Exhibit 13.02

ALTIS FUTURESACCESS LLC

(Formerly ML Altis FuturesAccess LLC)

(A Delaware Limited Liability Company)

Financial Statements as of and for the years ended December 31, 2011, 2010 and 2009 and Report of Independent Registered Public Accounting Firm

ALTIS FUTURESACCESS LLC

(Formerly ML Altis FuturesAccess LLC)

(A Delaware Limited Liability Company)

TABLE OF CONTENTS

	Page
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	1
FINANCIAL STATEMENTS:
Statements of Financial Condition as of December 31, 2011 and 2010	2
Statements of Operations for the years ended December 31, 2011, 2010 and 2009	3
Statements of Changes in Members’ Capital for the years ended December 31, 2011 2010 and 2009	4
Financial Data Highlights for the years ended December 31, 2011, 2010 and 2009	6
Notes to Financial Statements	9

PWC OPINION

Report of Independent Registered Public Accounting Firm

To the Members of

Altis FuturesAccess LLC

(formerly ML Altis FuturesAccess LLC):

In our opinion, the accompanying statements of financial condition, and the related statements of operations, changes in members’ capital, and financial data highlights present fairly, in all material respects, the financial position of Altis FuturesAccess LLC (formerly ML Altis FuturesAccess LLC) (the “Fund”) at December 31, 2011 and, 2010, and the results of its operations, the changes in its members’ capital and its financial data highlights for each of the three years in the period ended December 31, 2011, in conformity with accounting principles generally accepted in the United States of America. These financial statements and the financial data highlights (hereafter referred to as the “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with 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 audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

March 21, 2012

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

T: (646) 471 3000, F: (813) 286 6000, www.pwc.com/us

ALTIS FUTURESACCESS LLC

(Formerly ML Altis FuturesAccess LLC)

(A Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

AS OF DECEMBER 31, 2011 AND 2010

	2011		2010
ASSETS:
Equity in commodity trading accounts:
Cash (including restricted cash of $16,170,906 for 2011 and $26,222,717 for 2010)	$	111,998,883	$	127,348,388
Net unrealized profit on open futures contracts	5,811,892		9,486,854
Cash and cash equivalents	382,192		200,000
Accrued interest receivable	10,000		15,201
TOTAL ASSETS	$	118,202,967	$	137,050,443
LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Net unrealized loss on open futures contracts	$	331,612	$	1,607,825
Management fees payable	196,335		225,543
Redemptions payable	5,902,575		—
Perfomance fee payable	—		1,033,811
Other liablilities	70,246		111,762
Total liabilities	6,500,768		2,978,941
MEMBERS’ CAPITAL:
Members’ Interest (77,631,855 Units and 66,182,939 Units outstanding, unlimited units authorized)	111,702,199		134,071,502
Total members’ capital	111,702,199		134,071,502
TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	118,202,967	$	137,050,443
NET ASSET VALUE PER UNIT	$	1.4389	$	2.0258

See notes to financial statements.

2

ALTIS FUTURESACCESS LLC

(Formerly ML Altis FuturesAccess LLC)

(A Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS

FOR THE YEARS ENDED DECEMBER 31, 2011, 2010 AND 2009

	2011			2010			2009
TRADING PROFIT (LOSS):
Realized, net	$	(38,752,015	)	$	14,368,082		$	1,489,037
Change in unrealized, net	(2,398,749		)	2,320,667			(7,875,975		)
Brokerage commissions	(544,573		)	(441,706		)	(260,577		)
Total trading profit (loss)	(41,695,337		)	16,247,043			(6,647,515		)
INVESTMENT INCOME (EXPENSE):
Interest	12,924			13,791			41,074
EXPENSES:
Management fee	2,535,363			2,445,604			2,077,161
Performance fee	—			1,033,811			—
Other	185,094			183,474			205,299
Total expenses	2,720,457			3,662,889			2,282,460
NET INVESTMENT INCOME (LOSS)	(2,707,533		)	(3,649,098		)	(2,241,386		)
NET INCOME (LOSS)	$	(44,402,870	)	$	12,597,945		$	(8,888,901	)
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding Class DS	78,602,136			65,308,174			54,865,684
Net income (loss) per weighted average Unit Class DS	$	(0.5649	)	$	0.1929		$	(0.1620	)

See notes to financial statements.

3

ALTIS FUTURESACCESS LLC

(Formerly ML Altis FuturesAccess LLC)

(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2011, 2010 AND 2009 (IN UNITS)

	Members’ Capital			Members’ Capital				Members’ Capital				Members’ Capital
	December 31, 2008	Subscriptions	Redemptions	December 31, 2009	Subscriptions	Redemptions		December 31, 2010	Subscriptions	Redemptions		December 31, 2011
Class DS	46,511,477	16,263,252	—	62,774,729	7,141,210	(3,733,000	)	66,182,939	20,029,950	(8,581,034	)	77,631,855
Total Members’ Units	46,511,477	16,263,252	—	62,774,729	7,141,210	(3,733,000	)	66,182,939	20,029,950	(8,581,034	)	77,631,855

See notes to financial statements.

4

ALTIS FUTURESACCESS LLC

(Formerly ML Altis FuturesAccess LLC)

(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2011, 2010 AND 2009

	Members’ Capital									Members’ Capital							Net		Members’ Capital							Net			Members’ Capital
	December 31, 2008		Subscriptions		Redemptions		Net Income(loss)			December 31, 2009		Subscriptions		Redemptions			Income(loss)		December 31, 2010		Subscriptions		Redemptions			Income(Loss)			December 31, 2011
Class DS	$	93,476,848	$	30,744,764	$	—	$	(8,888,901	)	$	115,332,711	$	13,004,521	$	(6,863,675	)	$	12,597,945	$	134,071,502	$	34,629,126	$	(12,595,559	)	$	(44,402,870	)	$	111,702,199
Total Members’ Capital	$	93,476,848	$	30,744,764	$	—	$	(8,888,901	)	$	115,332,711	$	13,004,521	$	(6,863,675	)	$	12,597,945	$	134,071,502	$	34,629,126	$	(12,595,559	)	$	(44,402,870	)	$	111,702,199

See notes to financial statements.

5

ALTIS FUTURESACCESS LLC

(Formerly ML Altis FuturesAccess LLC)

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDED DECEMBER 31, 2011

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

	Class DS
Per Unit Operating Performance:
Net asset value, beginning of year	$	2.0258
Net realized and net change in unrealized trading profit	(0.5451		)
Brokerage commissions	(0.0071		)
Interest income	0.0002
Expenses	(0.0349		)
Net asset value, end of year	$	1.4389
Total Return: (a)
Total return before Performance fees	-28.97		%
Performance fees	0.00		%
Total return after Performance fees	-28.97		%
Ratios to Average Members’ Capital:
Expenses (excluding Performance fees)	2.12		%
Performance fees	0.00		%
Expenses (including Performance fees)	2.12		%
Net investment income (loss)	-2.11		%

(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.

6

ALTIS FUTURESACCESS LLC

(Formerly ML Altis FuturesAccess LLC)

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDED DECEMBER 31, 2010

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

	Class DS
Per Unit Operating Performance:
Net asset value, beginning of year	$	1.8372
Net realized and net change in unrealized trading profit	0.2508
Brokerage commissions	(0.0067		)
Interest income	0.0002
Expenses	(0.0557		)
Net asset value, end of year	$	2.0258
Total Return: (a)
Total return before Performance fees	11.09		%
Performance fees	-0.83		%
Total return after Performance fees	10.26		%
Ratios to Average Members’ Capital:
Expenses (excluding Performance fees)	2.16		%
Performance fees	0.79		%
Expenses (including Performance fees)	2.95		%
Net investment income (loss)	-2.94		%

(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.

7

ALTIS FUTURESACCESS LLC

(Formerly ML Altis 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 DS
Per Unit Operating Performance:
Net asset value, beginning of year	$	2.0098
Net realized and net change in unrealized trading profit	(0.1268		)
Brokerage commissions	(0.0048		)
Interest income	0.0008
Expenses	(0.0418		)
Net asset value, end of year	$	1.8372
Total Return: (a)
Total return before Performance fees	-8.59		%
Performance fees	0.00		%
Total return after Performance fees	-8.59		%
Ratios to Average Members’ Capital:
Expenses (excluding Performance fees)	2.20		%
Performance fees	0.00		%
Expenses (including Performance fees)	2.20		%
Net investment income (loss)	-2.16		%

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

See notes to financial statements.

8

ALTIS FUTURESACCESS LLC

(Formerly ML Altis FuturesAccess LLC)

(A Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

1.     SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Organization

Altis FuturesAccess LLC (Formerly ML Altis 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 futures, options on futures and forward contracts on a wide range of commodities. Altis Partners (Jersey) Limited (“Altis” or “trading advisor”) is the trading advisor of the Fund.

Merrill Lynch Alternative Investments LLC (“MLAI” or “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. Merrill Lynch, is a wholly-owned subsidiary of Bank of America Corporation.

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.

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 as well as the reported amounts of revenues and expenses during the reporting period.  Actual results could differ from those estimates and such differences could be material.

Initial Offering and Organizational Costs

Organization and Offering costs are amortized against the net asset value over 60 months, beginning with the first month-end after the initial issuance of Units for operational and investor trading purposes. However, for financial reporting purposes, organizational costs, to the extent material, will be shown as deducted from net asset value as of the date of such initial issuance and initial offering costs, to the extent material, will be amortized over a 12-month period after the initial issuance of Units.

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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), on 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 may transact business 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 dates 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. Profits and losses resulting from the translation to U.S. dollars are included in Trading profit (loss) on the Statements of Operations of the Fund.

Cash and Cash Equivalents

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

Equity in Commodity Trading Accounts

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

Operating Expenses 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 other expenses) incurred by the Fund.

Income Taxes

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

The Fund follows the Accounting Standard Codification (“ASC”) guidance on accounting for uncertainty in income taxes.  This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the

10

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 - 2008.

Distributions

Each Member is 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, 2011 and 2010.

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, but the subscription request must be submitted at least three calendar days before the end of the preceding month.  Subscriptions submitted less than three calendar 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 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 their 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 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.

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

(d)         Withdrawal of the Sponsor.

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2.CONDENSED SCHEDULES OF INVESTMENTS

The Fund’s investments, defined as Net unrealized profit (loss) on open contracts on the Statements of Financial Condition, as of December 31, 2011 and 2010 are as follows:

December 31, 2011

	Long Positions						Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts/Notional	Profit (Loss)			Members’ Capital		Contracts		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates
Agriculture	181	$	68,655		0.06	%	(1,440	)	$	312,006		0.28	%	$	380,661		0.34	%	January 12 - October 12
Currencies	240	(57,415		)	-0.05	%	(644	)	2,106,744			1.89	%	2,049,329			1.84	%	March 12
Energy	216	(56,572		)	-0.05	%	(413	)	1,900,736			1.70	%	1,844,164			1.65	%	January 12 - September 12
Interest rates	1,996	1,345,283			1.20	%	(790	)	(19,053		)	-0.02	%	1,326,230			1.18	%	March 12 - December 13
Metals	275	(980,008		)	-0.88	%	(615	)	734,157			0.66	%	(245,851		)	-0.22	%	January 12 - October 12
Stock indices	193	124,992			0.11	%	(83	)	755			0.00	%	125,747			0.11	%	January 12 - March 12
Total		$	444,935		0.39	%			$	5,035,345		4.51	%	$	5,480,280		4.90	%

December 31, 2010

	Long Positions						Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts/Notional	Profit (Loss)			Members’ Capital		Contracts/Notional		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates
Agriculture	1,349	$	2,826,857		2.11	%	(246	)	$	(422,166	)	-0.31	%	$	2,404,691		1.80	%	January 11 - November 11
Currencies	757	1,033,687			0.77	%	(1,520	)	4,798,083			3.58	%	5,831,770			4.35	%	March 11
Energy	653	1,556,822			1.16	%	(679	)	(2,048,766		)	-1.53	%	(491,944		)	-0.37	%	January 11 - September 11
Interest rates	1,485	423,675			0.32	%	(998	)	(528,377		)	-0.39	%	(104,702		)	-0.07	%	March 11 - December 12
Metals	1,129	4,343,897			3.24	%	(544	)	(4,118,784		)	-3.07	%	225,113			0.17	%	January 11 - October 11
Stock indices	352	(53,127		)	-0.04	%	(193	)	67,228			0.05	%	14,101			0.01	%	January 11 - March 11
Total		$	10,131,811		7.56	%			$	(2,252,782	)	-1.67	%	$	7,879,029		5.89	%

No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of December 31, 2011 and 2010.

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3.  FAIR VALUE OF INVESTMENTS

The Financial Accounting Standards Board (“FASB”) issued the ASC which provides 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 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.  Profits or losses are realized when contracts are liquidated.  Unrealized profits or losses on open contracts are included in Equity in commodity trading account on the Statements of Financial Condition.  Any change in net unrealized profit or loss from the preceding year 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 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.

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. Investments that are included in this category generally are privately held debt and equity securities.

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.

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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 and certain futures contracts.

The Fund’s net unrealized profit (loss) on open forward and futures contracts, by the above fair value hierarchy levels for the years ended December 31, 2011 and 2010 are as follows:

2011
Net unrealized profit (loss)
on open contracts	Total		Level I		Level II			Level III
Futures
Long	$	444,935	$	887,822	$	(442,887	)	$	—
Short	$	5,035,345	4,910,293		125,052			—
	$	5,480,280	$	5,798,115	$	(317,835	)	$	—
Forwards
Long	$	—	$	—	$	—		$	—
Short	$	—	—		—			—
	$	—	$	—	$	—		$	—
December 31, 2011	$	5,480,280	$	5,798,115	$	(317,835	)	$	—

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2010
Net unrealized profit (loss)
on open contracts	Total			Level I		Level II			Level III
Futures
Long	$	10,131,811		$	7,215,726	$	2,916,085		$	—
Short	$	(2,252,782	)	1,846,337		(4,099,119		)	—
	$	7,879,029		$	9,062,063	$	(1,183,034	)	$	—
Forwards
Long	$	—		$	—	$	—		$	—
Short	$	—		—		—			—
	$	—		$	—	$	—		$	—
December 31, 2010	$	7,879,029		$	9,062,063	$	(1,183,034	)	$	—

The Fund’s volume of trading forward and futures at December 31, 2011 and 2010, respectively, are representative of the activity throughout the year. There were no transfers to or from Level I or Level II during 2011 and 2010.

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 ASC guidance for derivatives and hedging. The fair value amounts of, and the profits 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 total notional, contract amount or number of contracts and fair values of derivative instruments by contract type/commodity sector are disclosed in Note 2, above.

The following table indicates the trading profits and losses, before brokerage commissions, by type/commodity industry sector, on derivative instruments for the years ended December 31, 2011 and 2010:

Commodity Industry	December 31, 2011			December 31, 2010
Sector	Profit (loss) from trading, net			Profit (loss) from trading, net
Agriculture	$	(10,488,645	)	$	4,744,855
Currencies	(12,010,587		)	8,650,376
Energy	(4,414,436		)	(7,022,195		)
Interest rates	8,837,140			10,303,416
Metals	(8,126,336		)	638,471
Stock indices	(14,947,900		)	(626,174		)
Total	$	(41,150,764	)	$	16,688,749

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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 other 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

Starting in June of 2010, the Fund entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a related party of Merrill Lynch through MLAI. The agreement calls for a fee to be paid based on the collective net assets of funds managed or sponsored by MLAI with a minimum annual fee of $2,700,000. The fee rate ranges from 0.016% to 0.02% based on aggregate net assets. During the year, the rate ranged from 0.018% to 0.02%.  The fee is payable monthly in arrears. MLAI allocates the Transfer Agent fees to each of the managed/sponsored funds on a monthly basis based on the Fund’s net assets. The Transfer Agent fee allocated to the Fund for the year ended December 31, 2011 amounted to $23,368 of which $3,898 was payable to the Transfer Agent as of December 31, 2011.

The Fund’s U.S. dollar assets are maintained at MLPF&S. On assets held in U.S. dollars, MLPF&S 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 in non-U.S. dollar currencies at a prevailing local rate received by MLPF&S.  MLPF&S may derive certain economic benefit, in excess of the interest which MLPF&S pays to the Fund, from possession of such assets.

MLPF&S 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 and Class DS are not charged a Sponsor Fee. Only Class DS Units have been issued as of December 31, 2011 and 2010 therefore no Sponsor fees have been incurred by the Fund.

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, 2011 and 2010 was approximately $8.37 and $7.97, respectively and (not including, in calculating round-turn, forward contracts on a futures-equivalent basis).

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

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

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5.  ADVISORY AGREEMENT

The Fund and Altis 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 three-year periods, on the same terms, unless terminated at any time by either Altis or the Fund upon 90 days written notice to the other party.  Altis 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 pays Altis annual management fees of 2.00% of the Fund’s average month-end net assets allocated to them after reduction for the brokerage commissions accrued with respect to such assets.  MLAI receives 50% of the 2.00% management fee for sponsoring and providing ongoing administration and operational support of the Fund.

Performance fees paid by the Fund are calculated as 20% of any New Trading Profit, as defined in the private placement memorandum, and are recognized by Altis as of either the end of each calendar year or upon the net reallocation of assets away from Altis.  Performance fees are also paid out in respect of Units redeemed as of the end of interim months, to the extent of the applicable percentage of any New Trading Profit attributable to such Units.

6.  WEIGHTED AVERAGE UNITS

The weighted average number of Units outstanding for each Class is computed for purposes of calculating net income (loss) per weighted average Unit.  The weighted average number of Units outstanding for each Class for the years ended December 31, 2011 and 2010 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.

7.  RECENT ACCOUNTING PRONOUNCEMENTS

In May 2011, the FASB issued an update to requirements relating to Fair Value Measurement which represents   amendments to achieve common fair value measurement and disclosure requirements in GAAP and International Financial Reporting Standards. The amendments are of two types: (i) those that clarify the FASB’s intent about the application of existing fair value measurement and disclosure requirements and (ii) those that change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements.

The amendments that change a particular principle or requirement for measuring fair value or disclosing information about fair value measurements relate to (i) measuring the fair value of the financial instruments that are managed within a portfolio; (ii) application of premium and discount in a fair value measurement; and (iii) additional disclosures about fair value measurements. The update is effective for annual periods beginning after December 15, 2011. MLAI does not believe the adoption of this update will have a material impact on the Fund’s financial statements.

In December 2011, the FASB issued an update to Disclosures about Offsetting Assets and Liabilities. This update enhances disclosures and provides disclosures about financial instruments and derivative instruments that are either offset on the statement of financial condition or subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset on the statement of financial condition.  Entities are required to provide both net and gross information for these assets and liabilities.  An entity is required to apply the required disclosures for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods.  An entity should provide the disclosures required by this update retrospectively for all comparative periods presented. The Fund is currently assessing the impact of this update on its financial statements.

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8.  MARKET AND CREDIT RISK

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

Market Risk

Derivative instruments involve varying degrees of market risk.  Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the financial instruments or commodities underlying such derivative instruments frequently result in changes in the 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 Altis, 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 Altis 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 Altis.

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 (but not universally) 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 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 trading accounts on the Statements of Financial Condition.

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Indemnifications

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

9.  SUBSEQUENT EVENTS

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

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*    *    *    *    *    *    *    *    *    *    *

To the best of the knowledge and belief of the

undersigned, the information contained in this

report is accurate and complete.

/s/ Barbra E. Kocsis

Barbra E. Kocsis

Chief Financial Officer

Merrill Lynch Alternative Investments LLC

Sponsor of

Altis FuturesAccess LLC

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