	14,482,763
Class D***	—	1,548,637	(798,637	)	750,000	2,794,704	(2,565,789	)	978,915	2,000,000	(978,915	)	2,000,000
Class I****	—	590,000	—		590,000	203,514	(13,367	)	780,147	1,335,257	(1,613,404	)	502,000
Class DS*****	12,000,000	2,810,880	(1,044,151	)	13,766,729	56,371,806	(2,852,864	)	67,285,671	41,935,733	—		109,221,404
Class DT******	—	105,166,376	(33,452,947	)	71,713,429	1,498,340	(21,790,239	)	51,421,530	872,634	(8,966,222	)	43,327,942

Total Members’ Units	12,000,000	111,044,835	(35,364,720	)	87,680,115	72,568,838	(28,446,839	)	131,802,114	54,568,347	(14,564,529	)	171,805,932

*Class A commenced on September 1, 2007.

**Class C commenced on July 1, 2007.

***Class D commenced on November 1, 2007.

****Class I commenced on October 1, 2007.

*****Class DS was previously known as Class D-SM and commenced on April 2, 2007.

******Class DT was previously known as Class D-TF and commenced on June 1, 2007.

See notes to financial statements.

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2009, 2008 AND FOR THE PERIOD APRIL 2, 2007 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2007


								Net Income			Members’ Capital							Net Income		Members’ Capital							Net Income			Members’ Capital
	Initial Offering		Subscriptions		Redemptions			(Loss)			December 31, 2007		Subscriptions		Redemptions			(Loss)		December 31, 2008		Subscriptions		Redemptions			(Loss)			December 31, 2009
Class A*	$	—	$	120,107	$	—		$	(1,623	)	$	118,484	$	1,151,996	$	(166,535	)	$	193,721	$	1,297,666	$	1,957,694	$	(174,096	)	$	(482,333	)	$	2,598,931
Class C**	—		810,690		(71,378		)	58,667			797,979		12,097,536		(1,345,352		)	2,184,634		13,734,797		8,754,398		(3,506,260		)	(3,331,361		)	15,651,574
Class D***	—		1,500,000		(747,045		)	(51,379		)	701,576		2,724,999		(2,699,332		)	477,767		1,205,010		2,000,000		(1,133,727		)	(251,902		)	1,819,381
Class I****	—		590,000		—			35,944			625,944		231,056		(16,232		)	228,547		1,069,315		1,768,505		(1,994,556		)	(272,480		)	570,784
Class DS*****	12,000,000		3,599,514		(1,225,985		)	3,553,619			17,927,148		81,391,656		(4,000,000		)	16,445,572		111,764,376		66,276,040		—			(25,829,034		)	152,211,382
Class DT******			116,913,460		(39,979,192		)	15,550,879			92,485,147		2,130,197		(32,310,691		)	25,959,307		88,263,960		1,392,375		(14,971,045		)	(11,636,656		)	63,048,634

Total Members’ Capital	$	12,000,000	$	123,533,771	$	(42,023,600	)	$	19,146,107		$	112,656,278	$	99,727,440	$	(40,538,142	)	$	45,489,548	$	217,335,124	$	82,149,012	$	(21,779,684	)	$	(41,803,766	)	$	235,900,686

*Class A commenced on September 1, 2007.

**Class C commenced on July 1, 2007.

***Class D commenced on November 1, 2007.

****Class I commenced on October 1, 2007.

*****Class DS was previously known as Class D-SM and commenced on April 2, 2007.

******Class DT was previously known as Class D-TF and commenced on June 1, 2007.

See notes to financial statements.

ML TRANSTREND DTP ENHANCED 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 DS (a)			Class DT (a)
Per Unit Operating Performance:

Net asset value, beginning of year	$	1.3842		$	1.3209		$	1.2310		$	1.3707		$	1.6610		$	1.7165

Net realized and net change in unrealized trading profit (loss)	(0.1849		)	(0.1752		)	(0.1347		)	(0.1835		)	(0.2242		)	(0.2333		)
Brokerage commissions	(0.0066		)	(0.0063		)	(0.0052		)	(0.0066		)	(0.0080		)	(0.0083		)
Interest income	0.0001			0.0001			0.0001			0.0001			0.0001			0.0001
Expenses	(0.0488		)	(0.0588		)	(0.1815		)	(0.0438		)	(0.0353		)	(0.0199		)

Net asset value, end of year	$	1.1440		$	1.0807		$	0.9097		$	1.1369		$	1.3936		$	1.4551

Total Return: (b)

Total return before Performance fees	-17.36		%	-18.18		%	-14.43		%	-17.02		%	-16.11		%	-15.26		%
Performance fees	-0.01		%	-0.01		%	0.00		%	-0.05		%	0.00		%	0.00		%
Total return after Performance fees	-17.37		%	-18.19		%	-14.43		%	-17.07		%	-16.11		%	-15.26		%

Ratios to Average Members’ Capital:

Expenses (excluding Performance fees)	3.74		%	4.73		%	2.05		%	3.34		%	2.24		%	1.25		%
Performance fees	0.01		%	0.01		%	0.00		%	0.05		%	0.00		%	-0.01		%
Expenses (including Performance fees)	3.75		%	4.74		%	2.05		%	3.39		%	2.24		%	1.24		%

Net investment income (loss)	-3.73		%	-4.73		%	-2.05		%	-3.38		%	-2.24		%	-1.23		%

(a) Class DS and DT were previously known as Class D-SM and Class D-TF, respectively.

(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.

ML TRANSTREND DTP ENHANCED 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 DS (a)			Class DT (a)
Per Unit Operating Performance:

Net asset value, beginning of year	$	1.0998		$	1.0608		$	0.9354		$	1.0609		$	1.3022		$	1.2896

Net realized and net change in unrealized trading profit (loss)	0.4412			0.4233			0.3864			0.4338			0.5275			0.5367
Brokerage commissions	(0.0048		)	(0.0046		)	(0.0042		)	(0.0047		)	(0.0058		)	(0.0058		)
Interest income	0.0198			0.0190			0.0172			0.0194			0.0237			0.0238
Expenses	(0.1718		)	(0.1776		)	(0.1038		)	(0.1387		)	(0.1866		)	(0.1278		)

Net asset value, end of year	$	1.3842		$	1.3209		$	1.2310		$	1.3707		$	1.6610		$	1.7165

Total Return: (b)

Total return before Performance fees	38.77		%	37.45		%	41.02		%	39.45		%	40.89		%	42.47		%
Performance fees	-9.96		%	-10.04		%	-7.25		%	-7.94		%	-10.11		%	-7.16		%
Total return after Performance fees	25.83		%	24.48		%	31.59		%	29.19		%	27.54		%	33.10		%

Ratios to Average Members’ Capital:

Expenses (excluding Performance fees)	3.96		%	4.97		%	2.43		%	3.55		%	2.43		%	1.39		%
Performance fees	10.13		%	10.24		%	7.21		%	7.95		%	10.30		%	7.11		%
Expenses (including Performance fees)	14.09		%	15.21		%	9.64		%	11.50		%	12.73		%	8.50		%

Net investment income (loss)	-12.39		%	-13.51		%	-7.95		%	-9.79		%	-11.03		%	-6.79		%

(a) Class DS and DT were previously known as Class D-SM and Class D-TF, respectively.

(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.

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

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

TO DECEMBER 31, 2007

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 DS (d)			Class DT (d)
Per Unit Operating Performance:

Net asset value, beginning of period	$	1.0000		$	1.0000		$	1.0000		$	1.0000		$	1.0000		$	1.1117

Net realized and net change in unrealized trading profit (loss)	0.2254			0.1277			(0.0149		)	0.1061			0.3563			0.2073
Brokerage commissions (c)	(0.0024		)	(0.0031		)	(0.0010		)	(0.0016		)	(0.0115		)	(0.0049		)
Interest income (c)	0.0165			0.0210			0.0070			0.0116			0.0452			0.0321
Expenses (c)	(0.1397		)	(0.0848		)	(0.0557		)	(0.0552		)	(0.0878		)	(0.0566		)

Net asset value, end of period	$	1.0998		$	1.0608		$	0.9354		$	1.0609		$	1.3022		$	1.2896

Total Return: (b)

Total return before Performance fees	21.36		%	11.79		%	-0.64		%	10.71		%	37.24		%	20.48		%
Performance fees	-9.85		%	-5.56		%	-5.80		%	-4.67		%	-5.79		%	-4.33		%
Total return after Performance fees	9.93		%	6.08		%	-6.46		%	6.10		%	30.22		%	16.01		%

Ratios to Average Net Assets: (a)

Expenses (excluding Performance fees)	4.48		%	5.06		%	3.32		%	3.36		%	2.39		%	1.24		%
Performance fees	40.41		%	12.77		%	50.19		%	17.81		%	7.63		%	7.18		%
Expenses (including Performance fees)	44.89		%	17.83		%	53.51		%	21.17		%	10.02		%	8.42		%

Net investment income (loss)	-39.59		%	-13.40		%	-46.79		%	-16.71		%	-4.86		%	-3.65		%

(a) The ratios have been annualized.

(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.

(d) Class DS and DT were previously known as Class D-SM and Class D-TF, respectively.

See notes to financial statements.

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Organization

ML Transtrend DTP Enhanced 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 trading activities on April 2, 2007. The Fund engages in the speculative trading of commodity futures contracts, options on futures and forward contracts on a wide range of commodities. Transtrend B.V. (“Transtrend”) is the trading advisor of the Fund.

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

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

The Fund offers six Classes of Units: Class A, Class C, Class D, Class DS, Class DT and Class I. Each Class of Units, except for Class DT offered at $1.1117, was offered at $1.00 per Unit during the initial offering period and subsequently is offered at Net Asset Value per Unit (see Note 6). The six Classes of Units are subject to different sponsor fees.

Estimates

Statement of Cash Flows

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

Revenue Recognition

Commodity futures, options on futures and forward contract transactions are recorded on trade date. Open contracts are reflected in Net unrealized profit (loss) on open contracts in the Statements of Financial Condition 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.

Trading profit (loss) is reduced for brokerage commission costs.

Foreign Currency Transactions

The Fund’s functional currency is the U.S. dollar; however, it transacts 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. 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. Profit and losses resulting from the translation to U.S. dollars are included in Trading Profit(loss) in the Statements of Operations.

Cash and Cash Equivalents

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

Cash at Broker/Equity in Commodity Futures Trading Accounts

A portion of the assets maintained at MLPF&S is restricted cash required to meet maintenance margin requirements.

Operating Expenses, Offering Costs and Selling Commissions

The Fund pays for all routine operating costs (including ongoing offering costs, administration, custody, transfer, exchange and redemption processing, 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 MLPF&S ranging from 1.0% to 2.5%. 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, Class DS and Class DT Units are not subject to any sales commissions.

Income Taxes

No provision for income taxes has been made in the accompanying financial statements as the 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 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

Subscriptions

Units are offered as of the close of business at the end of each month. Units are purchased as of the first business day of any month at Net Asset Value (see Note 6), 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.

Redemptions and Exchanges

Redemption 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 advisor of this Fund.

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

2. CONDENSED SCHEDULE OF INVESTMENTS

The Fund’s investments, defined as Net unrealized profit on open contracts in the Statements of Financial Condition, as of December 31, 2009 and 2008 are as follows:

2009

	Long Positions						Short Positions							Net Unrealized
Commodity Industry Sector	Number of Contracts	Unrealized Profit (Loss)			Percent of Members’ Capital		Number of Contracts		Unrealized Profit (Loss)			Percent of Members’ Capital		Profit (Loss) on Open Positions			Percent of Members’ Capital		Maturity Dates

Agriculture	675	$	512,058		0.22	%	(292	)	$	(132,212	)	-0.06	%	$	379,846		0.16	%	February 10 - December 10
Currencies	1,308	(670,422		)	-0.28	%	(854	)	1,521,277			0.64	%	850,855			0.36	%	April 10
Energy	494	(135,491		)	-0.06	%	(67	)	(277,177		)	-0.12	%	(412,668		)	-0.18	%	February 10 - December 10
Interest rates	4,183	(1,938,988		)	-0.82	%	(1,837	)	429,159			0.18	%	(1,509,829		)	-0.64	%	March 10 - December 12
Metals	759	3,324,393			1.41	%	(376	)	(3,024,951		)	-1.28	%	299,442			0.13	%	January 10 - April 10
Stock indices	2,214	1,538,851			0.65	%	—		—			0.00	%	1,538,851			0.65	%	January 10 - March 10

Total		$	2,630,401		1.12	%			$	(1,483,904	)	-0.63	%	$	1,146,497		0.49	%

2008

	Long Positions						Short Positions							Net Unrealized
Commodity Industry Sector	Number of Contracts	Unrealized Profit (Loss)			Percent of Members’ Capital		Number of Contracts		Unrealized Profit (Loss)			Percent of Members’ Capital		Profit (Loss) on Open Positions			Percent of Members’ Capital		Maturity Dates

Agriculture	90	$	151,485		0.07	%	(476	)	$	(432,610	)	-0.20	%	$	(281,125	)	-0.13	%	February 09 - December 09
Currencies	126	618,638			0.28	%	(192	)	(185,546		)	-0.09	%	433,092			0.19	%	March 09
Energy	—	—			0.00	%	(328	)	489,104			0.23	%	489,104			0.23	%	February 09 - December 09
Interest rates	4,057	4,178,934			1.92	%	(1,398	)	(913,221		)	-0.42	%	3,265,713			1.50	%	March 09 - December 11
Metals	305	(3,140,161		)	-1.44	%	(450	)	6,168,912			2.84	%	3,028,751			1.40	%	January 09 - May 09
Stock indices	—	—			0.00	%	(410	)	(195,006		)	-0.09	%	(195,006		)	-0.09	%	January 09 - March 09

Total		$	1,808,896		0.83	%			$	4,931,633		2.27	%	$	6,740,529		3.10	%

No individual contract’s unrealized profit or loss comprised greater than 5% of the Members’ Capital as of December 31, 2009 and 2008.

3. FAIR VALUE OF INVESTMENTS

Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at the measurement date (i.e. the exit price). All investments (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The investments are recorded on trade date and open contracts are recorded at fair value (described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included in Equity in commodity futures trading account. Any change in net unrealized gain or loss from the preceding year is reported in the Statements of Operations.

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 market 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.

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.

Exchange traded investments are fair valued by the Fund by using the reported closing price on the primary exchange where it trades such investments. These closing prices are observed through the clearing broker and third party pricing services. For non-exchange traded investments, quoted values and other data provided by nationally recognized independent pricing sources are used as inputs into its process for determining fair values.

The independent pricing sources obtain market quotations and actual transaction prices for securities that have quoted prices in active markets. Each source has its own proprietary method for determining the fair value of securities that are not actively traded. In general, these methods involve the use of “matrix pricing” in which the independent pricing source uses observable market inputs including, but not limited to, investment yields, credit risks and spreads, benchmarking of like securities, broker-dealer quotes, reported trades and sector groupings to determine a reasonable fair market value.

The Fund has determined that Level I securities would include all of its futures and options contracts where it believes that quoted prices are available in an active market.

Where the Fund believes that quoted market prices are not available or that the market is not active, fair values are estimated by using quoted prices of securities with similar characteristics, pricing models or matrix pricing and these are generally classified as Level II securities. The Fund determined that Level II securities would include its forward contracts.

The Fund’s net unrealized profit (loss) on open forward and futures contracts as of December 31, 2009 and 2008 are as follows:

December 31, 2009	Unrealized Long Positions		Unrealized Short Positions			Total
Futures	$	2,630,401	$	(1,483,904	)	$	1,146,497
Forwards	—		—			—
Total	$	2,630,401	$	(1,483,904	)	$	1,146,497

December 31, 2008	Unrealized Long Positions		Unrealized Short Positions		Total
Futures	$	1,808,896	$	4,931,633	$	6,740,529
Forwards	—		—		—
Total	$	1,808,896	$	4,931,633	$	6,740,529

The Fund’s volume of trading forward and futures as of the end of this year is representative of the activity throughout the year.

The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy 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	$	1,146,497	$	617,693	$	528,804	$	—
December 31, 2008	$	6,740,529	$	6,740,529	$	—	$	—

Effective January 1, 2009, the Fund adopted the FASB’s guidance on disclosures about derivative instruments and hedging activities which requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of and gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements. This guidance only expands the disclosure requirements for derivative instruments and related hedging activities and has no impact on Statements of Financial Condition or Statements of Operations or Statements of Changes in Members’ Capital.

The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Such contracts meet the definition of a derivative as noted in the guidance for derivatives and hedging. The fair value amounts of and the gains and losses on derivative instruments is disclosed in the Statements of Financial Condition and Statements of Operations, respectively. There are no credit related contingent features embedded in these derivative contracts.

The following table indicates the trading gains and losses, by commodity industry sector, on derivative instruments for the year ended December 31, 2009:

Commodity Industry Sector	Gain (loss) from trading

Agriculture	$	(1,089,234	)
Currencies	(2,785,506		)
Energy	(22,155,899		)
Interest rates	(13,716,230		)
Metals	1,294,047
Stock indices	2,771,674

Total	$	(35,681,148	)

The Fund is subject to the risk of insolvency of a counterparty, an exchange, a clearinghouse or MLPF&S. Fund assets could be lost or impounded during lengthy bankruptcy proceedings. Were a substantial portion of the Fund’s capital tied up in a bankruptcy or similar types of proceedings, MLAI might suspend or limit trading, perhaps causing the Fund to miss significant profit opportunities. There are increased risks in dealing with unregulated trading counterparties including the risk that assets may not benefit from the protection afforded to “customer funds” deposited with regulated dealers and brokers.

4. RELATED PARTY TRANSACTIONS

The Fund’s U.S. dollar assets are maintained at MLPF&S. On assets held in U.S. dollars, Merrill Lynch credits the Fund 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 Fund is credited with interest on any of its assets and net profits actually held by MLPF&S 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 Fund, from possession of such assets.

Merrill Lynch charges the Fund at prevailing local interest rates for financing realized and unrealized losses on the 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 D, DS, and DT are not charged a Sponsor Fee. Sponsor fees are paid to MLAI.

The fund pays brokerage commissions on actual cost per round turn. The average round-turn commission rate charged to the Fund for the years ended December 31, 2009, 2008 and for the period April 2, 2007 (commencement of operations) to December 31, 2007 was approximately $9.58, $10.37 and $9.57, respectively (not including, in calculating round-turn, forward contracts on a futures-equivalent basis).

Brokerage Commissions, Interest and Sponsor fees as seen on the Statements of operations are all received from or paid to related parties.

5. ADVISORY AGREEMENT

The Fund and Transtrend have entered into an Advisory Agreement. This agreement shall continue in effect until December 31, 2016. Thereafter, this agreement shall be automatically renewed for successive one-year periods, on the same terms, unless terminated at any time by either Transtrend or the Fund upon 90 days’ written notice to the other party. Transtrend determines the commodity futures, options on futures and forward contract trades to be made on behalf of their respective Fund accounts, subject to certain trading policies and to certain rights reserved by MLAI.

The Fund charges annual management fees on the Fund’s average month-end net assets allocated to them after reduction for the brokerage commissions accrued with respect to such assets and are payable to Transtrend on a monthly basis. Management Fees are 2.0% for all classes except for Class DT which charges a 1.0% Fee. Transtrend pays MLAI 50% of the management fees on all classes except Class DT in return for sponsoring and providing ongoing administration and operational support to the Fund.

Performance fees are charged by the Fund on any New Trading Profit, as defined in the private placement memorandum, and are payable to Transtrend as of either the end of each calendar year or upon any interim period for which there are net redemption of Units, to the extent of the applicable percentage of any New Trading Profit attributable to such Units. The Fund charges a 25% performance fee for all classes.

6. NET ASSET VALUE PER UNIT

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

December 31, 2009

Net Asset Value
Class A	$	1.1440
Class C	1.0807
Class D	0.9097
Class I	1.1369
Class DS	1.3936
Class DT	1.4551

December 31, 2008

Net Asset Value

Net Asset Value
Class A	$	1.3842
Class C	1.3209
Class D	1.2310
Class I	1.3707
Class DS	1.6610
Class DT	1.7165

7. WEIGHTED AVERAGE UNITS

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

8. RECENT ACCOUNTING PRONOUNCEMENTS

9. 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 Fund’s net unrealized profit(loss) on open contracts on such derivative instruments as reflected in the Statements of Financial Condition. The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Fund 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 Transtrend, calculating the Net Asset Value of the Fund 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 Fund’s market exposure, MLAI may urge Transtrend 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 Transtrend.

Credit Risk

The credit risk associated with these instruments from counterparty nonperformance is the Net unrealized profit (loss) on open contracts, if any, included in the Statements of Financial Condition. The Fund attempts to mitigate this risk by dealing exclusively with Merrill Lynch entities as clearing brokers.

The Fund, in its normal course of business, enters into various contracts, with MLPF&S acting as its 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.

Indemnifications

10. SUBSEQUENT EVENT

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.

* * * * * * * * * * *

To the best of the knowledge and belief of the

undersigned, the information contained in this

report is accurate and complete.


	Barbra E. Kocsis
	Chief Financial Officer
	Merrill Lynch Alternative Investments LLC
	Sponsor of
	ML Transtrend DTP Enhanced FuturesAccess LLC

EX-31.01 5 a10-3641_4ex31d01.htm EX-31.01

EXHIBIT 31.01

Rule 13a-14(a)/15d-14(a) Certifications

I, Justin C. Ferri, Chief Executive Officer, President and Manager of Merrill Lynch Alternative Investments LLC, the manager of ML Systematic Momentum FuturesAccess LLC, certify that:

1. I have reviewed this report on Form 10-K of ML Systematic Momentum FuturesAccess LLC;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: March 31, 2010

By	/s/ JUSTIN C. FERRI
Justin C. Ferri
Chief Executive Officer, President and Manager
(Principal Executive Officer)

EX-31.02 6 a10-3641_4ex31d02.htm EX-31.02

EXHIBIT 31.02

Rule 13a-14(a)/15d-14(a) Certifications

I, Barbra E. Kocsis, Chief Financial Officer of Merrill Lynch Alternative Investments LLC, the manager of ML Systematic Momentum FuturesAccess LLC certify that:

1. I have reviewed this report on Form 10-K of ML Systematic Momentum FuturesAccess LLC;

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: March 31, 2010

By	/s/ BARBRA E. KOCSIS
Barbra E. Kocsis
Chief Financial Officer
(Principal Financial Officer)

EX-32.01 7 a10-3641_4ex32d01.htm EX-32.01

EXHIBIT 32.01

Section 1350 Certification

In connection with this annual report of ML Systematic Momentum FuturesAccess LLC (the “Company”) on Form 10-K for the year ended December 31, 2009 as filed with the Securities and Exchange Commission on the date hereof (this “Report”), I, Justin C. Ferri, Chief Executive Officer, President and Manager of the Merrill Lynch Alternative Investments, LLC the manager of the Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of 2002, that:

1. This Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in this Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

Date: March 31, 2010

By	/s/ JUSTIN C. FERRI
Justin C. Ferri
Chief Executive Officer, President and Manager
(Principal Executive Officer)

EX-32.02 8 a10-3641_4ex32d02.htm EX-32.02

EXHIBIT 32.02

Section 1350 Certification

In connection with this annual report of ML Systematic Momentum FuturesAccess LLC, (the “Company”) on Form 10-K for the year ended December 31, 2009 as filed with the Securities and Exchange Commission on the date hereof (this “Report”), I, Barbra E. Kocsis, Chief Financial Officer of Merrill Lynch Alternative Investments LLC, the manager of the Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of 2002, that:

1. This Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in this Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

Date: March 31, 2010

By	/s/ BARBRA E. KOCSIS
Barbra E. Kocsis
Chief Financial Officer
(Principal Financial Officer)

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Trading Risk

Non-Trading Risk

PART IV

Exhibit

ARTICLE I ORGANIZATION

SECTION 1.01. OBJECTIVES AND PURPOSES.

(a) Systematic Momentum FuturesAccess shall have the following objectives and purposes:

(i) to allocate and reallocate its capital among different FuturesAccess Funds under the direction of the Sponsor, attempting to achieve consistently high risk-adjusted returns by implementing an active multi-advisor managed futures program;

(ii) to maintain such cash reserves as the Sponsor may from time to time deem to be appropriate and to invest and manage all such cash reserves; and

(iii) to engage in any other lawful act or activity within and without the United States for which limited liability companies may be organized under the laws of the State of Delaware.

(i) to invest in and redeem from FuturesAccess Funds, allocating and reallocating its capital among FuturesAccess Funds in the discretion of the Sponsor;

(ii) indirectly to trade futures, forwards, options and other instruments, on margin and otherwise, through investing in FuturesAccess Funds;

(iii) to borrow money from banks or brokers by hypothecation or pledge of all or part of the assets of Systematic Momentum FuturesAccess;

(iv) to exercise, as applicable, all rights, powers, privileges and other incidents of ownership or possession with respect to the assets of Systematic Momentum FuturesAccess;

(v) to open, maintain and close bank, brokerage and other accounts;

(vi) to prepare and file all tax returns required of Systematic Momentum FuturesAccess and make any election or determination on behalf of Systematic Momentum FuturesAccess in connection therewith or as otherwise required or permitted by applicable tax laws;

(vii) to bring, defend, compromise and settle legal actions or other claims on behalf of Systematic Momentum FuturesAccess;

(viii) to maintain insurance on behalf of Systematic Momentum FuturesAccess, including indemnification insurance; and

(ix) to take any and all such actions as the Sponsor may deem to be necessary or advisable in connection with the foregoing.

SECTION 1.06. NON-ASSIGNABILITY OF UNITS; SUBSTITUTED INVESTORS; LIMITED ASSIGNABILITY OF THE SPONSOR’S INTEREST.

SECTION 1.07. LIABILITY OF INVESTORS.

(a) Nothing herein shall require the Sponsor to maintain any minimum net worth or shall make any person associated with the Sponsor individually liable for any debt, liability or obligation of Systematic Momentum FuturesAccess or of the Sponsor.

(b) No Investor shall have any obligation to restore any negative balance in the capital account established for each Unit pursuant to Section 2.02 (“Capital Account”) of such Investor.

(c) The Sponsor shall have no obligation to restore any negative balance in any Investor’s or in the Sponsor’s Capital Account.

ARTICLE II CAPITAL AND TAX ALLOCATIONS

SECTION 2.02. OPENING CAPITAL ACCOUNTS.

(determined as set forth in Section 2.06) attributable to such Unit for the immediately preceding Accounting Period.

(c) For all purposes of this Agreement, references to Units shall be deemed to include the Sponsor’s Capital Account on a Unit-equivalent basis (unless the context otherwise requires or the reference is made explicit for greater certainty).

SECTION 2.03. FINANCIAL ALLOCATIONS AMONG THE UNITS. The net profits and losses are allocated to each Class as provided in Section 2.06 and shall be allocated equally among the Units of such Class. All Units of the same Class shall have the same Net Asset Value.

(a) The assets of Systematic Momentum FuturesAccess shall include:

(i) all FuturesAccess Fund investments held by Systematic Momentum FuturesAccess;

(ii) all cash on hand or on deposit in bank or other interest-bearing accounts, including any interest accrued thereon;

(iii) all bills, demand notes and accounts receivable;

(iv) all securities (including, without limitation, money-market funds, Treasury bills and other short-term, interest-bearing instruments), commodity interests, currency interests, swap agreements and all other instruments owned or contracted for by Systematic Momentum FuturesAccess;

(v) all interest accrued on any interest-bearing securities owned by Systematic Momentum FuturesAccess except to the extent that the same is included or reflected in the valuation of such securities; and

(vi) all other assets of every kind and nature, including prepaid expenses.

(i) all bills and accounts payable;

(ii) all expenses accrued, reimbursable or payable; and

(iii) all other liabilities, present or future, including such reserves as the Sponsor may (as contemplated by Section 2.04(g)), deem advisable.

(c) The “Sponsor’s Fees” (as defined in Section 2.05(a)) shall be determined, and Units’ Capital Accounts correspondingly reduced, after the allocation of the other components of Net Asset Value, as described above.

(d) Operating expenses shall be allocated among the Units pro rata based on their respective Net Asset Values as of the beginning of the month.

(e) Extraordinary costs, if any, shall be allocated as incurred in such manner as the Sponsor may deem to be fair and equitable.

(h) The Sponsor may suspend the calculation of Net Asset Value during any period when one or more of the FuturesAccess Funds in which Systematic Momentum FuturesAccess is invested is not reporting its Net Asset Value. The Sponsor will give notice of any such suspension to all Investors.

SECTION 2.05. SPONSOR’S FEES; OPERATING EXPENSES.

(d) Systematic Momentum FuturesAccess shall pay all transaction costs relating to any direct investing done by it, as incurred.

(e) The Sponsor’s Fees, but not reimbursement payments for organizational and initial offering costs, shall be appropriately pro rated in the case of partial calendar months.

(h) The Capital Account of the Sponsor (if any) shall not be subject to Sponsor’s Fees.

(b) If the Closing Capital Account per Unit of any Class is reduced to zero, any further decrease in the Net Asset Value per Unit shall be allocated to the Sponsor’s Capital Account, if any.

(c) The Sponsor’s Fee shall be debited from each Class, in each case after the Section 2.06(a) and (b) allocations are made.

(d) The Net Assets of each Class shall be divided equally among all Units of such Class.

SECTION 2.07. ALLOCATION OF PROFITS AND LOSSES FOR INCOME TAX PURPOSES.

(i) Items of ordinary income and deduction generated by Systematic Momentum FuturesAccess (as reported to it by the FuturesAccess Funds in which it invests shall be allocated pro rata among

the Units which were outstanding during the months in such year when such items of ordinary income and deduction accrued.

ARTICLE I
ORGANIZATION

ARTICLE II
CAPITAL AND TAX ALLOCATIONS