**Exhibit 13.01**

** **

***ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC***

***(A Delaware Limited LiabilityCompany)***

** **

*Financial Statements for theperiod April 2, 2007 (commencement of operations) to December 31, 2007*

*and Report of IndependentRegistered Public Accounting Firm*

* *

* *

 

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ML SYSTEMATICMOMENTUM  FUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

TABLE OF CONTENTS

 
| ** **                                                                                                                               | **Page** |
|------------------------------------------------------------------------------------------------------------------------------------------|----------|
|                                                                                                                                     |     |
| REPORT OF INDEPENDENT  REGISTERED PUBLIC ACCOUNTING FIRM                                                                                 | 1        |
|                                                                                                                                     |     |
| FINANCIAL STATEMENTS:                                                                                                                    |     |
|                                                                                                                                     |     |
| 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     |

 

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REPORT OFINDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Members of

  ML SystematicMomentum FuturesAccess LLC:

 

We have audited the accompanying statement offinancial condition of ML Systematic Momentum FuturesAccess LLC (the “Fund”),as of December 31, 2007, and the related statements of income and changesin members’ capital and the financial data highlights for the period April 2,2007 (commencement of operations) to December 31, 2007.  Thesefinancial statements and financial data highlights are the responsibility ofthe Fund’s management.  Our responsibility is to express an opinion onthese financial statements and financial data highlights based on our audit.

 

We conducted our audit in accordance with thestandards of the Public Company Accounting Oversight Board (UnitedStates).  Those standards require that we plan and perform the audit toobtain reasonable assurance about whether the financial statements andfinancial data highlights are free of material misstatement.  The Fund isnot required to have, nor were we engaged to perform, an audit of its internalcontrol over financial reporting.  Our audit included consideration ofinternal control over financial reporting as a basis for designing auditprocedures that are appropriate in the circumstances, but not for the purposeof expressing an opinion on the effectiveness of the Fund’s internal control overfinancial reporting.  Accordingly, we express no such opinion.  Anaudit also includes examining, on a test basis, evidence supporting the amountsand disclosures in the financial statements, assessing the accountingprinciples used and significant estimates made by management, as well asevaluating the overall financial statement presentation. We believe that ouraudit provides a reasonable basis for our opinion.

 

In our opinion, the financial statements andfinancial data highlights referred to above present fairly, in all materialrespects, the financial position of ML Systematic Momentum FuturesAccess LLC asof December 31, 2007, the results of its operations, the changes in itsmembers’ capital, and the financial data highlights for the period April 2,2007 (commencement of operations) to December 31, 2007, in conformity withaccounting principles generally accepted in the United States of America.

 

 

/s/ Deloitte &Touche LLP

 

Princeton, New Jersey

March 31, 2008

 

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ML SYSTEMATICMOMENTUM FUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

STATEMENT OF FINANCIALCONDITION

DECEMBER 31, 2007

 
| **ASSETS:**                                                                         | ** ** | ** **  | ** **  |
|-------------------------------------------------------------------------------------|------------|-------------|-------------|
| Cash                                                                                |       | $           | 94,318      |   |
| Investments in  Portfolio Funds (Cost $106,513,819)                                 |       | 121,063,894 |        |
| Deferred initial  offering costs                                                    |       | 33,750      |        |
| Receivable from  Portfolio Fund                                                     |       | 34,775      |        |
|                                                                                |       |        |        |
| **TOTAL  ASSETS**                                                                   |       | $           | 121,226,737 |   |
|                                                                                |       |        |        |
| **LIABILITIES  AND MEMBERS’ CAPITAL**                                          | ** ** | ** **  | ** **  |
| LIABILITIES:                                                                        |       |        |        |
| Sponsor fee  payable                                                                |       | $           | 177,810     |   |
| Redemptions  payable                                                                |       | 505,214     |        |
| Other                                                                               |       | 319,636     |        |
|                                                                                |       |        |        |
| Total  liabilities                                                                  |       | 1,002,660   |        |
|                                                                                |       |        |        |
| MEMBERS’  CAPITAL:                                                             |       |        |        |
| Members’  Interest (111,518,320 Units outstanding, unlimited Units authorized) |       | 120,224,077 |        |
| Total members’  capital                                                        |       | 120,224,077 |        |
|                                                                                |       |        |        |
| **TOTAL  LIABILITIES AND MEMBERS’ CAPITAL**                                    |       | $           | 121,226,737 |   |
|                                                                                |       |        |        |
| **NET  ASSET VALUE PER UNIT (NOTE 5)**                                              |       |        |        |

 

See notes tofinancial statements.

 

2

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ML SYSTEMATICMOMENTUM FUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

STATEMENT OFINCOME

FOR THE PERIODAPRIL 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     |   |

 

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* Units issued on June 1,2007

** Units issued on July1, 2007

 

See notes to financialstatements.

 

3

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ML SYSTEMATICMOMENTUM FUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

STATEMENT OFCHANGES IN MEMBERS’ CAPITAL

FOR THE PERIODAPRIL 2, 2007 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2007

 
| ** **                     | ** ** | **Initial Offering** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  December 31, 2007** | ** ** |
|--------------------------------|------------|---------------------------|------------|-------------------|------------|-----------------|------------|-------------------------------------------------------------|------------|
|                           |       |                      |       |              |       |            |       |                                                        |       |
| Class A**                      |       | —                    |       | 5,249,271         |       | (170,625        | )          | 5,078,646                                                   |       |
| Class C*                       |       | —                    |       | 71,012,676        |       | (1,123,975      | )          | 69,888,701                                                  |       |
| Class D***                     |       | 80,000,000                |       | 16,803,705        |       | (80,000,000     | )          | 16,803,705                                                  |       |
| Class D- SD**                  |       | —                    |       | 5,000,000         |       | (9,846          | )          | 4,990,154                                                   |       |
| Class I*                       |       | —                    |       | 14,757,114        |       | —          |       | 14,757,114                                                  |       |
| Total Members**’**  Units |       | 80,000,000                |       | 112,822,766       |       | (81,304,446     | )          | 111,518,320                                                 |       |

 
| ** **                        | ** ** | **Initial Offering** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income** | ** **  | **Members’ Capital  December 31, 2007** | ** ** |
|-----------------------------------|------------|---------------------------|------------|-------------------|------------|-----------------|------------|---------------------|-------------|-------------------------------------------------------------|------------|
|                              |       |                      |       |              |       |            |       |                |        |                                                        |       |
| Class A**                         |       | $                         | —     |              | $          | 4,977,396       |       | $                   | (169,767    | )                                                           | $          | 409,790 |   | $ | 5,217,419 |   |
| Class C*                          |       | —                    |       | 72,659,028        |       | (1,184,529      | )          | 3,057,074           |        | 74,531,573                                                  |       |
| Class D***                        |       | 80,000,000                |       | 18,735,477        |       | (88,281,472     | )          | 8,988,855           |        | 19,442,860                                                  |       |
| Class D- SD**                     |       | —                    |       | 5,000,000         |       | (10,000         | )          | 175,016             |        | 5,165,016                                                   |       |
| Class I*                          |       | —                    |       | 15,493,954        |       | —          |       | 373,255             |        | 15,867,209                                                  |       |
| Total Members**’**  Interest |       | $                         | 80,000,000 |              | $          | 116,865,855     |       | $                   | (89,645,768 | )                                                           | $          | 13,003,990 |   | $ | 120,224,077 |   |

 

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*  Units issued on June 1, 2007

** Units issued on July 1, 2007

*** Initial investment of $80,000,000 made by Merrill Lynch InvestorsInc and subsequently redeemed.

 

See notes to financial statements.

 

4

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ML SYSTEMATICMOMENTUM FUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

FINANCIAL DATAHIGHLIGHTS

FOR THE PERIODAPRIL 2, 2007 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2007

 

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

 
| **Per Unit Operating Performance:** | ** ** | **Class A**** | ** ** | **Class C*** | ** ** | **Class D** | ** ** | **Class D-SD**** | ** ** | **Class I*** | ** ** |
|----------------------------------------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|-----------------------|------------|-------------------|------------|
|                                               |       |               |       |              |       |             |       |                  |       |              |       |
| Net asset value,  beginning of period              |       | $                  | 1.0000     |              | $          | 1.0000           |       | $                     | 1.0000     |              | $          | 1.0000 |   | $ | 1.0000 |   |
|                                               |       |               |       |              |       |             |       |                  |       |              |       |
| Realized and  unrealized trading profit            |       | 0.0400             |       | 0.0885            |       | 0.1613           |       | 0.0389                |       | 0.0898            |       |
| Interest income  (c) (d)                           |       | —             |       | —            |       | —           |       | —                |       | 0.0001            |       |
| Expenses (d)                                       |       | (0.0127            | )          | (0.0221           | )          | (0.0042          | )          | (0.0039               | )          | (0.0147           | )          |
|                                               |       |               |       |              |       |             |       |                  |       |              |       |
| Net asset value,  end of period                    |       | $                  | 1.0273     |              | $          | 1.0664           |       | $                     | 1.1571     |              | $          | 1.0350 |   | $ | 1.0752 |   |
|                                               |       |               |       |              |       |             |       |                  |       |              |       |
| **Total  Return: (b)**                             |       |               |       |              |       |             |       |                  |       |              |       |
|                                               |       |               |       |              |       |             |       |                  |       |              |       |
| Total return                                       |       | 2.73               | %          | 6.64              | %          | 15.71            | %          | 3.50                  | %          | 7.52              | %          |
|                                               |       |               |       |              |       |             |       |                  |       |              |       |
| **Ratios  to Average Net Assets: (a)**             |       |               |       |              |       |             |       |                  |       |              |       |
|                                               |       |               |       |              |       |             |       |                  |       |              |       |
| Expenses                                           |       | 2.91               | %          | 4.16              | %          | 0.58             | %          | 0.79                  | %          | 2.72              | %          |
|                                               |       |               |       |              |       |             |       |                  |       |              |       |
| Net investment  loss                               |       | -2.90              | %          | -4.15             | %          | -0.58            | %          | -0.78                 | %          | -2.71             | %          |

 

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* Units issued on June 1, 2007

** Units issued on July 1, 2007

(a) The ratios have been annualized and do not reflect theproportionate share of income and expenses of the Portfolio Funds.

(b) Not annualized.

(c) Impact of interest income is less than $0.0001 for Class A, C, Dand D-SD

(d) Per Unit data is calculated using weighted average Units during theperiod.

 

See notes to financial statements.

 

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ML SYSTEMATICMOMENTUM FUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

NOTES TO FINANCIALSTATEMENTS

 

1.                    SUMMARY OFSIGNIFICANT ACCOUNTING POLICIES

 

Organization

 

ML Systematic Momentum FuturesAccess LLC (the “Fund”),a Merrill Lynch FuturesAccess Program (the “Program”) fund, was organized underthe Delaware Limited Liability Company Act on March 8, 2007 and commenced operationson April 2, 2007.  The Fund operatesas a “fund of funds”, allocating and reallocating its capital, under thedirection of Merrill Lynch Alternative Investments LLC (“MLAI”), the Sponsor ofthe Fund, among eight underlying FuturesAccess Funds (each a “Portfolio Fund”,and collectively the “Portfolio Funds”) (See Note 2).  MLAI is an indirect wholly-owned subsidiaryof Merrill Lynch & Co., Inc. (“Merrill Lynch”). Merrill Lynch,Pierce, Fenner & Smith Incorporated (“MLPF&S”), a wholly-ownedsubsidiary of Merrill Lynch, is the commodity broker of the Portfolio Funds.

 

The Program is agroup of commodity pools sponsored by MLAI (each a “Program Fund” orcollectively, “Program Funds”) each of which places substantially all of itsassets in a managed futures and forward trading account managed by a single commoditytrading advisor. Each Program Fund is generally similar to the Fund in terms offees, Classes of Units and redemption rights. Each of the Program Fundsimplements a different trading strategy.

 

The Fund offers fiveClasses of Units: Class A, Class C, Class D, Class D-SD,and Class I. Each Class of Units was offered at $1.00 per Unit andsubsequently is offered at Net Asset Value per Unit for other reportingpurposes (see Note 5). The five Classes of Units are subject to different Sponsorfees.

 

Estimates

 

The preparation of financial statements in conformitywith accounting principles generally accepted in the United States of America (“U.S.GAAP”) requires management to make estimates and assumptions that affect thereported amounts of assets and liabilities and disclosure of contingent assetsand liabilities at the date of the financial statements and the reportedamounts of revenues and expenses during the reporting period.  Actual results could differ from thoseestimates.

 

Revenue Recognition

 

The Portfolio Funds’ commodity futures, options onfutures and forward contract transactions are recorded on the trade date and opencontracts are reflected in Net unrealized profit (loss) on open contracts in theStatements of Financial Condition of the Portfolio Funds as the differencebetween the original contract value and the market value (for those commodityinterests for which market quotations are readily available) or at fairvalue.  The change in unrealized profit(loss) on open contracts from one period to the next is reflected in Change inunrealized under Trading profit (loss) in the Statements of Operations of the PortfolioFunds.

 

The resulting changebetween cost and market value (net of subscription and redemption activity inPortfolio Funds) is reflected in the Statement of Income as Change in unrealizedfrom the Investment in the Portfolio Funds. In addition, when the Fund redeemsor partially redeems its interest in the Portfolio Funds, it records realized(net profit or loss) for such interests in the Statement of Income of the Fund.

 

6

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Foreign CurrencyTransactions

 

The Fund’s functional currency is the U.S. dollar;however, it and the Portfolio Funds transact business in U.S. dollars and incurrencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S.dollar are translated into U.S. dollars at the rates in effect at the date ofthe Statements of Financial Condition of the Fund and each of the PortfolioFunds.  Income and expense itemsdenominated in currencies other than the U.S. dollar are translated into U.S.dollars at the rates in effect during the period.  Gains and losses resulting from thetranslation to U.S. dollars are reported in Realized in the Statements of Operationsof the Fund and each of the Portfolio Funds.

 

Cash

 

The Fund maintains cashat an unaffiliated bank for operations purposes.

 

Operating Expenses,Offering Costs and Selling Commissions

 

The Fund pays for all routine operating costs(including ongoing offering costs, administration, custody, transfer, exchangeand redemptions process, legal, regulatory filing, tax, audit, escrow,accounting and printing fees and expenses) incurred by the Fund. The Fund alsopays any extraordinary expenses.

 

For financial reporting purposes in conformity withU.S. GAAP, the Fund amortizes the total initial offering costs of $120,000 overa twelve-month period.  For all other purposes,including determining the Net Asset Value per Unit for subscription andredemption purposes, the Fund amortizes offering costs over a 60 month period(see Note 5).

 

Class A Units are subject to a sales commission paidto Merrill Lynch ranging from 1.00% to 2.50%. Class D, Class D-SD and Class I Units are subject tosales commissions up to 0.50%.  The rateassessed to a given subscription is based upon the subscription amount. Salescommissions are directly deducted from subscription amounts.  Class C Units are not subject to anysales commissions.

 

Income Taxes

 

No provision for income taxes has been made in theaccompanying financial statements as each Member is individually responsiblefor reporting income or loss based on such Member’s share of the Fund’s incomeand expenses as reported for income tax purposes.

 

Distributions

 

The Members areentitled to receive, equally per Unit, any distributions which may be made bythe Fund.  No such distributions havebeen declared for the period ended December 31, 2007.

 

Subscriptions

 

Units are offered as of the close of business at theend of each month.  Shares are purchasedas of the first    business day of anymonth at Net Asset Value for all other purposes (see Note 5), but thesubscription request must be submitted at least three calendar days before theend of the preceding month. Subscriptions submitted less than three days before the end of a monthwill be applied to Units subscriptions as of the beginning of the second monthafter receipt, unless revoked by MLAI.

 

7

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Redemptions and Exchanges

 

A Member may redeem or exchange some or all of suchMember’s Units at Net Asset Value for all other purposes (see Note 5) as of theclose of business, on the last business day of any month, upon ten calendardays’ notice (“notice period”).

 

An investor in the Fund can exchange these Units forUnits of the same Class in other Program Funds as of the beginning of eachcalendar month upon at least ten days’ prior notice.  The minimum exchange amount is $10,000.

 

Redemption and exchange requests are accepted withinthe notice period.  The Fund does notaccept any redemption requests after the notice period.  All redemption requests received after thenotice period will be processed for the following month.

 

Dissolution of the Fund

 

The Fund may terminate if certain circumstancesoccur as set forth in the offering memorandum, which include but are notlimited to the following:

 

(a)                      Bankruptcy, dissolution, withdrawal or othertermination of the trading advisors of this Fund.

(b)                     Any event which would make unlawful thecontinued existence of this Fund.

(c)                      Determination by MLAI to liquidate orwithdraw from the Fund.

 

Indemnifications

 

In the normal course of business, the Fund enters intocontracts and agreements that contain a variety of representations andwarranties and which provide general indemnifications.  The Fund’s maximum exposure under thesearrangements is unknown, as this would involve future claims that may be madeagainst the Fund that have not yet occurred. The Fund expects the risk of any future obligation under theseindemnifications to be remote.

 

2.                    INVESTMENTS IN PORTFOLIO FUNDS

 

The eight Portfolio Funds in which the Fund wasinvested as of December 31, 2007 or during the period were:  ML Chesapeake FuturesAccess LLC (“Chesapeake”),ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”), ML AltisFuturesAccess LLC (“Altis”), ML Winton FuturesAccess LLC (“Winton”), ML AspectFuturesAccess LLC (“Aspect”), ML John Locke FuturesAccess LLC (“John Locke”),ML GSA FuturesAccess LLC (“GSA”) and ML Alphasimplex FuturesAccess LLC (“Alphasimplex”).  MLAI, the Sponsor of the fund, may in itsdiscretion, change the Portfolio Funds at any time. MLAI, also at itsdiscretion may vary the percentage of the Fund’s total portfolio allocated tothe different Portfolio Funds. There is no pre-established range for theminimum and maximum allocations that may be made to any given Portfolio Fund.

 

8

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At December 31, 2007, Investments in PortfolioFunds at fair value are as follows:

 
| ** **   | ** ** | **Percentage of   Investment** | ** ** | **Fair Value** | ** **  | **Profit (Loss)** | ** ** | **Management  Fees (1)** | ** ** | **Performance  Fees (1)** | ** ** | **Redemptions Permitted** | ** ** |
|--------------|------------|------------------------------------------|------------|---------------------|-------------|------------------------|------------|-------------------------------|------------|--------------------------------|------------|--------------------------------|------------|
| Alphasimplex |       | —                                   |       | $                   | —      |                   | $          | (943,066                      | )          | $                              | (60,176    | )                              | $          | — |   | monthly |   |
| Chesapeake   |       | 15.55                                    | %          | 18,829,228          |        | 907,353                |       | (210,487                      | )          | —                         |       | monthly                        |       |
| Transtrend   |       | 14.81                                    | %          | 17,927,148          |        | 3,553,620              |       | (216,171                      | )          | (797,192                       | )          | monthly                        |       |
| Altis        |       | 15.18                                    | %          | 18,378,819          |        | 2,911,775              |       | (214,966                      | )          | (610,793                       | )          | monthly                        |       |
| Winton       |       | 14.73                                    | %          | 17,829,738          |        | 2,796,394              |       | (214,222                      | )          | (350,520                       | )          | monthly                        |       |
| Aspect       |       | 15.06                                    | %          | 18,235,954          |        | 1,770,147              |       | (212,213                      | )          | (173,744                       | )          | monthly                        |       |
| John Locke   |       | 12.32                                    | %          | 14,914,443          |        | 1,760,298              |       | (154,163                      | )          | (356,510                       | )          | monthly                        |       |
| GSA          |       | 12.35                                    | %          | 14,948,564          |        | 1,233,517              |       | (138,501                      | )          | (236,986                       | )          | monthly                        |       |
|         |       | 100.00                                   | %          | $                   | 121,063,894 |                   | $          | 13,990,038                    |       | $                              | (1,420,899 | )                              | $          | (2,525,745 | ) |   |   |

 

Total Investments in Portfolio Funds at Fair Value (Cost $106,513,819) 

 

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(1) See Note 4.

 

3.                    RELATED PARTYTRANSACTIONS

 

The Portfolio Funds’ U.S. dollar assets are maintainedat MLPF&S. On assets held in U.S. dollars, Merrill Lynch credits the PortfolioFunds with interest at the most favorable rate payable by MLPF&S toaccounts of Merrill Lynch affiliates but not less than 75% of such prevailingrate.  The Portfolio Funds are creditedwith interest on any of their assets and net gains actually held by MLPF&Snon-U.S. dollar currencies at a prevailing local rate received by MerrillLynch.  Merrill Lynch may derive certaineconomic benefit, in excess of the interest which Merrill Lynch pays to the PortfolioFunds, from possession of such assets.

 

Merrill Lynch charges the Portfolio Funds atprevailing local interest rates for financing realized and unrealized losses oneach Portfolio Fund’s non-U.S. dollar-denominated positions.  Such amounts are netted against interestincome due to the insignificance of such amounts.

 

The Fund’s Class A Units pay Sponsor fees to MLAIat a flat monthly rate equal to .125% (a 1.50% annual rate) of the Class’month-end net assets, Class C Units pay Sponsor fees to MLAI at a flatmonthly rate equal to .2083% (a 2.50% annual rate) of the Class’ month-end net assets,Class I Units pay Sponsor fees to MLAI at a flat monthly rate equal to..0917% (a 1.10% annual rate) of the Class’ month-end net assets. Class Dand Class D-SD Units do not pay Sponsor fees.

 

No brokerage commission is charged to investors at theFund level, although brokerage commissions are charged to investors at the PortfolioFunds’ level, and investors will be indirectly subject to their *pro rata* share of such fees based on the investment of theFund in such underlying Portfolio Funds. Brokerage commissions will be paid on the completion or liquidation of atrade and are referred to as “round-turn” commissions, which cover both theinitial purchase (or sale) and the subsequent offsetting sale (or purchase) ofa commodity futures contract.  A portionof the brokerage fees is paid to Portfolio Funds’ executing brokers, which maynot include MLPF&S, as the commission or their execution services. The “round-turn”commissions paid will not exceed $15 per round-turn, except in the case ofcertain foreign contracts on which the rates may be as high as $100 perround-turn due to the large size of the contracts traded.  In general, it is estimated that aggregatebrokerage commission

 

9

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charges will not exceed 3%and should equal approximately 0.50% per annum of each of the Portfolio Fund’s averagemonth-end assets.

 

4.                    ADVISORYAGREEMENTS

 

EachPortfolio Fund implements a systematic-based managed future strategy under thedirection of its trading advisor which is listed below:

 
| **Portfolio  Fund** | ** ** | **Advisor**                      | ** ** | **Next Renewal Date  of Advisory Agreement** | ** ** |
|---------------------|------------|----------------------------------|------------|----------------------------------------------|------------|
| Altis               |       | Altis Partners  (Jersey) Limited |       | December 31,  2016                      |       |
| Aspect              |       | Aspect Capital  Management       |       | December 31,  2011                      |       |
| Chesapeake          |       | Chesapeake  Capital Corporation  |       | December 31,  2016                      |       |
| Transtrend          |       | Transtrend B.V.                  |       | December 31,  2008                      |       |
| Winton              |       | Winton Capital  Corporation      |       | December 31,  2014                      |       |
| John Locke          |       | John Locke  Investments SA       |       | December 31,  2016                      |       |
| Alphasimplex*       |       | Alphasimplex  Group, LLC         |       | December 31,  2016                      |       |
| GSA                 |       | GSA  Capital Partner, LLP        |       | June 30,  2012                          |       |

 

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*Liquidatedas of December 31, 2007.

 

Theadvisory agreements shall be automatically renewed for successive three-yearperiods, on the same terms, unless terminated by either the Portfolio Fund orthe respective advisor upon 90 days’ notice to the other party.  The advisors determine the commodity futures,options on futures and forward contract trades to be made on behalf of theirrespective Portfolio Fund accounts, subject to certain trading policies and tocertain rights reserved by MLAI.

 

ThePortfolio Funds pay their respective trading advisors annual management fees of2.00% of their average month-end assets after reduction for the brokeragecommissions accrued with respect to such assets. For Altis, Chesapeake,Transtrend, and Alphasimplex, MLAI receives 50% of the 2.00% management fees.For Aspect, Winton, John Locke and GSA, MLAI receives 25% of the 2.00%management fees.

 

Performancefees paid by the Portfolio Funds are calculated at 20% for all Portfolio Fundsexcept Transtrend which is calculated at 25% of any New Trading Profit, asdefined, and earned by the respective advisors. Performance fees are also paid out in respect of Units redeemed as ofthe end of interim month, to the extent of the applicable percentage of any NewTrading Profit attributable to such Units. For the following Funds, Aspect,Winton, GSA and John Locke, MLAI received 25% of the 20% performance fees.

 

5.                    NET ASSETVALUE PER UNIT

 

Forfinancial reporting purposes, in conformity with U.S. GAAP, the Fund amortizesover a twelve-month period the initial offering costs for purposes ofdetermining Net Asset Value. Such costs initially were paid by MLAI.  For all other purposes, including computingNet Asset Value for purposes of member subscription and redemption activity,such costs are amortized over 60 months.

 

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Consequently,the Net Asset Value and Net Asset Value per Unit of the different Classes forfinancial reporting purposes and for all other purposes as of December 31,2007 are as follows:

 
| ** **  | ** ** | **Net Asset Value** | ** **  | ** **                   | ** ** | **Net Asset Value per Unit** | ** ** |
|-------------|------------|-------------------------------|-------------|------------------------------|------------|--------------------------------------------------|------------|
| ** **  | ** ** | **All Other  Purposes**  | ** **  | **Financial Reporting** | ** ** | **Number of Units**                    | ** ** | **All Other  Purposes** | ** ** | **Financial  Reporting** | ** ** |
| ** **  | ** ** | **(unaudited)**               | ** **  | ** **                   | ** ** | ** **                                       | ** ** | **(unaudited)** | ** ** | ** ** | ** ** |
| 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 |   |   |   |   |   |
|             |            |                               |             |                              |            |                                                  |            |  |  |  |  |  |  |  |  |

 

6.       WEIGHTED AVERAGE UNITS

 

The weightedaverage number of Units outstanding for each Class is computed forpurposes of calculating net income per weighted average Unit.  The weighted average number of Unitsoutstanding for the period ended December 31, 2007 equals the Unitsoutstanding for each Class as of such date, adjusted proportionately forUnits sold or redeemed based on the respective length of time each was outstanding during the period.

 

7.                    RECENT ACCOUNTING PRONOUNCEMENTS

 

In September 2006, the Financial Accounting Standards Board (“FASB”)issued Statement of Financial Accounting Standards No. 157, Fair ValueMeasurements (“FAS 157”).  FAS 157 establishes a common definitionfor fair value under accounting principles generally accepted in the UnitedStates of America, establishes a framework for measuring fair value and expandsdisclosure requirements about such fair value measurements.  FAS 157 iseffective for fiscal years beginning after November 15, 2007.  The Fund is currently evaluating the impact of adoptingFAS 157 on its financial statements.

 

8.                    MARKET ANDCREDIT RISK

 

The nature of this Fund has certain risks, whichcannot all be presented on the financial statements.  The following summarizes some of those risks.

 

### Market Risk

###  

Derivative instruments involve varying degrees ofmarket risk.  Changes in the level orvolatility of interest rates, foreign currency exchange rates or the marketvalues of the financial instruments or commodities underlying such derivativeinstruments frequently result in changes in the Portfolio Funds’ net unrealizedgains on open contracts on such derivative instruments as reflected in theStatements of Financial Condition of the Portfolio Funds.  The Fund’s exposure to market risk isinfluenced by a number of factors, including the relationships among thederivative instruments held by the Portfolio Funds as well as the volatilityand liquidity of the markets in which the derivative instruments are traded.  Investments in foreign markets may also entaillegal and political risks.

 

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MLAI has procedures in place intended to controlmarket risk exposure, although there can be no assurance that they will, infact, succeed in doing so.  Theseprocedures focus primarily on monitoring the trading of the Portfolio Funds,calculating the Net Asset Value of the Fund and the Portfolio Funds as of theclose of business on each day and reviewing outstanding positions forover-concentrations.  While MLAI does notintervene in the markets to hedge or diversify the Portfolio Funds’ marketexposure, MLAI may urge the respective advisors to reallocate positions in anattempt to avoid over-concentrations. However, such interventions are expected to be unusual.  It is expected that MLAI’s basic risk controlprocedures will consist of the ongoing process of advisor monitoring, with themarket risk controls being applied by respective advisors.

 

Credit Risk

 

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

 

The credit riskassociated with these instruments from counterparty nonperformance is the Netunrealized gains on open contracts, if any, included in the Statements ofFinancial Condition of the Portfolio Funds. The Portfolio Funds attempt tomitigate this risk by dealing exclusively with Merrill Lynch entities asclearing brokers.

 

The PortfolioFunds, in their normal course of business, enter into various contracts, with MLPF&Sacting as their commodity broker. Pursuant to the brokerage arrangement with MLPF&S (which includes anetting arrangement), to the extent that such trading results in receivables fromand payables to MLPF&S, these receivables and payables are offset andreported as a net receivable or payable and included in Equity in commodityfutures trading accounts in the Statements of Financial Condition of thePortfolio Funds.

 

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*     *    *     *     *    *     *     *    *     *      *

 

To the best of the knowledge and belief of the

undersigned, the information contained in this

reportis accurate and complete.

 

 
|   | /s/  Barbra E. Kocsis |   |
|--------|-----------------------|--------|

Barbra E. Kocsis

Chief Financial Officer

Merrill Lynch Alternative Investments LLC

Sponsor of

ML Systematic Momentum FuturesAccess LLC

 

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