**UNITED STATESSECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C.20549**

 

**FORM 10-Q**

 

**(Mark One)**

 

| **x**                                                  | **QUARTERLY REPORT PURSUANT TO SECTION 13 OR  15(d) OF THE SECURITIES EXCHANGE ACT OF 1934**   |
|--------------------------------------------------------|----------------------------------------------------------------------------------------------------------|
|                                                   |
| **For the quarterly period ended June 30,  2009** |
|                                                   |
| **OR**                                                 |
|                                                   |
| **o**                                                  | **TRANSITION  REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE  ACT OF 1934** |

** **

**For thetransition period from                to                **

 

**CommissionFile Number 0-52505**

 

**ML SYSTEMATIC MOMENTUMFUTURESACCESS LLC**

(Exact Name of Registrant asspecified in its charter)

 

| **Delaware**                    | ** ** | **30-0408280**                    |
|---------------------------------|------------|-----------------------------------|
| (State or other jurisdiction of |       | (IRS Employer Identification No.) |
| incorporation or organization)  |       |                              |

 

**c/oMerrill Lynch Alternative Investments LLC**

**Two World Financial Center, 7****th**** Floor**

**New York, New York 10281**

(Address of principal executive offices)

(Zip Code)

 

**212-236-2063**

(Registrant’s telephonenumber, including area code)

 

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

 

Indicate by check markwhether the registrant has submitted electronically and posted on its corporateWeb site, if any, every Interactive Data File required to be submitted andposted 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 registrantwas required to submit and post such files). Yes o No o

 

Indicate by check markwhether the registrant is a large accelerated filer, an accelerated filer, anon-accelerated filer, or a smaller reporting company.  See the definitions of “large acceleratedfiler,” “accelerated filer” and “smaller reporting company” in Rule 12b-2of 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) |   |                      |

 

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

 

Asof June 30, 2009, 648,186,814 units of membership were outstanding.

 

 

 

----

 

**ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC**

 

QUARTERLY REPORT FOR JUNE 30, 2009 ON FORM 10-Q

 

Table of Contents

 
|     |   |                                                                                        |   | **PAGE** |
|----------|--------|---------------------------------------------------------------------------------------------|--------|----------|
|     |   | PART I                                                                                 |   |     |
|     |   |                                                                                        |   |     |
| Item 1.  |   | Financial Statements                                                                        |   | 1        |
|     |   |                                                                                        |   |     |
| Item 2.  |   | Management’s Discussion  and Analysis of Financial Condition and Results of Operations |   | 15       |
|     |   |                                                                                        |   |     |
| Item 3.  |   | Quantitative and  Qualitative Disclosures About Market Risk                                 |   | 20       |
|     |   |                                                                                        |   |     |
| Item 4T. |   | Controls and Procedures                                                                     |   | 29       |
|     |   |                                                                                        |   |     |
|     |   | PART II                                                                                |   |     |
|     |   |                                                                                        |   |     |
| Item 1.  |   | Legal Proceedings                                                                           |   | 30       |
|     |   |                                                                                        |   |     |
| Item 1A. |   | Risk Factors                                                                                |   | 30       |
|     |   |                                                                                        |   |     |
| Item 2.  |   | Unregistered Sales of  Equity Securities and Use of Proceeds                                |   | 30       |
|     |   |                                                                                        |   |     |
| Item 3.  |   | Defaults Upon Senior  Securities                                                            |   | 31       |
|     |   |                                                                                        |   |     |
| Item 4.  |   | Submission of Matters  to a Vote of Security Holders                                        |   | 31       |
|     |   |                                                                                        |   |     |
| Item 5.  |   | Other Information                                                                           |   | 31       |
|     |   |                                                                                        |   |     |
| Item 6.  |   | Exhibits                                                                                    |   | 31       |

 

----

 

PART I - FINANCIAL INFORMATION

 

Item 1.    Financial Statements

 

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF FINANCIAL CONDITION(unaudited)

 
| ** **                                                                                                | ** ** | **June 30,** | ** **  | **December 31,** | ** ** |
|-----------------------------------------------------------------------------------------------------------|------------|-------------------|-------------|-----------------------|------------|
| ** **                                                                                                | ** ** | **2009**          | ** **  | **2008**              | ** ** |
| **ASSETS:**                                                                                               |       |              |        |                  |       |
|                                                                                                      |       |              |        |                  |       |
| Cash                                                                                                      |       | $                 | 47,288,454  |                  | $          | 36,548 |   |
| Accrued Interest Recievable                                                                               |       | 28,841            |        | —                |       |
| Investment in Portfolio Funds (Cost $693,018,030 at  2009 and $614,639,346 at 2008)                       |       | 723,425,334       |        | 701,122,301           |       |
| Due from Managers                                                                                         |       | 944               |        | —                |       |
| Receivable from Portfolio Fund                                                                            |       | —            |        | 22,935                |       |
|                                                                                                      |       |              |        |                  |       |
| **TOTAL ASSETS**                                                                                          |       | $                 | 770,743,573 |                  | $          | 701,181,784 |   |
|                                                                                                      |       |              |        |                  |       |
| **LIABILITIES AND MEMBERS’ CAPITAL:**                                                                |       |              |        |                  |       |
| LIABILITIES:                                                                                              |       |              |        |                  |       |
| Sponsor fee payable                                                                                       |       | $                 | 1,209,434   |                  | $          | 1,018,265 |   |
| Redemptions payable                                                                                       |       | 6,756,358         |        | 21,004,290            |       |
| Other                                                                                                     |       | 64,910            |        | 461,141               |       |
|                                                                                                      |       |              |        |                  |       |
| Total liabilities                                                                                         |       | 8,030,702         |        | 22,483,696            |       |
|                                                                                                      |       |              |        |                  |       |
| MEMBERS’ CAPITAL:                                                                                    |       |              |        |                  |       |
| Members’ Interest (648,186,814 Units and 532,683,079  Units outstanding, unlimited Units authorized) |       | 762,712,871       |        | 678,698,088           |       |
| Total members’ capital                                                                               |       | 762,712,871       |        | 678,698,088           |       |
|                                                                                                      |       |              |        |                  |       |
| **TOTAL LIABILITIES AND MEMBERS’  CAPITAL**                                                          |       | $                 | 770,743,573 |                  | $          | 701,181,784 |   |
| ** **                                                                                                | ** ** | ** **        | ** **  | ** **            | ** ** |
| **NET ASSET VALUE PER UNIT (SEE NOTE  4)**                                                                |       |              |        |                  |       |

 

See notes tofinancial statements.

 

1

----

 

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF OPERATIONS

(unaudited)

 
| ** **                                   | ** ** | **For the three**      | ** **  | **For the three**      | ** ** | **For the six**        | ** ** | **For the six**        | ** **  |
|----------------------------------------------|------------|------------------------|-------------|------------------------|------------|------------------------|------------|------------------------|-------------|
| ** **                                   | ** ** | **months ended**       | ** **  | **months ended**       | ** ** | **months ended**       | ** ** | **months ended**       | ** **  |
| ** **                                   | ** ** | **June 30, 2009** | ** **  | **June 30, 2008** | ** ** | **June 30, 2009** | ** ** | **June 30, 2008** | ** **  |
| **TRADING PROFIT (LOSS):**                   |       |                   |        |                   |       |                   |       |                   |        |
|                                         |       |                   |        |                   |       |                   |       |                   |        |
| Realized                                     |       | $                      | 2,467,088   |                   | $          | —                 |       | $                      | 2,467,823   |   | $ | 59,031 |   |
| Change in unrealized, net                    |       | (30,209,096            | )           | 28,052,291             |       | (56,073,962            | )          | 41,635,179             |        |
|                                         |       |                   |        |                   |       |                   |       |                   |        |
| Total trading profit (loss)                  |       | (27,742,008            | )           | 28,052,291             |       | (53,606,139            | )          | 41,694,210             |        |
|                                         |       |                   |        |                   |       |                   |       |                   |        |
| **INVESTMENT INCOME:**                       |       |                   |        |                   |       |                   |       |                   |        |
| Interest                                     |       | 29,631                 |        | 75,127                 |       | 37,073                 |       | 77,531                 |        |
|                                         |       |                   |        |                   |       |                   |       |                   |        |
| **EXPENSES:**                                |       |                   |        |                   |       |                   |       |                   |        |
| Sponsor fee                                  |       | 3,551,089              |        | 1,382,240              |       | 6,814,212              |       | 2,062,530              |        |
| Other                                        |       | 98,649                 |        | 162,346                |       | 276,337                |       | 545,590                |        |
| Total expenses                               |       | 3,649,738              |        | 1,544,586              |       | 7,090,549              |       | 2,608,120              |        |
|                                         |       |                   |        |                   |       |                   |       |                   |        |
| **NET INVESTMENT INCOME (LOSS)**             |       | (3,620,107             | )           | (1,469,459             | )          | (7,053,476             | )          | (2,530,589             | )           |
|                                         |       |                   |        |                   |       |                   |       |                   |        |
| **NET INCOME (LOSS)**                        |       | $                      | (31,362,115 | )                      | $          | 26,582,832             |       | $                      | (60,659,615 | ) | $ | 39,163,621 |   |
|                                         |       |                   |        |                   |       |                   |       |                   |        |
| **NET INCOME (LOSS) PER UNIT:**              | ** ** | ** **             | ** **  | ** **             | ** ** | ** **             | ** ** | ** **             | ** **  |
| ** **                                   | ** ** | ** **             | ** **  | ** **             | ** ** | ** **             | ** ** | ** **             | ** **  |
| Weighted average number of Units outstanding |       |                   |        |                   |       |                   |       |                   |        |
| Class A**                               |       | 63,876,988             |        | 16,746,116             |       | 57,210,267             |       | 11,724,200             |        |
| Class C*                                |       | 404,899,308            |        | 154,464,636            |       | 379,798,108            |       | 117,093,678            |        |
| Class D                                 |       | 25,297,946             |        | 24,517,703             |       | 28,952,960             |       | 20,823,339             |        |
| Class I*                                |       | 66,425,628             |        | 41,200,934             |       | 63,512,612             |       | 33,086,451             |        |
| Class D1***                             |       | 35,748,383             |        | 14,008,975             |       | 34,101,840             |       | 9,503,371              |        |
| Class DA****                            |       | 45,821,817             |        | —                 |       | 48,189,767             |       | —                 |        |
|                                         |       |                   |        |                   |       |                   |       |                   |        |
| Net income (loss) per weighted average Unit  |       |                   |        |                   |       |                   |       |                   |        |
| Class A**                               |       | $                      | (0.0464     | )                      | $          | 0.1026                 |       | $                      | (0.0965     | ) | $ | 0.1929 |   |
| Class C*                                |       | $                      | (0.0515     | )                      | $          | 0.1025                 |       | $                      | (0.1052     | ) | $ | 0.1948 |   |
| Class D                                 |       | $                      | (0.0484     | )                      | $          | 0.1247                 |       | $                      | (0.0939     | ) | $ | 0.2366 |   |
| Class I*                                |       | $                      | (0.0483     | )                      | $          | 0.0999                 |       | $                      | (0.0974     | ) | $ | 0.2056 |   |
| Class D1***                             |       | $                      | (0.0432     | )                      | $          | 0.1324                 |       | $                      | (0.0870     | ) | $ | 0.2484 |   |
| Class DA****                            |       | $                      | (0.0361     | )                      | $          | —                 |       | $                      | (0.0709     | ) | $ | — |   |

 

----

*Units issued June 1,2007.

** Units issued onJuly 1, 2007.

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

**** Units issuedon December 1, 2008.

 

See notes tofinancial statements.

 

2

----

 

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF CHANGES INMEMBERS’ CAPITAL

For the six months ended June 30,2009 and 2008

(unaudited in Units)

 
| ** **                | ** ** | **Members’ Capital  December 31, 2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  June 30, 2008** | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  June 30, 2009** | ** ** |
|---------------------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|---------------------------------------------------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|---------------------------------------------------------|------------|
| Class A**            |       | 5,078,646                                                   |       | 17,890,903        |       | (2,710,871      | )          | 20,258,678                                              |       | 43,411,942                                                  |       | 29,378,781        |       | (6,332,948      | )          | 66,457,775                                              |       |
| Class C*             |       | 69,888,701                                                  |       | 133,450,969       |       | (24,047,852     | )          | 179,291,818                                             |       | 317,357,227                                                 |       | 133,881,500       |       | (35,581,512     | )          | 415,657,215                                             |       |
| Class D              |       | 16,803,705                                                  |       | 11,022,530        |       | (644,127        | )          | 27,182,108                                              |       | 34,878,314                                                  |       | —            |       | (15,638,873     | )          | 19,239,441                                              |       |
| Class I*             |       | 14,757,114                                                  |       | 29,721,479        |       | (1,579,351      | )          | 42,899,242                                              |       | 53,200,108                                                  |       | 24,909,087        |       | (13,034,453     | )          | 65,074,742                                              |       |
| Class D1***          |       | 4,990,154                                                   |       | 14,765,382        |       | —          |       | 19,755,536                                              |       | 31,040,046                                                  |       | 8,454,565         |       | (1,582,722      | )          | 37,911,889                                              |       |
| Class DA****         |       | —                                                      |       | —            |       | —          |       | —                                                  |       | 52,795,442                                                  |       | —            |       | (8,949,690      | )          | 43,845,752                                              |       |
|                      |       |                                                        |       |              |       |            |       |                                                    |       |                                                        |       |              |       |            |       |                                                    |       |
| Total Members’ Units |       | 111,518,320                                                 |       | 206,851,263       |       | (28,982,201     | )          | 289,387,382                                             |       | 532,683,079                                                 |       | 196,623,933       |       | (81,120,198     | )          | 648,186,814                                             |       |

 

----

*Units issued June 1,2007.

** Units issued onJuly 1, 2007.

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

**** Units issuedon December 1, 2008.

 

See notes tofinancial statements.

 

3

----

 

ML SYSTEMATIC MOMENTUMFUTURESACCESS LLC

(a Delaware LimitedLiability Company)

STATEMENTS OF CHANGES INMEMBERS’ CAPITAL

For the six months ended June 30,2009 and 2008

(unaudited)

 
| ** **                   | ** ** | **Members’ Capital  December 31, 2007** | ** **  | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income  (Loss)** | ** **  | **Members’ Capital  June 30, 2008** | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** **  | **Redemptions** | ** ** | **Net Income  (Loss)** | ** ** | **Members’ Capital  June 30, 2009** | ** **  |
|------------------------------|------------|-------------------------------------------------------------|-------------|-------------------|------------|-----------------|------------|-----------------------------|-------------|---------------------------------------------------------|------------|-------------------------------------------------------------|------------|-------------------|-------------|-----------------|------------|-----------------------------|------------|---------------------------------------------------------|-------------|
|                         |       |                                                        |        |              |       |            |       |                        |        |                                                    |       |                                                        |       |              |        |            |       |                        |       |                                                    |        |
| Class A**               |       | $                                                           | 5,217,419   |              | $          | 20,214,417      |       | $                           | (3,053,721  | )                                                       | $          | 2,261,936                                                   |       | $                 | 24,640,051  |            | $          | 54,529,667                  |       | $                                                       | 35,638,288  |   | $ | (7,549,705 | ) | $ | (5,518,981 | ) | $ | 77,099,269 |   |
| Class C*                |       | 74,531,573                                                  |        | 154,755,299       |       | (26,883,355     | )          | 22,809,551                  |        | 225,213,068                                             |       | 409,646,343                                                 |       | 167,504,515       |        | (44,147,220     | )          | (39,919,611                 | )          | 493,084,027                                             |        |
| Class D                 |       | 19,442,860                                                  |        | 14,023,255        |       | (848,637        | )          | 4,927,142                   |        | 37,544,620                                              |       | 50,152,681                                                  |       | —            |        | (21,718,952     | )          | (2,661,894                  | )          | 25,771,835                                              |        |
| Class I*                |       | 15,867,209                                                  |        | 33,883,944        |       | (1,844,255      | )          | 6,803,972                   |        | 54,710,870                                              |       | 70,208,485                                                  |       | 31,981,356        |        | (16,526,680     | )          | (6,178,416                  | )          | 79,484,745                                              |        |
| Class D1***             |       | 5,165,016                                                   |        | 16,865,338        |       | —          |       | 2,361,020                   |        | 24,391,374                                              |       | 39,876,273                                                  |       | 10,437,901        |        | (2,025,884      | )          | (2,965,070                  | )          | 45,323,220                                              |        |
| Class DA****            |       | —                                                      |        | —            |       | —          |       | —                      |        | —                                                  |       | 54,284,639                                                  |       | —            |        | (8,919,221      | )          | (3,415,643                  | )          | 41,949,775                                              |        |
| ** **                   | ** ** | ** **                                                  | ** **  | ** **        | ** ** | ** **      | ** ** | ** **                  | ** **  | ** **                                              | ** ** | ** **                                                  | ** ** | ** **        | ** **  | ** **      | ** ** | ** **                  | ** ** | ** **                                              | ** **  |
| Total Members’ Interest |       | $                                                           | 120,224,077 |              | $          | 239,742,253     |       | $                           | (32,629,968 | )                                                       | $          | 39,163,621                                                  |       | $                 | 366,499,983 |            | $          | 678,698,088                 |       | $                                                       | 245,562,060 |   | $ | (100,887,662 | ) | $ | (60,659,615 | ) | $ | 762,712,871 |   |

 

----

*Units issued June 1,2007.

** Units issued onJuly 1, 2007.

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

**** Units issuedon December 1, 2008.

 

See notes tofinancial statements.

 

4

----

 

ML SYSTEMATICMOMENTUM FUTURESACCESS LLC

(a DelawareLimited Liability Company)

FINANCIAL DATAHIGHLIGHTS

FOR THE THREEMONTHS ENDED JUNE 30, 2009

 
| ** **                                               | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**          | ** ** | **2009**           | ** ** |
|----------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|-------------------|------------|--------------------|------------|
| ** **                                               | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class D1** | ** ** | **Class DA*** | ** ** |
| **Per Unit Operating Performance:**                      |       |             |       |             |       |             |       |             |       |              |       |               |       |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Net asset value, beginning of period                     |       | $                | 1.2081     |             | $          | 1.2385           |       | $                | 1.3898     |              | $          | 1.2708             |       | $ | 1.2403 |   | $ | 0.9927 |   |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Realized and change in unrealized trading profit  (loss) |       | (0.0434          | )          | (0.0444          | )          | (0.0499          | )          | (0.0456          | )          | (0.0446           | )          | (0.0357            | )          |
| Brokerage commissions                                    |       | —           |       | —           |       | —           |       | —           |       | —            |       | —             |       |
| Interest income                                          |       | 0.0000           |       | 0.0000           |       | 0.0001           |       | 0.0000           |       | 0.0000            |       | 0.0000             |       |
| Expenses                                                 |       | (0.0046          | )          | (0.0078          | )          | (0.0005          | )          | (0.0038          | )          | (0.0002           | )          | (0.0002            | )          |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Net asset value, end of period                           |       | $                | 1.1601     |             | $          | 1.1863           |       | $                | 1.3395     |              | $          | 1.2214             |       | $ | 1.1955 |   | $ | 0.9568 |   |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| **Total Return:**                                        |       |             |       |             |       |             |       |             |       |              |       |               |       |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Total return before Performance fees                     |       | -3.98            | %          | -4.22            | %          | -3.62            | %          | -3.88            | %          | -3.62             | %          | -3.62              | %          |
| Performance fees                                         |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00              | %          | 0.00               | %          |
| Total return after Performance fees                      |       | -3.98            | %          | -4.22            | %          | -3.62            | %          | -3.88            | %          | -3.62             | %          | -3.62              | %          |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| **Ratios to Average Members’ Capital:**             |       |             |       |             |       |             |       |             |       |              |       |               |       |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Expenses (excluding Performance fees)                    |       | 0.40             | %          | 0.65             | %          | 0.03             | %          | 0.30             | %          | 0.03              | %          | 0.03               | %          |
| Performance fees                                         |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00              | %          | 0.00               | %          |
| Expenses (including Performance fees)                    |       | 0.40             | %          | 0.65             | %          | 0.03             | %          | 0.30             | %          | 0.03              | %          | 0.03               | %          |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Net investment income (loss)                             |       | -0.40            | %          | -0.64            | %          | -0.02            | %          | -0.30            | %          | -0.02             | %          | -0.02              | %          |

 

----

*Units issued December 1,2008

 

See notes to financialstatements.

 

5

----

 

ML SYSTEMATICMOMENTUM FUTURESACCESS LLC

(a DelawareLimited Liability Company)

FINANCIAL DATAHIGHLIGHTS

FOR THE SIX MONTHSENDED JUNE 30, 2009

 

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

 
| ** **                                               | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**          | ** ** | **2009**           | ** ** |
|----------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|-------------------|------------|--------------------|------------|
| ** **                                               | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class D1** | ** ** | **Class DA*** | ** ** |
| **Per Unit Operating Performance:**                      |       |             |       |             |       |             |       |             |       |              |       |               |       |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Net asset value, beginning of period                     |       | $                | 1.2561     |             | $          | 1.2908           |       | $                | 1.4379     |              | $          | 1.3197             |       | $ | 1.2847 |   | $ | 1.0282 |   |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Realized and change in unrealized trading profit  (loss) |       | (0.0864          | )          | (0.0886          | )          | (0.0976          | )          | (0.0909          | )          | (0.0887           | )          | (0.0710            | )          |
| Brokerage commissions                                    |       | —           |       | —           |       | —           |       | —           |       | —            |       | —             |       |
| Interest income                                          |       | 0.0001           |       | 0.0001           |       | 0.0001           |       | 0.0001           |       | 0.0001            |       | 0.0000             |       |
| Expenses                                                 |       | (0.0097          | )          | (0.0160          | )          | (0.0009          | )          | (0.0075          | )          | (0.0006           | )          | (0.0004            | )          |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Net asset value, end of period                           |       | $                | 1.1601     |             | $          | 1.1863           |       | $                | 1.3395     |              | $          | 1.2214             |       | $ | 1.1955 |   | $ | 0.9568 |   |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| **Total Return:**                                        |       |             |       |             |       |             |       |             |       |              |       |               |       |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Total return before Performance fees                     |       | -7.64            | %          | -8.11            | %          | -6.95            | %          | -7.46            | %          | -6.95             | %          | -6.95              | %          |
| Performance fees                                         |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00              | %          | 0.00               | %          |
| Total return after Performance fees                      |       | -7.64            | %          | -8.11            | %          | -6.95            | %          | -7.46            | %          | -6.95             | %          | -6.95              | %          |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| **Ratios to Average Members’ Capital:**             |       |             |       |             |       |             |       |             |       |              |       |               |       |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Expenses (excluding Performance fees)                    |       | 0.80             | %          | 1.29             | %          | 0.05             | %          | 0.60             | %          | 0.05              | %          | 0.05               | %          |
| Performance fees                                         |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00              | %          | 0.00               | %          |
| Expenses (including Performance fees)                    |       | 0.80             | %          | 1.29             | %          | 0.05             | %          | 0.60             | %          | 0.05              | %          | 0.05               | %          |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Net investment income (loss)                             |       | -0.79            | %          | -1.29            | %          | -0.05            | %          | -0.59            | %          | -0.05             | %          | -0.05              | %          |

 

----

*Class DS andwas previously known as Class D-SM.

**Class DTwas previously known as Class D-TF.

 

See notes tofinancial statements.

 

6

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ML SYSTEMATICMOMENTUM FUTURESACCESS LLC

(a DelawareLimited Liability Company)

 

NOTES TO FINANCIALSTATEMENTS

(unaudited)

 

1.             SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

ML Systematic MomentumFuturesAccess LLC (the “Fund”) was organized under the Delaware LimitedLiability Company Act on March 8, 2007 and commenced trading activities onApril 1, 2007. The Fund issues new units of limited liability companyinterest (“Units”) at Net Asset Value per Unit as of the beginning of eachcalendar month.

 

MerrillLynch Alternative Investments LLC (“MLAI”) is the sponsor (“Sponsor”) andmanager (“Manager”) of the Fund. MLAI is an indirect wholly-owned subsidiary ofMerrill 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 Lynchentered into an Agreement and Plan of Merger (as amended by Amendment No. 1dated as of October 21, 2008, the “Merger Agreement”) with Bank of AmericaCorporation (“Bank of America”). Pursuant to the Merger Agreement, on January 1,2009, a wholly-owned subsidiary of Bank of America merged with and into MerrillLynch, with Merrill Lynch continuing as the surviving corporation and asubsidiary of Bank of America.

 

In the opinion ofmanagement, these interim financial statements contain all adjustmentsnecessary for a fair statement of the financial position of the Fund as of June 30,2009, and the results of its operations for the three and six months ended June 30,2009 and 2008. However, the operating results for the interim period may not beindicative of the results for the full year.

 

Certain information andfootnote disclosures normally included in annual financial statements preparedin accordance with accounting principles generally accepted in the UnitedStates of America (“U.S. GAAP”) have been omitted.  These financial statements should be read inconjunction with the financial statements and notes thereto included in theFund’s Annual Report on Form 10-K filed with the Securities and ExchangeCommission for the year ended December 31, 2008.

 

The preparation offinancial statements in conformity with U.S. GAAP requires management to makeestimates and assumptions that affect the reported amounts of assets andliabilities and disclosure of contingent assets and liabilities at the date ofthe financial statements and the reported amounts of revenues and expensesduring the reporting period.  Actualresults could differ from those estimates.

 

Certain prior year itemshave been reclassified to conform to the current year presentation.

 

7

----

 

2.                             INVESTMENTS INUNDERLYING FUNDS

 

The seven funds (each a “Portfolio Fund” and collectively “PortfolioFunds”) in which the Fund is invested as of June 30, 2009 are: ML AltisFuturesAccess LLC (“Altis”), ML Aspect FuturesAccess LLC (“Aspect”), MLChesapeake FuturesAccess LLC (“Chesapeake”), ML Blue Trend FuturesAccess LLC (“BlueTrend”), ML John Locke FuturesAccess LLC (“John Locke”) ML Transtrend DTPEnhanced FuturesAccess LLC (“Transtrend”) and ML Winton FuturesAccess LLC (“Winton”). Effective May 31, 2009,GSA was liquidated and the Fund no longer invests in GSA. The Sponsorreallocated the liquidation proceeds among the existing Portfolio Funds. MLAI,in its discretion may, change the Portfolio Funds at any time. MLAI, also atits discretion may vary the percentage of the Fund’s total portfolio allocatedto the different Portfolio Funds. There is no pre-established range for theminimum and maximum allocations that may be made to any given Portfolio Fund.

 

At June 30, 2009 Investments in Portfolio Funds at fair value areas follows:

 
| ** **  | ** ** | **Percentage of  Members’  Capital** | ** ** | **Fair Value** | ** **  |
|-------------|------------|------------------------------------------------|------------|---------------------|-------------|
| Chesapeake  |       | 10.17                                          | %          | 77,594,808          |        |
| Transtrend  |       | 18.25                                          | %          | 139,208,867         |        |
| Altis       |       | 13.04                                          | %          | 99,493,296          |        |
| Winton      |       | 18.31                                          | %          | 139,665,636         |        |
| Aspect      |       | 9.48                                           | %          | 72,289,793          |        |
| John  Locke |       | 18.54                                          | %          | 141,382,052         |        |
| BlueTrend   |       | 7.05                                           | %          | 53,790,882          |        |
| GSA  (a)    |       | 0.00                                           | %          | —              |        |
|        |       | 94.84                                          | %          | $                   | 723,425,334 |   |
|             |            |                                                |            |                     |             |  |

 

Total Investments inPortfolio Funds at Fair Value (Cost $693,018,030)

 

----

(a) In May, the GSA Portfolio was liquidated and SystematicMomentum no longer invests in the GSA Portfolio.

 

At December 31, 2008, Investments in Portfolio Funds at fair valueare as follows:

 
| ** ** | ** ** | **Percentage of  Members'  Capital** | ** ** | **Fair Value** | ** **  |
|------------|------------|-------------------------------------------|------------|---------------------|-------------|
| Chesapeake |       | 10.43                                     | %          | 70,779,579          |        |
| Transtrend |       | 16.47                                     | %          | 111,765,499         |        |
| Altis      |       | 13.77                                     | %          | 93,483,991          |        |
| Winton     |       | 16.36                                     | %          | 111,014,511         |        |
| Aspect     |       | 10.45                                     | %          | 70,896,651          |        |
| John Locke |       | 15.40                                     | %          | 104,525,135         |        |
| BlueTrend  |       | 7.22                                      | %          | 48,989,192          |        |
| GSA        |       | 13.21                                     | %          | 89,667,743          |        |
|       |       | 103.31                                    | %          | $                   | 701,122,301 |   |
|            |            |                                           |            |                     |             |  |

 

TotalInvestments in Portfolio Funds at Fair Value (Cost $614,639,346)

 

8

----

 

3.                             FAIR VALUE OF INVESTMENTS

 

In September 2006,the Financial Accounting Standards Board (“FASB”) issued Statement of FinancialAccounting Standards No. 157, Fair Value Measurement (“FAS 157”). FAS 157defines fair value, establishes a framework for measuring fair value andexpands disclosures about fair value measurements. The Fund adopted FAS 157 asof January 1, 2008. The adoption of FAS 157 did not have a material impacton the Fund’s financial statements.

 

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

 

FAS 157 established ahierarchal disclosure framework which prioritizes and ranks the level of marketprice observability used in measuring investments at fair value. Market priceobservability is impacted by a number of factors, including the type ofinvestment and the characteristics specific to the investment. Investments withreadily available active quoted prices or for which fair value can be measuredfrom actively quoted prices generally will have a higher degree of market priceobservability and a lesser degree of judgment used in measuring fair value.

 

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

 

Level I — Quoted pricesare available in active markets for identical investments as of the reportingdate. The type of investments included in Level I are publicly tradedinvestments.

 

Level II — Pricing inputsare other than quoted prices in active markets, which are either directly orindirectly observable as of the reporting date, and fair value is determinedthrough the use of generally accepted and understood models or other valuationmethodologies. Investments which are generally included in this category areinvestments valued using market data.

 

Level III — Pricinginputs are unobservable including the Fund’s own assumptions in determining thefair value of investments.

 

In certain cases, theinputs used to measure fair value may fall into different levels of the fairvalue hierarchy. In such cases, an investment’s level within the fair valuehierarchy is based on the lowest level of input that is significant to the fairvalue measurement. The Sponsor’s assessment of the significance of a particularinput to the fair value measurement in its entirety requires judgment, andconsiders factors specific to the investment.

 

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

 

Investments in other investment companies are valuedusing the net asset value reported by the investment company which managementbelieves approximates fair value. These net asset values are the prices used toexecute trades with these investment companies. If appropriate, adjustments to the reported net asset value may be madebased on various factors, including, but not limited to, the attributes of theinterest held, including the rights and obligations, and any restrictions orilliquidity.

 

Although there are monthly transactions in theseinvestment company interests, the Net Asset Value’s (“NAV”) are materiallybased on portfolios of Level I and Level II assets and liabilities for whichthe Fund has transparency.  As such, theFund determined that its investments in these investment companies in thiscase, would be classified as Level II.

 

9

----

 

The following tablesummarizes the valuation of the Fund’s investment by the above FAS 157 fairvalue hierarchy levels as of December 31, 2008 and June 30, 2009:

 
| ** **                     | ** ** | **Total** | ** **  | **Level  I** | ** ** | **Level  II** | ** ** | **Level  III** | ** ** |
|--------------------------------|------------|-----------|-------------|--------------|------------|---------------|------------|----------------|------------|
| Investment  in Portfolio Funds |       |      |        |         |       |          |       |           |       |
|                           |       |      |        |         |       |          |       |           |       |
| December 31,  2008        |       | $         | 701,122,301 |         | N/A        |          | $          | 701,122,301    |       | N/A |   |
|                           |       |      |        |         |       |          |       |           |       |
| June 30,  2009            |       | $         | 723,425,334 |         | N/A        |          | $          | 723,425,334    |       | N/A |   |

 

The Fund adopted Statementof Financial Accounting Standards No. 161, “Disclosures about DerivativeInstruments and Hedging Activities” (“FAS 161”) as of January 1, 2009which requires qualitative disclosures about objectives and strategies forusing derivatives, quantitative disclosures about fair value amounts of andgains and losses on derivative instruments, and disclosures aboutcredit-risk-related contingent features in derivative agreements. FAS 161 onlyexpands the disclosure requirements for derivative instruments and relatedhedging activities and has no impact on Statement of Financial Condition orStatement of Operations and Members’ Capital. As the Fund invests only in otherPortfolio Funds, it does not have any direct investments in derivativeinstruments.

 

10

----

 

4.                             NET ASSET VALUE PER UNIT

 

In conformity with U.S.GAAP, the Fund amortizes over a twelve-month period the initial offering costsfor purposes of determining Net Asset Value. The Net Asset Value per Unit ofthe different Classes at June 30, 2009 and December 31, 2008 are asfollows:

 
| June 30, 2009 |
|--------------------|

 
| ** **    | ** ** | **Net  Asset Value per Unit** | ** ** |
|---------------|------------|-------------------------------|------------|
| Class A  |       | $                             | 1.1601     |   |
| Class C  |       | 1.1863                        |       |
| Class D  |       | 1.3395                        |       |
| Class I  |       | 1.2214                        |       |
| Class D1 |       | 1.1955                        |       |
| Class DA |       | 0.9568                        |       |
|               |            |                               |            |  |

 
| 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                        |       |
|               |            |                               |            |  |

 

11

----

 

5.                             MARKET, CREDITAND CONCENTRATION RISKS

 

The nature of this Fund hascertain risks, which cannot be presented on the financial statements.  Additionally, the Fund invests in othercommodity funds with similar market risk as mentioned below.  The following summarizes some of those risks.

 

Market Risk

 

Derivative instrumentsinvolve varying degrees of market risk. Changes in the level or volatility of interest rates, foreign currencyexchange rates or the market values of the financial instruments or commoditiesunderlying such derivative instruments frequently result in changes in Netunrealized profit (loss) on such derivative instruments as reflected in theStatements of Financial Condition of the Portfolio Funds.  The Fund’s exposure to market risk isinfluenced by a number of factors, including the relationships among thederivative instruments held by the Portfolio Funds as well as the volatilityand liquidity of the markets in which the derivative instruments are traded.Investments in foreign markets may also entail legal and political risks.

 

Credit Risk

 

The risks associated withexchange-traded contracts are typically perceived to be less than thoseassociated with over-the-counter (non-exchange-traded) transactions, becauseexchanges typically provide clearinghouse arrangements in which the collectivecredit (in some cases limited in amount, in some cases not) of the members ofthe exchange is pledged to support the financial integrity of theexchange.  In over-the-countertransactions, on the other hand, traders must rely solely on the credit oftheir respective individual counterparties. Margins, which may be subject toloss in the event of a default, are generally required in exchange trading, andcounterparties may also require margin in the over-the-counter markets.

 

The credit riskassociated with these instruments from counterparty nonperformance is the Netunrealized profit, if any, included in the Statements of Financial Condition ofthe Portfolio Funds. The Portfolio Funds attempt to mitigate this risk bydealing exclusively with Merrill Lynch entities as clearing brokers.

 

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

 

Concentration Risk

 

The Fund’s investments in the Portfolio Funds are subject to the marketand credit risk of the Portfolio Funds. Because the majority of the Fund’scapital is invested in the Portfolio Funds, any changes in the marketconditions that would adversely affect the Portfolio Funds could significantlyimpact the solvency of the Fund.

 

12

----

 

6.                             RECENT ACCOUNTING PRONOUNCEMENTS

 

InMay 2008, the FASB issued Statement of Financial Accounting Standards No. 162,“*The Hierarchy of Generally Accepted AccountingPrinciples*” (“FAS 162”). FAS 162 identifies the sources ofaccounting principles and the framework for selecting the accounting principlesused in preparing financial statements of nongovernmental entities that arepresented in conformity with U.S. GAAP. Currently, U.S. GAAP hierarchy isprovided in the American Institute of Certified Public Accountants U.S.Auditing Standards (“AU”) Section 411, “*The Meaningof Present Fairly in Conformity With Generally Accepted Accounting Principles*”(“AU Section 411”). FAS 162 is effective 60 days following the SEC’sapproval of the Public Company Accounting Oversight Board’s amendments to AU Section 411.The Fund does not expect the adoption of FAS 162 to have an impact on itsfinancial statements.

 

In April 2009, theFASB issued FSP No. FAS 157-4, “*DeterminingFair Value When the Volume and Level of Activity for the Asset or LiabilityHave Significantly Decreased and Identifying Transactions That Are Not Orderly*”(FSP 157-4). FSP 157-4 provides additional guidance for estimating fair valuein accordance with FASB Statement No. 157, *Fair Value Measurements*, when the volume and level ofactivity for the asset or liability have significantly decreased. This FSP alsoincludes guidance on identifying circumstances that indicate a transaction isnot orderly. The FSP emphasizes that even if there has been a significant decreasein the volume and level of activity for the asset or liability and regardlessof the valuation technique(s) used, the objective of a fair valuemeasurement remains the same. Fair value is the price that would be received tosell an asset or paid to transfer a liability in an orderly transaction (thatis, not a forced liquidation or distressed sale) between market participants atthe measurement date under current market conditions. The FSP also containsenhanced disclosure requirements whereby fair value disclosures as well ascertain disaggregated information will be disclosed. The Fund does not expectthe adoption of FSP 157-4 to have an impact on its financial statements.

 

InJune 2008, the FASB issued Statement of Financial Accounting Standards No. 168,“The FASB Accounting Standards Codification and “The Hierarchy of GenerallyAccepted Accounting Principles - a replacement of FASB Statement No. 162”(“FAS 168”).  FAS 168 identifies thesources of accounting principles and the framework for selecting the accountingprinciples used in preparing financial statements of nongovernmental entitiesthat are presented in conformity with U.S. GAAP.  FAS 168 will be effective for financialstatements that cover interim and annual periods ending after September 15,2009.  The Fund does not expect theadoption of FAS 168 to have an impact on our financial statements

 

FASBissued Statement of Financial Accounting Standards Statement No. 165,Subsequent Events (“FAS 165”), which is effective for interim and annual periodsending after June 15, 2009.  FAS 165establishes general standards of accounting for and disclosure of events thatoccur after the balance sheet date but before financial statements are issuedor are available to be issued.  Itrequires the disclosure of the date through which an entity has evaluatedsubsequent events and the basis for that date. The Fund has performed anevaluation of subsequent events, as defined under FAS 165, through August 14,2009, which is the date the financial statements were issued, and determinedthat there are no subsequent events that are required to be adjusted to, ordisclosed in, the financial statements other than those disclosed in thesubsequent event section in Note 7.

 

13

----

 

7.                             SUBSEQUENT EVENT

 

The following subsequentevent occurred that requires disclosure under FAS 165.

 

1. Effective as of August 13,2009, Paul Morton resigned as a Chief Executive Officer and President of MLAIand resigned as a member of MLAI’s Board of Managers.

 

2. Effective as of August 13,2009, Thomas W. Lee resigned as a Vice President of MLAI and resigned as amember of MLAI’s Board of Managers.

 

3. Effective as of August 13,2009, Justin C. Ferri, a Vice President and a member of MLAI’s Board ofManagers, became the Chief Executive Officer and President of MLAI. Hecontinues to serve as a member of MLAI’s Board of Managers, a position which heheld prior to his appointment as the Chief Executive Officer and President.

 

4.Effective as of August 13, 2009, Deann Morgan, a VicePresident of MLAI, became a member of MLAI’s Board ofManagers. She continues to serve as a VicePresident of MLAI, a position which she held prior to her appointment as amember of MLAI’s Board of Managers.

 

14

----

 

Item 2.    Management’s Discussion and Analysis ofFinancial Condition and Results of Operations

 

MONTH-END NETASSET VALUE PER UNIT

(NON U.S. GAAP)

 

MLAI believes that theNet Asset Value used to calculate subscription and redemption value and toreport performance to investors throughout the year is the most valuableperformance measure to the Members of the Fund.   Therefore, the charts below referencing NetAsset Value and performance measurements are based on the Net Asset Value forfinancial reporting purposes, as discussed in Note 4 to the financialstatements.

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
|       | 2008       |     | $          | 1.0416   |       | $        | 1.1508     |     | $          | 1.1243   |       | $        | 1.1183     |   | $ | 1.1597 |   | $ | 1.2164 |   |
|       | 2009       |     | $          | 1.2473   |       | $        | 1.2484     |     | $          | 1.2081   |       | $        | 1.1729     |   | $ | 1.1861 |   | $ | 1.1601 |   |

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS C

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
|       | 2008       |     | $          | 1.0803   |       | $        | 1.1926     |     | $          | 1.1642   |       | $        | 1.1570     |   | $ | 1.1988 |   | $ | 1.2564 |   |
|       | 2009       |     | $          | 1.2807   |       | $        | 1.2808     |     | $          | 1.2385   |       | $        | 1.2014     |   | $ | 1.2139 |   | $ | 1.1863 |   |

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS D

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
|       | 2008       |     | $          | 1.1774   |       | $        | 1.3025     |     | $          | 1.2741   |       | $        | 1.2689     |   | $ | 1.3175 |   | $ | 1.3836 |   |
|       | 2009       |     | $          | 1.4312   |       | $        | 1.4343     |     | $          | 1.3898   |       | $        | 1.3509     |   | $ | 1.3679 |   | $ | 1.3395 |   |

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS I

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
|       | 2008       |     | $          | 1.0905   |       | $        | 1.2052     |     | $          | 1.1779   |       | $        | 1.1719     |   | $ | 1.2157 |   | $ | 1.2756 |   |
|       | 2009       |     | $          | 1.3110   |       | $        | 1.3126     |     | $          | 1.2708   |       | $        | 1.2341     |   | $ | 1.2484 |   | $ | 1.2214 |   |

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS D1

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
|       | 2008       |     | $          | 1.0508   |       | $        | 1.1624     |     | $          | 1.1371   |       | $        | 1.1324     |   | $ | 1.1758 |   | $ | 1.2348 |   |
|       | 2009       |     | $          | 1.2773   |       | $        | 1.2800     |     | $          | 1.2403   |       | $        | 1.2057     |   | $ | 1.2208 |   | $ | 1.1955 |   |

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS DA

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
|       | 2008       |     | N/A        |     | N/A        |     | N/A        |     | N/A        |     | N/A        |     | N/A        |   |
|       | 2009       |     | $          | 1.0222   |       | $        | 1.0244     |     | $          | 0.9927   |       | $        | 0.9649     |   | $ | 0.9770 |   | $ | 0.9568 |   |
|            |            |          |            |          |            |          |            |          |            |          |            |          |            |  |  |  |  |  |  |  |

 

15

----

 

Liquidity and Capital Resources

 

The Fund does not engage in the sale of goods orservices.  The Fund’s assets are it’s (i) investmentin Portfolio Funds and (ii) cash.   Because of the low margin deposits normally required in commodityfutures trading relatively small price movements may result in substantiallosses to the Fund.  While substantiallosses could lead to a material decrease in liquidity, no such material lossesoccurred during the second quarter of 2009.

 

The Fund’s capital consists of the capitalcontributions of the members as increased or decreased by gains or losses ontrading, expenses, interest income, redemptions of Redeemable Units anddistributions of profits, if any.

 

Forthe six months ended June 30, 2009, Fund capital increased 12.38% from$678,698,088 to$762,712,870.  This increase wasattributable to the net loss from operations of $60,659,615, coupled with theredemption of 81,120,198 Redeemable Units resulting in an outflow of$100,887,663.  The cash outflow wasoffset with cash inflow of $245,562,060 due to subscription of 196,623,933units.  Future redemptions could impactthe amount of funds available for investment in commodity contract positions insubsequent months.

 

Critical Accounting Policies

 

Use of Estimates

 

The preparation of financial statements andaccompanying notes in conformity with U.S. generally accepted accountingprinciples (“GAAP”‘) requires management to make estimates and assumptions thataffect the reported amounts of assets and liabilities, income and expenses, andrelated disclosures of contingent assets and liabilities in the financialstatements and accompanying notes.  As aresult, actual results could differ from these estimates.

 

Statement of Cash Flows

 

The Fund has elected not to provide a Statement ofCash Flows as permitted by Statement of Financial Accounting Standards No. 102“Statement of Cash Flows-Exemption of Certain Enterprises and Classification ofCash Flows from Certain Securities Acquired for Resale” (“FAS 102”).

 

Investments

 

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

 

Fair Value Measurements

 

The Fund adopted Statement of Financial AccountingStandards No. 157, *Fair Value Measurements*(“SFAS 157”) as of January 1, 2008 which defines fair value as the pricethat would be received to sell an asset or paid to transfer a liability in anorderly transaction between market participants at the measurement date.  The Fund did not apply the deferral allowedby FASB Staff Positions No. FAS 157-2, for nonfinancial assets andnonfinancial liabilities measured at fair value on a nonrecurring basis. Forinformation on the Fund’s valuation policies, see Note 3, Fair Value of  Investments.

 

Income Taxes

 

Income taxes have not been provided as each memberis individually liable for the taxes, if any, on their share of the Fund’sincome and expenses and Members’ Capital.

 

16

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In 2007, the Fund adopted FASB interpretationNo. 48 “Accounting for Uncertainty in Income Taxes” (“FIN 48”).  FIN 48 provides guidance for how uncertaintax positions should be recognized, measured, presented and disclosed in thefinancial statements.  FIN 48 requiresthe evaluation of tax positions taken or expected to be taken in the course ofpreparing the Fund’s financial statements to determine whether the taxpositions are “more-likely-than-not” to be sustained by the applicable taxauthority.  Tax positions with respect totax at the Fund level not deemed to meet the “more-likely-than-not” thresholdwould be recorded as a tax benefit or expense in the current year.  MLAI has concluded that the adoption of FIN48 had no impact on the operations of the Fund for the period ended June 30,2009 and that no provision for income tax is required in the Fund’s financialstatements

 

Results ofOperations

 

January 1,2009 to March 31, 2009

 

The Fundexperienced a net trading loss in the first quarter of 2009 of $25,864,131.

 

Performanceof the Portfolio Funds were mixed in January which reflected the choppymarkets and diversification of the Portfolio Funds approach to trading. Wintonwas the best performer, while Altis and GSA performed the worst. The PortfolioFunds profited from falling equities, with long-term managers capturing more ofthe move. The Portfolio Funds also profited from a continuous down-trend incommodities. Largest losses were suffered in fixed income positions as the U.S.Treasury yields rallied and other global bonds shadowed the move.

 

Timehorizon focus did not seem to be a driver of returns in the middle of thequarter, while asset allocation played a more significant role. The PortfolioFunds had small net short exposures to equity markets and thus registered gainsin this asset class. In addition, most of the Portfolio Funds that had longpositions in the U.S. dollar against various currencies posted profits. Some ofthe 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 downsignificantly relative to the U.S. dollar. Fixed income markets experiencedvolatile swings during the month as most of the Portfolio Funds ended withsmall losses in this sector.

 

Atthe start of March, most of the Portfolio Funds had long positions in the fixedincome markets. and kept this position throughout the month of March andbenefited from falling yields. John Locke was the exception. As a shorter termmanager, its positioning was influenced significantly by intra-month choppinessin fixed income markets, causing large losses.

 

Allother sectors had posted losses in March as a result of significantreversals in many markets. During March, equity markets rallied following somepositive corporate news in the first week. When the U.S. Federal Reserveannounced the start of quantitative easing mid-month, the U.S. dollar beganlosing value against most major currencies and the commodity markets which arenegatively correlated with the U.S. dollar and risk aversion moved up. Giventhat 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 negativelyaffected by these reversals.

 

17

----

 

April 1,2009 to June 30, 2009

 

The Fundexperienced a net trading loss in the second quarter of 2009 of $ 27,742,008.

 

The market environment thatcaused a loss for the Fund in March continued through April as well.The Portfolio Funds continued to be positioned against market moves andexperienced losses in most of the sectors they traded. In March, being longfixed income helped to offset losses in equity indices, currencies andcommodities. In April, the losses in equity indices, currencies and commoditieswere more muted as many Portfolio Funds had trimmed risk in those sectors;however, having long positions in fixed income proved to be a problem as globalbond yields rose significantly, hurting those long positions. Overall, fixedincome was the worst performing sector for the Portfolio Funds, followed bycurrencies. The Portfolio Funds approach to trading was mixed exposure incommodities, making money in some markets and losing money in others. In equities,positioning was more on the short side, but with extremely small exposures;losses thus were muted.

 

May wasa continuation of March and April in terms of market direction andmoves. Equities and commodities were up, and bonds and the U.S. dollar wasdown. These new trends gave many Portfolio Fund managers a reason to adjusttheir portfolios to match the new environment resulting in profits being postedto the Fund. Short and medium term Portfolio Funds were more in sync withmarkets given that they adjust faster to new trends, while longer termPortfolio Funds have held on to their pre-March positioning somewhatlonger and were not able to avoid losses. So the main difference in May relativeto March and April was that many Portfolio Funds were now correctlypositioned to take advantage of current trends. Short to medium term managers(John Locke, GSA, BlueTrend, Altis, Transtrend) had better performance thanlonger term managers (Winton, Chesapeake, Aspect). The shorter term managershave adjusted better to the current market environment where equities andcommodities are doing well and the U.S. dollar and bonds performed poorly. Riskby asset class continues to be biased towards fixed income which has a roughly50% risk allocation, down from more than 80% in April. Fixed income was theasset class with the fewest reversals recently and thus risk had moved there asequities, commodities and currencies experienced changes in trend during March.But now, the risk allocated to other asset classes is creeping up: commoditiesare about a third of the total and the remainder is split between currenciesand equities.

 

March, April and May hadbeen characterized by market moves most commonly seen during periods whereinvestors are risk seeking. There were up moves in equities and commodities anddown moves in bonds and the U.S. dollar. The Portfolio Fund managers were justbeginning to adjust their portfolios to match these new market directions.After suffering losses during March and April (as they were not positionedfor the new trends that began in early March), most managers had begun turningaround their portfolios to be more in line with where markets were going andmany were able to post gains in May. That came to a stop in June asseveral events took place. First, short term interest rates suffered a sharpreversal during the first week of the month and the U.S. dollar had a similarreversal, gaining against most currencies. Then, mid-month, the up trends inequities and commodities reversed, as sentiment became risk averse again. As aresult of these moves, most asset classes ended the month with negativeattribution. The worst were short term rates and commodities. The quarter endedwith losses being posted to the Fund. The worst were short term rates andcommodities. Medium term managers had the worst performance as they not onlysuffered from the rates and U.S. dollar moves, but also the reversals inequities and commodities. John Locke, the manager with the shortest timehorizon was able to avoid big losses. Winton and Chesapeake, the longest termmanagers, had relatively smaller losses because the equity and commodityreversals were actually good for them since they were still holding on to theirpre-March positions in those asset classes.

 

18

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January 1,2008 to March 31, 2008

 

The Fund experienced a net trading gain in the firstquarter of 2008 of $13,641,919.

 

The Fund is a fund of fundsinvesting in seven separate Portfolio Funds which are domiciled at MerrillLynch FuturesAccess Program. The Fund posted gains for the quarter.

 

January was a positivemonth for the Fund, despite dramatic declines in global stock indices,illustrating the fund’s low correlation with equities over a market cycle.Managers had long positions in fixed income and precious metals, both of whichbenefited from fears of a US recession, as well as sharp Fed rate cuts totaling1.25% for the month. The continuing rally in grain markets was another sourceof profit for managers. Losses came primarily from energy markets as oil pricesweakened and natural gas rebounded. Aspect was the top performer within theFund, gaining 4.7%, while Altis was the main underperformer, declining -4.6%for the month. Going into February, commodities and fixed income are the twolargest risk allocations for most managers. CTAs continue to be long in mostfixed income markets, while in commodities, they generally have long positionsin grains, softs and precious metals, and shorts in livestock. Energy exposurehas been cut back significantly after January’s losses. In equities, there is asmall short bias for most managers, while in FX there is a short USD tiltagainst most currencies except the GBP.

 

February was a verystrong month for the Fund and the Fund continue to remain up for the year 2008.As a point of comparison, the Newedge CTA Index (formerly Calyon FinancialBarclay Index) returned 4.6% for the month and is up 6.3% for the year. Thebulk of returns were earned in surging commodity markets. Grains and softsrallied 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 USD.The top performer within the vertical in February was Altis, which gained24.3%. Altis is a medium to short term manager, with higher than averagecommodity exposure and higher than average leverage. The bottom performer wasGSA, which gained 2.1%. GSA is a short term manager with a blend of trendfollowing and econometric models, the latter type faring less well during themonth. Going into March, most managers have increased their risk-taking toabove-average levels. The largest allocation remains in commodities, wheremanagers are long in most markets. In interest rates, most managers are biasedlong, whereas in currencies most are tilted against the USD. Equities have avery low risk allocation.

 

The Fund was unprofitablefor March. GSA, a short term manager was the top performer in the vertical inMarch, gaining 1.5%, while Altis was the bottom performer losing -6.8%. For the1st Quarter as a whole, John Locke was the top performer in the vertical, up12.0%, while GSA had the smallest gains, rising 4.2%. The strong trends incommodity markets in February made a sharp reversal in March, hurting mostfunds in the vertical. After gaining 11.7% in February, the CRB Commodity Indexfell -6.3% March. The grains and precious metals sectors recorded particularlylarge reversals. The Fund was able to participate more in the upward move in February (whenit gained 10.4%) than in the March reversal (when it lost -2.4%), therebypreserving its gains for the quarter. Managers were able to limit the damage inMarch by reducing leverage. Most managers scaled back positions in inverseproportion to rising volatility in commodity markets. By the end of March overallleverage for most managers was about 40% lower than at the start of the month.Losses for the vertical during the month were also mitigated by the positiveperformance of short term managers such as GSA and John Locke, who exploitedopportunities outside of commodities.

 

19

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April 1, 2008to June 30, 2008

 

The Fund experienced a net trading gain in thesecond quarter of 2008 of $27,742,008.

 

The Fund is a fund of fundsinvesting in seven separate Portfolio Funds which are domiciled at MerrillLynch FuturesAccess Program. The Fund posted gains for the quarter.

 

The Portfolio Funds madegains in their long energy positions at the beginning of the quarter, as oiland natural gas hit historic highs which were offset by losses from reversalsin financial futures markets. Most of the Portfolio Funds came into April withshort positions in the U.S. dollar, long positions in bonds and short positionsin equities. However, markets experienced a relief rally in April asinvestors began to believe the end of the credit crisis might be over. Thiscaused the U.S. dollar to rebound, bonds to fall and equities to rise, thushurting the Portfolio Funds performance. The Portfolio Funds with more energyexposure did better in the month, as well as the Portfolio Funds who had shortpositions in the financial futures were able to unwind their positions quickly.

 

May was a month whereenergies jumped to record levels. Crude oil and natural gas was up continuingtrends from previous months. The primary drivers of performance for the Fundwas in the commodities and energy sectors. Altis, which has the largestcommodity bias among the seven Portfolio Funds in the vertical, was up with twothirds of Altis gains came from its energy positions. Other Portfolio Fundsalso benefited from energy exposure, though none to the extent of Altis.Non-commodity markets were mixed as most of the Funds managed to be flat topositive in the financial markets overall. Several Portfolio Funds did well infixed income but then lost money in the equity indices.

 

ThePortfolio Funds made gains through long positions in commodities and shortequities positions at the end of the quarter. Longer term Portfolio Fundstended to have higher commodity and equity exposure than their shorter termpeers. Short term managers meanwhile were caught out by choppiness incurrencies and rates. Altis was the top performer in the vertical benefitingfrom its higher commodity exposure and higher leverage than other managers.Meanwhile, GSA, a short term manager fell as some of its relative value tradesunderperformed.

 

The Fund has noapplicable off-balance sheet arrangements and tabular disclosure or contractualobligations of the type described in Items 303(a)(4) and 303(a)(5) ofRegulation S-K.

 

Item 3. Quantitative andQualitative Disclosures About Market Risk

 

Quantitative Forward-Looking Statements

 

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

 

Due to the Fund’s fund of funds structure, thefollowing statements are related to the Portfolio Funds.

 

Maintenance margin requirements have been used by thePortfolio Funds as the measure of their Value at Risk.  Maintenance margin requirements are set byexchanges to equal or exceed the maximum loss in the fair value of any givencontract incurred in 95%-99% of the one-day time periods included in thehistorical sample (generally approximately one year) researched for purposes ofestablishing margin levels.  Themaintenance margin levels are established by dealers and exchanges usinghistorical 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 maximumexpected near-term one-day price fluctuation.

 

20

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

 

100% positive correlation in the different positions held in eachmarket risk category has been assumed. Consequently, the margin requirements applicable to the open contractshave been aggregated to determine each trading category’s aggregate Value atRisk.  The diversification effectsresulting from the fact that the Portfolio Funds’ positions are rarely, ifever, 100% positively correlated have not been reflected.  Since the Fund is invested in the PortfolioFunds, the Value at Risk chart for the underlying funds have been provided.

 

# ThePortfolio Funds’ Trading Value at Risk in Different Market Sectors

#  

Thefollowing tables indicate the average, highest, and lowest trading Value atRisk associated with the Portfolio Funds’ open positions by market category forthe six months ended June 30, 2009 and June 30, 2008.

 

**AltisClass DS (1)**

 
| ** **               | ** ** | **June 30, 2009** | ** ** |
|--------------------------|------------|-----------------------------|------------|
| ** **               | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**   | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                        |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                           | 146,929    |   | 0.15 | % | $ | 253,440 |   | $ | 68,285 |   |
| Energy                   |       | 146,804                     |       | 0.15 | % | 239,415 |   | 27,763 |   |
| Interest Rates           |       | 9,499,575                   |       | 9.83 | % | 11,279,824 |   | 7,331,246 |   |
| Metals                   |       | 138,920                     |       | 0.14 | % | 356,543 |   | 79,345 |   |
| Stock Indices            |       | 94,328                      |       | 0.10 | % | 168,359 |   | 32,824 |   |
| Currencies               |       | 181,933                     |       | 0.19 | % | 438,433 |   | 31,310 |   |
|                     |       |                        |       |   |   |   |   |   |   |
| TOTAL                    |       | $                           | 10,208,489 |   | 10.56 | % | $ | 12,736,014 |   | $ | 7,570,773 |   |

 

----

(1) Averagecapitalization of Altis Class DS is $96,673,301.

 

**AltisClass DS (1)**

 
| ** **               | ** ** | **June 30, 2008** | ** ** |
|--------------------------|------------|-----------------------------|------------|
| ** **               | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**   | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                        |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                           | 423,566    |   | 1.26 | % | $ | 1,154,418 |   | $ | 54,072 |   |
| Energy                   |       | 802,873                     |       | 2.39 | % | 1,866,010 |   | 103,942 |   |
| Interest Rates           |       | 4,738,727                   |       | 14.08 | % | 9,327,165 |   | 954,658 |   |
| Metals                   |       | 346,093                     |       | 1.03 | % | 1,102,077 |   | 77,059 |   |
| Stock Indices            |       | 382,688                     |       | 1.14 | % | 794,787 |   | 37,656 |   |
| Currencies               |       | 341,353                     |       | 1.01 | % | 611,553 |   | 49,042 |   |
|                     |       |                        |       |   |   |   |   |   |   |
| TOTAL                    |       | $                           | 7,035,300  |   | 20.91 | % | $ | 14,856,010 |   | $ | 1,276,429 |   |

 

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(1)The averagecapitalization for Altis Class DS is $33,645,905.

 

21

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**Transtrend Class DS (2)**

 
| ** **               | ** ** | **June 30, 2009** | ** ** |
|--------------------------|------------|-----------------------------|------------|
| ** **               | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**   | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                        |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                           | 352,393    |   | 0.29 | % | $ | 2,114,356 |   | $ | 105,724 |   |
| Energy                   |       | 455,347                     |       | 0.37 | % | 2,732,080 |   | 88,013 |   |
| Interest Rates           |       | 9,190,193                   |       | 7.57 | % | 55,141,161 |   | 5,801,929 |   |
| Metals                   |       | 23,459                      |       | 0.02 | % | 140,755 |   | 2,650 |   |
| Stock Indices            |       | 415,863                     |       | 0.34 | % | 2,495,177 |   | 32,594 |   |
| Currencies               |       | 418,726                     |       | 0.34 | % | 2,512,354 |   | 58,825 |   |
|                     |       |                        |       |   |   |   |   |   |   |
| TOTAL                    |       | $                           | 10,855,981 |   | 108.94 | % | $ | 65,135,883 |   | $ | 6,089,735 |   |

 

----

(2) Averagecapitalization of Transtrend Class DS is $121,474,367.

 

**Transtrend Class DS (2)**

 
| ** **               | ** ** | **June 30, 2008** | ** ** |
|--------------------------|------------|-----------------------------|------------|
| ** **               | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**   | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                        |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                           | 161,862    |   | 0.51 | % | $ | 471,935 |   | $ | 7,447 |   |
| Energy                   |       | 343,416                     |       | 1.07 | % | 696,655 |   | 4,861 |   |
| Interest Rates           |       | 2,024,252                   |       | 6.32 | % | 2,630,297 |   | 867,240 |   |
| Metals                   |       | 127,244                     |       | 0.40 | % | 297,346 |   | 26,192 |   |
| Stock Indices            |       | 247,634                     |       | 0.77 | % | 453,499 |   | 73,411 |   |
| Currencies               |       | 830,454                     |       | 2.59 | % | 1,527,078 |   | 96,195 |   |
|                     |       |                        |       |   |   |   |   |   |   |
| TOTAL                    |       | $                           | 3,734,862  |   | 11.66 | % | $ | 6,076,810 |   | $ | 1,075,346 |   |

 

----

(2) Theaverage capitalization for Transtrend Class DS is $32,029,728.

 

22

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**AspectClass DS (3)**

 
| ** **               | ** ** | **June 30, 2009** | ** ** |
|--------------------------|------------|-----------------------------|------------|
| ** **               | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**   | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                        |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                           | 54,823     |   | 0.07 | % | $ | 328,939 |   | $ | 2,153 |   |
| Energy                   |       | 53,883                      |       | 0.07 | % | 323,301 |   | 11,627 |   |
| Interest Rates           |       | 7,427,723                   |       | 10.13 | % | 44,566,340 |   | 4,164,883 |   |
| Metals                   |       | 38,798                      |       | 0.05 | % | 232,788 |   | 3,205 |   |
| Stock Indices            |       | 38,407                      |       | 0.05 | % | 230,441 |   | 5,239 |   |
| Currencies               |       | 200,645                     |       | 0.27 | % | 1,203,872 |   | 86,561 |   |
|                     |       |                        |       |   |   |   |   |   |   |
| TOTAL                    |       | $                           | 7,814,279  |   | 10.64 | % | $ | 46,885,681 |   | $ | 4,273,668 |   |

 

----

(3) AverageCapitalization of Aspect Class DS is $73,327,333.

 

**AspectClass DS (3)**

 
| ** **               | ** ** | **June 30, 2008** | ** ** |
|--------------------------|------------|-----------------------------|------------|
| ** **               | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**   | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                        |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                           | 175,821    |   | 0.54 | % | $ | 580,906 |   | $ | 52,949 |   |
| Energy                   |       | 289,528                     |       | 0.90 | % | 802,109 |   | 144,033 |   |
| Interest Rates           |       | 3,172,195                   |       | 9.82 | % | 5,320,117 |   | 1,468,558 |   |
| Metals                   |       | 104,298                     |       | 0.32 | % | 368,370 |   | 25,171 |   |
| Stock Indices            |       | 261,611                     |       | 0.81 | % | 687,348 |   | 92,080 |   |
| Currencies               |       | 607,552                     |       | 1.88 | % | 1,626,071 |   | 231,932 |   |
|                     |       |                        |       |   |   |   |   |   |   |
| TOTAL                    |       | $                           | 4,611,005  |   | 14.27 | % | $ | 9,384,921 |   | $ | 2,014,723 |   |

 

----

(3) Theaverage capitalization for Aspect Class DS is $32,300,023.

 

23

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**ChesapeakeClass DS (4)**

 
| ** **               | ** ** | **June 30,  2009** | ** ** |
|--------------------------|------------|-------------------------|------------|
| ** **               | ** ** | **Average**             | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market  Sector**       | ** ** | **Value at  Risk**      | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                    |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                       | 155,604    |   | 0.21 | % | $ | 933,625 |   | $ | 72,559 |   |
| Energy                   |       | 94                      |       | 0.00 | % | 563 |   | — |   |
| Interest Rates           |       | 3,649,742               |       | 4.93 | % | 21,898,450 |   | 3,297,032 |   |
| Metals                   |       | 49,899                  |       | 0.07 | % | 299,393 |   | 32,072 |   |
| Stock Indices            |       | —                  |       | 0.00 | % | — |   | — |   |
| Stock Futures            |       | 263                     |       | 0.00 | % | 1,579 |   | — |   |
| Currencies               |       | 59,914                  |       | 0.08 | % | 359,483 |   | 21,625 |   |
|                     |       |                    |       |   |   |   |   |   |   |
| TOTAL                    |       | $                       | 3,915,516  |   | 5.29 | % | $ | 23,493,093 |   | $ | 3,423,288 |   |

 

----

(4) Averagecapitalization of Chesapeake Class DS is $74,001,528.

 

**ChesapeakeClass DS (4)**

 
| ** **               | ** ** | **June 30,  2008** | ** ** |
|--------------------------|------------|-------------------------|------------|
| ** **               | ** ** | **Average**             | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market  Sector**       | ** ** | **Value at  Risk**      | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                    |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                       | 566,286    |   | 1.73 | % | $ | 927,000 |   | $ | 211,931 |   |
| Energy                   |       | 423,450                 |       | 1.30 | % | 695,056 |   | 330,398 |   |
| Interest Rates           |       | 3,168,097               |       | 9.69 | % | 4,422,074 |   | 1,588,609 |   |
| Metals                   |       | 209,258                 |       | 0.64 | % | 387,807 |   | 110,814 |   |
| Stock Indices            |       | 0                       |       | 0.00 | % | 0 |   | — |   |
| Stock Futures            |       | 103,195                 |       | 0.32 | % | 162,771 |   | 53,725 |   |
| Currencies               |       | 752,040                 |       | 2.30 | % | 1,331,589 |   | 443,742 |   |
|                     |       |                    |       |   |   |   |   |   |   |
| TOTAL                    |       | $                       | 5,222,326  |   | 15.98 | % | $ | 7,926,297 |   | $ | 2,739,219 |   |

 

----

(4) Theaverage capitalization for Chesapeake Class DS is $32,682,873.

 

24

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**WintonClass DS (5)**

 
| ** **               | ** ** | **June 30,  2009** | ** ** |
|--------------------------|------------|-------------------------|------------|
| ** **               | ** ** | **Average**             | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market  Sector**       | ** ** | **Value at  Risk**      | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                    |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                       | 70,782     |   | 0.06 | % | $ | 424,694 |   | $ | 1,940 |   |
| Energy                   |       | 30,614                  |       | 0.03 | % | 183,686 |   | 6,644 |   |
| Interest Rates           |       | 6,174,140               |       | 5.14 | % | 37,044,839 |   | 5,658,429 |   |
| Metals                   |       | 24,377                  |       | 0.02 | % | 146,262 |   | 10,868 |   |
| Stock Indices            |       | 116,171                 |       | 0.10 | % | 697,026 |   | 48,501 |   |
| Currencies               |       | 289,285                 |       | 0.24 | % | 1,735,709 |   | 116,563 |   |
|                     |       |                    |       |   |   |   |   |   |   |
| TOTAL                    |       | $                       | 6,705,369  |   | 5.59 | % | $ | 40,232,216 |   | $ | 5,842,945 |   |

 

----

(5) Averagecapitalization of Winton Class DS is $120,077,571

 

**WintonClass DS (5)**

 
| ** **               | ** ** | **June 30,  2008** | ** ** |
|--------------------------|------------|-------------------------|------------|
| ** **               | ** ** | **Average**             | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market  Sector**       | ** ** | **Value at  Risk**      | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                    |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                       | 152,135    |   | 0.47 | % | $ | 271,751 |   | $ | 62,935 |   |
| Energy                   |       | 145,154                 |       | 0.45 | % | 234,753 |   | 69,763 |   |
| Interest Rates           |       | 1,786,781               |       | 5.56 | % | 2,075,834 |   | 1,274,223 |   |
| Metals                   |       | 103,116                 |       | 0.32 | % | 167,232 |   | 55,308 |   |
| Stock Indices            |       | 120,173                 |       | 0.37 | % | 304,998 |   | 6,896 |   |
| Currencies               |       | 460,225                 |       | 1.43 | % | 657,583 |   | 268,024 |   |
|                     |       |                    |       |   |   |   |   |   |   |
| TOTAL                    |       | $                       | 2,767,584  |   | 8.60 | % | $ | 3,712,151 |   | $ | 1,737,149 |   |

 

----

(5) Theaverage capitalization for Winton Class DS is $32,115,632.

 

25

----

 

**JohnLocke Class DS (6)**

 
| ** **               | ** ** | **June 30,  2009** | ** ** |
|--------------------------|------------|-------------------------|------------|
| ** **               | ** ** | **Average**             | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market  Sector**       | ** ** | **Value at  Risk**      | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                    |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                       | 385,759    |   | 0.34 | % | $ | 968,849 |   | $ | 60,755 |   |
| Energy                   |       | 548,008                 |       | 0.48 | % | 1,812,797 |   | 99,913 |   |
| Interest Rates           |       | 57,595,731              |       | 50.17 | % | 305,915,780 |   | 1,922,404 |   |
| Metals                   |       | 673,966                 |       | 0.59 | % | 3,324,914 |   | 30,523 |   |
| Stock Indices            |       | 520,901                 |       | 0.45 | % | 1,976,182 |   | 34,401 |   |
| Currencies               |       | 3,407,926               |       | 2.97 | % | 13,102,677 |   | 500,808 |   |
|                     |       |                    |       |   |   |   |   |   |   |
| TOTAL                    |       | $                       | 63,132,291 |   | 55.00 | % | $ | 327,101,199 |   | $ | 2,648,804 |   |

 

----

(6) Averagecapitalization of John Locke Class DS is $114,791,832.20

 

**JohnLocke Class DS (6)**

 
| ** **               | ** ** | **June 30,  2008** | ** ** |
|--------------------------|------------|-------------------------|------------|
| ** **               | ** ** | **Average**             | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market  Sector**       | ** ** | **Value at  Risk**      | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                    |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                       | 66,600     |   | 0.25 | % | $ | 192,589 |   | $ | 3,386 |   |
| Energy                   |       | 137,223                 |       | 0.52 | % | 368,725 |   | 9,148 |   |
| Interest Rates           |       | 2,052,800               |       | 7.73 | % | 3,306,172 |   | 769,897 |   |
| Metals                   |       | 83,091                  |       | 0.31 | % | 221,857 |   | 24,169 |   |
| Stock Indices            |       | 83,029                  |       | 0.31 | % | 261,571 |   | 9,144 |   |
| Currencies               |       | 339,097                 |       | 1.28 | % | 588,857 |   | 90,074 |   |
|                     |       |                    |       |   |   |   |   |   |   |
| TOTAL                    |       | $                       | 2,761,840  |   | 10.40 | % | $ | 4,939,771 |   | $ | 905,818 |   |

 

----

(6) Theaverage capitalization for John Locke Class DS is $26,541,375.

 

26

----

 

**GSAClass DS (7)**

 
| ** **               | ** ** | **June 30,  2009** | ** ** |
|--------------------------|------------|-------------------------|------------|
| ** **               | ** ** | **Average**             | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market  Sector**       | ** ** | **Value at  Risk**      | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                    |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                       | 290,575    |   | 0.43 | % | $ | 815,648 |   | $ | — |   |
| Energy                   |       | 354,628                 |       | 0.52 | % | 1,174,250 |   | — |   |
| Interest Rates           |       | 2,301,652               |       | 3.41 | % | 5,370,356 |   | — |   |
| Metals                   |       | 229,626                 |       | 0.34 | % | 1,145,669 |   | — |   |
| Stock Indices            |       | 1,254,491               |       | 1.86 | % | 4,304,255 |   | — |   |
| Currencies               |       | 448,269                 |       | 0.66 | % | 1,553,411 |   | — |   |
|                     |       |                    |       |   |   |   |   |   |   |
| TOTAL                    |       | $                       | 4,879,241  |   | 7.22 | % | $ | 14,363,589 |   | $ | — |   |

 

----

(7) Averagecapitalization of GSA Class DS is $67,550,833.28

 

**GSAClass DS (7)**

 
| ** **               | ** ** | **June 30,  2008** | ** ** |
|--------------------------|------------|-------------------------|------------|
| ** **               | ** ** | **Average**             | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market  Sector**       | ** ** | **Value at  Risk**      | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                    |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                       | 15,324     |   | 0.06 | % | $ | 55,392 |   | $ | 2,042 |   |
| Energy                   |       | 36,768                  |       | 0.14 | % | 110,509 |   | 73 |   |
| Interest Rates           |       | 3,730,540               |       | 14.15 | % | 6,162,630 |   | 1,861,503 |   |
| Metals                   |       | 16,738                  |       | 0.06 | % | 35,846 |   | 1,862 |   |
| Stock Indices            |       | 248,904                 |       | 0.94 | % | 751,919 |   | 32,488 |   |
| Currencies               |       | 208,873                 |       | 0.79 | % | 634,400 |   | 14,452 |   |
|                     |       |                    |       |   |   |   |   |   |   |
| TOTAL                    |       | $                       | 4,257,147  |   | 16.14 | % | $ | 7,750,696 |   | $ | 1,912,420 |   |

 

----

(7) Theaverage capitalization for GSA Class DS is $26,372,070.

 

**BlueTrendClass DS (8)**

 
| ** **               | ** ** | **June 30,  2009** | ** ** |
|--------------------------|------------|-------------------------|------------|
| ** **               | ** ** | **Average**             | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market  Sector**       | ** ** | **Value at  Risk**      | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                    |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                       | 11,618     |   | 0.02 | % | $ | 69,707 |   | $ | 2,789 |   |
| Energy                   |       | 16,048                  |       | 0.03 | % | 96,287 |   | 4,902 |   |
| Interest Rates           |       | 3,500,233               |       | 6.75 | % | 21,001,399 |   | 3,028,582 |   |
| Metals                   |       | 10,457                  |       | 0.02 | % | 62,739 |   | 4,048 |   |
| Stock Indices            |       | 38,659                  |       | 0.07 | % | 231,956 |   | 9,804 |   |
| Currencies               |       | 17,918                  |       | 0.03 | % | 107,507 |   | 2,086 |   |
|                     |       |                    |       |   |   |   |   |   |   |
| TOTAL                    |       | $                       | 3,594,933  |   | 6.92 | % | $ | 21,569,595 |   | $ | 3,052,302 |   |

 

----

(8) Averagecapitalization of BlueTrend Class DS is $51,873,248

 

27

----

 

Material Limitations on Value at Risk as an Assessment ofMarket Risk

 

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

 

Non-TradingRisk

 

Foreign Currency Balances;Cash on Deposit with MLPF&S

 

The Portfolio Funds havenon-trading market risk on its foreign cash balances not needed for margin.However, these balances (as well as the market risk they represent) areimmaterial.

 

The Portfolio Funds alsohave non-trading market risk on the approximately 90%-95% of its assets whichare held in cash at MLPF&S. The value of this cash is not interest ratesensitive, but there is cash flow risk in that if interest rates decline sowill the cash flow generated on these monies. This cash flow risk isimmaterial.

 

Material Limitations on Value atRisk as an Assessment of Market Risk

 

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

 

Qualitative Disclosures Regarding Primary Trading Risk Exposures

 

Thefollowing qualitative disclosures regarding the Portfolio Funds’ market riskexposures — except for (i) those disclosures that are statements ofhistorical fact and (ii) the descriptions of how the Portfolio Fundsmanage their primary market risk exposures — constitute forward-lookingstatements within the meaning of Section 27A of the Securities Act and Section 21Eof the Securities Exchange Act. The Portfolio Funds’ primary market riskexposures as well as the strategies used and to be used by Portfolio Funds’managers for managing such exposures are subject to numerous uncertainties,contingencies and risks, any one of which could cause the actual results of thePortfolio Funds’ risk controls to differ materially from the objectives of suchstrategies. Government interventions, defaults and expropriations, illiquidmarkets, the emergence of dominant fundamental factors, political upheavals,changes in historical price relationships, an influx of new marketparticipants, increased regulation and many other factors could result inmaterial losses as well as in material changes to the risk exposures and therisk management strategies of the Portfolio Funds. There can be no assurancethat the Portfolio Funds’ current market exposure and/or risk managementstrategies will not change materially or that any such strategies will beeffective in either the short- or long-term. Investors must be prepared to loseall or substantially all of the time value of their investment in the Fund.

 

28

----

 

Item4T. Controls and Procedures

 

MLAI, the Sponsor of ML Systematic MomentumFuturesAccess LLC, with the participation of the Sponsor’s Chief ExecutiveOfficer and the Chief Financial Officer, has evaluated the effectiveness of thedesign and operation of its disclosure controls and procedures with respect tothe Fund as of the end of the period of this quarterly report, and, based onthis evaluation, has concluded that these disclosure controls and proceduresare effective.  Additionally, there wereno changes in the Fund’s internal controls or in other factors during thelatest fiscal quarter that has materially affected, or is reasonably likely tomaterially affect, the Fund’s internal control over financial reporting.

 

29

----

 

PART II - OTHER INFORMATION

 
| Item 1.  | Legal Proceedings |
|----------|-------------------|
|     |              |
|     | None.             |
|     |              |
| Item 1A. | Risk Factors      |

 

There are no materialchanges from risk factors as previously disclosed in the Annual Report on Form 10-Kfor the year ended December 31, 2008, filed March 31, 2009.

 
| Item 2. | Unregistered Sales of  Equity Securities and Use of Proceeds                                                                                                                                            |
|---------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|    |                                                                                                                                                                                                    |
|    | (a) 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. |

 
| ** **        | ** ** | **Subscription** | ** ** | ** ** | ** ** | ** **       | ** ** | **Subscription**  | ** ** | ** ** | ** ** |
|-------------------|------------|------------------|------------|------------|------------|------------------|------------|-------------------|------------|------------|------------|
| **CLASS A**  | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** | **CLASS C**  | ** ** | **Amount** | ** ** | **Units** | ** ** | **NAV (1)** | ** ** |
| Jan-09            |       | $                | 3,599,510  |       | 2,865,624  |             | $          | 1.2561            |       | Jan-09     |       | $ | 28,240,030 |   | 21,876,234 |   | $ | 1.2909 |   |
| Feb-09            |       | 5,720,556        |       | 4,586,351  |       | 1.2473           |       | Feb-09            |       | 26,028,041 |       | 20,323,293 |   | 1.2807 |   |
| Mar-09            |       | 6,120,724        |       | 4,902,854  |       | 1.2484           |       | Mar-09            |       | 30,607,819 |       | 23,897,423 |   | 1.2808 |   |
| Apr-09            |       | 5,762,982        |       | 4,769,891  |       | 1.2081           |       | Apr-09            |       | 33,059,489 |       | 26,693,168 |   | 1.2385 |   |
| May-09            |       | 8,887,887        |       | 7,577,702  |       | 1.1729           |       | May-09            |       | 29,957,332 |       | 24,935,352 |   | 1.2014 |   |
| Jun-09            |       | 5,546,629        |       | 4,676,359  |       | 1.1861           |       | Jun-09            |       | 19,611,804 |       | 16,156,030 |   | 1.2139 |   |
| Jul-09            |       | 6,263,068        |       | 5,398,731  |       | 1.1601           |       | Jul-09            |       | 25,790,268 |       | 21,740,089 |   | 1.1863 |   |
| ** **        | ** ** | ** **       | ** ** | ** ** | ** ** | ** **       | ** ** | ** **        | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** |
| ** **        | ** ** | **Subscription** | ** ** | ** ** | ** ** | ** **       | ** ** | **Subscription**  | ** ** | ** ** | ** ** |
| **CLASS D**  | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)**      | ** ** | **CLASS I**  | ** ** | **Amount** | ** ** | **Units** | ** ** | **NAV (1)** | ** ** |
| Jan-09            |       | $                | —     |       | —     |             | $          | 1.4396            |       | Jan-09     |       | $ | 5,655,080 |   | 4,284,476 |   | $ | 1.3199 |   |
| Feb-09            |       | —           |       | —     |       | 1.4312           |       | Feb-09            |       | 7,755,169  |       | 5,915,461 |   | 1.3110 |   |
| Mar-09            |       | —           |       | —     |       | 1.4343           |       | Mar-09            |       | 3,879,323  |       | 2,955,450 |   | 1.3126 |   |
| Apr-09            |       | —           |       | —     |       | 1.3898           |       | Apr-09            |       | 5,761,281  |       | 4,533,586 |   | 1.2708 |   |
| May-09            |       | —           |       | —     |       | 1.3509           |       | May-09            |       | 7,170,562  |       | 5,810,357 |   | 1.2341 |   |
| Jun-09            |       | —           |       | —     |       | 1.3679           |       | Jun-09            |       | 1,759,941  |       | 1,409,757 |   | 1.2484 |   |
| Jul-09            |       | 5,147,100        |       | 3,842,553  |       | 1.3395           |       | Jul-09            |       | 4,077,683  |       | 3,338,532 |   | 1.2214 |   |
|              |       |             |       |       |       |             |       |              |       |       |       |   |   |   |   |
| ** **        | ** ** | **Subscription** | ** ** | ** ** | ** ** | ** **       | ** ** | **Subscription**  | ** ** | ** ** | ** ** |
| **CLASS D1** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** | **CLASS DA** | ** ** | **Amount** | ** ** | **Units** | ** ** | **NAV (1)** | ** ** |
| Jan-09            |       | $                | —     |       | —     |             | $          | 1.2848            |       | Jan-09     |       | $ | — |   | — |   | $ | 1.0282 |   |
| Feb-09            |       | 3,722,356        |       | 2,914,238  |       | 1.2773           |       | Feb-09            |       | —     |       | — |   | 1.0222 |   |
| Mar-09            |       | —           |       | —     |       | 1.2800           |       | Mar-09            |       | —     |       | — |   | 1.0244 |   |
| Apr-09            |       | 529,675          |       | 427,054    |       | 1.2403           |       | Apr-09            |       | —     |       | — |   | 0.9927 |   |
| May-09            |       | 4,504,529        |       | 3,736,028  |       | 1.2057           |       | May-09            |       | —     |       | — |   | 0.9649 |   |
| Jun-09            |       | 1,681,341        |       | 1,377,245  |       | 1.2208           |       | Jun-09            |       | —     |       | — |   | 0.9770 |   |
| Jul-09            |       | 1,048,230        |       | 876,813    |       | 1.1955           |       | Jul-09            |       | —     |       | — |   | 0.9568 |   |

 

----

(1) Beginningof the month Net Asset Value for all other purposes

 

(b)   None.

(c)   None.

 

30

----

 
| Item 3. | Defaults Upon Senior  Securities                                                                                         |
|---------|--------------------------------------------------------------------------------------------------------------------------|
|    |                                                                                                                     |
|    | None.                                                                                                                    |
|    |                                                                                                                     |
| Item 4. | Submission of Matters  to a Vote of Security Holders                                                                     |
|    |                                                                                                                     |
|    | None.                                                                                                                    |
|    |                                                                                                                     |
| Item 5. | Other Information                                                                                                        |
|    |                                                                                                                     |
|    | None.                                                                                                                    |
|    |                                                                                                                     |
| Item 6. | Exhibits                                                                                                                 |
|    |                                                                                                                     |
|    | The following exhibits  are incorporated by reference or are filed herewith to this Quarterly Report  on Form 10-Q: |
|    |                                                                                                                     |
|    | 31.01 and                                                                                                                |
|    | 31.02                                                                                                                    | Rule 13a-14(a)/15d-14(a) Certifications |
|    |                                                                                                                     |
|    | Exhibit 31.01                                                                                                       |
|    | and 31.02:                                                                                                               | Are filed herewith. |
|    |                                                                                                                     |   |
|    | 32.01 and                                                                                                                |
|    | 32.02                                                                                                                    | Section 1350  Certifications |
|    |                                                                                                                     |
|    | Exhibit 32.01                                                                                                       |
|    | and 32.02                                                                                                                | Are filed herewith. |

 

31

----

 

**SIGNATURES**

 

Pursuant to therequirements of the Securities Exchange Act of 1934, the registrant has dulycaused this report to be signed on its behalf by the undersigned thereunto dulyauthorized.

 

 
|                        |   | ML SYSTEMATIC MOMENTUM  FUTURESACCESS LLC |
|-----------------------------|--------|-------------------------------------------|
|                        |   |                                      |
|                        |   |                                      |
|                        |   | By:                                       | MERRILL LYNCH ALTERNATIVE |
|                        |   |                                      | INVESTMENTS LLC |
|                        |   |                                      | (Manager) |
|                        |   |                                      |   |
|                        |   |                                      |
| Date:  August 14, 2009 |   | By                                        | /s/  JUSTIN C. FERRI |
|                        |   |                                      | Justin  C. Ferri |
|                        |   |                                      | Chief Executive Officer  and President |
|                        |   |                                      | (Principal Executive  Officer) |
|                        |   |                                      |   |
|                        |   |                                      |
| Date: August 14,  2009 |   |                                      |
|                        |   | By                                        | /s/ BARBRA E. KOCSIS |
|                        |   |                                      | Barbra E. Kocsis |
|                        |   |                                      | Chief Financial Officer |
|                        |   |                                      | (Principal Financial and Accounting Officer) |
|                             |        |                                           |  |  |

 

32

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