**UNITED STATES SECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C. 20549**

**FORM 10-Q**

**(Mark One)**

**x** QUARTERLY REPORT PURSUANT TO SECTION 13 OR15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly periodended**June 30, 2007**

**OR**

**o TRANSITION REPORTPURSUANT 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 LLC**

(Exact Name of Registrant as 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**

**Princeton Corporate Campus**

**800 Scudders Mill Road -  Section 2G**

**Plainsboro,New Jersey 08536**

 (Address of principal executive offices)

(Zip Code)

**609-282-6091**

(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    Acceleratedfiler o      Non-acceleratedfiler 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 LLC**

QUARTERLY REPORT FOR JUNE 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                                                            |       | 13       |
|     |       |                                                                                        |       |     |
| Item 4.  |       | Submission  of Matters to a Vote of Security Holders                                        |       | 13       |
|     |       |                                                                                        |       |     |
| Item 5.  |       | Other Information                                                                           |       | 13       |
|     |       |                                                                                        |       |     |
| Item  6. |       | Exhibits                                                                                    |       | 14       |
|          |            |                                                                                             |            |          |  |  |

 

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PART I - FINANCIALINFORMATION

Item1.    Financial Statements

ML SYSTEMATIC MOMENTUM LLC(a Delaware Limited Liability Company)

STATEMENT OFFINANCIAL CONDITION

 
| ** **                                                             | ** ** | **June 30,** | ** ** |
|------------------------------------------------------------------------|------------|-------------------|------------|
| ** **                                                             | ** ** | **2007**          | ** ** |
| ** **                                                             | ** ** | **(unaudited)**   | ** ** |
|                                                                   |       |              |       |
| **ASSETS:**                                                            | ** ** | ** **        | ** ** |
| Equity in commodity  futures trading accounts:                         |       |              |       |
| Cash                                                                   |       | $                 | 3,743      |   |
| Investments in  Portfolio Funds (Cost $80,455,297)                     |       | 90,091,482        |       |
| Deferred initial  offering costs                                       |       | 56,250            |       |
|                                                                   |       |              |       |
| **TOTAL  ASSETS**                                                      |       | $                 | 90,151,475 | ** ** |
|                                                                   |       |              |       |
| **LIABILITIES AND MEMBERS’  CAPITAL**                             | ** ** | ** **        | ** ** |
| LIABILITIES:                                                           |       |              |       |
| Initial offering  costs payable                                        |       | $                 | 75,000     |   |
| Sponsor’s fee  payable                                            |       | 775               |       |
| Redemptions  payable                                                   |       | 10,190,958        |       |
| Other                                                                  |       | 81,616            |       |
|                                                                   |       |              |       |
| Total  liabilities                                                     |       | 10,348,349        |       |
|                                                                   |       |              |       |
| MEMBERS’ CAPITAL:                                                 | ** ** | ** **        | ** ** |
| Members’  Interest (71,267,879 Units)                             |       | 79,803,126        |       |
| Total members’  capital                                           |       | 79,803,126        |       |
|                                                                   |       |              |       |
| **TOTAL  LIABILITIES AND MEMBERS’ CAPITAL**                       |       | $                 | 90,151,475 | ** ** |
| Based upon (71,267,879  Units outstanding, unlimited Units authorized) | ** ** | ** **        | ** ** |
|                                                                   | ** ** | ** **        | ** ** |
| **NET ASSET VALUE PER UNIT (NOTE  2)**                                 | ** ** | ** **        | ** ** |

 

See notes to financial statements.

1

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ML SYSTEMATIC MOMENTUMLLC

(a Delaware Limited Liability Company)

STATEMENT OF OPERATIONS(unaudited)
| ** **                                    | ** ** | **For the three** | ** ** |
|-----------------------------------------------|------------|-----------------------------|------------|
| ** **                                    | ** ** | **months ended**       | ** ** |
| ** **                                    | ** ** | **June 30,**           | ** ** |
| ** **                                    | ** ** | **2007***                   | ** ** |
| **TRADING  PROFIT:**                          | ** ** | ** **                  | ** ** |
|                                          |       |                        |       |
| Realized                                      |       | $                           | 96,964     |   |
| Change in unrealized                          |       | 9,636,185                   |       |
|                                          |       |                        |       |
| Total trading profit                          |       | 9,733,149                   |       |
|                                          |       |                        |       |
| **EXPENSES:**                                 | ** ** | ** **                  | ** ** |
| Sponsor fee                                   |       | 775                         |       |
| Other                                         |       | 100,367                     |       |
|                                          |       |                        |       |
| Total expenses                                |       | 101,142                     |       |
|                                          |       |                        |       |
| **NET  INCOME**                               | ** ** | $                           | 9,632,007  |   |
|                                          |       |                        |       |
| **NET  INCOME PER UNIT:**                     | ** ** | ** **                  | ** ** |
|                                          |       |                        |       |
| Weighted average  number of Units outstanding |       |                        |       |
| Class C                                       |       | 350,891                     |       |
| Class D                                       |       | 80,000,000                  |       |
| Class I                                       |       | 11,186                      |       |
|                                          |       |                        |       |
| Net Income per  weighted average Unit         |       |                        |       |
| Class C                                       |       | 0.0430                      |       |
| Class D                                       |       | 0.1202                      |       |
| Class I                                       |       | 0.0442                      |       |

 

----

* Commencement ofoperations on April 1, 2007

 

See notes to financialstatements.

2

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ML SYSTEMATICMOMENTUM LLC

(a Delaware Limited Liability Company)

STATEMENT OF CHANGES IN MEMBERS’ CAPITALFor the three months ended June 30, 2007(unaudited)

 
| ** **                | ** ** | ** **                | ** ** | ** **        | ** ** | ** **      | ** ** | **Members’ Capital** | ** ** |
|---------------------------|------------|---------------------------|------------|-------------------|------------|-----------------|------------|--------------------------------|------------|
| ** **                | ** ** | **Initial Offering** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **June 30, 2007**    | ** ** |
|                      |       |                      |       |              |       |            |       |                           |       |
| Class C                   |       | —                    |       | 350,891           |       | —          |       | 350,891                        |       |
| Class D*                  |       | 80,000,000                |       | —            |       | (9,094,198      | )          | 70,905,802                     |       |
| Class I                   |       | —                    |       | 11,186            |       | —          |       | 11,186                         |       |
|                      |       |                      |       |              |       |            |       |                           |       |
| Total Members’ Units |       | 80,000,000                |       | 362,077           |       | (9,094,198      | )          | 71,267,879                     |       |

 
| ** **                   | ** ** | ** **                | ** ** | ** **        | ** ** | ** **      | ** ** | ** **          | ** **  | **Members’ Capital** | ** ** |
|------------------------------|------------|---------------------------|------------|-------------------|------------|-----------------|------------|---------------------|-------------|--------------------------------|------------|
| ** **                   | ** ** | **Initial Offering** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income** | ** **  | **June 30, 2007**    | ** ** |
|                         |       |                      |       |              |       |            |       |                |        |                           |       |
| Class C                      |       | $                         | —     |              | $          | 350,891         |       | $                   | —      |                           | $          | 15,074 |   | $ | 365,965 |   |
| Class D*                     |       | 80,000,000                |       | —            |       | (10,190,958     | )          | 9,616,439           |        | 79,425,481                     |       |
| Class I                      |       | —                    |       | 11,186            |       | —          |       | 494                 |        | 11,680                         |       |
|                         |       |                      |       |              |       |            |       |                |        |                           |       |
| Total Members’ Interest |       | $                         | 80,000,000 |              | $          | 362,077         |       | $                   | (10,190,958 | )                              | $          | 9,632,007 |   | $ | 79,803,126 |   |

 

----

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

 

Seenotes to financial statements.

3

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ML SYSTEMATICMOMENTUM 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 LLC (the “Fund”)as of June 30, 2007, and the results of its operations for the three monthsended June 30, 2007.  However, theoperating results for the interim period may not be indicative of the resultsfor the full year.  The Fund commencedoperations on April 1, 2007 and has a fiscal year end of 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 UNDERLYING FUNDS

The eight funds (“Portfolio Funds”) in which the Fund isinvested in, as of June 30, 2007 are: ML Winton FuturesAccess LLC (“Winton”), MLAspect FuturesAccess LLC (“Aspect”), ML Altis FuturesAccess LLC (“Altis”), MLAlphasimplex FuturesAccess LLC (“Alphasimplex”), ML Chesapeake FuturesAccessLLC (“Chesapeake”), ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”),ML GSA FuturesAccess LLC (“GSA”) and ML John Locke FuturesAccess LLC (“JohnLocke”). MLAI may, in its discretion, change Portfolio Funds at any time. MerrillLynch Alternative Investments (“MLAI”), the Fund sponsor, may vary thepercentage of the Fund’s total portfolio allocated to the different PortfolioFunds at its discretion. There is no pre-established range for the minimum andmaximum allocations that may be made to any given Portfolio Fund.

At June 30, 2007, Investments in Portfolio Funds atFair Value are as follows:
|                                                                        | ** ** | **Fair Value** | ** ** | **Percent Investment** | ** ** |
|------------------------------------------------------------------------|------------|----------------|------------|-----------------------------|------------|
| Altis                                                                  |       | $              | 14,048,417 |                        | 15.59      | % |
| Transtrend                                                             |       | 13,858,765     |       | 15.38                       |       |
| Aspect                                                                 |       | 13,352,420     |       | 14.82                       |       |
| Chesapeake                                                             |       | 13,164,233     |       | 14.61                       |       |
| Winton                                                                 |       | 13,138,505     |       | 14.58                       |       |
| John Locke                                                             |       | 9,018,227      |       | 10.01                       |       |
| GSA                                                                    |       | 7,063,597      |       | 7.84                        |       |
| Alphasimplex                                                           |       | 6,447,318      |       | 7.16                        |       |
|                                                                   |       |           |       |                        |       |
| Total Investments in  Portfolio Funds at Fair Value (Cost $80,455,297) |       | $              | 90,091,482 |                        | 100.00     | % |

 

3.            NETASSET VALUE PER UNIT

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:

4

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At June 30, 2007 the Net Asset Values of the differentClasses 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 C    |       | 366,046                       |       | 365,965                  |       | 350,891                                          |       | $ | 1.0432 |   | $ | 1.0430 |   |
| Class D    |       | 79,454,971                    |       | 79,425,481               |       | 70,905,802                                       |       | $ | 1.1206 |   | $ | 1.1202 |   |
| Class I    |       | 11,683                        |       | 11,680                   |       | 11,186                                           |       | $ | 1.0444 |   | $ | 1.0442 |   |
|       |       | $                             | 79,832,700 |                     | $          | 79,803,126                                       |       | 71,267,879 |   |   |   |   |   |
|            |            |                               |            |                          |            |                                                  |            |  |  |  |  |  |  |  |  |

 

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 risks associated with exchange-traded contractsare typically perceived to be less than those associated with over-the-counter(non-exchange-traded) transactions, because exchanges typically provideclearinghouse arrangements in which the collective credit (in some caseslimited in amount, in some cases not) of the members of the exchange is pledgedto support the financial integrity of the exchange.  In over-the-counter transactions, on theother hand, traders must rely solely on the credit of their respectiveindividual counterparties. Margins, which may be subject to loss in the eventof a default, are generally required in exchange trading, and counterpartiesmay also require margin in the over-the-counter markets.

The credit risk associated with these instruments fromcounterparty nonperformance is the Net unrealized profit, if any, included inthe Statement(s) of Financial Condition of the Portfolio Funds. The PortfolioFunds attempt to mitigate this risk by dealing exclusively with Merrill Lynch& Co. Inc. (“Merrill Lynch”) entities as clearing brokers.

The Portfolio Funds, in their normal course ofbusiness, enter into various contracts, with Merrill Lynch Pierce Fenner &Smith Inc. (“MLPF&S”) acting as its commodity broker.  Pursuant to the brokerage arrangement withMLPF&S (which includes a netting arrangement), to the extent that such tradingresults in receivables from and payables to MLPF&S, these receivables andpayables are

5

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offset and reported as a net receivable or payable andincluded in Equity in commodity futures trading accounts in the Statement(s) ofFinancial Condition of the Portfolio Funds.

5.            RECENT ACCOUNTINGPRONOUNCEMENTS

During June 2006, the Financial Accounting StandardsBoard (“FASB”) issued Interpretation No.48 (“FIN 48”), Accounting forUncertainty in Income Taxes — an interpretation of FASB Statement No. 109. DuringMay 2007, FASB amended this guidance by issuing FASB Staff Position No. FIN48-1, Definition of settlement in FASB Interpretation No. 48. FIN 48, asamended, prescribes the minimum recognition threshold a tax position must meetin connection with accounting for uncertainties in income tax positions takenor expected to be taken by an entity before being measured and recognized inthe financial statements. Adoption of FIN 48, as amended, is required forfiscal years beginning after December 15, 2006. The Fund has evaluated its taxpositions and has determined that the implementation of this pronouncement doesnot have a material impact to the financial statements.

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 thatthe Net Asset Value used to calculate subscription and redemption value andto    report performance to investorsthroughout the 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 C
|      | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** |
|------|------------|----------|------------|---------|------------|----------|------------|
| 2007 |       | —   |       | —  |       | $        | 1.0432     |   |
|      |            |          |            |         |            |          |            |  |

 

Class D
|      | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** |
|------|------------|----------|------------|---------|------------|----------|------------|
| 2007 |       | $        | 1.0339     |    | 1.0719     |     | 1.1206     |   |
|      |            |          |            |         |            |          |            |  |

 

Class I

 
|      | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** |
|------|------------|----------|------------|---------|------------|----------|------------|
| 2007 |       | —   |       | —  |       | $        | 1.0444     |   |
|      |            |          |            |         |            |          |            |  |

 

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 the Australian dollar, Canadian dollar, and the Britishpound as well as continuing to underweight the persistently weak Japanese yen.

Also please readthe performance summary of some of the Portfolio Funds in which the Fundinvests into.   The Form 10-Q of thefollowing underlying funds have also been filed:

Transtrend,Chesapeake, Winton and Aspect.

7

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Item 3:  QuantifyingThe 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.

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

Exchangemaintenance margin requirements have been used by the Fund as the measure ofits Value at Risk.  Maintenance marginrequirements are set by exchanges to equal or exceed the maximum loss in thefair value of any given contract incurred in 95%-99% of the one-day timeperiods included in the historical sample (generally approximately one year)researched for purposes of establishing margin levels.  The maintenance margin levels are establishedby dealers and exchanges using historical price studies as well as anassessment of current market volatility (including the implied volatility ofthe options on a given futures contract) and economic fundamentals to provide aprobabilistic estimate of the maximum expected near-term one-day pricefluctuation.

In the case of market sensitive instruments which are notexchange-traded (almost exclusively currencies in the case of the Fund), themargin requirements for the equivalent futures positions have been used asValue at Risk.  In those rare cases inwhich a futures-equivalent margin is not available, dealers’ margins have beenused.

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 Fund’s positions are rarely, if ever, 100%positively correlated have not been reflected. Since the Fund is invested in the Portfolio Funds, the Value at Risk chartfor the underlying funds have been provided.

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

TheValue at Risk calculation for Class D-SM is based upon the Portfolio Funds individualValue at Risk calculation in proportion to the percentage of capital invested bythe Fund in the Portfolio Funds.

Thefollowing tables indicate the average, highest and lowest trading Value at Riskassociated with the Fund’s open positions by market category for the Second Quarter2007. During the Second Quarter 2007, the Fund’s average Capitalization wasapproximately $82,074,535.

8

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**Altis**

 
|                           | ** ** | **June 30, 2007** | ** ** |
|---------------------------|------------|-----------------------------|------------|
| ** **                | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                      |       |                        |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                           | 38,399     |   | 0.30 | % | $ | 78,148 |   | $ | — |   |
| Energy                    |       | 29,761                      |       | 0.23 | % | 62,289 |   | — |   |
| Interest Rates            |       | 2,082,957                   |       | 16.23 | % | 2,136,654 |   | 2,020,724 |   |
| Metals                    |       | 18,105                      |       | 0.14 | % | 27,374 |   | — |   |
| Stock Indices             |       | 98,914                      |       | 0.77 | % | 132,611 |   | 74,464 |   |
| Currencies                |       | 106,821                     |       | 0.83 | % | 126,138 |   | 90,387 |   |
|                      |       |                        |       |   |   |   |   |   |   |
| TOTAL                     |       | $                           | 2,374,957  |   | 18.50 | % | $ | 2,563,214 |   | $ | 2,185,575 |   |

 

**Transtrend**

 
| ** **                | ** ** | **June 30, 2007** | ** ** |
|---------------------------|------------|-----------------------------|------------|
| ** **                | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                      |       |                        |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                           | 1,718      |   | 0.00 | % | $ | 3,049 |   | $ | 97 |   |
| Energy                    |       | 903                         |       | 0.00 | % | 1,934 |   | 75 |   |
| Interest Rates            |       | 121,987                     |       | 0.29 | % | 188,007 |   | 22,818 |   |
| Metals                    |       | 215                         |       | 0.00 | % | 569 |   | — |   |
| Stock Indices             |       | 17,625                      |       | 0.04 | % | 28,794 |   | 1,749 |   |
| Currencies                |       | 63                          |       | 0.00 | % | 176 |   | 4 |   |
|                      |       |                        |       |   |   |   |   |   |   |
| TOTAL                     |       | $                           | 142,511    |   | 0.33 | % | $ | 222,529 |   | $ | 24,743 |   |

 

**Aspect**

 
|                           | ** ** | **June 30, 2007** | ** ** |
|---------------------------|------------|-----------------------------|------------|
| ** **                | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                      |       |                        |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                           | 7,290      |   | 0.10 | % | $ | 12,636 |   | $ | 2,255 |   |
| Energy                    |       | 4,462                       |       | 0.06 | % | 9,788 |   | 1,030 |   |
| Interest Rates            |       | 1,127,037                   |       | 15.67 | % | 1,873,247 |   | 624,366 |   |
| Metals                    |       | 17,038                      |       | 0.24 | % | 20,984 |   | 14,523 |   |
| Stock Indices             |       | 54,978                      |       | 0.76 | % | 73,794 |   | 36,543 |   |
| Currencies                |       | 36,430                      |       | 0.50 | % | 44,997 |   | 21,720 |   |
|                      |       |                        |       |   |   |   |   |   |   |
| TOTAL                     |       | $                           | 1,247,235  |   | 17.33 | % | $ | 2,035,446 |   | $ | 700,437 |   |

 

9

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**Chesapeake**

 
|                           | ** ** | **June 30, 2007** | ** ** |
|---------------------------|------------|-----------------------------|------------|
| ** **                | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                      |       |                        |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                           | 21,449     |   | 0.51 | % | $ | 56,920 |   | $ | 3,339 |   |
| Energy                    |       | 1,699                       |       | 0.04 | % | 3,388 |   | 292 |   |
| Interest Rates            |       | 907,113                     |       | 21.39 | % | 2,279,959 |   | 208,651 |   |
| Metals                    |       | 20,360                      |       | 0.48 | % | 50,218 |   | 5,272 |   |
| Stock Indices             |       | 46,659                      |       | 1.10 | % | 118,657 |   | 10,067 |   |
| Stock Futures             |       | 26,280                      |       | 0.62 | % | 64,729 |   | 6,245 |   |
| Currencies                |       | 50,915                      |       | 1.20 | % | 124,267 |   | 13,084 |   |
|                      |       |                        |       |   |   |   |   |   |   |
| TOTAL                     |       | $                           | 1,074,475  |   | 25.34 | % | $ | 2,698,138 |   | $ | 246,950 |   |

 

**Winton**

 
|                           | ** ** | **June 30, 2007** | ** ** |
|---------------------------|------------|-----------------------------|------------|
| ** **                | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                      |       |                        |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                           | 7,161      |   | 0.67 | % | $ | 8,678 |   | $ | 5,191 |   |
| Energy                    |       | 2,607                       |       | 0.00 | % | 4,350 |   | 1,300 |   |
| Interest Rates            |       | 779,683                     |       | 0.20 | % | 890,137 |   | 701,258 |   |
| Metals                    |       | 8,304                       |       | 0.00 | % | 11,742 |   | 6,030 |   |
| Stock Indices             |       | 39,189                      |       | 0.01 | % | 53,729 |   | 30,397 |   |
| Currencies                |       | 42,984                      |       | 0.01 | % | 51,038 |   | 38,136 |   |
|                      |       |                        |       |   |   |   |   |   |   |
| TOTAL                     |       | $                           | 879,928    |   | 0.89 | % | $ | 1,019,674 |   | $ | 782,312 |   |

 

**John Locke**

 
|                           | ** ** | **June 30, 2007** | ** ** |
|---------------------------|------------|-----------------------------|------------|
| ** **                | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                      |       |                        |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                           | 33,342     |   | 0.40 | % | $ | 62,746 |   | $ | 2,421 |   |
| Energy                    |       | 37,972                      |       | 0.46 | % | 77,712 |   | 6,359 |   |
| Interest Rates            |       | 333,673                     |       | 4.02 | % | 409,916 |   | 279,802 |   |
| Metals                    |       | 29,775                      |       | 0.36 | % | 70,896 |   | 1,381 |   |
| Stock Indices             |       | 117,420                     |       | 1.41 | % | 290,112 |   | 22,984 |   |
| Currencies                |       | 129,635                     |       | 1.57 | % | 193,548 |   | 55,167 |   |
|                      |       |                        |       |   |   |   |   |   |   |
| TOTAL                     |       | $                           | 681,817    |   | 8.22 | % | $ | 1,104,930 |   | $ | 368,114 |   |

 

10

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**GSA**

 
|                           | ** ** | **June 30, 2007** | ** ** |
|---------------------------|------------|-----------------------------|------------|
| ** **                | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                      |       |                        |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                           | 2,626      |   | 0.04 | % | $ | 3,707 |   | $ | 1,646 |   |
| Energy                    |       | 2,073                       |       | 0.03 | % | 4,998 |   | 153 |   |
| Interest Rates            |       | 1,517,030                   |       | 23.60 | % | 1,560,340 |   | 1,470,265 |   |
| Metals                    |       | 6,410                       |       | 0.10 | % | 10,233 |   | 4,253 |   |
| Stock Indices             |       | 70,264                      |       | 1.09 | % | 79,077 |   | 60,897 |   |
| Currencies                |       | 34,834                      |       | 0.54 | % | 51,028 |   | 2,614 |   |
|                      |       |                        |       |   |   |   |   |   |   |
| TOTAL                     |       | $                           | 1,633,237  |   | 25.40 | % | $ | 1,709,383 |   | $ | 1,539,828 |   |

 

**AlphaSimplex**

 
|                           | ** ** | **June 30, 2007** | ** ** |
|---------------------------|------------|-----------------------------|------------|
| ** **                | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                      |       |                        |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                           | —     |   | 0.00 | % | $ | — |   | $ | — |   |
| Energy                    |       | —                      |       | 0.00 | % | — |   | — |   |
| Interest Rates            |       | 321,527                     |       | 5.32 | % | 477,006 |   | 222,899 |   |
| Metals                    |       | —                      |       | 0.00 | % | — |   | — |   |
| Stock Indices             |       | 37,226                      |       | 0.62 | % | 51,031 |   | 30,245 |   |
| Currencies                |       | 28,817                      |       | 0.48 | % | 48,551 |   | 9,131 |   |
|                      |       |                        |       |   |   |   |   |   |   |
| TOTAL                     |       | $                           | 387,570    |   | 6.42 | % | $ | 576,588 |   | $ | 262,275 |   |

 

11

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**Non-Trading Risk**

 

Foreign Currency Balances; Cash on Deposit with MLPF&S

 

The Fund has non-trading market risk on its foreign cash balances notneeded for margin. However, these balances (as well as the market risk theyrepresent) are immaterial.

 

The Fund also has non-trading market risk on the approximately 90%-95%of its assets which are held in cash at MLPF&S. The value of this cash isnot interest rate sensitive, but there is cash flow risk in that if interestrates decline so will the cash flow generated on these monies. This cash flowrisk is immaterial.

 

Item 4. Controls andProcedures 

 

MLAI, the Sponsor of ML Systematic Momentum LLC, with the participationof the Sponsor’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 CFTC issued an order against MLAI and an advisoryaffiliate, to which MLAI and the affiliate consented, containing findings,which MLAI and the affiliate neither admitted nor denied, that MLAI and theaffiliate filed with the NFA a number of annual reports for commodity pools forwhich they acted as commodity pool operators after the deadline established bythe CFTC’s regulations, in violation of CFTC Regulation 4.22(c). MLAI and theaffiliate were ordered to cease and desist from violating Regulation 4.22(c)and to pay a civil penalty in the amount of $500,000.

Item 2.                                   UnregisteredSales of Equity Securities and Use of Proceeds

(a) Issuance toaccredited investors pursuant to Regulation D and Section 4(6) under theSecurities Act.  The selling agent of thefollowing Class of Units 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 |   |
|            |            |                  |            |            |            |  |  |  |

 

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 |   |

 

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 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

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 |   |

 

----

(1) Net Asset Value forall other purposes

(b)         None.

(c)          None.

Item 3.                                DefaultsUpon Senior Securities

None.

Item 4.                                Submissionof Matters to a Vote of Security Holders

None.

Item 5.                                OtherInformation

None.

13

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Item 6.                                   Exhibits

The following exhibitsare incorporated by reference or are filed herewith to this Quarterly Report onForm 10-Q:

31.01 and

31.02                                             Rule13a-14(a)/15d-14(a) Certifications

Exhibit 31.01

and 31.02:                   Are filed herewith.

32.01 and

32.02                                             Section1350 Certifications

Exhibit 32.01

and 32.02                      Are filed herewith.

14

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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 LLC    |                                         |
|----------------------------------|-------------------------------|----------------------------------------------|
|                             |                          |                                         |
|                             |                          |                                         |
|                             | By: MERRILL LYNCH ALTERNATIVE |                                         |
|                             | INVESTMENTS LLC               |                                         |
|                             | (Manager)                     |                                         |
|                             |                          |                                         |
|                             |                          |                                         |
| Date:  August 14, 2007 | By                            | /s/ ROBERT D. OLLWERTHER                     |   |
|                             |                          | Robert D. Ollwerther                         |   |
|                             |                          | Chief Executive Officer and President        |   |
|                             |                          | (Principal Executive Officer)                |   |
|                             |                          |                                         |   |
|                             |                          |                                         |   |
| Date:  August 14, 2007 |                          |                                         |   |
|                             | By                            | /s/ BARBRA E. KOCSIS                         |   |
|                             |                          | Barbra E. Kocsis                             |   |
|                             |                          | Chief Financial Officer                      |   |
|                             |                          | (Principal Financial and Accounting Officer) |

 

15

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