**UNITED STATES SECURITIESAND 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 September 30,  2007**                                                                                   |
| ** **                                                                                                                               |
| **OR**                                                                                                                                   | ** ** |
| ** **                                                                                                                               |
| **o****  TRANSITION REPORT  PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934**                           |
| ** **                                                                                                                               |
| **For the transition period from                    to** |
| ** **                                                                                                                               |
| **Commission File Number 0-52505**                                                                                                       |

 

# **ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC**

(Exact Name of Registrantas

specified in its charter)

| **Delaware**                     | ** ** | **30-0408228**                     |
|----------------------------------|------------|------------------------------------|
| (State or other  jurisdiction of |       | (IRS Employer  Identification No.) |
| incorporation or  organization)  |       |                               |

 

**c/o Merrill Lynch AlternativeInvestments LLC**

**Hopewell Building No. 2**

**1200 Merrill Lynch Drive - FirstFloor**

**Pennington,New Jersey 08534**

 (Address of principal executive offices)

(Zip Code)

**609-274-5838**

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) hasfiled all reports required to be filed by Section 13 or 15(d) of the SecuritiesExchange Act of 1934 during the preceding 12 months (or for such shorter periodthat the registrant was required to file such reports), and (2) has beensubject to such filing requirements for the past 90 days.

Yes  x   No  o

Indicate by check mark whether the registrant is alarge accelerated filer, an accelerated filer, or a non-accelerated filer.  See definition of “accelerated filer andlarge accelerated filer” in Rule 12b-2 of the Exchange Act. (Check one):

Large acceleratedfiler  o   Accelerated filer  o        Non-accelerated filer  x

Indicate by check mark whether registrant is a shellcompany (as defined by Rule 12b-2 of the Exchange Act).

Yes  o   No  x

Indicate by check mark whether the registrant hasfiled all documents and reports required to be filed by Sections 12, 13 or15(d) of the Securities Exchange Act of 1934 subsequent to the distribution ofsecurities under a plan confirmed by a court.

Yes  o   No  o

 

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**ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC**

QUARTERLY REPORT FOR SEPTEMBER 30, 2007 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 |       | 7        |
|    |       |                                                                                        |       |     |
| Item 3. |       | Quantitative  and Qualitative Disclosures About Market Risk                                 |       | 8        |
|    |       |                                                                                        |       |     |
| Item 4. |       | Controls and  Procedures                                                                    |       | 12       |
|    |       |                                                                                        |       |     |
| PART II |
|    |       |                                                                                        |       |     |
| Item 1. |       | Legal Proceedings                                                                           |       | 13       |
|    |       |                                                                                        |       |     |
| Item 2. |       | Unregistered  Sales of Equity Securities and Use of Proceeds                                |       | 13       |
|    |       |                                                                                        |       |     |
| Item 3. |       | Defaults Upon  Senior Securities                                                            |       | 14       |
|    |       |                                                                                        |       |     |
| Item 4. |       | Submission of  Matters to a Vote of Security Holders                                        |       | 14       |
|    |       |                                                                                        |       |     |
| Item 5. |       | Other Information                                                                           |       | 14       |
|    |       |                                                                                        |       |     |
| Item 6. |       | Exhibits                                                                                    |       | 15       |

 

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PART I - FINANCIALINFORMATION

Item1.             FinancialStatements

ML SYSTEMATICMOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENT OF FINANCIALCONDITION
| ** **                                                            | ** ** | **September 30,** | ** ** |
|-----------------------------------------------------------------------|------------|------------------------|------------|
| ** **                                                            | ** ** | **2007**               | ** ** |
| ** **                                                            | ** ** | **(unaudited)**        | ** ** |
|                                                                  |       |                   |       |
| **ASSETS:**                                                           | ** ** | ** **             | ** ** |
| Equity in commodity futures  trading accounts:                        |       |                   |       |
| Cash                                                                  |       | $                      | 131,063    |   |
| Investments in  Portfolio Funds (Cost $84,937,548)                    |       | 92,780,757             |       |
| Deferred initial  offering costs                                      |       | 67,500                 |       |
| Receivable from  Portfolio Funds                                      |       | 614,650                |       |
|                                                                  |       |                   |       |
| **TOTAL  ASSETS**                                                     |       | $                      | 93,593,970 |   |
|                                                                  |       |                   |       |
| **LIABILITIES AND MEMBERS’  CAPITAL**                            | ** ** | ** **             | ** ** |
| LIABILITIES:                                                          |       |                   |       |
| Initial offering  costs payable                                       |       | $                      | 120,000    |   |
| Sponsor’s fee  payable                                           |       | 56,299                 |       |
| Redemptions  payable                                                  |       | 18,350,201             |       |
| Other                                                                 |       | 37,876                 |       |
|                                                                  |       |                   |       |
| Total  liabilities                                                    |       | 18,564,376             |       |
|                                                                  |       |                   |       |
| MEMBERS’ CAPITAL:                                                |       |                   |       |
| Members’  Interest (71,649,148 Units authorized and outstanding) |       | 75,029,594             |       |
| Total members’  capital                                          |       | 75,029,594             |       |
|                                                                  |       |                   |       |
| **TOTAL LIABILITIES AND MEMBERS’  CAPITAL**                      |       | $                      | 93,593,970 |   |

 

**NET ASSET VALUE PER UNIT (NOTE 2)**

See notes to financialstatements.

1

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ML SYSTEMATICMOMENTUM FUTURESACCESS LLC 

(a Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS

(unaudited)
| ** **                                    | ** ** | **For the three  months ended  September 30,  2007** | ** ** | **For the period April 2,  2007 (commencement  of operations)  to September 30, 2007** | ** ** |
|-----------------------------------------------|------------|--------------------------------------------------------------------------|------------|--------------------------------------------------------------------------------------------------------------------------------|------------|
| **TRADING  PROFIT (LOSS):**                   | ** ** | ** **                                                               | ** ** | ** **                                                                                                                     | ** ** |
|                                          |       |                                                                     |       |                                                                                                                           |       |
| Realized                                      |       | $                                                                        | (536,706   | )                                                                                                                              | $          | (439,742 | ) |
| Change in unrealized                          |       | (1,792,976                                                               | )          | 7,843,209                                                                                                                      |       |
|                                          |       |                                                                     |       |                                                                                                                           |       |
| Total trading profit (loss)                   |       | (2,329,682                                                               | )          | 7,403,467                                                                                                                      |       |
|                                          |       |                                                                     |       |                                                                                                                           |       |
| **INVESTMENT  INCOME:**                       | ** ** | ** **                                                               | ** ** | ** **                                                                                                                     | ** ** |
| Interest                                      |       | 1,872                                                                    |       | 1,872                                                                                                                          |       |
|                                          |       |                                                                     |       |                                                                                                                           |       |
| **EXPENSES:**                                 | ** ** | ** **                                                               | ** ** | ** **                                                                                                                     | ** ** |
| Sponsor’s fee                            |       | 82,997                                                                   |       | 83,772                                                                                                                         |       |
| Other                                         |       | 116,490                                                                  |       | 216,857                                                                                                                        |       |
|                                          |       |                                                                     |       |                                                                                                                           |       |
| Total expenses                                |       | 199,487                                                                  |       | 300,629                                                                                                                        |       |
|                                          |       |                                                                     |       |                                                                                                                           |       |
| **NET  INVESTMENT LOSS**                      |       | (197,615                                                                 | )          | (298,757                                                                                                                       | )          |
| ** **                                    | ** ** | ** **                                                               | ** ** | ** **                                                                                                                     | ** ** |
| **NET  INCOME (LOSS)**                        |       | $                                                                        | (2,527,297 | )                                                                                                                              | $          | 7,104,710 |   |
|                                          |       |                                                                     |       |                                                                                                                           |       |
| **NET  INCOME (LOSS) PER UNIT:**              | ** ** | ** **                                                               | ** ** | ** **                                                                                                                     | ** ** |
|                                          |       |                                                                     |       |                                                                                                                           |       |
| Weighted average  number of Units outstanding |       |                                                                     |       |                                                                                                                           |       |
| Class A                                       |       | 1,489,258                                                                |       | 1,489,258                                                                                                                      |       |
| Class C                                       |       | 11,964,237                                                               |       | 9,060,901                                                                                                                      |       |
| Class D                                       |       | 67,175,929                                                               |       | 73,587,964                                                                                                                     |       |
| Class D-SD                                    |       | 5,000,000                                                                |       | 5,000,000                                                                                                                      |       |
| Class I                                       |       | 1,182,166                                                                |       | 889,421                                                                                                                        |       |
|                                          |       |                                                                     |       |                                                                                                                           |       |
| Net income (loss)  per weighted average Unit  |       |                                                                     |       |                                                                                                                           |       |
| Class A                                       |       | $                                                                        | 0.1147     |                                                                                                                           | $          | 0.1147 |   |
| Class C                                       |       | $                                                                        | 0.0718     |                                                                                                                           | $          | 0.0965 |   |
| Class D                                       |       | $                                                                        | (0.0525    | )                                                                                                                              | $          | 0.0827 |   |
| Class D-SD                                    |       | $                                                                        | (0.0263    | )                                                                                                                              | $          | (0.0263 | ) |
| Class I                                       |       | $                                                                        | 0.0862     |                                                                                                                           | $          | 0.1151 |   |

 

See notes to financial statements.

2

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ML SYSTEMATICMOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENT OF CHANGES IN MEMBERS’ CAPITAL

For the periodApril 2, 2007 (commencement of operations) to September 30, 2007

(unaudited)
| ** **                | ** ** | **Initial Offering** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  September 30, 2007** | ** ** |
|---------------------------|------------|---------------------------|------------|-------------------|------------|-----------------|------------|--------------------------------------------------------------|------------|
|                      |       |                      |       |              |       |            |       |                                                         |       |
| Class A                   |       | —                    |       | 3,546,537         |       | (24,375         | )          | 3,522,162                                                    |       |
| Class C                   |       | —                    |       | 23,615,450        |       | (168,741        | )          | 23,446,709                                                   |       |
| Class D*                  |       | 80,000,000                |       | 6,157,415         |       | (48,921,446     | )          | 37,235,969                                                   |       |
| Class D-SD                |       | —                    |       | 5,000,000         |       | —          |       | 5,000,000                                                    |       |
| Class I                   |       | —                    |       | 2,444,308         |       | —          |       | 2,444,308                                                    |       |
| Total Members’ Units |       | 80,000,000                |       | 40,763,710        |       | (49,114,562     | )          | 71,649,148                                                   |       |

 
| ** **                   | ** ** | **Initial Offering** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income** | ** **  | **Members’ Capital  September 30, 2007** | ** ** |
|------------------------------|------------|---------------------------|------------|-------------------|------------|-----------------|------------|---------------------|-------------|--------------------------------------------------------------|------------|
|                         |       |                      |       |              |       |            |       |                |        |                                                         |       |
| Class A                      |       | $                         | —     |              | $          | 3,268,035       |       | $                   | (22,157     | )                                                            | $          | 170,804 |   | $ | 3,416,682 |   |
| Class C                      |       | —                    |       | 22,962,591        |       | (169,147        | )          | 874,274             |        | 23,667,718                                                   |       |
| Class D*                     |       | 80,000,000                |       | 6,899,999         |       | (52,390,960     | )          | 6,088,553           |        | 40,597,592                                                   |       |
| Class D-SD                   |       | —                    |       | 5,000,000         |       | —          |       | (131,303            | )           | 4,868,697                                                    |       |
| Class I                      |       | —                    |       | 2,376,523         |       | —          |       | 102,382             |        | 2,478,905                                                    |       |
| Total Members’ Interest |       | $                         | 80,000,000 |              | $          | 40,507,148      |       | $                   | (52,582,264 | )                                                            | $          | 7,104,710 |   | $ | 75,029,594 |   |

 

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*Initial investment of $80,000,000 made by Merrill Lynch Investors Inc.

See notes to financial statements.

3

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ML SYSTEMATICMOMENTUM FUTURESACCESS LLC 

(a Delaware Limited Liability Company)

NOTES TO FINANCIALSTATEMENTS

(unaudited)

1.               SUMMARYOF SIGNIFICANT ACCOUNTING POLICIES

In the opinion ofmanagement, the financial statements contain all adjustments necessary topresent fairly the financial position of ML Systematic Momentum FuturesAccess LLC(the “Fund”) as of September 30, 2007, the results of its operations for the threemonths ended September 30, 2007 and the period April 12, 2007 (commencement ofoperations) to September 30, 2007. However, the operating results for the interim period may not beindicative of the results for the full year. The Fund commenced operations on April 2, 2007 and has a fiscal year endof December 31.

Certaininformation and footnote disclosures normally included in annual financialstatements prepared in accordance with accounting principles generally acceptedin the United States of America (“US GAAP”) have been omitted.  It is suggested that these financialstatements be read in conjunction with the Fund’s Form 10 filed with theSecurities and Exchange Commission.

2.               INVESTMENTS IN PORTFOLIO FUNDS

The eight funds (“Portfolio Funds”) in which the Fundis invested as of September 30, 2007 are: ML Chesapeake FuturesAccess LLC (“Chesapeake”),ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”), ML AltisFuturesAccess LLC (“Altis”), ML Winton FuturesAccess LLC (“Winton”), ML AspectFuturesAccess LLC (“Aspect”), ML John Locke FuturesAccess LLC (“John Locke”),ML GSA FuturesAccess LLC (“GSA”) and ML Alphasimplex FuturesAccess LLC (“Alphasimplex”).  Merrill Lynch Alternative Investment LLC (“MLAI”),the sponsor and advisor of the fund, may in its discretion, change thePortfolio Funds at any time. MLAI, also at it discretion may vary thepercentage of the Fund’s total portfolio allocated to the different PortfolioFunds. There is no pre-established range for the minimum and maximumallocations that may be made to any given Portfolio Fund.

At September 30, 2007, Investments in Portfolio Funds atFair value are as follows:
|                                                                        | ** ** | **Fair Value** | ** ** | **Percentage of Investment** | ** ** |
|------------------------------------------------------------------------|------------|---------------------|------------|----------------------------------------|------------|
| Chesapeake                                                             |       | $                   | 14,077,111 |                                   | 15.17      | % |
| Transtrend                                                             |       | 14,077,058          |       | 15.17                                  | %          |
| Altis                                                                  |       | 13,960,754          |       | 15.05                                  | %          |
| Winton                                                                 |       | 13,912,318          |       | 15.00                                  | %          |
| Aspect                                                                 |       | 13,817,539          |       | 14.89                                  | %          |
| John Locke                                                             |       | 10,158,964          |       | 10.95                                  | %          |
| GSA                                                                    |       | 10,145,251          |       | 10.93                                  | %          |
| Alphasimplex                                                           |       | 2,631,762           |       | 2.84                                   | %          |
|                                                                   |       |                |       |                                   |       |
| Total Investments in  Portfolio Funds at Fair Value (Cost $84,937,548) |       | $                   | 92,780,757 |                                   | 100.00     | % |

 

4

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3.               NET ASSET VALUE PERUNIT

For financial reporting purposes, in conformity withUS GAAP, the Fund amortizes over a twelve-month period the initial offeringcosts for purposes of determining Net Asset Value. Such costs initially werepaid by MLAI.  For all other purposes,including computing Net Asset Value for purposes of member subscription andredemption activity, such costs are amortized over 60 months. Consequently, theNet Asset Value and Net Asset Value per Unit of the different Classes forfinancial reporting purposes and for all other purposes are as follows:

At September 30, 2007 the Net Asset Values of thedifferent Classes of Units are as follows:
|            | ** ** | **Net Asset Value** | ** ** | ** **               | ** ** | **Net Asset Value per Unit** | ** ** |
|------------|------------|-------------------------------|------------|--------------------------|------------|--------------------------------------------------|------------|
| ** ** | ** ** | **All Other  Purposes**  | ** ** | **Financial  Reporting** | ** ** | **Number of Units**                    | ** ** | **All Other  Purposes** | ** ** | **Financial  Reporting** | ** ** |
| Class A    |       | $                             | 3,418,131  |                     | $          | 3,416,682                                        |       | 3,522,162 |   | $ | 0.9705 |   | $ | 0.9701 |   |
| Class C    |       | 23,677,763                    |       | 23,667,718               |       | 23,446,709                                       |       | 1.0099 |   | 1.0094 |   |
| Class D    |       | 40,645,571                    |       | 40,597,592               |       | 37,235,969                                       |       | 1.0916 |   | 1.0903 |   |
| Class D-SD |       | 4,870,650                     |       | 4,868,697                |       | 5,000,000                                        |       | 0.9741 |   | 0.9737 |   |
| Class I    |       | 2,479,955                     |       | 2,478,905                |       | 2,444,308                                        |       | 1.0146 |   | 1.0142 |   |
|       |       | $                             | 75,092,070 |                     | $          | 75,029,594                                       |       | 71,649,148 |   |   |   |   |   |
|            |            |                               |            |                          |            |                                                  |            |  |  |  |  |  |  |  |  |

 

4.               MARKET AND CREDIT 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.  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 the Fund’sNet unrealized profit/loss on such derivative instruments as reflected in theStatement(s) 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 risksassociated with exchange-traded contracts are typically perceived to be lessthan those associated with over-the-counter (non-exchange-traded) transactions,because exchanges typically provide clearinghouse arrangements in which thecollective credit (in some cases limited in amount, in some cases not) of themembers of the 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

5

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of theirrespective individual counterparties. Margins, which may be subject to loss inthe 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 Statement(s) of Financial Conditionof the Portfolio Funds. The Portfolio Funds attempt to mitigate this risk bydealing exclusively with Merrill Lynch & Co. Inc. (“Merrill Lynch”)entities as clearing brokers.

The Portfolio Funds, in their normal course of business,enter into various contracts, with Merrill Lynch Pierce Fenner & Smith Inc.(“MLPF&S”) acting as its commodity broker. Pursuant to the brokerage arrangement with MLPF&S (which includes anetting arrangement), to the extent that such trading results in receivablesfrom and payables to MLPF&S, these receivables and payables are offset andreported as a net receivable or payable and included in Equity in commodityfutures trading accounts in the Statement(s) of Financial Condition of thePortfolio Funds.

5.               RECENT ACCOUNTINGPRONOUNCEMENT

During September 2006, the FASB issued Statement ofFinancial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”). FAS 157 establishes a common definition for fair value under accountingprinciples generally accepted in the United States of America, establishes aframework for measuring fair value and expands disclosure requirements aboutsuch fair value measurements.  FAS 157 is effective for fiscal yearsbeginning after November 15, 2007.  The Fund is currently evaluating theimpact of adopting FAS 157 on its financial statements.

6

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Item 2:                                    Management’sDiscussion and Analysis of Financial Condition and Results of Operations

MONTH-END NETASSET VALUE PER UNIT

(NON US GAAP)

MLAI believes that the Net Asset Value used tocalculate subscription and redemption value and to    report performance to investors throughoutthe year is the most valuable to the Members of the Fund.   Therefore, the charts below referencing NetAsset Value and performance measurements are based on the Net Asset Value forall other purposes, as discussed in Note 2 to the Financial Statements.

Class A
|      | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2007 |       | N/A      |       | N/A     |       | N/A      |       | $        | 0.9588     |     | $          | 0.9090    |       | $ | 0.9705 |   |
|      |            |          |            |         |            |          |            |          |            |          |            |           |            |  |  |  |

 

Class C
|      | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2007 |       | N/A      |       | N/A     |       | $        | 1.0432     |     | $          | 0.9993   |       | $         | 0.9467     |   | $ | 1.0099 |   |
|      |            |          |            |         |            |          |            |          |            |          |            |           |            |  |  |  |  |

 

Class D
|      | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2007 |       | $        | 1.0339     |    | 1.0719     |     | $          | 1.1206   |       | $        | 1.0757     |      | $          | 1.0212 |   | $ | 1.0916 |   |
|      |            |          |            |         |            |          |            |          |            |          |            |           |            |  |  |  |  |  |

 

Class I
|      | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2007 |       | N/A      |       | N/A     |       | $        | 1.0444     |     | $          | 1.0017   |       | $         | 0.9500     |   | $ | 1.0146 |   |
|      |            |          |            |         |            |          |            |          |            |          |            |           |            |  |  |  |  |

 

Class D-SD
|      | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **July** | ** ** | **August** | ** ** | **Sept.** | ** ** |
|------|------------|----------|------------|---------|------------|----------|------------|----------|------------|------------|------------|-----------|------------|
| 2007 |       | N/A      |       | N/A     |       | N/A      |       | $        | 0.9600     |       | $          | 0.9113    |       | $ | 0.9741 |   |
|      |            |          |            |         |            |          |            |          |            |            |            |           |            |  |  |  |

 

Performance Summary

April 1, 2007 to June 30, 2007

The beginning ofthe quarter through mid-quarter profits were up. However, as the quarter endedthere was a resurgence in market volatility as bonds sold off heavily in thefirst half of the month on growing optimism for global growth and then ralliedin the second half on renewed concerns in the sub-prime lending market.Similarly, equity markets experienced wide swings and ended the month lowerpartly on concerns about the potential for contagion on the back of BearStearns’ troubled credit focused hedge funds.

Although the corelong term trend followers performed well throughout the month of June, theout-performance in the portfolio came from the short term models of Winton,Aspect, Alphasimplex, Chesapeake, Transtrend, John Locke, Altis and GSA. Someof these managers captured reversals in equity markets and were able to profitboth long and short over the course of the month. Natural gas shorts alsogenerated positive results. In currencies, most managers were successfulcapturing strength in

7

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the Australiandollar, Canadian dollar, and the British pound as well as continuing tounderweight the persistently weak Japanese yen.

Also please read the performance summary of some of the underlying inwhich the Fund invests into. The Form 10-Q of the following Portfolio Fundshave also been filed:

Transtrend, Chesapeake, Winton and Aspect.

July 1, 2007 to September 30, 2007

The Fund postedlosses for the third quarter.

The quarter began with extreme market reversals. Practically allmarkets which were trending upward retraced as investors ran for the exit in anattempt to reduce risk. Credit worries and a softening housing market finallycaught up to the equity markets and led to a big rally in global bonds. TheJapanese Yen, which has been persistently weak for years, suddenly ralliedagainst all of its higher yielding counterparts. As a result of the reversals,losses were posted to the Fund.

Longterm market trends continued to unwind mid-quarter as the long positions in theForeign Exchange carry trades, long international equities, long energy andlong metals due to a spike in risk aversion on August 16th caused significant losses ineach of these trades posting losses for the Fund.

Thequarter ended with a very strong performance after a turbulent summer. Strongtrends re-emerged in commodities in particular, as wheat gained 21%, and crudeoil rose 11% due to supply factors. In addition, precious metals rallied, withgold up by 10% and silver up by 13% due to the U.S. dollar weakening whichcaused demand for precious metals as a store of value. The U.S. Federal Reserve’s50 basis points mid-month rate cut also helped to invigorate investor riskappetite, helping FX carry trades and boosting global equity markets.

Item 3: Quantifying The Fund’s Trading Value At Risk

QuantitativeForward-Looking Statements

Thefollowing quantitative disclosures regarding the Fund’s market risk exposurescontain “forward-looking statement” within the meaning of the safe harbor fromcivil liability provided for such statements by the Private SecuritiesLitigation Reform Act of 1995 (set forth in Section 27A of the Securities Actof 1933 and Section 21E of the Securities Exchange Act of 1934).  All quantitative disclosures in this sectionare deemed to be forward-looking statements for purposes of the safe harbor,except for statements of historical fact.

Dueto the Fund’s Fund of Funds Structure, the following statements are related tothe Portfolio Funds.

Exchangemaintenance margin requirements have been used by the Portfolio Funds as themeasure of their Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceedthe maximum loss in the fair value of any given contract incurred in 95%-99% ofthe one-day time periods included in the historical sample (generallyapproximately one year) researched for purposes of establishing marginlevels.  The maintenance margin levelsare established by dealers and exchanges using historical price

8

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studiesas well as an assessment of current market volatility (including the impliedvolatility of the options on a given futures contract) and economicfundamentals to provide a probabilistic estimate of the maximum expectednear-term one-day price fluctuation.

In the case of market sensitive instruments which are notexchange-traded (almost exclusively currencies in the case of the PortfolioFunds), the margin requirementsfor the equivalent futures positions have been used as Value at Risk.  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, if ever, 100%positively correlated have not been reflected. Since the Fund is invested in the Portfolio Funds, the Value at Riskchart for the underlying funds have been provided.

# The Fund’s Trading Value atRisk in Different Market Sectors

Thefollowing tables indicate the average, highest, and lowest trading Value atRisk associated with the Fund’s open positions by market category for thefiscal period.  For the period April 2,2007 to September 30, 2007, the Fund’s average capitalization was approximately$79,626,559.

TheFund’s investments in the Portfolio Funds are in Class D and Class D-SM, asstated in the Value at Risk tables. The Value at Risk calculation for the PortfolioFunds is allocated to these classes based upon each class’ proportion to totalcapital of the Portfolio Funds.

**Altis ClassD**
| ** **                | ** ** | **September 30, 2007**     | ** ** |
|---------------------------|------------|--------------------------------------|------------|
| **Market Sector**    | ** ** | **Average  Value at Risk** | ** ** | **% of Average  Capitalization** | ** ** | **Highest Value  At Risk** | ** ** | **Lowest Value  At Risk** | ** ** |
|                      |       |                                 |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                                    | 130,032    |   | 0.99 | % | $ | 368,402 |   | $ | — |   |
| Energy                    |       | 121,456                              |       | 0.92 | % | 317,058 |   | — |   |
| Interest Rates            |       | 1,678,509                            |       | 12.78 | % | 2,136,654 |   | 1,107,918 |   |
| Metals                    |       | 102,291                              |       | 0.78 | % | 379,314 |   | — |   |
| Stock Indices             |       | 112,472                              |       | 0.86 | % | 229,182 |   | 55,183 |   |
| Currencies                |       | 160,831                              |       | 1.22 | % | 353,618 |   | 77,237 |   |
|                      |       |                                 |       |   |   |   |   |   |   |
| TOTAL                     |       | $                                    | 2,305,591  |   | 17.55 | % | $ | 3,784,228 |   | $ | 1,240,338 |   |

 

9

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**Transtrend Class D-SM**
| ** **                | ** ** | **September 30, 2007**     | ** ** |
|---------------------------|------------|--------------------------------------|------------|
| **Market Sector**    | ** ** | **Average  Value at Risk** | ** ** | **% of Average  Capitalization** | ** ** | **Highest Value  At Risk** | ** ** | **Lowest Value  At Risk** | ** ** |
|                      |       |                                 |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                                    | 38,403     |   | 0.05 | % | $ | 169,048 |   | $ | 298 |   |
| Energy                    |       | 123,199                              |       | 0.17 | % | 688,910 |   | 746 |   |
| Interest Rates            |       | 840,133                              |       | 1.14 | % | 1,823,238 |   | 226,365 |   |
| Metals                    |       | 62,622                               |       | 0.08 | % | 192,407 |   | — |   |
| Stock Indices             |       | 212,650                              |       | 0.29 | % | 486,090 |   | 10,868 |   |
| Currencies                |       | 254,072                              |       | 0.34 | % | 941,388 |   | 11,957 |   |
|                      |       |                                 |       |   |   |   |   |   |   |
| TOTAL                     |       | $                                    | 1,531,079  |   | 2.07 | % | $ | 4,301,081 |   | $ | 250,234 |   |

 

**Aspect Class D-SM**
| ** **                | ** ** | **September 30, 2007**     | ** ** |
|---------------------------|------------|--------------------------------------|------------|
| **Market Sector**    | ** ** | **Average  Value at Risk** | ** ** | **% of Average  Capitalization** | ** ** | **Highest Value  At Risk** | ** ** | **Lowest Value  At Risk** | ** ** |
|                      |       |                                 |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                                    | 14,780     |   | 0.15 | % | $ | 90,012 |   | $ | 2,209 |   |
| Energy                    |       | 26,304                               |       | 0.27 | % | 191,347 |   | 670 |   |
| Interest Rates            |       | 679,753                              |       | 6.95 | % | 1,780,786 |   | 599,724 |   |
| Metals                    |       | 28,742                               |       | 0.29 | % | 136,218 |   | 13,807 |   |
| Stock Indices             |       | 35,164                               |       | 0.36 | % | 100,371 |   | 4,842 |   |
| Currencies                |       | 63,442                               |       | 0.65 | % | 361,170 |   | 21,015 |   |
|                      |       |                                 |       |   |   |   |   |   |   |
| TOTAL                     |       | $                                    | 848,185    |   | 8.67 | % | $ | 2,659,904 |   | $ | 642,267 |   |

 

**Chesapeake Class D-SM**
| ** **                | ** ** | **September 30, 2007**     | ** ** |
|---------------------------|------------|--------------------------------------|------------|
| **Market Sector**    | ** ** | **Average  Value at Risk** | ** ** | **% of Average  Capitalization** | ** ** | **Highest Value  At Risk** | ** ** | **Lowest Value  At Risk** | ** ** |
|                      |       |                                 |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                                    | 50,812     |   | 0.58 | % | $ | 101,678 |   | $ | 3,990 |   |
| Energy                    |       | 22,862                               |       | 0.26 | % | 75,512 |   | 349 |   |
| Interest Rates            |       | 1,461,213                            |       | 16.69 | % | 2,756,439 |   | 249,354 |   |
| Metals                    |       | 26,069                               |       | 0.30 | % | 60,014 |   | 6,300 |   |
| Stock Indices             |       | 65,524                               |       | 0.75 | % | 141,804 |   | 12,031 |   |
| Stock Futures             |       | 39,801                               |       | 0.45 | % | 77,356 |   | 7,463 |   |
| Currencies                |       | 78,054                               |       | 0.89 | % | 148,997 |   | 8,129 |   |
|                      |       |                                 |       |   |   |   |   |   |   |
| TOTAL                     |       | $                                    | 1,744,335  |   | 19.92 | % | $ | 3,361,800 |   | $ | 287,616 |   |

 

10

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**WintonClass D-SM**
| ** **                | ** ** | **September 30, 2007**     | ** ** |
|---------------------------|------------|--------------------------------------|------------|
| **Market Sector**    | ** ** | **Average  Value at Risk** | ** ** | **% of Average  Capitalization** | ** ** | **Highest Value  At Risk** | ** ** | **Lowest Value  At Risk** | ** ** |
|                      |       |                                 |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                                    | 15,634     |   | 0.15 | % | $ | 28,898 |   | $ | 5,328 |   |
| Energy                    |       | 14,200                               |       | 0.00 | % | 31,453 |   | 1,334 |   |
| Interest Rates            |       | 732,314                              |       | 0.16 | % | 913,665 |   | 616,883 |   |
| Metals                    |       | 10,472                               |       | 0.00 | % | 20,066 |   | 5,294 |   |
| Stock Indices             |       | 38,216                               |       | 0.01 | % | 57,522 |   | 13,237 |   |
| Currencies                |       | 81,293                               |       | 0.02 | % | 135,273 |   | 39,173 |   |
|                      |       |                                 |       |   |   |   |   |   |   |
| TOTAL                     |       | $                                    | 892,129    |   | 0.34 | % | $ | 1,186,877 |   | $ | 681,249 |   |

 

**John Locke Class D**
| ** **                | ** ** | **September 30, 2007**     | ** ** |
|---------------------------|------------|--------------------------------------|------------|
| **Market Sector**    | ** ** | **Average  Value at Risk** | ** ** | **% of Average  Capitalization** | ** ** | **Highest Value  At Risk** | ** ** | **Lowest Value  At Risk** | ** ** |
|                      |       |                                 |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                                    | 24,955     |   | 0.28 | % | $ | 62,746 |   | $ | 1,134 |   |
| Energy                    |       | 35,150                               |       | 0.39 | % | 77,712 |   | 6,359 |   |
| Interest Rates            |       | 490,273                              |       | 5.48 | % | 837,912 |   | 279,802 |   |
| Metals                    |       | 25,881                               |       | 0.29 | % | 70,896 |   | 1,381 |   |
| Stock Indices             |       | 77,638                               |       | 0.87 | % | 290,112 |   | 12,552 |   |
| Currencies                |       | 122,324                              |       | 1.36 | % | 241,873 |   | 23,203 |   |
|                      |       |                                 |       |   |   |   |   |   |   |
| TOTAL                     |       | $                                    | 776,221    |   | 8.67 | % | $ | 1,581,251 |   | $ | 324,431 |   |

 

**GSA Class D**
| ** **                | ** ** | **September 30, 2007**     | ** ** |
|---------------------------|------------|--------------------------------------|------------|
| **Market Sector**    | ** ** | **Average  Value at Risk** | ** ** | **% of Average  Capitalization** | ** ** | **Highest Value  At Risk** | ** ** | **Lowest Value  At Risk** | ** ** |
|                      |       |                                 |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                                    | 1,842      |   | 0.02 | % | $ | 3,707 |   | $ | 264 |   |
| Energy                    |       | 1,686                                |       | 0.02 | % | 4,998 |   | 112 |   |
| Interest Rates            |       | 1,457,850                            |       | 19.54 | % | 1,680,785 |   | 1,172,265 |   |
| Metals                    |       | 3,685                                |       | 0.05 | % | 10,233 |   | 901 |   |
| Stock Indices             |       | 65,390                               |       | 0.88 | % | 79,077 |   | 42,441 |   |
| Currencies                |       | 33,516                               |       | 0.45 | % | 51,028 |   | 2,614 |   |
|                      |       |                                 |       |   |   |   |   |   |   |
| TOTAL                     |       | $                                    | 1,563,969  |   | 20.96 | % | $ | 1,829,828 |   | $ | 1,218,597 |   |

 

11

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**AlphaSimplex Class D**
| ** **             | ** ** | **September 30, 2007**     | ** ** |
|------------------------|------------|--------------------------------------|------------|
| **Market Sector** | ** ** | **Average  Value at Risk** | ** ** | **% of Average  Capitalization** | ** ** | **Highest Value  At Risk** | ** ** | **Lowest Value  At Risk** | ** ** |
|                   |       |                                 |       |   |   |   |   |   |   |
| Interest Rates         |       | $                                    | 178,278    |   | 3.88 | % | $ | 477,006 |   | $ | 2,002 |   |
| Metals                 |       | —                               |       | 0.00 | % | — |   | — |   |
| Stock Indices          |       | 19,300                               |       | 0.42 | % | 51,031 |   | — |   |
| Currencies             |       | 21,331                               |       | 0.46 | % | 48,551 |   | 4,816 |   |
|                   |       |                                 |       |   |   |   |   |   |   |
| TOTAL                  |       | $                                    | 218,909    |   | 4.76 | % | $ | 576,588 |   | $ | 6,818 |   |

 

**Non-Trading Risk**

Foreign Currency Balances;Cash on Deposit with MLPF&S

The Fund has non-tradingmarket risk on its foreign cash balances not needed for margin. However, thesebalances (as well as the market risk they represent) are immaterial.

The Fund also hasnon-trading market risk on the approximately 90%-95% of its assets which areheld 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.

Item 4. Controls and Procedures

MLAI, the Sponsorof ML Systematic Momentum FuturesAccess LLC, with the participation of theSponsor’s Chief Executive Officer and the Chief Financial Officer, hasevaluated the effectiveness of the design and operation of its disclosurecontrols and procedures with respect to the Fund as of the end of the period ofthis quarterly report, and, based on this evaluation, has concluded that thesedisclosure controls and procedures are effective.  Additionally, there were no significantchanges in the Fund’s internal controls or in other factors that couldsignificantly affect these controls subsequent to the date of this evaluation,including any corrective actions with regard to significant deficiencies andmaterial weaknesses.

12

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PART II - OTHERINFORMATION

Item 1.                                   LegalProceedings

On July 31, 2007, the CFTCissued an order against MLAI and an advisory affiliate, to which MLAI and theaffiliate consented, containing findings, which MLAI and the affiliate neitheradmitted nor denied, that MLAI and the affiliate filed with the NFA a number ofannual reports for commodity pools for which they acted as commodity pooloperators after the deadline established by the CFTC’s regulations, inviolation of CFTC Regulation 4.22(c). MLAI and the affiliate were ordered tocease and desist from violating Regulation 4.22(c) and to pay a civil penaltyin the amount of $500,000.

Item 2.                                   UnregisteredSales of Equity Securities and Use of Proceeds

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

CLASS A

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV** (1) | ** ** |
| Apr-07     |       |             | —     |       | —     |   | n/a |   |
| May-07     |       |             | —     |       | —     |   | n/a |   |
| Jun-07     |       |             | —     |       | —     |   | n/a |   |
| Jul-07     |       |             | $          | 332,475    |       | 332,475 |   | 1.0000 |   |
| Aug-07     |       |             | 269,099    |       | 280,661    |   | 0.9588 |   |
| Sep-07     |       |             | 2,666,461  |       | 2,933,401  |   | 0.9090 |   |
| Oct-07     |       |             | 495,844    |       | 510,916    |   | 0.9705 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS C
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV** (1) | ** ** |
| Apr-07     |       |             | —     |       | —     |   | n/a |   |
| May-07     |       |             | —     |       | —     |   | n/a |   |
| Jun-07     |       |             | $          | 350,891    |       | 350,891 |   | 1.0000 |   |
| Jul-07     |       |             | 2,731,607  |       | 2,618,488  |   | 1.0432 |   |
| Aug-07     |       |             | 6,354,066  |       | 6,358,517  |   | 0.9993 |   |
| Sep-07     |       |             | 13,526,027 |       | 14,287,554 |   | 0.9467 |   |
| Oct-07     |       |             | 11,070,336 |       | 10,961,814 |   | 1.0099 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS D
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV** (1) | ** ** |
| Apr-07     |       |             | $          | 80,000,000 |       | 80,000,000 |   | $ | 1.0000 |   |
| May-07     |       |             | —     |       | —     |   | 1.0339 |   |
| Jun-07     |       |             | —     |       | —     |   | 1.0719 |   |
| Jul-07     |       |             | 6,899,999  |       | 6,157,415  |   | 1.1206 |   |
| Aug-07     |       |             |       |       |       |   | 1.0757 |   |
| Sep-07     |       |             |       |       |       |   | 1.0212 |   |
| Oct-07     |       |             | 6,598,066  |       | 6,044,399  |   | 1.0916 |   |
|            |            |                  |            |            |            |  |  |  |  |  |

 

CLASS I
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV** (1) | ** ** |
| Apr-07     |       |             | —     |       | —     |   | n/a |   |
| May-07     |       |             | —     |       | —     |   | n/a |   |
| Jun-07     |       |             | $          | 11,186     |       | 11,186 |   | 1.0000 |   |
| Jul-07     |       |             | 226,877    |       | 217,232    |   | 1.0444 |   |
| Aug-07     |       |             | 646,450    |       | 645,353    |   | 1.0017 |   |
| Sep-07     |       |             | 1,492,010  |       | 1,570,537  |   | 0.9500 |   |
| Oct-07     |       |             | 734,502    |       | 723,933    |   | 1.0146 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS D-SD
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Apr-07     |       |             | —     |       | —     |   | n/a |   |
| May-07     |       |             | —     |       | —     |   | n/a |   |
| Jun-07     |       |             | —     |       | —     |   | n/a |   |
| Jul-07     |       |             | $          | 5,000,000  |       | 5,000,000 |   | $ | 1.0000 |   |
| Aug-07     |       |             | —     |       | —     |   | 0.9600 |   |
| Sep-07     |       |             | —     |       | —     |   | 0.9113 |   |
| Oct-07     |       |             | —     |       | —     |   | 0.9741 |   |
|            |            |                  |            |            |            |  |  |  |  |  |

 

(b)         None.

(c)          None.

13

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| Item 3. | Defaults Upon Senior Securities                     |
|---------|-----------------------------------------------------|
|    |                                                |
|    | None.                                               |
|    |                                                |
| Item 4. | Submission of Matters to a Vote of Security Holders |
|    |                                                |
|    | None.                                               |
|    |                                                |
| Item 5. | Other Information                                   |
|    |                                                |
|    | None.                                               |

 

14

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| 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. |
|    |                                                                                                               |

 

15

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**SIGNATURES**

Pursuant to the requirements of the Securities Exchange Act of 1934,the registrant has duly caused this report to be signed on its behalf by theundersigned thereunto duly authorized.
|                               | ML SYSTEMATIC MOMENTUM FuturesAccess LLC |
|-------------------------------|------------------------------------------|
|                          |                                     |
|                          |                                     |
|                          | By: MERRILL LYNCH ALTERNATIVE            |   |
|                          | INVESTMENTS LLC                          |   |
|                          |  (Manager)                          |   |
|                          |                                     |
|                          |                                     |
| Date:  November 14, 2007 | By                                  | /s/ ROBERT D. OLLWERTHER |   |
|                          |                                     | Robert D. Ollwerther |   |
|                          |                                     | Chief Executive Officer and President |
|                          |                                     | (Principal Executive Officer) |
|                          |                                     |
|                          |                                     |
| Date:  November 14, 2007 |                                     |
|                          | By                                  | /s/ BARBRA E. KOCSIS |   |
|                          |                                     | Barbra E. Kocsis |   |
|                          |                                     | Chief Financial Officer |
|                          |                                     | (Principal Financial and Accounting Officer) |
|                               |                                          |  |  |  |  |  |

 

16

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