There's no federal requirement, since they don't take money from the federal gov't., but there apparently is in CA for any donations above a certain dollar limit. And they have them done, (see the transmittal page and page 28 of the filing, on Schedule D) but they're not required to be filed to the state and they're not available on the SFWA website. However, "[W]hile the audited financial statements do not need to be filed with the Registry, they must be available for inspection by the Attorney General, and made available to the public if requested."
Meaning, if somebody wanted to be a namefagging pain in the ass I guess you could hassle them until they either mailed or emailed you a copy or had to let you into the office to read their copy. I'm honestly not sure what on what terms they have to do this, but upon request they HAVE TO do something.
I doubt these statements would show much more than the tax return, but one never knows. If nothing else we'd get to read the notes. Assuming it was not only available via office visit, no copy for further perusal allowed.
References/screenshots:
Attorney General’s Guide for Charities Revelant passage, Page 43:
Public Act No. 23-98 AN ACT CONCERNING CHARITABLE ORGANIZATIONS, Sec. 16(b)(2), page 34
What's a little surprising is that most charities post all this crap on their website, so potential donors know they're on the up and up. The SFWA does not. It is not required, but it is pretty typical these days. You'd think if anybody would embrace teh internetz a trade group of SF&F authors would have.
as CFO. 
