**UNITED STATES**

**SECURITIES AND EXCHANGECOMMISSION**

 

**Washington, D.C.  20549**

 

**FORM 10-K**

 

**x**** Annual Report Pursuant to Section 13 or 15(d)**

**of the Securities Exchange Act of 1934**

 

**For the fiscal year ended:December 31, 2007**

 

**or**

 

**o****Transition Report Pursuant to Section 13**

**or 15(d) of the Securities Exchange Act of1934**

 

**Commission file number:0-52505**

 

**ML SYSTEMATIC MOMENTUMFUTURESACCESS LLC**

(Exact name of registrant asspecified in its charter)

 

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

 

**c/oMerrill Lynch Alternative Investments LLC**

**HopewellCorporate Campus – Building No. 2**

**1200Merrill Lynch Drive – First Floor**

**Pennington, New Jersey 08534**

(Addressof principal executive offices)

 

Registrant’stelephone number, including area code:  **(609) 274-5838**

 

Securities registeredpursuant to Section 12(b) of the Act: **None**

 

Securities registeredpursuant to Section 12(g) of the Act: **Units ofLimited Liability Company Interest**

 

Indicate by check mark ifthe registrant is a well-known seasoned issuer, as defined in Rule 405 ofthe Securities Act.
|   |   | Yes o |   | No x |
|--------|--------|-------|--------|------|

 

Indicate by check mark ifthe registrant is not required to file reports pursuant to Section 13 or15(d) of the Act.
|   |   | Yes o |   | No x |
|--------|--------|-------|--------|------|

 

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

 

Indicate by check mark ifdisclosure of delinquent filers pursuant to Item 405 of Regulation S-K is notcontained herein, and will not be contained, to the best of registrant’sknowledge, in definitive proxy or information statements incorporated byreference in Part III of this Form 10-K or any amendment to this Form 10-K.x

 

Indicate by check markwhether the registrant is a large accelerated filer, an accelerated filer, or anon-accelerated filer.  See definition of“accelerated filer and large accelerated filer” in Rule 12b-2 of theExchange Act.  Check one:

 

Largeaccelerated filer o   Accelerated filer o        Non-accelerated filer x

 

Indicate by check mark whether registrant is a shell company (asdefined by Rule 12b-2 of the Act).
|   |   | Yes o |   | No x |
|--------|--------|-------|--------|------|

 

The Units of limitedliability company interest of the registrant are not publicly traded.  Accordingly, there is no aggregate marketvalue for the registrant’s outstanding equity that is readily determinable.

 

As January 31, 2008,units of limited liability company interest with a Net Asset Value of $116,690,992 were outstanding andheld by non-affiliates.

 

**DocumentsIncorporated by Reference**

 

The registrant’s 2007 AnnualReport and Report of Independent Registered Public Accounting Firm, the annualreport to security holders for the period ended December 31, 2007, isincorporated by reference into Part II, Item 8, and Part IV hereofand filed as an Exhibit herewith. Copies of the annual report areavailable free of charge by contacting Alternative Investments Client Servicesat 1 - 866-MER-ALTS.

 

 

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**MLSYSTEMATIC MOMENTUM FUTURESACCESS LLC**

 

ANNUALREPORT FOR 2007 ON FORM 10-K

 

Tableof Contents

 
| ** ** | ** ** | ** **                                                                                                          | ** ** | **PAGE** | ** ** |
|------------|------------|---------------------------------------------------------------------------------------------------------------------|------------|----------|------------|
|       |       |                                                                                                                |       |     |       |
|       |       | PART I                                                                                                         |       |     |       |
|       |       |                                                                                                                |       |     |       |
| Item 1.    |       | Business                                                                                                            |       | 1        |       |
|       |       |                                                                                                                |       |     |       |
| Item 1A.   |       | Risk Factors                                                                                                        |       | 6        |       |
|       |       |                                                                                                                |       |     |       |
| Item  1B.  |       | Unresolved  Staff Comments                                                                                          |       | 7        |       |
|       |       |                                                                                                                |       |     |       |
| Item 2.    |       | Properties                                                                                                          |       | 7        |       |
|       |       |                                                                                                                |       |     |       |
| Item 3.    |       | Legal  Proceedings                                                                                                  |       | 7        |       |
|       |       |                                                                                                                |       |     |       |
| Item  4.   |       | Submission  of Matters to a Vote of Security Holders                                                                |       | 7        |       |
|       |       |                                                                                                                |       |     |       |
|       |       | PART II                                                                                                        |       |     |       |
|       |       |                                                                                                                |       |     |       |
| Item 5.    |       | Market for  Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases  of Equity Securities |       | 8        |       |
|       |       |                                                                                                                |       |     |       |
| Item 6.    |       | Selected Financial  Data                                                                                            |       | 11       |       |
|       |       |                                                                                                                |       |     |       |
| Item 7.    |       | Management’s  Discussion and Analysis of Financial Condition and Results of Operations                         |       | 18       |       |
|       |       |                                                                                                                |       |     |       |
| Item 7A.   |       | Quantitative  and Qualitative Disclosures about Market Risks                                                        |       | 19       |       |
|       |       |                                                                                                                |       |     |       |
| Item 8.    |       | Financial  Statements and Supplementary Data                                                                        |       | 25       |       |
|       |       |                                                                                                                |       |     |       |
| Item 9.    |       | Changes in  and Disagreements with Accountants on Accounting and Financial Disclosure                               |       | 25       |       |
|       |       |                                                                                                                |       |     |       |
| Item 9A.   |       | Controls and  Procedures                                                                                            |       | 25       |       |
|       |       |                                                                                                                |       |     |       |
| Item 9B.   |       | Other Information                                                                                                   |       | 25       |       |
|       |       |                                                                                                                |       |     |       |
|       |       | PART III                                                                                                       |       |     |       |
|       |       |                                                                                                                |       |     |       |
| Item 10.   |       | Directors  and Executive Officers and Corporate Governance                                                          |       | 26       |       |
|       |       |                                                                                                                |       |     |       |
| Item 11.   |       | Executive  Compensation                                                                                             |       | 28       |       |
|       |       |                                                                                                                |       |     |       |
| Item 12.   |       | Security  Ownership of Certain Beneficial Owners and Management and Related                                         |       |     |       |
|       |       | Stockholder Matters                                                                                                 |       | 28       |       |
|       |       |                                                                                                                |       |     |       |
| Item 13.   |       | Certain  Relationships and Related Transactions                                                                     |       | 28       |       |
|       |       |                                                                                                                |       |     |       |
| Item 14.   |       | Principal  Accountant Fees and Services                                                                             |       | 29       |       |
|       |       |                                                                                                                |       |     |       |
|       |       | PART IV                                                                                                        |       |     |       |
|       |       |                                                                                                                |       |     |       |
| Item 15.   |       | Exhibits and  Financial Statement Schedules                                                                         |       | 30       |       |

 

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**PART I**

 

**Item 1:****  ****Business**

 

(a)           General Development of Business:

 

ML Systematic MomentumFuturesAccess LLC (the “Fund”) was organized under the Delaware LimitedLiability Company Act on March 8, 2007 and commenced activities on April 2,2007. The Fund operates as a “fund of funds” allocating and reallocating itscapital under the direction of Merrill Lynch Alternate Investments LLC (“MLAI”),the Sponsor, among eight underlying Futures Access Funds (each a “PortfolioFund,” and collectively the “Portfolio Funds”). The Fund issues new units oflimited liability company interest (“Units”) at Net Asset Value per Unit (seeItem 6 for discussion of net asset value and net asset value per unit forsubscriptions and redemptions purposes hereinafter referred to as Net AssetValue and Net Asset Value per Unit for all other purposes) as of the beginningof each calendar month.

 

MLAI is the Sponsor and theManager of the Fund.  MLAI is an indirectwholly-owned subsidiary of Merrill Lynch & Co., Inc. (“MerrillLynch”). Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”),a wholly-owned subsidiary of Merrill Lynch, is the  commodity broker, of the Portfolio Funds.

 

As of December 31,2007, the Net Asset Value of the Fund for all other purposes was $120,318,698and the Net Asset Value per Unit for all other purposes, was $1.0278 for Class A,$1.0668 for Class C, $1.1603 for Class D, $1.0356 for Class D-SDand $1.0756 for Class I. The Net Asset Value and the Net Asset Value perUnit for financial reporting purposes in accordance with accounting principlesgenerally accepted in the United States of America (“U.S. GAAP”) was$120,224,077 and $1.0273 for Class A, $1.0664 for Class C, $1.1571for Class D, $1.0350 for Class D-SD and $1.0752 for Class I.

 

The highest month-end NetAsset Value per Unit for all other purposes for Class A since the Fund began operations was $1.0278 (December 31,2007) and the lowest was $0.9090 (August 31, 2007.) The highest month-endNet Asset Value per Unit for all other purposes for Class C since the Fundbegan operations was $1.0680 (October 31, 2007) and the lowest was $0.9467(August 31, 2007).  The highestmonth-end Net Asset Value per Unit for all other purposes for Class Dsince the Fund began operations was $1.1603 (December 31, 2007) and thelowest was $1.0000 (April 2, 2007).The highest month-end Net Asset Valueper Unit for all other purposes for Class I since the Fund beganOperations was $1.0756 (December 31, 2007) and the lowest was $0.9500 (August 31,2007). The highest month-end Net Asset Value per Unit for all other purposesfor Class D-SD since the Fund began operations was $1.0356 (December 31,2007) and the lowest was $0.9113 (August 31, 2007).

 

(b)           Financial Information about Segments:

 

The Fund’s businessconstitutes only one segment for financial reporting purposes, i.e*.,* a speculative “commodity pool”. The Fund does not engagein sales of goods or services.

 

(c)           Narrative Description of Business:

 

***General***

 

TheFund may invest in eight separate funds which trade in the futures and forwardmarkets with the objective of achieving substantial capital appreciation.

 

The eight funds in which the Fund may investin as of December 31, 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 (“Alphsimplex”).MLAI, the Sponsor of the Fund, may in its discretion, change the PortfolioFunds at any time. MLAI, also at it discretion may vary the percentage of theFund’s total portfolio allocated to the different Portfolio Funds. There is nopre-established range for the minimum and maximum allocations that may be madeto any given Portfolio Fund.

 

The Fund has noEmployees.

 

1

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As used herein, references to the Fund’s (i) tradingactivities, (ii) trading advisors, (iii) custody of assets arrangementsand (iv) accounts refer to such activities, trading advisors, arrangementsand accounts of the Portfolio Funds through which the Fund invests, asapplicable.

 

Use of Proceeds and Cash Management Income

 

Subscription Proceeds

 

TheFund’s cash is used as security for and to pay the Fund’s trading losses aswell as its expenses and redemptions. The primary use of the proceeds of thesale of the Units is to permit the Portfolio Funds to trade on a speculativebasis in a wide range of different futures and forwards markets on behalf ofthe Fund (through the Portfolio Funds). While being used for this purpose, the Fund’s assets are also generallyavailable for cash management, as more fully described below under “Cash Assets”.

 

Market Sectors

 

The respective advisors ofthe Portfolio Funds apply their proprietary systems to a broadly-diversifiedportfolio of futures and forward markets.

 

 The Portfolio Funds’ commitments to differenttypes of markets – U.S. and non-U.S., regulated and non-regulated – differsubstantially from time to time, as well as over time.  The Portfolio Funds have no policyrestricting its relative commitment to any of these different types of markets.

 

Market Types

 

The Portfolio Funds trade ona variety of United States and foreign futures exchanges.  Substantially all of the Portfolio Funds’off-exchange trading takes place in the highly liquid, institutionally-basedcurrency forward markets.

 

Many of the Portfolio Funds’currency trades are executed in the spot and forward foreign exchange markets(the “FX Markets”) where there are no direct execution costs.  Instead, the participants, banks and dealersin the FX markets take a “spread” between the prices at which they are preparedto buy and sell a particular currency and such spreads are built into thepricing of the spot or forward contracts with the Portfolio Funds.

 

Custody of Assets

 

Allof the Portfolio Funds’ assets are currently held in Commodity Futures TradingCommission (“CFTC”) regulated customer accounts at MLPF&S.

 

Cash Assets

 

Each Portfolio Fund willgenerally earn interest, as described below, on its “Cash Assets”, which can begenerally described as the cash actually held by the Portfolio Fund plus its “opentrade equity” (unrealized gain and loss marked to market daily on openpositions of the Portfolio Funds).   CashAssets are held primarily in U.S. dollars, and to a lesser extent in foreigncurrencies, and are comprised of each Portfolio Funds’ cash balances held inthe offset accounts (as described below) – which include “open trade equity”(unrealized gain and loss on open positions) on United States futurescontracts, which is paid into or out of the Portfolio Funds’ account on a dailybasis; the Portfolio Funds’ cash balance in foreign currencies derived from theirtrading in non-U.S. dollar denominated futures and options contracts, whichincludes open trade equity on those exchanges which settle gains and losses onopen positions in such contracts prior to closing out such positions.  Cash Assets do not include and the PortfolioFunds do not earn interest income on the Portfolio Funds’ gains or losses onits open forward, commodity option and certain foreign futures positions sincesuch gains and losses are not collected or paid until such positions are closedout.

 

The Portfolio Funds’ CashAssets may be greater than, less than or equal to the Portfolio Funds’ NetAsset Value (on which the redemption value of the Units is based) primarilybecause Net Asset Value reflects all gains and losses on open positions as wellas accrued but unpaid expenses.

 

2

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Interest Earned on the Fund’sU.S. Dollar Cash Assets

 

The Portfolio Funds’ U.S.dollar Cash Assets are held in cash at MLPF&S, which utilizes offsetaccounts.

 

Offset accounts arenon-interest bearing demand deposit accounts maintained with banks unaffiliatedwith Merrill Lynch.  An integral featureof the offset arrangements is that the participating banks specifically acknowledgethat the offset accounts are MLPF&S customer accounts, not subject to anyMerrill Lynch liability.

 

MLPF&S credits thePortfolio Funds with interest at the most favorable rate payable by MLPF&Sto accounts of Merrill Lynch affiliates but not less than 75% of suchprevailing rate.  The Portfolio Funds arecredited with interest on any of their assets and net gains actually held byMLPF&S non-U.S. dollar currencies at a prevailing local rate received byMerrill Lynch.  Merrill Lynch may derivecertain economic benefit, in excess of the interest, which Merrill Lynch paysto the Portfolio Funds, from possession of such assets.

 

The use of the offsetaccount arrangements for the Portfolio Funds’ U.S. dollar Cash Assets may bediscontinued by Merrill Lynch at any time. If Merrill Lynch were to terminate the offset arrangements, it wouldattempt to invest all of the Portfolio Funds’ U.S. dollar Cash Assets to themaximum practicable extent in short-term Treasury bills.  All interest earned on the U.S. dollarAvailable Assets so invested would be paid to the Portfolio Funds, but MLAIwould expect the amount of such interest to be less than that available to thePortfolio Funds under the offset account arrangements.  The remaining U.S. dollar Available Assets ofthe Portfolio Funds would be kept in cash to meet variation margin payments andpay expenses, but would not earn interest for the Portfolio Funds.

 

The banks at which theoffset accounts are maintained make available to Merrill Lynch interest-freeovernight credits, loans or overdrafts in the amount of the Portfolio Funds’U.S. dollar Available Assets held in the offset accounts, charging MerrillLynch a small fee for this service.  Theeconomic benefits derived by Merrill Lynch – net of the interest credits paidto the Portfolio Funds and the fee paid to the offset banks – from the offsetaccounts have not exceeded 0.75% per annum of the Portfolio Funds’ averagedaily U.S. dollar Available Assets held in the offset accounts.  These revenues to Merrill Lynch are inaddition to the Brokerage Commissions and Sponsor Fees paid by the PortfolioFunds to MLPF&S and MLAI, respectively.

 

The Cash balance of the Fundheld at an unaffiliated bank is invested in money market funds and it generatesinome for the Fund

 

Interest Paid by MerrillLynch on Non-U.S. Dollar Cash Assets

 

Underthe single currency margining system implemented for the Portfolio Funds, thePortfolio Funds do not deposit foreign currencies to margin trading in non-U.S.dollar denominated futures contracts and options, if any.  MLPF&S provides the necessary margin,permitting the Portfolio Funds to retain the monies which would otherwise berequired for such margin as part of the Portfolios Funds’ U.S. dollar CashAssets.  The Portfolio Funds do not earninterest on foreign margin deposits provided by MLPF&S. The Portfolio Fundsdo, however, earn interest on its non-U.S. dollar Cash Assets.  Specifically, the Portfolio Funds arecredited by Merrill Lynch with interest at prevailing short-term local rates onassets and net gains on non-U.S. dollar denominated positions for such gainsactually held in cash..  Merrill Lynchcharges the Portfolio Funds Merrill Lynch’s cost of financing realized andunrealized losses on such positions.

 

ThePortfolio Funds hold foreign currency gains and finances foreign currencylosses on an interim basis until converted into U.S. dollars and either paidinto or out of the Portfolio Funds’ U.S. dollar Cash Assets.  Foreign currency gains or losses on openpositions are not converted into U.S. dollars until the positions areclosed.  Assets of the Portfolio Fundswhile held in foreign currencies are subject to exchange rate risk.

 

3

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***Charges***

 

Thefollowing table summarizes the charges incurred by the Fund for the period April 2,2007 (commencement of operations) to December 31, 2007.

 
| ** **     | ** ** | **2007**           | ** ** |
|----------------|------------|--------------------|------------|
| **Charges**    | ** ** | **Dollar  Amount** | ** ** | **% of Average  Month-End Net Assets  (all other purposes) (1)** | ** ** |
| ** **     | ** ** | ** **         | ** ** | ** ** | ** ** |
| Other Expenses |       | $                  | 504,521    |   | 0.60 | % |
| Sponsor fees   |       | 485,354            |       | 0.58 | % |
| Total          |       | $                  | 989,875    |   | 1.18 | % |

 

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(1) Not annualized anddo not reflect the proportionate share of expenses of the Portfolio Funds.

 

The foregoing table does notreflect the bid-ask spreads paid by the Portfolio Funds on their forwardtrading, or the benefits which may be derived by Merrill Lynch from the depositof certain of the Portfolio Funds’ U.S. dollar assets maintained at MLPF&S.

 

TheFund’s average month-end Net Asset Values for all other purposes during 2007equaled $83,843,527.

 

During 2007, the Fund earned$3,827 in interest income, or approximately 0.005% of the Fund’s averagemonth-end Net Asset Values for all other purposes.

 

**Description of CurrentCharges**

 
| **Recipient** | ** ** | **Nature of Payment** | ** ** | **Amount of Payment**                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
|---------------|------------|-----------------------|------------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| MLPF&S    |       | Use of assets         |       | Merrill Lynch may derive an economic benefit from  the deposit of certain of the Portfolio Funds’ U.S. dollar assets in accounts  maintained at MLPF&S.                                                                                                                                                                                                                                                                                                                                                                  |
|          |       |                  |       |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
| MLAI          |       | Sponsor Fees          |       | A flat-rate monthly charge of 0.125% of 1% (1.50  annual rate) on class A units, flat-rate monthly charge of 0.2083 of 1%  (2.50% annual rate) on Class C units, a flat-rate monthly charge of  0.0917 of 1% (1.10% annual rate) on Class I units (including the monthly  interestcredit and before reduction for accrued month end redemptions,  distributions, brokerage commissions, sponsor fees, management fees, in each  case as of the month of determination. Class D and D-SD do not pay a  Sponsor fee. |
|          |       |                  |       |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
| MLPF&S    |       | Sales Commissions     |       | Class A Units are subject to a sales commission  paid to Merrill Lynch ranging from 1.0% to 2.5%. Class D Class D-SD  and Class I Units are subject to sales commissions up to 0.5%. The rate  assessed to a given subscription is based upon the subscription amount. Sales  commissions are directly deducted from subscription amounts. Class C Units  are not subject to any sales commission.                                                                                                       |

 

4

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| Merrill Lynch International Bank (“MLIB”) (or an  affiliate); Other counterparties |   | Bid–ask spreads                                               |   | Bid–ask spreads Portfolio Funds on forwards and  related trades.                                                                                                                                                                                                                                                                                          |
|----------------------------------------------------------------------------------------------|--------|--------------------------------------------------------------------|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                         |   |                                                               |   |                                                                                                                                                                                                                                                                                                                                                           |
| MLIB (or an affiliate); Other counterparties                                                 |   | EFP differentials                                                  |   | Certain of the Portfolio Funds’ currency trades may  be executed in the form of “exchange of futures for physical” transactions,  in which a counterparty (which may be MLIB or an affiliate) receives an  additional “differential” spread for exchanging the Fund’s cash currency  positions for equivalent futures positions. |
|                                                                                         |   |                                                               |   |                                                                                                                                                                                                                                                                                                                                                           |
| Others                                                                                       |   | Operating expense of Fund including audit, legal and  tax services |   | Actual payments to third parties.                                                                                                                                                                                                                                                                                                                              |
|                                                                                         |   |                                                               |   |                                                                                                                                                                                                                                                                                                                                                           |
| MLPF&S; Others                                                                           |   | Brokerage Commissions                                              |   | The aggregate brokerage commissions charges should  equal approximately 0.50% per annum of each of the Portfolio Funds’ average  month-end asset.                                                                                                                                                                                                         |
|                                                                                         |   |                                                               |   |                                                                                                                                                                                                                                                                                                                                                           |
| Portfolio Funds’ Advisors and MLAI                                                      |   | Management fees                                                    |   | A flat monthly charge of 0.1167 of 1% of the  Portfolio Funds’ month-end assets (a 2% annual rate). MLAI receives certain  percentage of the management fees paid by the Portfolio Funds’ from the  advisors.                                                                                                                                        |
|                                                                                         |   |                                                               |   |                                                                                                                                                                                                                                                                                                                                                           |
| Portfolio Funds’  Advisors & MLAI                                              |   | Annual Performance Fees                                            |   | Portfolio Funds’ receive 20% to 25% of their new trading profits as  performance fee. For Certain Portfolio Funds MLAI receives 25% of the 20%  performance fee.                                                                                                                                                                                          |

 

5

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***Regulation***

 

MLAI, advisors of the Portfolio Funds, and MLPF&S are each subjectto regulation by the CFTC and the NFA. Other than in respect of the registration requirements pertaining to theFund’s securities under Section 12(g) of the Securities Exchange Actof 1934, the Fund is generally not subject to regulation by the Securities andExchange Commission (the “SEC”). However, MLAI itself is registered as an “investment adviser” under theInvestment Advisers Act of 1940. MLPF&S is also regulated by the SEC and the Financial IndustryRegulatory Authority (“FINRA”).

 

(d)           FinancialInformation about Geographic Areas

 

The Portfolio Funds do not engage in material operations in foreigncountries, nor is a material portion of the Fund’s revenue derived fromcustomers in foreign countries.

 

The Portfolio Funds may trade on a number of foreign commodityexchanges.  The Portfolio Funds and theFund do not engage in the sales of goods or services.

 

**Item 1A:  Risk Factors**

 

## **Past Performance NotNecessarily Indicative of Future Results**

 

Past performance is not necessarily indicativeof future results.  The trading advisor’spast performance may not be representative of how it may trade in the futurefor the Portfolio Funds.

 

## **Volatile Markets; HighlyLeveraged Trading**

 

Futures and forward trading is highly leveraged,and market price levels are volatile and materially affected by unpredictablefactors such as weather and governmental intervention.  The combination of leverage and volatilitycreates a high degree of risk.

 

## **Importance of GeneralMarket Conditions**

 

Overall market or economic conditions — whichneither MLAI nor the trading advisors can predict or control — have a materialeffect on the performance of any managed futures strategy.

 

## **Forward Trading**

 

The Portfolio Funds will trade currencies in theforward in addition to in the futures markets. The forward markets are over-the-counter, not exchange, markets, and intrading in these markets, the Portfolio Funds will be dependent on the creditstanding of the counterparties with which they trade, without the financial supportof any clearinghouse system.  Inaddition, the prices offered for the same forward contract may varysignificantly among different forward market participants.  Forward market counterparties are under noobligation to enter into forward transactions, including transactions throughwhich the Portfolio Funds are attempting to liquidate open positions.

 

## **Increased Assets UnderManagement**

 

There appears to be a tendency for the rates ofreturn achieved by managed futures advisors to decline as assets under managementincrease.  The trading advisor has notagreed to limit the amount of additional equity which it may manage.

 

## **Trading Advisor Risk**

 

The Fund is subject to the risk of the badjudgment, negligence or misconduct of the trading advisors.  There have been a number of instances inrecent years in which private investment funds have incurred substantial lossesdue to manager misconduct.

 

6

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## **Changes in TradingStrategy**

 

The trading advisor may make materialchanges in its trading strategies without the knowledge of MLAI.

 

## **Illiquid Markets**

 

Certain positions held by the Portfolio Fundsmay become illiquid, preventing the trading advisor from acquiring positionsotherwise indicated by its strategy or making it impossible for the tradingadvisor to close out positions against which the market is moving.

 

Certain futures markets are subject to “dailyprice limits,” restricting the maximum amount by which the price of aparticular contract can change during any given trading day.  Once a contract’s price has moved “the limit,”it may be impossible or economically non-viable to execute trades in suchcontract.  From time to time, prices havemoved “the limit” for a number of consecutive days, making it impossible fortraders against whose positions the market was moving to prevent large losses.

 

## **Trading on Non-U.S.Exchanges**

 

The trading advisor may trade extensively onnon-U.S. exchanges.  These exchanges arenot regulated by any United States governmental agency. The Portfolio Funds andconsequently the Fund could incur substantial losses trading on foreignexchanges to which it would not have been subject had their trading advisorlimited its trading to U.S. markets.

 

The profits and losses derived from trading foreignfutures and options will generally be denominated in foreign currencies;consequently, the Portfolio Funds will be subject to a certain degree ofexchange-rate risk in trading such contracts.

 

## **The Portfolio Funds CouldLose Assets and Have Their Trading Disrupted Due to the Bankruptcy of One ofthe Parties**

 

The Portfolio Funds are subject to the risk ofinsolvency of a counterparty, an exchange, a clearinghouse or MLPF&S.  The assets could be lost or impounded duringlengthy bankruptcy proceedings.  Were asubstantial portion of the capital tied up in a bankruptcy, MLAI might suspendor limit trading, perhaps causing the Portfolio Funds to miss significantprofit opportunities. There are increased risks in dealing with unregulatedtrading counterparties including the risk that assets may not benefit from theprotection afforded to “customer funds” deposited with regulated dealers andbrokers.

 

**Item 1B:  Unresolved StaffComments**

 

Not applicable.

 

**Item 2:****  ****Properties**

 

The Fund and the Portfolio Funds do not use any physical properties inthe conduct of their business.

 

The sponsor offices are the administrative offices of MLAI (MerrillLynch Alternative Investments LLC, Hopewell Corporate Campus Building No. 2,1200 Merrill Lynch Drive, First Floor, Pennington, New Jersey 08534).  MLAI performs administrative services for theFund from MLAI’s offices.

 

**Item 3:****  ****Legal Proceedings**

 

None

 

**Item 4:****  ****Submission of Matters to a Voteof Security Holders**

 

None.

 

7

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** **

**PART II**

 

**Item 5:**   **Market for Registrant’s Common Equity, Related Stockholder Matters andIssuer Purchases of Equity Securities**

 

Item 5(a)

 

(a)           Market Information:

 

There is no established public trading market for the Units, and noneis likely to develop.  Members may redeemUnits on ten days written notice to MLAI as of the last day of each month attheir Net Asset Value for all other purposes, subject to certain earlyredemption charges.

 

(b)           Holders:

 

As of December 31, 2007, there were 928 holders of Units.

 

(c)           Dividends:

 

Fund has not made and does not contemplate making any distributions onthe Units.

 

(d)           Securities Authorized for Issuance UnderEquity Compensation Plans:

 

Not applicable.

 

8

----

 

(e)           Recent Sales of Unregistered Securities:

 

Issuanceto accredited investors pursuant to Regulation D and Section 4(6) underthe Securities Act.  The selling agent ofthe following Class of Units was MLPF&S.

 

During the fourth quarter of 2007 the Fund issued Units as set forth inthe following chart:

* *
| **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      |       |
| Nov-07           |       | 609,193          |       | 593,062    |       | 1.0272      |       |
| Dec-07           |       | 604,324          |       | 598,756    |       | 1.0093      |       |
| Jan-08           |       | 490,879          |       | 477,602    |       | 1.0278      |       |
| Feb-08           |       | 765,834          |       | 735,248    |       | 1.0416      |       |
|                  |            |                  |            |            |            |             |            |  |

 
| **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      |       |
| Nov-07           |       | 23,117,656       |       | 21,645,745 |       | 1.0680      |       |
| Dec-07           |       | 15,508,445       |       | 14,789,667 |       | 1.0486      |       |
| Jan-08           |       | 9,666,262        |       | 9,060,988  |       | 1.0668      |       |
| Feb-08           |       | 10,615,351       |       | 9,826,299  |       | 1.0803      |       |
|                  |            |                  |            |            |            |             |            |  |

 
| **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      |       |
| Nov-07           |       | —           |       | —     |       | 1.1569      |       |
| Dec-07           |       | 5,237,412        |       | 4,601,891  |       | 1.1381      |       |
| Jan-08           |       | —           |       | —     |       | 1.1603      |       |
| Feb-08           |       | —           |       | —     |       | 1.1774      |       |
|                  |            |                  |            |            |            |             |            |  |  |

 
| **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      |       |
| Nov-07              |       | —           |       | —     |       | 1.0324      |       |
| Dec-07              |       | —           |       | —     |       | 1.0157      |       |
| Jan-08              |       | —           |       | —     |       | 1.0356      |       |
| Feb-08              |       | 11,999           |       | 11,419     |       | 1.0508      |       |
|                     |            |                  |            |            |            |             |            |  |  |

 
| **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            |       |
| Nov-07           |       | 8,538,181        |       | 7,947,669  |       | 1.0743            |       |
| Dec-07           |       | 3,844,748        |       | 3,641,204  |       | 1.0559            |       |
| Jan-08           |       | 175,293          |       | 162,972    |       | 1.0756            |       |
| Feb-08           |       | 15,517,918       |       | 14,230,094 |       | 1.0905            |       |
|                  |            |                  |            |            |            |                   |            |  |

 

----

(1)       Net Asset Value for all others purposes.

There are no underwriting/selling agent discounts or commissions.

 

9

----

 

Item 5(b)

 

Not applicable.

 

Item 5(c)

 

Not applicable.

 

10

----

 

**Item 6:**   **Selected Financial Data**

 

The following selected financial data has been derived from thefinancial statements of the Fund.

 
| ** **                                    | ** ** | **For the Period**     | ** ** |
|-----------------------------------------------|------------|----------------------------------|------------|
| ** **                                    | ** ** | **April 2, 2007**      | ** ** |
| ** **                                    | ** ** | **(commencement of operations)** | ** ** |
| ** **                                    | ** ** | **to December 31,**         | ** ** |
| ** **                                    | ** ** | **2007**                         | ** ** |
| **TRADING  PROFIT (LOSS):**                   |       |                             |       |
|                                          |       |                             |       |
| Realized                                      |       | $                                | (560,037   | ) |
| Change in  unrealized                         |       | 14,550,075                       |       |
|                                          |       |                             |       |
| Total trading  profit                         |       | 13,990,038                       |       |
|                                          |       |                             |       |
| **INVESTMENT  INCOME:**                       |       |                             |       |
| Interest                                      |       | 3,827                            |       |
|                                          |       |                             |       |
| **EXPENSES:**                                 |       |                             |       |
| Sponsor fee                                   |       | 485,354                          |       |
| Other                                         |       | 504,521                          |       |
|                                          |       |                             |       |
| Total expenses                                |       | 989,875                          |       |
|                                          |       |                             |       |
| **NET  INVESTMENT LOSS**                      |       | (986,048                         | )          |
|                                          |       |                             |       |
| **NET  INCOME**                               |       | $                                | 13,003,990 |   |
|                                          |       |                             |       |
| **NET  INCOME PER UNIT:**                     |       |                             |       |
|                                          |       |                             |       |
| Weighted average  number of Units outstanding |       |                             |       |
| Class A**                                |       | 3,034,273                        |       |
| Class C*                                 |       | 28,115,079                       |       |
| Class D                                  |       | 57,470,233                       |       |
| Class D-  SD**                           |       | 4,998,359                        |       |
| Class I                                  |       | 4,656,993                        |       |
|                                          |       |                             |       |
| Net income per  weighted average Unit         |       |                             |       |
| Class A**                                |       | $                                | 0.1351     |   |
| Class C*                                 |       | $                                | 0.1087     |   |
| Class D                                  |       | $                                | 0.1564     |   |
| Class D-  SD**                           |       | $                                | 0.0350     |   |
| Class I*                                 |       | $                                | 0.0801     |   |

 

----

* Units issued onJune 1, 2007

** Units issued onJuly 1, 2007

 

11

----

 

For financial reporting purposes, in conformity with GAAP, the Fundamortizes initial offering costs payable to MLAI over twelve months forpurposes of determining Net Asset Value. For all other purposes, including computing Net Asset Value for purposesof member subscription and redemption activity, such payment is amortized over60 months.  Consequently, as of December 31,2007, the Net Asset Value and Net Asset Value per Unit of the different Classesfor financial reporting purposes and for all other purposes 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     |       | $                             | 5,219,799   |                         | $          | 5,217,419                                        |       | 5,078,646 |   | $ | 1.0278 |   | $ | 1.0273 |   |
| Class C     |       | 74,560,703                    |        | 74,531,573                   |       | 69,888,701                                       |       | 1.0668 |   | 1.0664 |   |
| Class D     |       | 19,497,806                    |        | 19,442,860                   |       | 16,803,705                                       |       | 1.1603 |   | 1.1571 |   |
| Class D- SD |       | 5,167,584                     |        | 5,165,016                    |       | 4,990,154                                        |       | 1.0356 |   | 1.0350 |   |
| Class I     |       | 15,872,806                    |        | 15,867,209                   |       | 14,757,114                                       |       | 1.0756 |   | 1.0752 |   |
|             |       | $                             | 120,318,698 |                         | $          | 120,224,077                                      |       | 111,518,320 |   |   |   |   |   |
|                  |            |                               |             |                              |            |                                                  |            |  |  |  |  |  |  |  |  |

 

MLAI believes that the Net Asset Value used to calculate subscriptionand redemption value and report performance to investors throughout the year isthe most valuable to the Members of the Fund. Therefore, the charts below referencing Net Asset Value and performancemeasurements are based on the Net Asset Value for “all other purposes”.

 
| ** **                                                    | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
|---------------------------------------------------------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|----------|------------|----------|------------|----------|------------|
| 2007                                                          |       | N/A      |       | N/A      |       | N/A      |       | N/A      |       | N/A     |       | N/A      |       | $        | 0.9588     |     | $          | 0.9090    |       | $        | 0.9705     |     | $          | 1.0272   |       | $ | 1.0093 |   | $ | 1.0278 |   |
|                                                          |       |
| MONTH-END NET ASSET  VALUE PER INITIAL UNIT - CLASS C    |       |
|                                                          |       |     |       |     |       |     |       |     |       |    |       |     |       |     |       |     |       |      |       |     |       |     |       |     |       |
| ** **                                                    | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
| 2007                                                          |       | N/A      |       | N/A      |       | N/A      |       | N/A      |       | N/A     |       | $        | 1.0432     |     | $          | 0.9993   |       | $         | 0.9467     |     | $          | 1.0099   |       | $        | 1.0680     |   | $ | 1.0486 |   | $ | 1.0668 |   |
|                                                          |       |     |       |     |       |     |       |     |       |    |       |     |       |     |       |     |       |      |       |     |       |     |       |     |       |
| MONTH-END NET ASSET  VALUE PER INITIAL UNIT - CLASS D    |       |
|                                                          |       |
| ** **                                                    | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
| 2007                                                          |       | N/A      |       | N/A      |       | N/A      |       | $        | 1.0339     |    | $          | 1.0719   |       | $        | 1.1206     |     | $          | 1.0757    |       | $        | 1.0212     |     | $          | 1.0916   |       | $ | 1.1569 |   | $ | 1.1381 |   | $ | 1.1603 |   |
|                                                          |       |     |       |     |       |     |       |     |       |    |       |     |       |     |       |     |       |      |       |     |       |     |       |     |       |
| MONTH-END NET ASSET  VALUE PER INITIAL UNIT - CLASS D-SD |       |
|                                                          |       |     |       |     |       |     |       |     |       |    |       |     |       |     |       |     |       |      |       |     |       |     |       |     |       |
| ** **                                                    | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
| 2007                                                          |       | N/A      |       | N/A      |       | N/A      |       | N/A      |       | N/A     |       | N/A      |       | $        | 0.9600     |     | $          | 0.9113    |       | $        | 0.9741     |     | $          | 1.0324   |       | $ | 1.0157 |   | $ | 1.0356 |   |
|                                                          |       |     |       |     |       |     |       |     |       |    |       |     |       |     |       |     |       |      |       |     |       |     |       |     |       |
| MONTH-END NET ASSET  VALUE PER INITIAL UNIT - CLASS I    |       |
|                                                          |       |     |       |     |       |     |       |     |       |    |       |     |       |     |       |     |       |      |       |     |       |     |       |     |       |
| ** **                                                    | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
| 2007                                                          |       | N/A      |       | N/A      |       | N/A      |       | N/A      |       | N/A     |       | $        | 1.0444     |     | $          | 1.0017   |       | $         | 0.9500     |     | $          | 1.0146   |       | $        | 1.0743     |   | $ | 1.0559 |   | $ | 1.0756 |   |
|                                                               |            |          |            |          |            |          |            |          |            |         |            |          |            |          |            |          |            |           |            |          |            |          |            |          |            |  |  |  |  |  |  |  |  |  |

 

Pursuantto CFTC policy, monthly performance is presented from April 2, 2007(commencement of operations).

 

12

----

 

**ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC**

**(CLASS A UNITS)**(5)

**December 31, 2007**

 

*Type of Pool:*  Single Advisor Non-“Principal Protected”(1)

*Inception of Trading:*  July 1, 2007

*Aggregate Subscriptions $4,977,396*

*Current Capitalization: * $5,219,799

*Worst Monthly Drawdown(2): *(5.19)% (August 2007)

*Worst Peak-to-Valley Drawdown(3): *(9.10)%  (July-August 2007)

 

*Net Asset Value per Unitfor Class A, December 31, 2007:*   $1.0278

 

**Monthly Rates of Return-Class A(4)**

 

| **Month**                       | ** ** | **2007** | ** ** |
|---------------------------------|------------|----------|------------|
| January                         |       | —   |       |
| February                        |       | —   |       |
| March                           |       | —   |       |
| April                           |       | —   |       |
| May                             |       | —   |       |
| June                            |       | —   |       |
| July                            |       | -4.12    | %          |
| August                          |       | (5.19    | )          |
| September                       |       | 6.76     |       |
| October                         |       | 5.85     |       |
| November                        |       | (1.74    | )          |
| December                        |       | 1.83     |       |
| Compound Annual  Rate of Return |       | 2.78     | %          |

 

----

(1) Certain Funds, including Funds sponsored by MLAI, arestructured so as to guarantee to investors that their investment will be worthno less than a specified amount (typically, the initial purchase price) as of adate certain after the date of investment. The CFTC refers to such Funds as “principal protected”.  The Fund has no such feature.

 

(2) Worst Monthly Drawdown represents the largest negative MonthlyRate of Return experienced since July 1, 2007 by the Fund; a drawdown ismeasured on the basis of month-end Net Asset Value only, and does not reflectintra-month figures.

 

(3) Worst Peak-to-Valley Drawdown represents the greatestpercentage decline since July 1, 2007 from a month-end cumulative MonthlyRate of Return without such cumulative Monthly Rate of Return being equaled orexceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January andFebruary, 1% in March and (2)% in April, the Peak-to-Valley Drawdown wouldstill be continuing at the end of April in the amount of approximately(3)%, whereas if the Monthly Rate of Return had been approximately 3% in March,the Peak-to-Valley Drawdown would have ended as of the end of February atapproximately the (2)% level.

 

(4) Monthly Rate of Return is the net performance of the Fundduring the month of determination (including interest income and after all expenseshave been accrued or paid) divided by the total equity of the Fund as of thebeginning of such month*.*

 

(5) The information presented is based on Net Asset Value and NetAsset Value per Unit for all other purposes. The inception to date total returnbased on U.S. GAAP 2.73%.

 

13

----

 

**ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC**

**(CLASS C UNITS)**(5)

**December 31, 2007**

 

*Type of Pool:*  Single Advisor Non-“Principal Protected”(1)

*Inception of Trading:* June 1, 2007

*Aggregate Subscriptions:*   $72,659,028

*Current Capitalization: * $74,560,703

*Worst Monthly Drawdown(2): *(5.27)% (August 2007)

*Worst Peak-to-Valley Drawdown(3): *(9.25)%  (July-August 2007)

 

*Net Asset Value per Unit for Class C, December 31, 2007:*  $1.0668

 

**MonthlyRates of Return-Class C(4)**

** **

| **Month**                       | ** ** | **2007** | ** ** |
|---------------------------------|------------|----------|------------|
| January                         |       | —   |       |
| February                        |       | —   |       |
| March                           |       | —   |       |
| April                           |       | —   |       |
| May                             |       | —   |       |
| June                            |       | 4.32     | %          |
| July                            |       | (4.20    | )          |
| August                          |       | (5.27    | )          |
| September                       |       | 6.67     |       |
| October                         |       | 5.76     |       |
| November                        |       | (1.82    | )          |
| December                        |       | 1.74     |       |
| Compound Annual  Rate of Return |       | 6.68     | %          |

 

----

(1) Certain Funds, including Funds sponsored by MLAI, arestructured so as to guarantee to investors that their investment will be worthno less than a specified amount (typically, the initial purchase price) as of adate certain after the date of investment. The CFTC refers to such funds as “principal protected”.  The Fund has no such feature.

 

(2) Worst Monthly Drawdown represents the largest negative MonthlyRate of Return experienced since June 1, 2007 by the Fund; a drawdown ismeasured on the basis of month-end Net Asset Value only, and does not reflectintra-month figures.

 

(3) Worst Peak-to-Valley Drawdown represents the greatestpercentage decline since June 1, 2007 from a month-end cumulative MonthlyRate of Return without such cumulative Monthly Rate of Return being equaled orexceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January andFebruary, 1% in March and (2)% in April, the Peak-to-Valley Drawdown wouldstill be continuing at the end of April in the amount of approximately(3)%, whereas if the Monthly Rate of Return had been approximately 3% in March,the Peak-to-Valley Drawdown would have ended as of the end of February atapproximately the (2)% level.

 

(4) Monthly Rate of Return is the net performance of the Fundduring the month of determination (including interest income and after allexpenses have been accrued or paid) divided by the total equity of the Fund asof the beginning of such month*.*

 

(5) The information presented is based on Net Asset Value and NetAsset Value per Unit for all other purposes. The inception to date total returnbased on U.S. GAAP is 6.64%.

 

14

----

 

**ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC**

**(CLASS D UNITS)**(5)

**December 31, 2007**

 

*Type of Pool:*  Single Advisor Non-“Principal Protected”(1)

*Inception of Trading:* April 2, 2007

*Aggregate Subscriptions:*   $18,735,477

*Current Capitalization: * $19,497,806

*Worst Monthly Drawdown(2): *(5.07)% (August 2007)

*Worst Peak-to-Valley Drawdown(3): *(8.87)%  (July-August 2007)

 

*Net Asset Value per Unitfor Class D, December 31, 2007:*   $1.1603

 

**MonthlyRates of Return Class D(4)**

** **

| **Month**                       | ** ** | **2007** | ** ** |
|---------------------------------|------------|----------|------------|
| January                         |       | —   |       |
| February                        |       | —   |       |
| March                           |       | —   |       |
| April                           |       | 3.43     | %          |
| May                             |       | 3.64     |       |
| June                            |       | 4.54     |       |
| July                            |       | (4.00    | )          |
| August                          |       | (5.07    | )          |
| September                       |       | 6.90     |       |
| October                         |       | 5.98     |       |
| November                        |       | (1.62    | )          |
| December                        |       | 1.96     |       |
| Compound Annual  Rate of Return |       | 16.04    | %          |

 

----

(1) Certain Funds, including Funds sponsored by MLAI, arestructured so as to guarantee to investors that their investment will be worthno less than a specified amount (typically, the initial purchase price) as of adate certain after the date of investment. The CFTC refers to such Funds as “principal protected”.  The Fund has no such feature.

 

(2) Worst Monthly Drawdown represents the largest negative MonthlyRate of Return experienced since April 2, 2007 by the Fund; a drawdown ismeasured on the basis of month-end Net Asset Value only, and does not reflectintra-month figures.

 

(3) Worst Peak-to-Valley Drawdown represents the greatestpercentage decline since April 2, 2007 from a month-end cumulative MonthlyRate of Return without such cumulative Monthly Rate of Return being equaled orexceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January andFebruary, 1% in March and (2)% in April, the Peak-to-Valley Drawdown wouldstill be continuing at the end of April in the amount of approximately(3)%, whereas if the Monthly Rate of Return had been approximately 3% in March,the Peak-to-Valley Drawdown would have ended as of the end of February atapproximately the (2)% level.

 

(4) Monthly Rate of Return is the net performance of the Fundduring the month of determination (including interest income and after allexpenses have been accrued or paid) divided by the total equity of the Fund asof the beginning of such month*.*

 

(5) The information presented is based on Net Asset Value and NetAsset Value per Unit for all other purposes. The inception to date total returnbased on U.S. GAAP is 15.71%.

 

15

----

 

**ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC**

**(CLASS D-SD UNITS)**(5)

**December 31, 2007**

 

*Type of Pool:*  Single Advisor Non-“Principal Protected”(1)

*Inception of Trading:* July 1, 2007

*Aggregate Subscriptions:*   $5,000,000

*Current Capitalization: * $5,167,584

*Worst Monthly Drawdown(2): *(5.07)% (August 2007)

*Worst Peak-to-Valley Drawdown(3): *(8.87)%  (July-August 2007)

 

*Net Asset Value per Unitfor Class D-SD, December 31, 2007:*   $1.0356

 

**MonthlyRates of Return Class D-SD(4)**

** **

| **Month**                       | ** ** | **2007** | ** ** |
|---------------------------------|------------|----------|------------|
| January                         |       | —   |       |
| February                        |       | —   |       |
| March                           |       | —   |       |
| April                           |       | —   |       |
| May                             |       | —   |       |
| June                            |       | —   |       |
| July                            |       | -4.00    | %          |
| August                          |       | (5.07    | )          |
| September                       |       | 6.90     |       |
| October                         |       | 5.98     |       |
| November                        |       | (1.62    | )          |
| December                        |       | 1.96     |       |
| Compound Annual  Rate of Return |       | 3.56     | %          |

 

----

(1) Certain Funds, including Funds sponsored by MLAI, arestructured so as to guarantee to investors that their investment will be worthno less than a specified amount (typically, the initial purchase price) as of adate certain after the date of investment. The CFTC refers to such Funds as “principal protected”.  The Fund has no such feature.

 

(2) Worst Monthly Drawdown represents the largest negative MonthlyRate of Return experienced since July 1, 2007 by the Fund; a drawdown ismeasured on the basis of month-end Net Asset Value only, and does not reflectintra-month figures.

 

(3) Worst Peak-to-Valley Drawdown represents the greatestpercentage decline since July 1, 2007 from a month-end cumulative MonthlyRate of Return without such cumulative Monthly Rate of Return being equaled orexceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January andFebruary, 1% in March and (2)% in April, the Peak-to-Valley Drawdown wouldstill be continuing at the end of April in the amount of approximately(3)%, whereas if the Monthly Rate of Return had been approximately 3% in March,the Peak-to-Valley Drawdown would have ended as of the end of February atapproximately the (2)% level.

 

(4) Monthly Rate of Return is the net performance of the Fundduring the month of determination (including interest income and after allexpenses have been accrued or paid) divided by the total equity of the Fund asof the beginning of such month*.*

 

(5) The information presented is based on Net Asset Value and NetAsset Value per Unit for all other purposes. The inception to date total returnbased on U.S. GAAP is 3.50%.

 

16

----

 

**ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC**

**(CLASS I UNITS)**(5)

**December 31, 2007**

 

*Type of Pool:*  Single Advisor Non-“Principal Protected”(1)

*Inception of Trading:* June 1, 2007

*Aggregate Subscriptions:*   $15,493,954

*Current Capitalization: * $15,872,806

*Worst Monthly Drawdown(2): *(5.16)% (August 2007)

*Worst Peak-to-Valley Drawdown(3): *(9.04)%  (July-August 2007)

 

*Net Asset Value per Unitfor Class I, December 31, 2007: $1.0756*

 

**MonthlyRates of Return-Class I (4)**

 

| **Month**                       | ** ** | **2007** | ** ** |
|---------------------------------|------------|----------|------------|
| January                         |       | —   |       |
| February                        |       | —   |       |
| March                           |       | —   |       |
| April                           |       | —   |       |
| May                             |       | —   |       |
| June                            |       | 4.44     | %          |
| July                            |       | (4.09    | )          |
| August                          |       | (5.16    | )          |
| September                       |       | 6.80     |       |
| October                         |       | 5.88     |       |
| November                        |       | (1.71    | )          |
| December                        |       | 1.86     |       |
| Compound Annual  Rate of Return |       | 7.56     | %          |

 

----

(1) Certain Funds, including Funds sponsored by MLAI, arestructured so as to guarantee to investors that their investment will be worthno less than a specified amount (typically, the initial purchase price) as of adate certain after the date of investment. The CFTC refers to such Funds as “principal protected”.  The Fund has no such feature.

 

(2) Worst Monthly Drawdown represents the largest negative MonthlyRate of Return experienced since June 1, 2007 by the Fund; a drawdown ismeasured on the basis of month-end Net Asset Value only, and does not reflect intra-monthfigures.

 

(3) Worst Peak-to-Valley Drawdown represents the greatestpercentage decline since June 1, 2007 from a month-end cumulative MonthlyRate of Return without such cumulative Monthly Rate of Return being equaled orexceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January andFebruary, 1% in March and (2)% in April, the Peak-to-Valley Drawdown wouldstill be continuing at the end of April in the amount of approximately(3)%, whereas if the Monthly Rate of Return had been approximately 3% in March,the Peak-to-Valley Drawdown would have ended as of the end of February atapproximately the (2)% level.

 

(4) Monthly Rate of Return is the net performance of the Fundduring the month of determination (including interest income and after allexpenses have been accrued or paid) divided by the total equity of the Fund asof the beginning of such month*.*

 

(5) The information presented is based on Net Asset Value and NetAsset Value per Unit for all other purposes. The inception to date total returnbased on U.S. GAAP is 7.52%.

 

17

----

 

**Item 7:             Management’sDiscussion and Analysis of Financial Condition and Results of Operations**

 

***Operational Overview***

 

This performance summary is an outline description of how the Fundperformed in the past, not necessarily any indication of how it will perform inthe future.  In addition, the generalcauses to which certain price movements are attributed may or may not in facthave caused such movements, but simply occurred at or about the same time.

 

The Porfolio Funds are unlikely to be profitable in markets in whichsuch trends do not occur.  Static orerratic prices are likely to result in losses. Similarly, unexpected events (for example, a political upheaval, naturaldisaster or governmental intervention) can lead to major short-term losses, aswell as gains.

 

While there can be no assurance that the Portfolio Funds will beprofitable under any given market condition, markets in which substantial andsustained price movements occur typically offer the best profit potential forthe Portfolio Funds and consequently the Fund.

 

***2007***

 

Systematic MomentumFuturesAccess LLC is a fund of funds investing in eight separate accounts whichare domiciled at Merrill Lynch Futures. The Fund commenced operations on April 2,2007. The Fund posted gains for the year except for Alpha Simplex, which wasliquidated prior to year end.

 

The beginning of the second quarter profitswere posted for the Fund through mid-quarter. However, as the second quarterended there was resurgence in market volatility as bonds sold off heavily inthe first half of the month on growing optimism for global growth and thenrallied on renewed concerns in the sub-prime lending market. Similarly, equitymarkets experienced wide swings and ended the second quarter lower partly onconcerns about the potential for contagion on the back of Bear Stearns’troubled credit focused hedge funds. Although the core long term trendfollowers performed well throughout the month of June, the out-performance inthe portfolio came from the short term models of Altis and GSA. Both of thesemanagers captured reversals in equity markets and were able to profit both longand short over the course of the month. Natural gas shorts also generatedpositive results. In currencies, most managers were successful capturing strengthin the Australian dollar, Canadian dollar, and the British pound as well ascontinuing to underweight the persistently weak Japanese yen.

 

The third quarter began with extreme marketreversals. Practically all markets which were trending upward retraced asinvestors exited in an attempt to reduce risk. Credit worries and a softeninghousing market finally caught up to the equity markets and led to a big rallyin global bonds. The Japanese yen, which has been persistently weak for years,suddenly rallied against all of its higher yielding counterparts. As a resultof the reversals, losses were posted to the Fund. Long term market trendscontinued to unwind at the middle part of the third quarter as the longpositions in the Foreign Exchange carry trades, long international equities,long energy and long metals due to a spike in risk aversion on August 16thcaused significant losses in each of these trades posting losses for the Fund.The third quarter ended with a very strong performance after a turbulent summer.Strong trends re-emerged in commodities in particular, as wheat gained 21%, andcrude oil rose 11% due to supply factors. In addition, precious metals rallied,with gold 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.

 

The year ended with gains being posted forthe Fund (1.7% for December) bringing the return since its April 2007inception to 16.04%. Trends were particularly strong in commodities, withrallies in grains, oil and gold, as well as continued declines in base metals.Individual managers with a larger allocation to the commodity space tended tooutperform during the month of December. Financial futures markets were moredifficult to trade due to choppy conditions. In bonds, several managers cameinto December  with a long bias, but yields rose at the start of the monthdue to better than expected United States economic news, as well the decisionof the U.S. Federal Government to lower rates by only 25 basis points, whichwas less than some had expected. In Futures and Exchange currencies, an earlystrengthening of the U.S. dollar caught several managers by surprise, as theywere generally positioned for further U.S. dollar weakness. Finally, inequities a lack of trends meant that risk exposures were limited in this area.

 

18

----

 

VariablesAffecting Performance

 

The principal variables that determine the net performance of the Fundare gross profitability from the Portfolio Funds’ trading activities andinterest income.

 

During the period set forth above in “Selected Financial Data”, theinterest rates in many countries were at unusually low levels.  The low interest rates in the United States(although higher than in many other countries) negatively impacted revenues.  In addition, low interest rates arefrequently associated with reduced fixed income market volatility, and instatic markets the Fund’s profit potential generally tends to bediminished.  On the other hand, duringperiods of higher interest rates, the relative attractiveness of a high riskinvestment such as the Fund may be reduced as compared to high yielding andmuch lower risk fixed-income investments.

 

The Fund’s Sponsor Fees are a constant percentage of the Fund’s netassets.

 

Unlike many investment fields, there is no meaningful distinction inthe operation of the Fund between realized and unrealized profits.  Most of the contracts traded by the PortfolioFunds are highly liquid and can be closed out at any time.

 

Except in unusual circumstances, factors—regulatory approvals, cost of goods sold,employee relations and the like—whichoften materially affect an operating business have no material impact on theFund.

 

***Liquidity; Capital Resources***

 

The Portfolio Funds borrow only to a limited extent and only on astrictly short-term basis in order to finance losses on non-U.S. dollardenominated trading positions pending the conversion of the U.S. dollardeposits. These borrowings are at a prevailing short-term rate in the relevantcurrency.

 

Substantially all of the Portfolio Funds’ assets are held in cash. TheNet Asset Value of the Portfolio Funds’ cash is not affected by inflation. However, changes in interest ratescould cause periods of strong up or down price trends, during which the profitpotential generally increases. Inflation in commodity prices could alsogenerate price movements, which the strategies might successfully follow.

 

Because substantially all of the Portfolio Funds’ assets are held incash, the Portfolio Funds should be able to close out any or all of its opentrading positions and liquidate any or all of its securities holdings quicklyand at market prices, except in very unusual circumstances. This permits theadvisors to limit losses as well as reduce market exposure on short noticeshould its strategies indicate doing so. In addition, because there is areadily available market value for the Portfolio Funds positions and assets,the Fund’s monthly Net Asset Value calculations are precise, and investors needonly wait ten business days to receive the full redemption proceeds of theirUnits.

 

(The Portfolio Funds and the Fund have noapplicable off-balance sheet arrangements and tabular disclosure or contractualobligations of the type described in Items 3.03(a)(4) and 3.03(a)(5) ofRegulation S-K.)

 

**Item7A:****Quantitative and Qualitative Disclosures AboutMarket Risks**

 

Introduction

 

The Fund is a speculative commodity pool. The market sensitiveinstruments held by the Portfolio Funds are acquired for speculative tradingpurposes and all or substantially all of the Fund’s assets are subject to therisk of trading loss.  Unlike anoperating company, the risk of market sensitive instruments is integral, notincidental, to the Fund’s main line of business.

 

Market movements result in frequent changes in the fair market value ofthe Portfolio Fund’s open positions and, consequently, in its earnings and cashflow. The Portfolio Fund’s market risk is influenced by a wide variety offactors, 

 

19

----

 

including the level and volatility of interest rates, exchange rates,equity price levels, the market value of financial instruments and contracts,the diversification effects among the Portfolio Fund’s open positions and theliquidity of the markets in which it trades.

 

The Portfolio Funds, under the direction of their respective advisors,rapidly acquire and liquidate both long and short positions in currencymarkets.  Consequently, it is notpossible to predict how a particular future market scenario will affectperformance, and the past performance is not necessarily indicative of itsfuture results.

 

Value at Risk is a measure of the maximum amount which the PortfolioFunds could reasonably be expected to lose in a given market sector. However,the inherent uncertainty of the Portfolio Funds’ speculative trading and therecurrence in the markets traded by the Portfolio Funds of market movements farexceeding expectations could result in actual trading or non-trading losses farbeyond the indicated Value at Risk or the experience to date (i.e., “risk ofruin”). In light of the foregoing, as well as the risks and uncertaintiesintrinsic to all future projections, the quantifications included in thissection should not be considered to constitute any assurance or representationthat the Portfolio Funds’ losses in any market sector will be limited to Valueat Risk or by each Portfolio Funds’ attempts to manage its market risk.

 

Quantifying The Fund’s Trading Value At Risk

 

Quantitative Forward-Looking Statements

 

The following quantitative disclosures regarding the Fund’s market riskexposures contain “forward-looking statement” within the meaning of the safeharbor form civil liability provided for such statements by the PrivateSecurities Litigation Reform Act of 1995 (set forth in Section 27A of theSecurities Act of 1933 and Section 21E of the Securities Exchange Act of1934).  All quantitative disclosures inthis section are deemed to be forward-looking statements for purposes of thesafe harbor, except for statements of historical fact.

 

The Fund’s risk exposure in the various market sectors traded by theadvisors 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).

 

Exchange maintenance margin requirements of the Portfolio Funds havebeen used as the measure of its 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 studies as wellas an assessment of current market volatility (including the implied volatilityof the options on a given futures contract) and economic fundamentals toprovide a probabilistic estimate of the maximum expected near-term one-dayprice fluctuation.

 

In the case of market sensitive instruments which are notexchange-traded (almost exclusively currencies in the case of the PortfolioFunds), the margin requirements for the equivalent futures positions have beenused as Value at Risk.  In those rarecases in which a futures-equivalent margin is not available, dealers’ marginshave 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 Fund’s positions are rarely, if ever, 100%positively correlated have not been reflected.

 

20

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***The Fund’s Trading Value at Risk in DifferentMarket Sectors***

 

The following table indicates the average, highest and lowest tradingValue at Risk associated with the Fund’s open positions by market for thefiscal period.

 

**Altis Class D-SM (1)**

 
| ** **                | ** ** | **December 31, 2007** | ** ** |
|---------------------------|------------|---------------------------------|------------|
| ** **                | ** ** | **Average**                     | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**    | ** ** | **Value at Risk**     | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                      |       |                            |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                               | 175,713    |   | 1.26 | % | $ | 485,895 |   | $ | — |   |
| Energy                    |       | 161,412                         |       | 1.15 | % | 494,674 |   | — |   |
| Interest Rates            |       | 1,800,229                       |       | 12.88 | % | 3,182,159 |   | 1,107,918 |   |
| Metals                    |       | 110,296                         |       | 0.79 | % | 379,314 |   | — |   |
| Stock Indices             |       | 134,091                         |       | 0.96 | % | 432,125 |   | 24,194 |   |
| Currencies                |       | 216,373                         |       | 1.55 | % | 617,564 |   | 32,981 |   |
|                      |       |                            |       |   |   |   |   |   |   |
| TOTAL                     |       | $                               | 2,598,114  |   | 18.59 | % | $ | 5,591,731 |   | $ | 1,165,093 |   |

 

----

(1) Average capitalization of Altis Class D-SM is $13,980,880. 

 

**Transtrend Class D-SM (2)**

 
| ** **                | ** ** | **December 31, 2007**      | ** ** |
|---------------------------|------------|--------------------------------------|------------|
| **Market Sector**    | ** ** | **Average  Value at Risk** | ** ** | **% of Average  Capitalization** | ** ** | **Highest Value  At Risk** | ** ** | **Lowest Value  At Risk** | ** ** |
|                      |       |                                 |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                                    | 134,302    |   | 0.98 | % | $ | 381,539 |   | $ | 404 |   |
| Energy                    |       | 228,207                              |       | 1.66 | % | 935,201 |   | 1,012 |   |
| Interest Rates            |       | 1,003,110                            |       | 7.32 | % | 2,468,174 |   | 307,293 |   |
| Metals                    |       | 106,957                              |       | 0.78 | % | 261,195 |   | 1,046 |   |
| Stock Indices             |       | 289,208                              |       | 2.11 | % | 659,872 |   | 14,837 |   |
| Currencies                |       | 366,538                              |       | 2.67 | % | 1,277,943 |   | 16,232 |   |
|                      |       |                                 |       |   |   |   |   |   |   |
| TOTAL                     |       | $                                    | 2,128,322  |   | 15.52 | % | $ | 5,983,924 |   | $ | 340,824 |   |

 

----

(2) Average capitalization of Transtrend Class D-SM is $13,708,296. 

 

**Aspect Class D-SM (3)**

 
| ** **                | ** ** | **December 31, 2007** | ** ** |
|---------------------------|------------|---------------------------------|------------|
| ** **                | ** ** | **Average**                     | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**         | ** ** | **Value at Risk**               | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                      |       |                            |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                               | 55,976     |   | 0.39 | % | $ | 185,649 |   | $ | 2,962 |   |
| Energy                    |       | 104,385                         |       | 0.73 | % | 387,662 |   | 898 |   |
| Interest Rates            |       | 1,385,196                       |       | 9.65 | % | 2,387,159 |   | 803,935 |   |
| Metals                    |       | 46,038                          |       | 0.32 | % | 182,601 |   | 1,318 |   |
| Stock Indices             |       | 74,630                          |       | 0.52 | % | 134,548 |   | 6,491 |   |
| Currencies                |       | 168,487                         |       | 1.17 | % | 485,517 |   | 28,531 |   |
|                      |       |                            |       |   |   |   |   |   |   |
| TOTAL                     |       | $                               | 1,834,712  |   | 12.78 | % | $ | 3,763,136 |   | $ | 844,135 |   |

 

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(3) Average Capitalization of Aspect Class D-SM is $14,351,511.

 

21

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**Chesapeake Class D-SM (4)**

 
| ** **                | ** ** | **December 31, 2007** | ** ** |
|---------------------------|------------|---------------------------------|------------|
| ** **                | ** ** | **Average**                     | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**    | ** ** | **Value at Risk**     | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                      |       |                            |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                               | 87,625     |   | 0.61 | % | $ | 141,578 |   | $ | 5,556 |   |
| Energy                    |       | 59,450                          |       | 0.42 | % | 125,728 |   | 486 |   |
| Interest Rates            |       | 1,985,662                       |       | 13.93 | % | 3,838,109 |   | 347,204 |   |
| Metals                    |       | 31,412                          |       | 0.22 | % | 83,565 |   | 8,772 |   |
| Stock Indices             |       | 74,778                          |       | 0.52 | % | 197,450 |   | — |   |
| Stock Futures             |       | 59,815                          |       | 0.42 | % | 107,712 |   | 10,392 |   |
| Currencies                |       | 165,188                         |       | 1.15 | % | 291,437 |   | 11,320 |   |
|                      |       |                            |       |   |   |   |   |   |   |
| TOTAL                     |       | $                               | 2,463,930  |   | 17.27 | % | $ | 4,785,579 |   | $ | 383,730 |   |

 

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(4) Average capitalization of Chesapeake Class D-SM is $14,252,644. 

 

**Winton Class D-SM (5)**

 
| ** **                | ** ** | **December 31, 2007** | ** ** |
|---------------------------|------------|---------------------------------|------------|
| ** **                | ** ** | **Average**                     | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**    | ** ** | **Value at Risk**     | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                      |       |                            |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                               | 26,018     |   | 0.18 | % | $ | 53,438 |   | $ | 6,723 |   |
| Energy                    |       | 16,814                          |       | 0.12 | % | 39,688 |   | 1,683 |   |
| Interest Rates            |       | 962,466                         |       | 6.72 | % | 1,152,865 |   | 778,385 |   |
| Metals                    |       | 17,798                          |       | 0.12 | % | 34,193 |   | 6,680 |   |
| Stock Indices             |       | 56,528                          |       | 0.39 | % | 101,375 |   | 16,703 |   |
| Currencies                |       | 122,966                         |       | 0.86 | % | 206,667 |   | 49,205 |   |
|                      |       |                            |       |   |   |   |   |   |   |
| TOTAL                     |       | $                               | 1,202,590  |   | 8.39 | % | $ | 1,588,226 |   | $ | 859,379 |   |

 

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(5) Average capitalization of Winton Class D-SM is $14,329,688. 

 

**John Locke Class D (6)**

 
| ** **                | ** ** | **December 31, 2007** | ** ** |
|---------------------------|------------|---------------------------------|------------|
| ** **                | ** ** | **Average**                     | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**    | ** ** | **Value at Risk**     | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                      |       |                            |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                               | 29,396     |   | 0.30 | % | $ | 62,746 |   | $ | 1,134 |   |
| Energy                    |       | 38,993                          |       | 0.39 | % | 77,712 |   | 6,359 |   |
| Interest Rates            |       | 504,853                         |       | 5.08 | % | 837,912 |   | 279,802 |   |
| Metals                    |       | 30,093                          |       | 0.30 | % | 70,896 |   | 1,381 |   |
| Stock Indices             |       | 115,618                         |       | 1.16 | % | 290,112 |   | 12,552 |   |
| Currencies                |       | 146,192                         |       | 1.47 | % | 241,874 |   | 23,203 |   |
|                      |       |                            |       |   |   |   |   |   |   |
| TOTAL                     |       | $                               | 865,145    |   | 8.70 | % | $ | 1,581,252 |   | $ | 324,431 |   |

 

----

(6) Average capitalization of John Locke Class D-SM is $9,945,177.

 

22

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**GSA Class D (7)**

 
| ** **                | ** ** | **December 31, 2007** | ** ** |
|---------------------------|------------|---------------------------------|------------|
| ** **                | ** ** | **Average**                     | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**    | ** ** | **Value at Risk**     | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                      |       |                            |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                               | 1,895      |   | 0.02 | % | $ | 3,707 |   | $ | 264 |   |
| Energy                    |       | 1,303                           |       | 0.01 | % | 4,998 |   | 1 |   |
| Interest Rates            |       | 1,488,990                       |       | 16.79 | % | 1,680,785 |   | 1,172,265 |   |
| Metals                    |       | 2,900                           |       | 0.03 | % | 10,233 |   | 307 |   |
| Stock Indices             |       | 63,062                          |       | 0.71 | % | 79,077 |   | 42,441 |   |
| Currencies                |       | 28,796                          |       | 0.32 | % | 51,029 |   | 2,614 |   |
|                      |       |                            |       |   |   |   |   |   |   |
| TOTAL                     |       | $                               | 1,586,946  |   | 17.88 | % | $ | 1,829,829 |   | $ | 1,217,892 |   |

 

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(7) Average capitalization of GSA Class D-SM is $8,868,926. 

 

**AlphaSimplex Class D* (8)**

 
| ** **             | ** ** | **December 31, 2007** | ** ** |
|------------------------|------------|---------------------------------|------------|
| ** **             | ** ** | **Average**                     | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector** | ** ** | **Value at Risk**     | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                   |       |                            |       |   |   |   |   |   |   |
| Interest Rates         |       | $                               | 134,330    |   | 3.83 | % | $ | 477,006 |   | $ | — |   |
| Stock Indices          |       | 14,475                          |       | 0.41 | % | 51,031 |   | — |   |
| Currencies             |       | 18,704                          |       | 0.53 | % | 48,552 |   | — |   |
|                   |       |                            |       |   |   |   |   |   |   |
| TOTAL                  |       | $                               | 167,509    |   | 4.77 | % | $ | 576,589 |   | $ | — |   |

 

----

* Liquidated as of 12/31/07

 

(8) Average capitalization of AlphaSimplex Class D-SM is $3,506,843. 

 

Material Limitations onValue at Risk as an Assessment of Market Risk

 

Theface value of the market sector instruments held by the Portfolio Funds aretypically many times the applicable maintenance margin requirement (maintenancemargin requirements generally ranging between approximately 1% and 10% ofcontract face value) as well as many times the capitalization of the PortfolioFunds.  The magnitude of the PortfolioFund’s open positions creates a “risk of ruin” not typically found in mostother investment vehicles.  Because ofthe size of its positions, certain market conditions — unusual, buthistorically recurring from time to time — could cause the Portfolio Fund toincur severe losses over a short period of time.   The foregoing Value at Risk table — as wellas the past performance of the Portfolio Fund — gives no indication of this “riskof ruin.”

 

**Non-TradingRisk**

 

The Portfolio Funds have non-trading market risk on their foreign cashbalances not needed for margin. However, these balances (as well as the marketrisk they represent) are immaterial.

 

23

----

 

**QualitativeDisclosures Regarding Primary Trading Risk Exposures**

 

The following qualitative disclosures regarding the Fund’s market riskexposures — except for (i) those disclosures that are statements ofhistorical fact and (ii) the descriptions of how the manages its primarymarket risk exposures — constitute forward-looking statements within themeaning of Section 27A of the Securities Act and Section 21E of theSecurities Exchange Act. The Fund’s primary market risk exposures as well asthe strategies used and to be used by MLAI and the Portfolio Funds’ advisorsfor managing such exposures are subject to numerous uncertainties,contingencies and risks, any one of which could cause the actual results of theFund’s risk controls to differ materially from the objectives of such strategies.Government interventions, defaults and expropriations, illiquid markets, theemergence of dominant fundamental factors, political upheavals, changes inhistorical price relationships, an influx of new market participants, increasedregulation and many other factors could result in material losses as well as inmaterial changes to the risk exposures and the risk management strategies ofthe Fund. There can be no assurance that the Fund’s current market exposureand/or risk management strategies will not change materially or that any suchstrategies will be effective in either the short- or long-term. Investors mustbe prepared to lose all or substantially all of the time value of theirinvestment in the Fund.

 

The following were the primary trading risk exposures of the Fund as ofDecember 31, 2007, by market sector.

 

**Qualitative Disclosures Regarding Means of Managing Risk Exposure**

** **

#### **TradingRisk**

#### ** **

MLAI has procedures in place intended to control market risk, althoughthere can be no assurance that they will, in fact, succeed in doing so. WhileMLAI does not itself intervene in the markets to hedge or diversify thePortfolio Fund’s market exposure, MLAI may urge the Portfolio Funds’ advisorsto reallocate positions in an attempt to avoid over-concentrations.  However, such interventions are unusual,except in cases in which it appears that the advisors have begun to deviatefrom past practice and trading policies or to be trading erratically, MLAI’sbasic control procedures consist of simply of the ongoing process of monitoringthe advisors with the market risk controls being applied by the advisorsthemselves.

 

24

----

 

**Item 8: Financial Statements and Supplementary Data**

 

**Selected Quarterly Financial Data**

**  SystematicMomentum FuturesAccess LLC**

NetIncome (Loss) by Quarter

ThreeQuarters through December 31, 2007 (commencement of operations April 2, 2007)

 
| ** **                                   | ** ** | **Fourth**  | ** ** | **Third**   | ** ** | **Second**  | ** ** |
|----------------------------------------------|------------|-------------|------------|-------------|------------|-------------|------------|
| ** **                                   | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** |
| ** **                                   | ** ** | **2007**    | ** ** | **2007**    | ** ** | **2007**    | ** ** |
| Total Income (Loss)                |       | $           | 6,588,526  |        | $          | (2,327,810  | )          | $ | 9,733,149 |   |
| Total Expenses                               |       | 689,246     |       | 199,487     |       | 101,142     |       |
| Net Income                                   |       | $           | 5,899,280  |        | $          | (2,527,297  | )          | $ | 9,632,007 |   |
|                                         |       |        |       |        |       |        |       |
| Net Income  (Loss) per Weighted Average Unit |       | $           | 0.0602     |        | $          | (0.0291     | )          | $ | 0.1202 |   |

 

(a) The Net Income (Loss) per Unit is based on the weightedaverage of the total Units for each quarter.

 

The financial statements required by this Item are included in Exhibit 13.01.

 

The supplementary financial information (“information about oil and gasproducing activities”) specified by Item 302 of Regulation S-K is notapplicable.

 

**Item 9: Changes in and Disagreements with Accountants on Accountingand Financial Disclosure**

 

There were no changes in or disagreements with the Fund’s independentregistered public accounting firm on accounting and financial disclosure.

 

**Item 9A: Controlsand Procedures**

 

MLAI LLC, theSponsor of ML SystematicMomentum FuturesAccess LLC, with the participation of the Manager’sChief Executive Officer and the Chief Financial Officer, has evaluated theeffectiveness of the design and operation of its disclosure controls andprocedures with respect to the Fund as of the end of the period covered by thisannual report, and, based on their evaluation, have 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 their evaluation,including any corrective actions with regard to significant deficiencies andmaterial weaknesses.

 

**Item 9B:  Other Information**

 

Not Applicable.

 

25

----

 

**PART III**

 

**Item 10: Directors, Executive officers and Corporate Governance**

 

10(a) and10(b)      Identification of Directorsand Executive Officers:

 

 The managers and executive officers of MLAIand their respective business backgrounds are as follows:

 

**Paul Morton**         ChiefExecutive Officer, President and Manager

 
| **Barbra E. Kocsis** | Chief Financial Officer    |
|----------------------|----------------------------|
|                 |                       |
| **Steven B. Olgin**  | Vice President and Manager |
|                 |                       |
| **Thomas W. Lee**    | Vice President and Manager |
|                 |                       |
| **Shawn T. Wells**   | Vice President             |

 

Paul Morton is theChief Executive Officer, President and Manager of MLAI, and also serves as theCOO for the Global Investment and Insurance Solutions (GIIS) group for MerrillLynch.  As COO of GIIS, Mr. Mortonleads the market investments business within the group, which includessecondary equity, debt, listed options, futures and FX for Merrill Lynch’sGlobal Wealth Management division.  Priorto serving as COO of GIIS, Mr. Morton worked in the equity and debttrading management of Merrill Lynch. Prior to joining Merrill Lynch in 1996, Mr. Mortonworked in the equity derivatives at Paine Webber.  From 1988-1993, Mr. Morton served as anofficer in the US Army for five years.  Mr. Mortonholds a BS (Aerospace Engineering) from the United States Military Academy atWest Point (1988) and a MBA (Finance) from the Wharton School at the Universityof Pennsylvania (1995).

 

Barbra E. Kocsis is the ChiefFinancial Officer for MLAI. She is also a Director within the Merrill LynchGlobal Private Client Global Infrastructure Solutions group. Prior to that, shewas the Fund Controller of MLAI. Before coming to MLAI, Ms Kocsis held variousaccounting and tax positions at Derivatives Portfolio Management LLC from May 1992until May 1999, at which time she held the position of accountingdirector. Prior to that, she was an associate at Coopers & Lybrand inboth the audit and tax practices. She graduated cum laude from Monmouth Collegein 1988 with a Bachelor of Science in Business Administration – Accounting andis a Certified Public Accountant.

 

Steven B. Olgin is a Vice President and a Manager of the Manager, isregistered with NFA as a principal of the Manager and is a Managing Director ofMerrill Lynch Global Private Client (“GPC”). Before joining the Manager in 1994, Mr. Olgin was an associate ofthe law firm of Sidley & Austin, from 1986 until 1994.  Mr. Olgin graduated from The AmericanUniversity with a Bachelor of Science in Business Administration and a Bachelorof Arts in Economics, and received his Juris Doctor from The John Marshall LawSchool.  Mr. Olgin was a member ofthe Managed Funds Association’s Government Relations Committee and has servedas an arbitrator for NFA.

 

Thomas W. Lee**is a ManagingDirector in Merrill Lynch’s Market Investments and Origination Group,responsible for Global Private Client’s equity and debt new issue businesses,and is a Vice President and Manager of the Manager, and his registration as aprincipal of the Manager is pending with NFA. Prior to joining Merrill Lynch in 1998, Mr. Lee was a corporatesecurities attorney at the law firm of Brown & Wood.  Mr. Lee received his J.D. from EmoryUniversity School of Law and a B.S. from Cornell University.

 

*Shawn Wells****is a Vice President of the Manager and the General Counselfor HFDMG, a position he has held since October 2005.  Prior to that time, Mr. Wells served asSenior Associate General Counsel at Franklin Templeton Investments, serving asChief Counsel of the firm’s International and Alternative Strategies divisionsfrom October 1996 to December 1997 and again from September 1998to October 2005.  Mr. Wells isa Certified Public Accountant, and received a BBA in Finance and Accountingfrom the University of Texas at Austin, and his JD from Southern MethodistUniversity, where he was an editor of the SMU Law Review.*

 

26

----

 

Asof December 31, 2007, the principals of MLAI had no investment in theFund.

 

MLAIacts as the sponsor, general partner or manager to ten public futures fundswhose units of limited partner or member interests are registered under theSecurities Exchange Act of 1934: ML Trend-Following Futures Fund, L.P., ML SelectFutures I L.P., ML Appleton FuturesAccess LLC, ML Aspect FuturesAccess LLC, MLWinton FuturesAccess LLC, ML Cornerstone FuturesAccess LLC, ML APM GlobalCommodity FuturesAccess LLC, ML Chesapeake FuturesAccess LLC, ML Transtrend DTPEnhanced FuturesAccess LLC, and the Fund. Because MLAI serves as the sponsor,general partner or manager of each of these funds, the officers and managers ofMLAI effectively manage them as officers and directors of such funds.

 

(c)           Identification of Certain Significant Employees:

 

None.

 

(d)           Family Relationships:

 

None.

 

(e)           Business Experience:

 

See Item 10(a) and (b) above.

 

(f)            Involvement in Certain Legal Proceedings:

 

None.

 

(g)           Promoters and Control Persons:

 

Not applicable.

 

Section 16(a) Beneficial Ownership Reporting Compliance:

 

Not applicable.

 

Codeof Ethics:

 

MLAI and Merrill Lynch have adopted a code of ethics, as of the end ofthe period covered by this report, which applies to the Fund’s (MLAI’s)principal executive officer and principal financial officer or personsperforming similar functions on behalf of the Fund.  A copy of the code of ethics is available toany person, without charge, upon request by calling 1-866-MER-ALTS.

 

Nominating Committee:

 

Not applicable. (Neither the Fund nor MLAI has nominating committee.)

 

Audit Committee: Audit Committee Financial Expert:

 

Not applicable. (Neither the Fund nor MLAI has an audit committee.  There are no listed shares of the Fund orMLAI.)

 

27

----

 

**Item 11: Executive Compensation**

 

The managers and officers of MLAI are remunerated by Merrill Lynch intheir respective positions. The Fund does not itself have any officers,managers or employees.  The PortfolioFunds pay Brokerage Commissions to an affiliate of MLAI and the Fund paysSponsor Fees to MLAI.  MLAI or itsaffiliates may also receive certain economic benefits from possession of theFund’s and Portfolio Funds’ U.S. dollar assets. The managers and officers receive no “other compensation” from the Fund,and the managers receive no compensation for serving as managers of MLAI.  There are no compensation plans orarrangements relating to a change in control of either the Fund or MLAI.

 

**Item 12: Security Ownership of Certain Beneficial Owners and Managementand Related Stockholder Matters**

 

(a)           Security Ownership of Certain BeneficialOwners:

 
| **Title  of class  Percent of class**             | ** ** | **Name of beneficial owner** | ** ** | **Amount and nature of  beneficial ownership** | ** ** |
|---------------------------------------------------|------------|------------------------------|------------|------------------------------------------------|------------|
|                                              |       |                         |       |                                           |       |
| Units of Limited Liability Company Interest 6.17% |       | Kentucky Baptist Foundation  |       | 6,429,798 Class D Units                        |       |

 

(b)           Security Ownership of Management:

 

As of December 31, 2007, MLAI owned noUnit-equivalent member interests, and the principals of MLAI did not own anyUnits.

 

(c)           Changes in Control:

 

None.

 

**Item 13: Certain Relationships and Related Transactions**

 

(a)           Transactionsbetween Merrill Lynch and the Fund

 

All of the serviceproviders to the Fund, other than advisors of the Portfolio Funds, areaffiliates of Merrill Lynch or have been approved by Merrill Lynch.  Merrill Lynch negotiated with the PortfolioFunds’ advisors over the level of its management fees and performance fees.However, none of the fees paid by the Fund or Portfolio Funds to any MerrillLynch party were negotiated, and they could be higher than would have beenobtained in arms-length bargaining.

 

The Portfolio Funds pay Merrill Lynchsubstantial Brokerage Commissions and Sponsor Fees as well as bid-ask spreadson forward currency trades.  ThePortfolio Funds also pay MLPF&S interest on short-term loans extended byMLPF&S to cover losses on foreign currency positions.

 

Within the Merrill Lynch organization, MLAIis the beneficiary of the revenues received by different Merrill Lynch entitiesfrom the Fund and Portfolio Funds.  MLAIcontrols the management of the Fund and serves as its promoter.  Although MLAI has not sold any assets,directly or indirectly, to the Fund, MLAI makes substantial profits from theFund due to the foregoing revenues.

 

No loans have been, are or will beoutstanding between MLAI or any of its principals and the Fund.

 

MLAI pays substantial selling commissions andtrailing commissions to MLPF&S for distributing the Units.  MLAI is ultimately paid back for theseexpenditures from the revenues it receives from the Fund.

 

(b)           Certain Business Relationships:

 

MLPF&S, an affiliate of MLAI, acts as the principal commoditybroker for the Portfolio Funds.

 

In 2007, the Fund expensed (i) Sponsor fees of $485,354 earned byMLAI.

 

28

----

 

See Item 1(c), “Narrative Description of Business — Charges” and “—Description of Current Charges” for a discussion of other business dealingsbetween MLAI affiliates and the Fund.

 

(c)           Indebtedness of Management:

 

None.

 

(d)           Transactions with Promoters:

 

Not applicable.

 

**Item 14: Principal Accountant Fees and Services**

 

(a)           AuditFees

 

Aggregate fees billed for professional servicesrendered by Deloitte & Touche LLP in connection with the audit of theFund’s financial statements as of and for the period ended December 31,2007 were $93,000.

 

(b)           Audit-RelatedFees

 

There were no other audit-related fees billed for theperiod ended December 31, 2007, related to the Fund.

 

(c)           TaxFees

 

Aggregate fees billed for professional servicesrendered by Deloitte Tax LLP in connection with the tax compliance, advice andpreparation of the Fund’s tax returns for the period ended December 31,2007 were $80,000.

 

(d)           AllOther Fees

 

No fees were billed by Deloitte & Touche LLP,Deloitte Tax LLP, or any member firms of Deloitte Touche Tohmatsu and theirrespective affiliates during the period ended December 31, 2007 for anyother professional services in relation to the Fund.

 

Neither the Fund nor MLAI has an audit committee topre-approve principal accountant fees and services.  In lieu of an audit committee, the managersand the principal financial officer pre-approve all billings prior to thecommencement of services.

 

29

----

 

#### **PART IV**

#### ** **

**Item 15: Exhibits and Financial Statement Schedules**

 
| ** ** | ** **                                                                                                                                                                                                                                            | **Page:** |
|------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|-----------|
| 1.         | Financial Statements (found in Exhibit 13.01):                                                                                                                                                                                                   |      |
|       |                                                                                                                                                                                                                                                  |      |
|       | Report of Independent Registered Public Accounting Firm                                                                                                                                                                                               | 1         |
|       |                                                                                                                                                                                                                                                  |      |
|       | Statement of Financial Condition as of December 31, 2007                                                                                                                                                                                         | 2         |
|       |                                                                                                                                                                                                                                                  |      |
|       | Statement of Income for the period April 2, 2007 (commencement  of operations) to December 31, 2007:                                                                                                                                        | 3         |
|       |                                                                                                                                                                                                                                                  |      |
|       | Statement of Changes in Members’ Capital for the period April 2,  2007                                                                                                                                                                      |      |
|       | (commencement of operations) to December 31, 2007:                                                                                                                                                                                               | 4         |
|       |                                                                                                                                                                                                                                                  |      |
|       | Financial Data Highlights for the period April 2, 2007                                                                                                                                                                                           |      |
|       | (commencement of operations) to December 31, 2007:                                                                                                                                                                                               | 5         |
|       |                                                                                                                                                                                                                                                  |      |
|       | Notes to Financial Statements                                                                                                                                                                                                                         | 6-12      |
|       |                                                                                                                                                                                                                                                  |      |
| 2.         | Financial Statement Schedules:                                                                                                                                                                                                                        |      |
|       |                                                                                                                                                                                                                                                  |      |
|       | Financial statement schedules not included in this Form 10-K  have been omitted for the reason that they are not required or are not  applicable or that equivalent information has been included in the financial  statements or notes thereto. |
|       |                                                                                                                                                                                                                                                  |      |
| 3.         | Exhibits:                                                                                                                                                                                                                                             |      |
|       |                                                                                                                                                                                                                                                  |      |
|       | The following exhibits are incorporated by reference or are filed  herewith to this Annual Report on Form 10-K:                                                                                                                                  |

 
| **Designation**     | ** ** | **Description**                                                                                                                                                                                                                                                          |
|---------------------|------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                |       |                                                                                                                                                                                                                                                                     |
| 3.01                |       | Certificate of Formation of ML Systematic MomentumFuturesAccess LLC.                                                                                                                                                                                                     |
|                |       |                                                                                                                                                                                                                                                                     |
| Exhibit 3.01:  |       | Is incorporated herein by reference from Exhibit 3.01 contained  in the Registration Statement (File No. 0-52505) filed on  December 20, 2007, on Form 10 under the Securities Exchange Act of  1934 (the Registrant’s Registration Statement). |
|                |       |                                                                                                                                                                                                                                                                     |
| 3.02                | 3.02       |                                                                                                                                                                                                                                                                     | Limited Liability Company Operating Agreement of ML Systematic  Momentum FuturesAccess LLC. |
|                |       |                                                                                                                                                                                                                                                                     |
| Exhibit 3.02   |       | Is incorporated by reference from Exhibit 3.02 contained in the  Registrant’s Registration Statement                                                                                                                                                           |
|                |       |                                                                                                                                                                                                                                                                     |
| 3.03                | 10.01      |                                                                                                                                                                                                                                                                     | Customer Agreement between ML Systematic Momentum FuturesAccess LLC  and Merrill Lynch, Pierce, Fenner & Smith Incorporated. |
|                |       |                                                                                                                                                                                                                                                                     |
| Exhibit 10.01: |       | Is incorporated by reference from Exhibit 10.01 contained in the  Registrant’s Registration Statement                                                                                                                                                               |
|                |       |                                                                                                                                                                                                                                                                     |
| 3.04                | 10.02      |                                                                                                                                                                                                                                                                     | Advisory Agreement by and among ML Systematic Momentum FuturesAccess  LLC and Merrill Lynch Alternative Investments LLC. |

 

30

----

 
| Exhibit 10.02: |   | Is incorporated hereby by reference from Exhibit 10.02 contained  in the Registrant’s Registration Statement. |
|---------------------|--------|-------------------------------------------------------------------------------------------------------------------------|
|                |   |                                                                                                                    |
| 13.01               |   | 2007 Annual Report and Report of Independent Registered Public  Accounting Firm.                                        |
|                |   |                                                                                                                    |
| Exhibit 13.01: |   | Is filed herewith.                                                                                                      |
|                |   |                                                                                                                    |
| 31.01 and 31.02     |   | Rule 13a-14(a)/15d-14(a) Certifications                                                                       |
|                |   |                                                                                                                    |
| Exhibit 31.01  |   |                                                                                                                    |
| and 31.02:          |   | Are filed herewith.                                                                                                     |
|                |   |                                                                                                                    |
| 32.01 and 32.02     |   | Section 1350 Certifications                                                                                        |
|                |   |                                                                                                                    |
| Exhibit 32.01  |   |                                                                                                                    |
| and 32.02:          |   | Are filed herewith.                                                                                                     |

 

31

----

 

**SIGNATURES**

 

Pursuant to the requirementsof Section 13 or 15(d) of the Securities Exchange Act of 1934, theRegistrant 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 |
| By:                                            | /s/ Paul Morton |   |
| Paul Morton                                    |
| Chief Executive Officer, President and Manager |
| (Principal Executive Officer)                  |

 

 

Pursuant to the requirementsof Section 13 or 15(d) of the Securities Exchange Act of 1934, thisreport has been signed on March 31, 2008 by the following persons onbehalf of the Registrant and in the capacities indicated.

 
| **Signature**        | ** ** | **Title**                                      | ** ** | **Date**            |
|----------------------|------------|------------------------------------------------|------------|---------------------|
|                 |       |                                           |       |                |
| /s/ Paul Morton      |       | Chief Executive Officer, President and Manager |       | March 31, 2008 |
| Paul Morton          |       |                                           |       |                |
|                 |       |                                           |       |                |
| /s/ Barbra E. Kocsis |       | Chief Financial Officer                        |       | March 31, 2008 |
| Barbra E. Kocsis     |       |                                           |       |                |
|                 |       |                                           |       |                |
| /s/ Steven B. Olgin  |       | Vice President and Manager                     |       | March 31, 2008 |
| Steven B. Olgin      |       |                                           |       |                |
|                 |       |                                           |       |                |
| /s/ Thomas W. Lee    |       | Vice President and Manager                     |       | March 31, 2008 |
| Thomas W. Lee        |       |                                           |       |                |
|                 |       |                                           |       |                |
| /s/ Shawn T. Wells   |       | Vice President                                 |       | March 31, 2008 |
| Shawn T. Wells       |       |                                           |       |                |

 

(Being the principalexecutive officer, the principal financial and accounting officer and amajority of the managers of Merrill Lynch Alternative Investments LLC)

 

----

 

**MLSYSTEMATIC MOMENTUM FUTURESACCESS LLC**

 

2006FORM 10-K

 

INDEXTO EXHIBITS

 
| ** **         | ** **                                        | **Exhibit**                                                                     |
|--------------------|---------------------------------------------------|---------------------------------------------------------------------------------|
|               |                                              |                                                                            |
| Exhibit 13.01 |                                              | 2007 Annual Report and Report of Independent Registered Public  Accounting Firm |
|               |                                              |                                                                            |
| 31.01 and 31.02    | Rule 13a-14(a)/15d-14(a) Certifications |
|               |                                              |                                                                            |
| 32.01 and 32.02    | Section 1350  Certifications                 |

 

----