KMP Futures Fund I LLC - FORM 10-Q

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EXCEL - IDEA: XBRL DOCUMENT - KMP Futures Fund I LLC	Financial_Report.xls
EX-32.2 - EX-32.2 - KMP Futures Fund I LLC	d519126dex322.htm
EX-31.2 - EX-31.2 - KMP Futures Fund I LLC	d519126dex312.htm
EX-32.1 - EX-32.1 - KMP Futures Fund I LLC	d519126dex321.htm
EX-31.1 - EX-31.1 - KMP Futures Fund I LLC	d519126dex311.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

(Mark One)

x	QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934


For the quarter ended:		March 31, 2013

¨	TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934


For the transition period from				to


Commission File Number:		000-53816

KMP FUTURES FUND I LLC

(Exact name of the Registrant as specified in its charter)


Delaware		20-5914530
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)


900 King Street, Suite 100, Rye Brook, New York		10573
(Address of principal executive offices)		(Zip Code)

(914) 307-7000

(The Registrant’s telephone number, including area code)

N/A

(Former name, former address and former fiscal year, if changed since last report)

Indicate by check mark whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes x No ¨

Indicate by check mark whether the Registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the Registrant was required to submit and post such files).

Yes x No ¨

Indicate by check mark whether the Registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See definition of “accelerated filer”, “large accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):


Large accelerated filer ¨		Accelerated filer ¨
Non-accelerated filer x		Smaller Reporting Company ¨

Indicate by check mark whether the Registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes ¨ No x

KMP FUTURES FUND I LLC

INDEX TO QUARTERLY REPORT ON FORM 10-Q

MARCH 31, 2013


		Page

PART I – FINANCIAL INFORMATION			4

Item 1.	Condensed Financial Statements		5

	KMP Futures Fund I LLC

	Condensed Statements of Financial Condition as of March 31, 2013 (Unaudited) and December 31, 2012		6

	Condensed Schedules of Investments as of March 31, 2013 (Unaudited) and December 31, 2012		7

	Condensed Statements of Operations (Unaudited) for the Three Months Ended March 31, 2013 and 2012		8

	Condensed Statements of Changes in Members’ Capital (Net Asset Value) (Unaudited) for the Three Months Ended March 31, 2013 and 2012		9

	Notes to Condensed Financial Statements (Unaudited)		10-22

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		23

Item 3.	Quantitative and Qualitative Disclosures About Market Risk		35

Item 4.	Controls and Procedures		36

PART II – OTHER INFORMATION			37

Item 1.	Legal Proceedings		37

Item 1.A.	Risk Factors		37

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds		37

Item 3.	Defaults Upon Senior Securities		37

Item 5.	Other Information		37

Item 6.	Exhibits:		37

PART I – FINANCIAL INFORMATION

Item 1.

Condensed Financial Statements

[REMAINDER OF PAGE INTENTIONALLY LEFT BLANK;

FINANCIAL STATEMENTS TO FOLLOW]

KMP FUTURES FUND I LLC

CONDENSED FINANCIAL STATEMENTS

March 31, 2013 (Unaudited)

KMP FUTURES FUND I LLC

CONDENSED STATEMENTS OF FINANCIAL CONDITION

March 31, 2013 (Unaudited) and December 31, 2012


	March 31, 2013		December 31, 2012
ASSETS
Cash and cash equivalents (see Note 2)	$	3,686,921	$	3,193,739
Receivable from Managing Member		31,965		0
Investment in Affiliated Investment Funds, at fair value (cost $2,717,149 and $3,404,181 at March 31, 2013 and December 31, 2012, respectively) (see Note 7)		3,111,139		3,773,030
Investment in securities, at fair value (cost $11,786,866 and $12,122,939 at March 31, 2013 and December 31, 2012, respectively)		11,818,920		12,162,691


Total assets	$	18,648,945	$	19,129,460


LIABILITIES
Management fees payable to Managing Member	$	19,553	$	20,356
Interest payable to Managing Member		4,965		2,179
Accrued expenses payable		121,030		101,232
Service fees payable		50,285		52,194
Redemptions payable		245,891		333,028


Total liabilities		441,724		508,989


MEMBERS’ CAPITAL (Net Asset Value)		18,207,221		18,620,471


Total liabilities and members’ capital	$	18,648,945	$	19,129,460

See accompanying notes.

KMP FUTURES FUND I LLC

CONDENSED SCHEDULES OF INVESTMENTS

March 31, 2013 (Unaudited) and December 31, 2012


	March 31, 2013					December 31, 2012
	Fair Value as a % of Members’ Capital			Fair Value		Fair Value as a % of Members’ Capital			Fair Value
Investment in Securities:
Publicly-traded mutual funds:
Fidelity Instl Shrt-Interm Govt (shares 584,195.885 and 601,343,174 at March 31, 2013 and December 31, 2012, respectively)		32.44	%	$	5,906,220		32.62	%	$	6,073,566
T. Rowe Price Short-Term Bond Fund (shares 1,221,632.246 and 1,255,489.654 at March 31, 2013 and December 31, 2012, respectively)		32.47	%		5,912,700		32.70	%		6,089,125


Total investment in Securities (cost $11,786,866 and $12,122,939 at March 31, 2013 and December 31, 2012, respectively)		64.91	%	$	11,818,920		65.32	%	$	12,162,691


Investment in Affiliated Investment Funds:
CTA Choice EGLG		10.01	%	$	1,822,637		11.33	%	$	2,109,076
CTA Choice WTN		7.08	%		1,288,502		8.94	%		1,663,954

Total investment in Affiliated Investment Funds (cost $2,717,149 and $3,404,181 at March 31, 2013 and December 31, 2012, respectively)		17.09	%	$	3,111,139		20.27	%	$	3,773,030

See accompanying notes.

KMP FUTURES FUND I LLC

CONDENSED STATEMENTS OF OPERATIONS

For the Three Months Ended March 31, 2013 and 2012

(Unaudited)


	Three months ended March 31,
	2013			2012
INVESTMENT INCOME
Interest income	$	131		$	1,250
Dividend income		30,093			51,053


Total investment income		30,224			52,303
EXPENSES
Management fees to Managing Member		123,130			161,221
Managing Member interest earned on investment funds		11,649			10,918
Services fees (see Note 6)		153,684			226,754
Operating expenses		101,168			73,968

Total expenses		389,631			472,861
General and administrative expenses borne by the Managing Member and affiliates		(31,965	)		0


Net expenses		357,666			472,861


Net investment loss		(327,442	)		(420,558	)

REALIZED AND UNREALIZED GAIN OR (LOSS) ON INVESTMENTS
Net realized gain on securities		904			472,792
Net change in unrealized appreciation/depreciation on securities		(7,698	)		(449,389	)


Net (loss) gain from investments in securities		(6,794	)		23,403

Net realized gain on Affiliated Investment Funds		435,628			402,398
Net change in unrealized appreciation /depreciation on Affiliated Investment Funds		25,141			(341,136	)


Net gain from investments in Affiliated Investment Funds		460,769			61,262


NET INCOME (LOSS)	$	126,533		$	(335,893	)

See accompanying notes.

KMP FUTURES FUND I LLC

CONDENSED STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL (NET ASSET VALUE)

For the Three Months Ended March 31, 2013 and 2012

(Unaudited)


	Members’ Capital
Three months ended March 31, 2013
Members’ capital at December 31, 2012	$	18,620,471
Redemptions		(539,783	)
Net income for the three months ended March 31, 2013		126,533

Members’ capital at March 31, 2013	$	18,207,221


Three months ended March 31, 2012
Members’ capital at December 31, 2011	$	25,989,227
Redemptions		(1,001,884	)
Net loss for the three months ended March 31, 2012		(335,893	)

Members’ capital at March 31, 2012	$	24,651,450

See accompanying notes.

KMP FUTURES FUND I LLC

NOTES TO CONDENSED FINANCIAL STATEMENTS

(Unaudited)

Note 1.

ORGANIZATION

General Description of the Company

KMP Futures Fund I LLC (the “Company”) is a limited liability company organized under the laws of Delaware on November 20, 2006 which commenced operations on January 1, 2007. The Company will terminate on December 31, 2056 unless terminated sooner under the provisions of the limited liability company agreement of the Company (the “Operating Agreement”). The Company was formed to engage in the direct or indirect speculative trading of a diversified portfolio of futures contracts, options on futures contracts and forward currency contracts and may, from time to time, engage in cash and spot transactions. Investors holding interests in the Company are collectively referred to as the “Members” or the “Individual Members”. The fiscal year end of the Company is December 31.

Effective July 1, 2012, Kenmar Preferred Investments Corp. changed its name and form of entity to Kenmar Preferred Investments, L.P. (“Kenmar Preferred” or the “Managing Member”). Kenmar Preferred or Managing Member refers to either Kenmar Preferred Investments Corp. or Kenmar Preferred Investments, L.P., depending on the applicable period discussed. Kenmar Preferred is the Managing Member of the Company and has been delegated administrative authority over the operations of the Company.

The Company is a reporting company pursuant to the Securities Exchange Act of 1934. Moreover, as a commodity pool, the Company is subject to the record keeping and reporting requirements of the Commodity Futures Trading Commission (“CFTC”) and the National Futures Association (“NFA”).

The Company allocates a portion of its assets to commodity trading advisors (each, a “Trading Advisor” and collectively, the “Trading Advisors”) through various series of CTA Choice Fund LLC (“CTA Choice”), a Delaware limited liability company, for which such allocations are rebalanced quarterly. Each Trading Advisor manages the portion of the assets of the Company allocated to such Trading Advisor and makes the trading decisions in respect of the assets allocated to such Trading Advisor. The Managing Member may terminate any current Trading Advisor or select new trading advisors from time to time in its sole discretion. In the future, the Managing Member may determine to access certain Trading Advisors through separate investee pools.

Effective July 1, 2012, ClariTy Managed Account & Analytics Platform LLC changed its name and form of entity to ClariTy Managed Account & Analytics Platform, L.P. (“ClariTy”). ClariTy refers to either ClariTy Managed Account & Analytics Platform LLC or ClariTy Managed Account & Analytics Platform L.P., depending on the applicable period discussed. ClariTy, an affiliate of Kenmar Preferred, serves as the managing member for CTA Choice. CTA Choice consists of multiple segregated series, each established pursuant to a separate Certificate of Designation prepared by the CTA Choice’s managing member. CTA Choice is an “umbrella fund” having multiple series, each of which is referred to as an “Affiliated Investment Fund”. Each Affiliated Investment Fund has its own clearly-defined investment objective and strategies that are implemented by a trading advisor.

KMP FUTURES FUND I LLC

NOTES TO CONDENSED FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 1.

ORGANIZATION (CONTINUED)

General Description of the Company (Continued)

Effective January 1, 2012, the Company allocated approximately one-half of its net assets (“Allocated Assets”) to each of the following: CTA Choice GRM (“GRM”) and CTA Choice WTN (“WTN”), both segregated series of CTA Choice. Graham Capital Management, L.P. (“Graham”) is the Trading Advisor for GRM and manages the assets pursuant to its K4D-15V Program. Winton Capital Management Limited (“Winton”) is the Trading Advisor for WTN and manages the assets pursuant to its Winton’s Diversified Program. Prior to January 1, 2012, the Company accessed Graham and Winton through direct managed accounts. Effective December 31, 2011, the Company terminated the Graham and Winton direct managed accounts and gained access to the trading advisors by investing into GRM and WTN as discussed above. As of December 31, 2011, the Graham and Winton direct managed accounts were both in a loss carryforward position. As agreed upon with the trading advisors, the loss carry forward from the Company’s direct managed accounts were transferred over to the Company’s member interests in GRM and WTN effective January 1, 2012.

Effective October 31, 2012, the Company fully redeemed from GRM. Effective November 1, 2012, the Company allocated approximately one-half of its net assets to each of WTN and CTA Choice EGLG (“EGLG”), a segregated series of CTA Choice. Eagle Trading Systems Inc. is the Trading Advisor for EGLG and will manage the assets pursuant to its Eagle Global Program.

Effective July 1, 2012, Kenmar Global Investment Management LLC changed its name and form of entity to Kenmar Global Investment Management L.P. (“Asset Allocator”). Asset Allocator refers to either Kenmar Global Investment Management LLC or Kenmar Global Investment Management, L.P., depending on the applicable period discussed. The Asset Allocator, an affiliate of the Managing Member, is the Asset Allocator of CTA Choice. Pursuant to the Asset Allocation Agreements between the Managing Member, the Asset Allocator, and each interestholder, the Asset Allocator determines the trading level of each interestholder’s assets and reallocates among the separate series of CTA Choice as agreed upon with the Trading Advisors. While the Asset Allocator receives no fees for such services from the Company, the Asset Allocator is paid management and incentive fees directly from the interestholders pursuant to each interestholder’s Asset Allocation Agreement. The Company pays no management or incentive fees to the Asset Allocator.

Note 2.

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Basis of Accounting

The condensed statements of financial condition, including the condensed schedules of investments, as of March 31, 2013, the condensed statements of operations for the three months ended March 31, 2013 (“First Quarter 2013”) and for the three months ended March 31, 2012 (“First Quarter 2012”) and the condensed statements of changes in members’ capital for the First Quarter 2013 and First Quarter 2012 are unaudited.

KMP FUTURES FUND I LLC

NOTES TO CONDENSED FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 2.

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Basis of Accounting (Continued)

In the opinion of the Managing Member, the condensed financial statements contain all adjustments (consisting of only normal recurring adjustments) necessary to state fairly the financial position of the Company as of March 31, 2013 and the results of its operations for the First Quarter 2013 and the First Quarter 2012. The operating results for these interim periods may not be indicative of the results expected for a full year.

The condensed financial statements of the Company are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”). Such principles require the Managing Member to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the condensed financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

Certain information and footnote disclosures normally included in the annual financial statements prepared in accordance with U.S. GAAP have been omitted. It is suggested that these condensed financial statements be read in conjunction with the financial statements and notes thereto included in the Company’s annual report on Form 10-K filed with the Securities and Exchange Commission (“SEC”) for the year ended December 31, 2012.

Investment in securities consists of publicly-traded mutual funds, which are valued using the net asset value on the last day of the period. Realized gains and losses from investment in securities and Affiliated Investment Funds are determined using the identified cost method. Any change in net unrealized gain or loss from the preceding period is reported in the condensed statements of operations. Dividends are recorded on the ex-dividend date.

The Company has elected not to provide a statement of cash flows since substantially all of the Company’s investments are highly liquid and carried at fair value, the Company has little or no debt and a condensed statement of changes in members’ capital (net asset value) is provided.

Consistent with standard business practice in the normal course of business, the Company has provided general indemnifications to Kenmar Preferred, its Trading Advisors and others when they act, in good faith, in the best interests of the Company. The Company is unable to develop an estimate of the maximum potential amount of future payments that could potentially result from any hypothetical future claim, but expects the risk of having to make any payments under these general business indemnifications to be remote.

KMP FUTURES FUND I LLC

NOTES TO CONDENSED FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 2.

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Basis of Accounting (Continued)

The Company accounts for financial assets and liabilities using a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value into three levels: quoted market prices in active markets for identical assets and liabilities (Level 1), inputs other than quoted market prices that are observable for the asset or liability, either directly or indirectly (Level 2), and unobservable inputs for the asset or liability (Level 3).

The Company considers its investments in publicly-traded mutual funds to be based on quoted prices in active markets for identical assets (Level 1). In determining the level, the Company considers the length of time until the investment is redeemable, including notice and lock-up periods or any other restriction on the disposition of the investment. The Company also considers the nature of the portfolios of the underlying Affiliated Investment Funds and their ability to liquidate their underlying investments. The Company has the ability to redeem its investments at the reported net asset valuation as of the measurement date (see Note 7) and classified its investment in Affiliated Investment Funds as Level 2 using the fair value hierarchy. The Affiliated Investment Funds are valued at the net asset value as reported by the underlying investment funds’ capital balance using the expedient method. The carrying value of the underlying investments in the Affiliated Investment Funds is at fair value.

There are no Level 3 investments on March 31, 2013 or December 31, 2012, nor any portion of the interim periods.

The following table summarizes the assets and liabilities measured at fair value using the fair value hierarchy:


March 31, 2013	Level 1		Level 2		Level 3		Total
Assets:
Investment in Affiliated Investment Funds, at fair value	$	0	$	3,111,139	$	0	$	3,111,139
Investment in securities, at fair value	$	11,818,920	$	0	$	0	$	11,818,920

December 31, 2012	Level 1		Level 2		Level 3		Total
Assets:
Investment in Affiliated Investment Funds, at fair value	$	0	$	3,773,030	$	0	$	3,773,030
Investment in securities, at fair value	$	12,162,691	$	0	$	0	$	12,162,691

KMP FUTURES FUND I LLC

NOTES TO CONDENSED FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 2.

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Cash and Cash Equivalents

Cash and cash equivalents include cash and investments in overnight deposits. Interest income, if any, includes interest on cash and overnight deposits. In the event of a financial institution’s insolvency, recovery of cash on deposit may be limited to account insurance or other protections afforded such deposits. The Company has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. The members bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, redemptions received.

Income Taxes

The Company is treated as a partnership for U.S. federal income tax purposes. As such, the Company is not required to provide for, or pay, any U.S. federal or state income taxes. Income tax attributes that arise from its operations are passed directly to the Members. The Company may be subject to other state and local taxes in jurisdictions in which it operates.

The Company recognizes tax benefits or expenses of uncertain tax positions in the year such determination is made when the positions are “more likely than not” to be sustained assuming examination by tax authorities. The Managing Member has reviewed the Company’s tax positions for all open years and concluded that no provision for unrecognized tax benefits or expense is required in these condensed financial statements. The Company has elected an accounting policy to classify interest and penalties related to unrecognized tax benefits as interest or other expense. The 2009 through 2012 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

There have been no differences between the tax basis and book basis of assets, liabilities or Members’ capital since inception of the Company

Capital Accounts

The Company accounts for subscriptions, allocations and redemptions on a per Member capital account basis. The Company allocates profits and losses, for both financial and tax reporting purposes to its Members monthly on a pro rata basis based on each Member’s pro rata capital in the Company during the month. Distributions (other than redemptions of capital) may be made at the sole discretion of the Managing Member on a pro rata basis in accordance with the Members’ respective capital balances. The Managing Member has not and does not presently intend to make any distributions.

KMP FUTURES FUND I LLC

NOTES TO CONDENSED FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 2.

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Interest and Dividends

Interest is recorded on an accrual basis. Dividends are recorded on the ex-dividend date.

Redemptions Payable

For purposes of both financial reporting and calculation of redemption value, net asset value is calculated per each Member’s capital account balance after allocations of net income/(loss) to such Member’s account.

Investment in Affiliated Investment Funds

The investment in Affiliated Investment Funds is reported at fair value in the Company’s condensed statements of financial condition. Fair value ordinarily is the fund’s net asset value as determined for the Affiliated Investment Funds in accordance with the fund’s valuation policies and reported at the time of the Company’s valuation by the management of the fund. Generally, the fair value of the Company’s investment in the Affiliated Investment Funds represents the amount that the Company could reasonably expect to receive from the funds if the Company’s investment was redeemed at the time of the valuation, based on information reasonably available at the time the valuation is made and that the Company believes to be reliable.

Note 3.

COSTS, FEES AND EXPENSES

Operating Expenses

Operating expenses of the Company are paid for by the Company, subject to an operating expense cap of 1.5% of the Company’s net asset value per annum. Operating expenses include legal, accounting, registrar, transfer and assignment functions, investor communications, printing, and other administrative services.

Management and Incentive Fees

Effective January 1, 2012, the Company indirectly through its investment in Affiliated Investment Funds pays the following Trading Advisor management fees (based on their respective Capital Commitments to the CTA Choice investments) and incentive fees for achieving “New High Net Trading Profits,” in the Company’s capital accounts within the Affiliated Investment Funds as defined in their respective advisory agreements:


Trading Advisor	Management Fee			Incentive Fee
WTN		1.50	%		20.00	%
GRM*		2.00	%		20.00	%
EGLG		2.00	%		25.00	%

The Company fully redeemed from GRM as of October 31, 2012.

KMP FUTURES FUND I LLC

NOTES TO CONDENSED FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 3.

COSTS, FEES AND EXPENSES (CONTINUED)

Management and Incentive Fees (Continued)

For the First Quarter 2013 and First Quarter 2012, the Company paid management fees, which are earned indirectly and are calculated within each Affiliated Investment Fund based on the Company’s Allocated Assets as of each standard allocation date of $80,956 and $114,365, respectively.

For the First Quarter 2013 and First Quarter 2012, the Company paid incentive fees indirectly within its investments in Affiliated Investment Funds of $39,141 and $0, respectively.

Commissions

The Company indirectly, through the commodity trading activity of the Affiliated Investment Funds, is obligated to pay all floor brokerage expenses, give-up charges and NFA clearing and exchange fees. These activities are reflected within the respective Net Asset Value of each of the Affiliated Investment Funds.

Note 4.

MANAGING MEMBER AND AFFILIATES

The Company’s management fees to Kenmar Preferred and operating expense cap are both calculated on the net assets of the Company at rates of 6.0% and 1.5% per annum, respectively. In addition, the Service Fees, which are paid by the Company, are deducted from the management fee to be paid by the Company to the Managing Member.

The Managing Member has determined that it is in the best interest of the Company to invest a portion of its net assets, either directly or indirectly through certain investment funds, in (i) U.S. government securities (which include any security issued or guaranteed as to principal or interest by the United States), (ii) any certificate of deposit for any of the foregoing, including U.S. treasury bonds, U.S. treasury bills and issues of agencies of the United States government, (iii) corporate bonds or notes, or (iv) other instruments permitted by applicable rule and regulations (collectively, “Certain Investment Funds”). The Managing Member is paid monthly 1/12 of 50% of the first 1% of the positive returns earned on the Company’s investments in Certain Investment Funds. The calculation is based on the Company’s average annualized net asset value, and any losses related to returns on Certain Investment Funds must first be recovered through subsequent positive returns prior to the Managing Member receiving a payment. After the calculation of the amount payable to the Managing Member, the Company will be credited with all additional positive returns (or 100% of any losses) on the Company’s investments in Certain Investment Funds. If at the end of any calendar year, a loss has been incurred on the returns for Certain Investment Funds, then the loss carry forward will reset to zero for the next calendar year with regards to the calculation of the Managing Member’s portion of Certain Investment Fund’s income. For the First Quarter 2013 and the First Quarter 2012, the Managing Member’s portion of interest earned on Certain Investment Funds amounted to $11,649 and $10,918, respectively.

KMP FUTURES FUND I LLC

NOTES TO CONDENSED FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 4.

MANAGING MEMBER AND AFFILIATES (CONTINUED)

Effective January 1, 2012, the Company pays a monthly managed account fee to ClariTy for risk management and related services with respect to monitoring the Trading Advisors, indirectly through its Affiliated Investment Funds based on their respective beginning of month Allocated Assets. For the First Quarter 2013 and the First Quarter 2012, the managed account fees earned indirectly totaled $11,548 and $16,269, respectively.

Note 5.

ADMINISTRATOR

GlobeOp Financial Services LLC (“GlobeOp” or the “Administrator”), a Delaware limited liability company, serves as the administrator of the Company. The Administrator performs or supervises the performance of services necessary for the operation and administration of the Company (other than making investment decisions), including administrative and accounting services. The Administrator also calculates the Company’s Net Asset Value. In addition, the Administrator maintains certain books and records of the Company, including certain books and records required by CFTC Rule 4.23(a). GlobeOp also serves as the administrator of the Affiliated Investment Funds

Effective January 1, 2012, the Company indirectly pays its pro-rata share of administrator fees through its investments in Affiliated Investment Funds. For the First Quarter 2013 and the First Quarter 2012, the Company indirectly paid administration fees totaling $8,323 and $8,530, respectively.

Effective January 1, 2013, the Company also pays an administration fee directly to GlobeOp. For the First Quarter 2013, the Company directly paid GlobeOp administration fees of $6,250.

Note 6.

SERVICE FEES

The service fee disclosed on the condensed statements of operations represents the monthly on-going trailing compensation paid to the service providers. With respect to investors in the Company that were formerly investors in Member KGT, a monthly fee in the amount of 1/12 of 3.5% (3.5% per annum) of the beginning of the month net asset value of such outstanding Interests serviced by the service provider are paid to the aforementioned service providers. With respect to investors in the Company that were formerly investors in Series E, Member DFT I, Member FST, Member D and Member F, a monthly fee in the amount of 1/12^th of 4.0% (4.0% per annum) of the beginning of month net asset value of such outstanding Interests serviced by the service provider are paid to the aforementioned service providers. The services fees are paid by the Company and are deducted from the management fee paid by the Company to the Managing Member.

KMP FUTURES FUND I LLC

NOTES TO CONDENSED FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 7.

INVESTMENT IN AFFILIATED INVESTMENT FUNDS

Effective January 1, 2012, the Company invests a portion of its assets in Affiliated Investment Funds. The Company’s investment in Affiliated Investment Funds represents approximately 17.09% and 20.27% of the net asset value of the Company at March 31, 2013 and December 31, 2012, respectively. The investment in Affiliated Investment Funds is reported in the Company’s condensed statements of financial condition at their fair value and is subject to the terms of the organizational and offering documents of the Affiliated Investment Funds.

The following table summarizes the change in net asset value (fair value) of the Company’s investment in Affiliated Investment Funds for the First Quarter 2013 and the First Quarter 2012:


	Net Asset Value December 31, 2012		Purchases		Gain			Redemptions			Net Asset Value March 31, 2013
CTA Choice EGLG	$	2,109,076	$	681,947	$	112,067		$	(1,080,453	)	$	1,822,637
CTA Choice WTN		1,663,954		415,105		348,702			(1,139,259	)		1,288,502

Total	$	3,773,030	$	1,097,052	$	460,769		$	(2,219,712	)	$	3,111,139


	Net Asset Value December 31, 2011		Purchases⁽¹⁾		Gain (Loss)			Redemptions			Net Asset Value March 31, 2012
CTA Choice GRM	$	0	$	4,020,252	$	220,256		$	(1,429,499	)	$	2,811,009
CTA Choice WTN		0		3,603,663		(158,994	)		(2,045,953	)		1,398,716

Total	$	0	$	7,623,915	$	61,262		$	(3,475,452	)	$	4,209,725

⁽¹⁾

Included in the purchases are contributions of open futures, open forwards and options contracts with a fair value of $475,859.

The Affiliated Investment Funds are redeemable semi-monthly and require a redemption notice of 1-5 days. The Company may make additional contributions or redemptions from the Affiliated Investment Funds on a standard allocation date. The Affiliated Investment Funds engage in trading of futures including agricultural, currency, energy, interest rates and stock indices among other types, foreign currency forward contracts and options of future contracts.

The Company records its proportionate share of income or loss in the condensed statements of operations.

KMP FUTURES FUND I LLC

NOTES TO CONDENSED FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 7.

INVESTMENT IN AFFILIATED INVESTMENT FUNDS (CONTINUED)

The Company’s investment in Affiliated Investment Funds is not fully funded, but is subject to additional capital calls to the Affiliated Investment Funds up to the full amount of the capital commitment. The following table sets out the total capital commitment split between net asset value (amount funded) and the remaining capital commitment. The remaining capital commitment is the maximum amount that can be requested from the Company if requested by the Affiliated Investment Funds to meet margin calls in accordance with the governing documents. The Company’s capital commitment to the Affiliated Investment Funds is disclosed below.


	Total Capital Commitment March 31, 2013		Net Asset Value March 31, 2013		Remaining Capital Commitment March 31, 2013
CTA Choice EGLG	$	9,138,614	$	1,822,637		$	7,315,977
CTA Choice WTN		9,446,703		1,288,502			8,158,201

Total	$	18,585,317	$	3,111,139		$	15,474,178

The Company’s investment in Affiliated Investment Funds is subject to the market and credit risks of securities held or sold short by their respective Affiliated Investment Fund. ClariTy has established procedures to monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. The interestholders within CTA Choice bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received.

Note 8.

RELATED PARTIES

The Company reimburses Kenmar Preferred and its affiliates for services it performs for the Company, which include, but are not limited to: management, legal, accounting, registrar, transfer and assignment functions, investor communications, printing, and other administrative services.

The expenses incurred by the Company for services performed by Kenmar Preferred and its affiliates for the Company was as follows:


	Three months ended March 31,
	2013			2012
Management fees to Managing Member	$	123,130		$	161,221
Operating expenses		34,752			36,444
Managing Member interest earned on investment funds		11,649			10,918

	$	169,531		$	208,583
General and administrative expenses borne by the Managing Member and its affiliates		(31,965	)		0

Total	$	137,566		$	208,583

KMP FUTURES FUND I LLC

NOTES TO CONDENSED FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 8.

RELATED PARTIES (CONTINUED)

Expenses payable to the Kenmar Preferred and its affiliates, which are included in the condensed statements of financial condition as of March 31, 2013 and December 31, 2012, were $56,898 and $52,544, respectively.

Note 9.

SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

Investments in the Company are made subject to the terms of the Operating Agreement.

A Member is able to request and receive redemption of capital, subject to the terms in the Operating Agreement.

Note 10.

DERIVATIVE INSTRUMENTS AND ASSOCIATED RISKS

No derivative instruments were directly held by the Company as of March 31, 2013 and December 31, 2012. Derivative trading activity is now conducted indirectly within the Affiliated Investment Funds.

The trading revenue of the Company’s derivatives by instrument type, as well as the location of those gains and losses on the condensed statements of operations, for the First Quarter 2012 was as follows:


	Trading Revenue for the First Quarter 2012
Condensed statement of operations
Net realized gain on securities	$	476,129
Net change in unrealized depreciation on securities		(476,129	)

Total	$	0

The Company’s investment in Affiliated Investment Funds are subject to the market and credit risks of the futures contracts, options on futures contracts, forward currency contracts and other financial instruments held or sold short by them. The Company bears the risk of loss only to the extent of the market value of its investment and, in certain specific circumstances, distributions and redemptions received.

The Company is exposed to various types of risks associated with the derivative instruments and related markets in which it indirectly invests through its investments in Affiliated Investment Funds. These risks include, but are not limited to, risk of loss from fluctuations in the value of derivative instruments held (market risk) and the inability of counterparties to perform under the terms of the Company’s investment activities (credit risk), including investments in Affiliated Investment Funds.

The Managing Member has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. The interestholders bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received.

KMP FUTURES FUND I LLC

NOTES TO CONDENSED FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 10.

DERIVATIVE INSTRUMENTS AND ASSOCIATED RISKS (CONTINUED)

Market Risk

Market risk is influenced by a wide variety of factors, including government programs and policies, political and economic events, the level and volatility of interest rates, foreign currency exchange rates, the diversification effect among the derivative instruments. the liquidity and inherent volatility of the markets in which the Company indirectly invests through its ownership in Affiliated Investment Funds.

Credit Risk

The Managing Member attempts to minimize both credit and market risks by requiring the Company and its Trading Advisors to abide by various trading limitations and policies. The Managing Member monitors compliance with these trading limitations and policies, which include, but are not limited to, executing and clearing all trades with creditworthy counterparties; limiting the amount of margin or premium required for any one commodity or all commodities combined; and generally limiting transactions to contracts which are traded in sufficient volume to permit the taking and liquidating of positions.

As of March 31, 2013 and December 31, 2012, the Company had no open futures or forward currency contracts as the Company accessed the Trading Advisors through its investments in Affiliated Investment Funds.

KMP FUTURES FUND I LLC

NOTES TO CONDENSED FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 11.

FINANCIAL HIGHLIGHTS

The following information presents the financial highlights of the Company for the First Quarter 2013 and the First Quarter 2012. This information has been derived from information presented in the condensed financial statements.


	Three Months Ended March 31, 2013			Three Months Ended March 31, 2012
Total return ⁽¹⁾		0.68	%		(1.33	)%

Total expenses ⁽²⁾		7.78	%		7.24	%

Net investment loss ^{(2), (3)}		(7.12	)%		(6.42	)%

Total return is calculated based on the change in value of Members’ capital during the period. An individual Member’s total returns and ratios may vary from the above total return and ratios based on the timing of subscriptions and redemptions.

⁽¹⁾

Not Annualized.

⁽²⁾

Annualized.

⁽³⁾

Represents interest and dividend income less net expenses.

Note 12.

SUBSEQUENT EVENTS

The following table sets out the total capital commitment split between net asset value (amount funded) and the remaining capital commitment as of April 30, 2013:


	Total Capital Commitment April 30, 2013		Net Asset Value April 30, 2013		Remaining Capital Commitment April 30, 2013
CTA Choice EGLG	$	9,572,771	$	2,285,888	$	7,286,883
CTA Choice WTN		9,431,619		1,500,054		7,931,565

Total	$	19,004,390	$	3,785,942	$	15,218,448

From April 1, 2013 through May 13, 2013, there were redemptions of $303,392 effective for April 30, 2013.

Item 2.

Management’s Discussion and Analysis of

Financial Condition and Results of Operations

This report on Form 10-Q (the “Report”) for the quarter ending March 31, 2013 (“First Quarter 2013”) includes forward-looking statements that reflect the current expectations of Kenmar Preferred Investments, L.P., the managing member of KMP Futures Fund I LLC, about the future results, performance, prospects and opportunities of the Registrant. The managing member has tried to identify these forward-looking statements by using words such as “may,” “will,” “expect,” “anticipate,” “believe,” “intend,” “should,” “estimate” or the negative of those terms or similar expressions. These forward-looking statements are based on information currently available to the managing member and are subject to a number of risks, uncertainties and other factors, both known, such as those described in this Report, and unknown, that could cause the Registrant’s actual results, performance, prospects or opportunities to differ materially from those expressed in, or implied by, these forward-looking statements.

You should not place undue reliance on any forward-looking statements. Except as expressly required by the Federal securities laws, the managing member undertakes no obligation to publicly update or revise any forward-looking statements or the risks, uncertainties or other factors described in this Report, as a result of new information, future events or changed circumstances or for any other reason after the date of this Report.

Introduction

General

KMP Futures Fund I LLC (the “Registrant”) is a limited liability company organized under the laws of Delaware on November 20, 2006 which commenced operations on January 1, 2007. The Registrant will terminate on December 31, 2056 unless terminated sooner under the provisions of the limited liability company agreement of the Registrant (the “Operating Agreement”). The Registrant was formed to engage in the direct or indirect speculative trading of a diversified portfolio of futures contracts, options on futures contracts and forward currency contracts and may, from time to time, engage in cash and spot transactions. Investors holding interests in the Registrant are collectively referred to herein as the “Members” or the “Individual Members”. The fiscal year end of the Registrant is December 31.

Effective November 12, 2009, the Registrant became a reporting company pursuant to the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Moreover, as a commodity pool, the Registrant became subject to the record keeping and reporting requirements of the Commodity Futures Trading Commission (“CFTC”) and the National Futures Association (“NFA”).

The Registrant’s Objectives

The Registrant’s objectives are:

•

Significant profits over time;

•

Performance volatility commensurate with profit potential;

•

Controlled risk of loss; and

•

Diversification within a traditional portfolio, typically consisting entirely of “long” equity and debt positions and reduced dependence on a single nation’s economy, by accessing global financial, commodity and other non-financial futures markets.

The Registrant’s potential for aggressive capital growth arises from the profit possibilities offered by the global futures, forward and options markets and the skills of the professional trading organization(s) selected to manage the assets of the Registrant. The fact that the Registrant can profit from both rising and falling markets adds an element of profit potential that is not present in long-only strategies. However, the Registrant can also incur losses from both rising and falling markets that adds to the risk of loss. In addition to its profit potential and risk of loss, the Registrant also could help reduce the overall volatility, or risk, of a portfolio. By investing in markets that operate independently from U.S. stock and bond markets (and therefore, may be considered as non-correlated), the Registrant may provide positive returns even when U.S. stock and bond markets are experiencing flat to negative performance and may provide negative returns even when U.S. stock and bond markets are experiencing flat to positive performance. Non-correlation should not be confused with negative correlation, where the performance would be exactly opposite between the Registrant and U.S. stock and bond markets.

The managing member makes no guarantee that the investment objectives for the Registrant will be achieved.

Past performance is not necessarily indicative of future results.

Managing Member and its Affiliates

Kenmar Preferred Investments, L.P. (formerly Kenmar Preferred Investments Corp., “Kenmar Preferred” or “Managing Member”) is the Managing Member of the Registrant, and has been delegated administrative authority over the operations of the Registrant.

The Managing Member’s predecessor and affiliates have been sponsoring and managing single and multi-advisor funds for over two decades. The principal office of the Registrant is c/o Kenmar Preferred Investments, L.P., 900 King Street, Suite 100, Rye Brook, New York 10573. The telephone number of the Registrant and the Managing Member is (914) 307-7000.

The Managing Member has substantial experience in selecting and monitoring trading advisors, asset allocation and overall portfolio design using quantitative and qualitative methods.

The Managing Member monitors the trading activity and performance of the trading advisors and adjusts the overall leverage at which the Registrant trades. The commitment of the Registrant to the trading advisors may exceed 100% of the Registrant’s total equity if the Managing Member decides to strategically allocate notional equity to such trading advisors. This may result in increased profits or larger losses than would otherwise result. There likely will be periods in the markets during which it is unlikely that the trading advisors will be profitable. By having the ability to deleverage the Registrant’s market commitment to below its actual equity during such periods, the Managing Member could help preserve capital while awaiting more favorable market cycles.

The Managing Member also performs ongoing due diligence with respect to the trading advisors. If the Managing Member determines that the trading advisors have departed from its program or stated trading methodology or has exceeded its stated risk parameters, the Managing Member, on behalf of the Registrant, will take such actions as it deems appropriate, which may include terminating the trading advisors. Similarly, if the Managing Member’s ongoing due diligence leads the Managing Member to determine that it is in the best interests of the Registrant to add an additional trading advisor; it will do so in its sole discretion. If the Managing Member concludes, based upon its perception of market or economic conditions, that it is appropriate to allocate assets of the Registrant to a different trading program run by the trading advisors, it will do so. The Managing Member may select a replacement if any of the trading advisors resign or are terminated, or may select additional advisors at its discretion.

The Trading Advisors and the Trading Vehicles

The Registrant allocates its assets to commodity trading advisors (each, a “Trading Advisor” and collectively, the “Trading Advisors”). Each Trading Advisor manages the portion of the assets of the Registrant allocated to such Trading Advisor and makes the trading decisions in respect of the assets allocated to such Trading Advisor. The Managing Member may terminate any current Trading Advisor or select new trading advisors from time to time in its sole discretion. In the future, the Managing Member may determine to access certain Trading Advisors through separate investee pools.

In general, the Registrant expects to access the Trading Advisors through various series of CTA Choice Fund LLC (“CTA Choice”). CTA Choice is an “umbrella fund” having multiple series, each of which is referred to herein as a “CTA Fund” or a “Affiliated Investment Fund”. Each CTA Fund has its own clearly-defined investment objective and strategies that are implemented by a trading advisor. ClariTy Managed Account & Analytics Platform, L.P. (formerly ClariTy Managed Account & Analytics Platform LLC, “ClariTy”), an affiliate of the Managing Member, is the managing member of CTA Choice. As of November 1, 2012, the Registrant allocates approximately one-half of its net assets (“Allocated Assets”) to each of the following CTA Funds:

•

CTA Choice WTN, managed by Winton Capital Management Limited (“Winton”), pursuant to its Diversified Program, which is a systematic, technical diversified program; and

•

CTA Choice EGLG, managed by Eagle Trading Systems Inc. (“Eagle”), pursuant to its Global Program, which is a systematic, technical long term diversified program.

Winton’s Diversified Program employs a computer-based system to engage in the speculative trading of approximately 120 international futures, options and forwards markets, government securities such as bonds, as well as certain over the counter (“OTC”) instruments, which may include foreign exchange and interest rate forward contracts and swaps. Winton seeks to combine highly liquid financial instruments offering positive but low Sharpe ratios (meaning that profits have been achieved with a certain level of risk) and generally low correlation over the long term to other markets such as equities and fixed income.

Eagle’s Global Program is a technical, trend-following system developed, based on Eagle’s extensive experience in observing and trading the global markets, to capture a well-structured trading philosophy. The trading philosophy incorporates trend following elements, money management principles, predetermined risk parameters and volatility adjustment features. The system is designed to trade in a wide range of global futures markets—currencies, fixed income, energies, commodities and stock indices—that exhibit orderly intermediate and long-term trends, and adjust to changes in market environment with no predetermined allocation to any one sector. Eagle analyzes typical behavior and volatility patterns of various markets. The system seeks markets with potentially good risk/reward profiles while attempting to avoid markets characterized by excessive volatility and sharp price corrections. An attempt is made to participate in markets which exhibit favorable “signal to noise” characteristics. Money management and risk control disciplines serve to attempt to limit downside risk. Currently, Eagle covers 37 commodities, currencies, and global markets.

The Administrator

GlobeOp Financial Services, L.L.C. (“GlobeOp” or the “Administrator”), a Delaware limited liability company located at One South Road, Harrison, NY 10528, has been retained by the Registrant to serve as the Registrant’s administrator and provide certain administration and accounting services.

The Administrator performs or supervises the performance of services necessary for the operation and administration of the Registrant (other than making investment decisions), including administrative and accounting services. The Administrator also calculates the Registrant’s Net Asset Value. In addition, the Administrator maintains certain books and records of the Registrant, including certain books and records required by CFTC Rule 4.23(a).

Fees and Expenses

Management Fee

The Registrant pays to the Managing Member in advance a monthly management fee equal to 1/12^th of 6.00% (6.00% per annum) of the Net Asset Value (defined below) of the Registrant as of the beginning of the month, See Note 4 of the Registrant’s financial statements included in its annual report for the year ended December 31, 2012 filed as an exhibit to the Registrant’s Form 10-K for the fiscal year ended December 31, 2012.

“Net Asset Value” is the total assets of the Registrant less total liabilities of the Registrant, each determined on the basis of accounting principles generally accepted in the United States of America.

The Registrant, through its investments in the CTA Funds, indirectly pays a monthly managed account fee in the amount of 1/12 of 0.25% of the respective CTA Fund’s beginning of month Allocated Assets to ClariTy for risk management and related services with respect to monitoring the Trading Advisors.

Trading Advisors’ Fees

The Registrant indirectly pays Winton and Eagle monthly management fees at an annual rate of 1.5% and 2% respectively as defined in their respective Trading Advisory Agreements.

The Registrant indirectly pays Winton and Eagle an incentive fee accrued monthly and paid quarterly of 20% and 25%, respectively, for achieving “New High Net Trading Profits” as defined below.

New High Net Trading Profits (for purposes of calculating an Trading Advisor’s incentive fees) will be computed as of the close of business of the last day of each calendar quarter, or the Incentive Measurement Date, and will include such profits (as outlined below) since the immediately preceding Incentive Measurement Date (or, with respect to the first Incentive Measurement Date, since commencement of operations of the Registrant or the date the Trading Advisor commenced trading activities for the Registrant), or each an Incentive Measurement Period. New High Net Trading Profits for any Incentive Measurement Period will be the net profits, if any, from the Trading Advisor’s trading during such period (including (i) realized trading profit (loss) plus or minus (ii) the change in unrealized trading profit (loss) on open positions), and will be calculated after the determination of certain transaction costs attributable to the Trading Advisor’s trading activities and the Trading Advisor’s management fee, but before deduction of any incentive fees payable during the Incentive Measurement Period. New High Net Trading Profits will not include interest earned or credited on the assets allocated to the Trading Advisor.

New High Net Trading Profits will be generated only to the extent that the cumulative New High Net Trading Profits achieved by the Trading Advisor exceed the highest level of cumulative New High Net Trading Profits achieved by such Trading Advisor as of a previous Incentive Measurement Date. Except as set forth below, net losses from prior quarters must be recouped before New High Net Trading Profits can again be generated.

If a withdrawal or distribution occurs or if a Trading Advisor’s advisory agreement with the relevant CTA Fund is terminated at any date that is not an Incentive Measurement Date, the date of the withdrawal or distribution or termination will be treated as if it were an Incentive Measurement Date. New High Net Trading Profits for an Incentive Measurement Period shall exclude capital contributions allocated to the Trading Advisor in an Incentive Measurement Period, distributions or redemptions paid or payable from the Trading Advisor’s account during an Incentive Measurement Period and any loss carry-forward attributable to the Trading Advisor will be reduced in the same proportion that the value of the assets allocated away from the Trading Advisor comprises of the value of the assets allocated to the Trading Advisor prior to such allocation away from the Trading Advisor). In calculating New High Net Trading Profits, incentive fees paid for a previous Incentive Measurement Period will not reduce cumulative New High Net Trading Profits in subsequent periods.

Brokerage Commissions and Fees

The Registrant indirectly pays to the clearing brokers all brokerage commissions, including applicable exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with the Registrant’s trading activities. Through December 31, 2011, these activities were paid directly by the Registrant. Effective January 1, 2012, these activities are now charged indirectly through the Registrant’s Affiliated Investment Funds and are reflected within the respective Net Asset Values of each of the Affiliated Investment Funds. On average, total charges paid to the clearing brokers are expected to be less than $10.00 per round-turn trade, although the clearing broker’s brokerage commissions and trading fees will be determined on a contract-by-contract basis. The exact amount of such brokerage commissions and trading fees to be incurred is impossible to estimate and will vary based upon a number of factors including the trading frequency of each advisor, the types of instruments traded, transaction sizes, degree of leverage employed and transaction rates in effect from time to time.

Routine Operational, Administrative and Other Ordinary Expenses

The Registrant pays directly or indirectly all of its routine operational, administrative and other ordinary expenses, including, but not limited to, (i) legal, bookkeeping, accounting, custodial, administration (including, without limitation, the costs and expenses of the Administrator), auditing, tax preparation charges and related charges of the Registrant (including reimbursement of the Managing Member on a reasonable time-spent basis, for certain legal, accounting, administrative and registrar and transfer agent work performed by certain of the Managing Member’s personnel for and on behalf of the Registrant), as well as printing and other related expenses, (ii) investment related expenses, including, but not limited to brokerage commissions, “bid-ask” spreads, mark-ups, margin interest and other transactional charges and clearing fees, as well as banking, sales and purchase commissions and charges and exchange fees, fees and charges of other custodians and clearing agencies, interest and commitment fees on loans and debit balances, income taxes, withholding taxes, transfer taxes and other governmental charges and duties, and other transactional charges and clearing fees incurred by the Trading Advisor on behalf of the Registrant, The Registrant’s pro rata share of the expenses of any Access Fund into which it invests, and any due diligence expenses incurred in selecting and monitoring the Trading Advisor and any Access Funds, (iii) operational and overhead expenses of the Registrant, including but not limited to, photocopying, postage, and telephone expenses, (iv) preparation of monthly, quarterly, annual and other reports required by applicable Federal and state regulatory authorities, (v) the Registrants meetings and preparing, printing and mailing of proxy statements and reports to Members, (vi) client relations and services, and (vii) computer equipment, system maintenance and other technology-related expenses.

Extraordinary Fees and Expenses

The Registrant pays all its extraordinary fees and expenses, if any, and its allocable portion of all extraordinary fees and expenses of the Registrant generally, if any, as determined by the Managing Member. Extraordinary fees and expenses are fees and expenses that are non-recurring and unusual in nature, such as legal claims and liabilities and litigation costs and any permitted indemnification payments related thereto. Extraordinary fees and expenses shall also include material expenses that are not currently anticipated obligations of the Registrant or of managed futures funds in general, such as the payment of partnership taxes or governmental fees associated with payment of such taxes. Routine operational, administrative and other ordinary expenses will not be deemed extraordinary expenses. Any fees and expenses imposed on the Registrant due to the status of an individual shall be paid by such individual or the Registrant, not the Managing Member.

Expense Cap

Routine operational, administrative and other ordinary expenses, other than the Managing Member’s management fee, the fees to be paid to the Registrant’s Trading Advisor(s), Brokerage Commissions and extraordinary fees and expenses, are limited to 1.50%

of average Net Asset Value per annum, See Note 3 of the Registrant’s 2012 annual report, which is filed as an exhibit to the Registrant’s Form 10-K for the fiscal year ended December 31, 2012. In the event fees and expenses for such items exceed such amount, the Managing Member will pay such amounts.

Redemption Charge

There is no redemption charge in respect of Interests.

Competition

The Registrant competes with other private and publicly offered commodity pools, as well as other alternative investments such as REITs and oil and gas limited partnerships and hedge funds. The Registrant operates in a competitive environment in which it faces several forms of competition, including, without limitation:

•

The Registrant competes with other commodity pools and other investment vehicles for investors.

•

The Trading Advisor may compete with other traders in the markets in establishing or liquidating positions on behalf of the Registrant.

Employees

The Registrant has no employees. Management and administrative services for the Registrant are performed by the Managing Member or third parties pursuant to the LLC Operating Agreement, as further discussed in Notes 3 and 4 of the Registrant’s 2012 annual report, which is filed as an exhibit to the Registrant’s Form 10-K for the fiscal year ended December 31, 2012.

Financial Information about Segments

The Registrant’s business constitutes only one segment for financial reporting purposes. The Registrant does not engage in the production or sale of any goods or services. The objective of the Registrant’s business is appreciation of its assets through speculative trading in such commodity interests. Financial information about the Registrant’s business, as of December 31, 2012, is set forth under Items 2 and 3 herein.

Financial Information about Geographic Areas

Although the Registrant trades in the global futures, forward and option markets, it does not have operations outside of the United States.

Available Information

Effective with the Form 10 filed on November 2, 2009, the Registrant files an annual report on Form 10-K, quarterly reports on Form 10-Q, current reports on Form 8-K, and all amendments to these reports with the SEC. You may read and copy any document filed by the Registrant at the SEC’s Public Reference Room at 100 F Street, N.E., Washington, D.C. 20549. Please call the SEC at 1-800-SEC-0330 for information on the Public Reference Room. The Registrant does not maintain an internet website; however, the Registrant’s SEC filings are available to the public from the EDGAR database on the SEC’s website at http://www.sec.gov. The Registrant’s CIK number is 0001474307.

Critical Accounting Policies

General

Preparation of the condensed financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires the application of appropriate accounting rules and guidance. Applying these policies requires the Managing Member to make judgments, estimates and assumptions in connection with the preparation of the Registrant’s condensed financial statements. Actual results may differ from the estimates used.

The Managing Member has evaluated the Registrant’s condensed financial statements and related disclosures and has determined that the policies discussed below are critical accounting policies because they involve estimates, judgments and assumptions that are particularly complex, subjective or uncertain. For further discussion of the Registrant’s significant accounting policies, see Note 2 of the Registrant’s 2012 annual report filed as an exhibit to the Registrant’s Form 10-K for the fiscal year ended December 31, 2012.

The Registrant records all investments at fair value in its condensed financial statements, with changes in fair value reported as a component of Trading Profits (Losses) in the condensed statements of operations. Generally, fair values are based on quoted market prices; however, in certain circumstances, significant judgments and estimates are involved in determining fair value in the absence of an active market closing price. The Registrant considers its investments in publicly-traded mutual funds, to be based on quoted prices in active markets for identical assets (Level 1). Level 3 inputs reflect the Registrant’s assumptions that it believes market participants would use in pricing the asset or liability. The Registrant develops Level 3 inputs based on the best information available in the circumstances, which may include indirect correlation to a market value, combinations of market values or the Registrant’s proprietary data. Level 3 inputs generally include information derived through extrapolation or interpolation of observable market data. The Registrant does not currently have any investments valued using Level 3 inputs.

The investment in Affiliated Investment Funds is reported in the Registrant’s condensed statements of financial condition and are considered Level 2 investments. In determining the level, the Registrant considers the length of time until the investment is redeemable, including notice and lock-up periods or any other restriction on the disposition of the investment. The Registrant also considers the nature of the portfolios of the underlying Affiliated Investment Funds and their ability to liquidate their underlying investments. The Registrant has the ability to redeem its investments at the reported net asset valuation as of the measurement date (see Note 7 of the condensed financial statements) and classified its investment in Affiliated Investment Funds as Level 2 using the fair value hierarchy. Fair value ordinarily is the value determined for the Affiliated Investment Funds in accordance with the fund’s valuation policies and reported at the time of the Registrants valuation by the management of the fund. Generally, the fair value of the Registrant’s investments in the funds represents the amount that the Registrant could reasonably expect to receive from the funds if the Registrant’s investment was redeemed at the time of the valuation, based on information reasonably available at the time the valuation is made and that the Registrant believes to be reliable.

Of the Registrant’s investments at March 31, 2013, $11,818,920 or 79.16% of the Registrant’s investments are classified as Level 1 and $3,111,139 or 20.84% as Level 2. Of the Registrant’s investments at December 31, 2012, $12,162,691 or 76.32% of the Registrant’s investments are classified as Level 1 and $3,773,030 or 23.68% as Level 2. There are no Level 3 investments at March 31, 2013 or December 31, 2012, nor any portion of the interim periods.

The Managing Member has determined that it is in the best interest of the Registrant to invest a portion of its net assets, either directly or indirectly through certain investment funds, in (i) U.S. government securities (which include any security issued or guaranteed as to principal or interest by the United States), (ii) any certificate of deposit for any of the foregoing, including U.S. treasury bonds, U.S. treasury bills and issues of agencies of the United States government, (iii) corporate bonds or notes, or (iv) other instruments permitted by applicable rule and regulations (collectively, “Certain Investment Funds”). Effective January 1, 2011, the Managing Member is paid monthly 1/12 of 50% of the first 1% of the positive returns earned on the Registrant’s investments in Certain Investment Funds. The calculation is based on the Registrant’s average annualized net asset value, and any losses related to returns on the Certain Investment Funds must first be recovered through subsequent positive returns prior to the Managing Member receiving a payment. After the calculation of the amount payable to the Managing Member, the Registrant will be credited with all additional positive returns (or 100% of any losses) on the Registrant’s investment in Certain Investment Funds. If at the end of any calendar year, a loss has been incurred on the returns for the Certain Investment Funds, then the loss carry forward will reset to zero for the next calendar year with regards to the calculation of the Managing Member’s portion of the Certain Investment Fund’s income.

Liquidity and Capital Resources

The Registrant commenced operations on January 1, 2007. Contributions were raised and redemptions paid through new members’ investments in and redemptions out of the aggregate trading vehicle through December 31, 2009. Beginning January 1, 2010, individual members may redeem from the direct investment vehicle. Interests in the Registrant may be redeemed on a monthly basis.

Subscriptions and Redemptions

First Quarter 2013

Subscriptions of Interests for the First Quarter 2013 were $0. Redemptions of Interests for the First Quarter 2013 were $539,783.

First Quarter 2012

Subscriptions of Interests for the First Quarter 2012 were $0. Redemptions of Interests for the First Quarter 2012 were $1,001,884.

Liquidity

A portion of the Registrant’s net assets has been held in cash, which was used as margin for trading in commodities through its investments in Affiliated Investment Funds.

Commodities contracts presented directly or indirectly may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, commodity exchanges limit fluctuations in certain commodity futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract for a particular commodity has increased or decreased by an amount equal to the daily limit, positions in the commodity can neither be taken nor liquidated unless traders are willing to effect trades at or within the limit. Commodity futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. Such market conditions could prevent the Registrant from promptly liquidating its commodity futures positions.

Since the Registrant’s business is to trade futures, forward and options contracts through its investments in CTA Choice, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk). The Registrant’s exposure to market risk is influenced by a number of factors including the volatility of interest rates and foreign currency exchange rates, the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of the Registrant’s speculative trading as well as the development of drastic market occurrences could result in losses considerably beyond the Registrant’s experience to date and could ultimately lead to a loss of all or substantially all of investors’ capital. The Managing Member attempts to minimize these risks by requiring the Registrant and the Trading Advisor to abide by various trading limitations and policies, which include limiting margin amounts, trading only in liquid markets and permitting the use of stop loss provisions. See Note 10 of the Registrant’s unaudited condensed financial statements for a further discussion on the credit and market risks associated with the Registrant’s futures, forwards and option contracts.

There are no known material trends, demands, commitments, events or uncertainties at the present time that are reasonably likely to result in the Registrant’s liquidity increasing or decreasing in a material way.

Capital Resources

The Registrant does not intend to raise additional capital through the sale of Interests offered or through any borrowing. Due to the nature of the Registrant’s business, the Registrant does not contemplate making capital expenditures. The Registrant does not have, nor does it expect to have, any capital assets. Redemptions, exchanges, and sales of Interests in the future will affect the amount of funds available for investments in futures interests in subsequent periods. It is not possible to estimate the amount, and therefore the impact, of future inflows and outflows of Interests. There are no known material trends, favorable or unfavorable, that would affect, nor any expected material changes to, the Registrant’s capital resource arrangements at the present time.

Market Overview

Following is a market overview for the First Quarter 2013 and First Quarter 2012:

First Quarter 2013

The first quarter was marked by surging optimism in the global financial markets, with emphasis on the United States. The resolution of the fiscal cliff, growing signs that the deleveraging headwinds on consumers were fading, continued robust housing data, and the improving job market all boosted hopes that the US economy was on the verge of a multi-year reflation. The bold steps of Japanese policymakers to shake their economy from long-term inactivity advanced their stock markets and gave a massive jolt to consumer and business confidence. Sovereign debt markets continued to stabilize in Europe despite the flare up in Cyprus. China and other emerging markets showed signs that they were reaccelerating after the slowdown in 2012. Global PMIs lifted up in the first quarter. Risk assets soared, especially in the US, as the markets looked ahead to a year with no major worries of financial dislocation, expectations of firming growth, and still accommodative monetary policy.

Treasuries continued to selloff as tail risk perceptions dwindled and investors began to chase yield and asset appreciation. Still, the selloff failed to gather momentum as the Cyprus bailout fueled a strong bid for Treasuries toward the end of the quarter. Yields on the long-end of the curve climbed and the yield curve steepened. The yield on the 10-year appreciated 9 basis points to 1.87%, although at one point during the quarter the yield had surged to 2.06%. The 30-year yield rose 15 basis points to reach 3.10%, the highest level since May 2012. The yield on the 5-year edged up 5 basis points to 0.77%. However, the yield on the 2-year note was unchanged at 25 basis points. The Bank of Japan announced massive quantitative easing and its intention to buy a wide range of assets. The European Central Bank and the Bank of England maintained status quo.

Despite the rally in risk assets and the fading of flight to safety, the greenback rallied quickly as expectations of US economic resurgence gained ground. The Dollar Index jumped 4.02%. The euro failed to hold onto the gains at the beginning of the year and fell back to below 1.30 by the end of the quarter, losing 2.81% against the dollar. The British Pound plunged 6.57% against the dollar as poor economic performance and widening current account deficit took their toll. The yen continued its rapid decline, dropping 8.68%, due to the Bank of Japan’s announcement of Quantitative Easing. The commodity currencies were mixed—the Australian dollar edged up 0.15% against the greenback but the Canadian dollar dropped 2.17%.

US equities experienced their best first quarter since 1997. The gains were broad-based, with transportation and financials leading the way. The Dow, the S&P 500, and NASDAQ gained approximately 11.25%, 10.61%, and 8.21%, respectively, for the quarter. European stocks experienced more moderate gains. The STOXX 600, a broad measure of European equities, climbed 2.31%, in dollar terms. The CAC, the DAX, and the FTSE 100 closed the quarter with gains of approximately 2.48%, 2.40%, and 8.71%, respectively. Asian markets were more mixed. The Nikkei soared 19.27%, after climbing 17.2% in the previous quarter. However, the Hang Seng declined 1.58%. The Korean Kospi edged up 0.39%. The Australian All Ordinaries Index rose 6.76%.

Commodities did not partake in the global rally in risk assets. Much of the commodity complex declined, with the exception of the energy complex and cotton. WTI crude gained 4.41% during the quarter even as Brent crude declined 2.63%, narrowing the spread between the two. Gasoline and natural gas outperformed crude oil, soaring 11.29% and 24.47%, respectively. Natural gas benefited from the colder winter.

Precious metals lost ground as fear receded and investors sought out yield. Gold and silver dropped 5.57% and 8.49%, respectively. Base metal prices fell across the board. Copper, nickel, aluminum, and zinc recorded losses of 8.94%, 5.90%, 11.89%, and 11.36%, respectively.

The grains complex was mixed. Wheat prices dropped 8.94% as US weather threats diminished. On the other hand, corn and soybeans held their ground. The softs complex suffered significant losses, notably sugar, which declined 10.31% on reports that India’s production would be higher than earlier estimates. Coffee fell 8.20%.

First Quarter 2012

The opening quarter of 2012 started on a positive note and ended amid growing buoyancy in the financial markets. The rally in risk assets triggered by the European Central Bank (“ECB”)’s first round of long-term refinancing operations (“LTRO”) on December 21 gathered momentum as it rolled through the first quarter, resulting in the best beginning to a year in a long time. Sovereign spreads narrowed dramatically in Europe and interbank stresses came down thanks to the LTRO. In the meantime, U.S. economic data came in vastly better than expectations. While the GDP growth itself at 3% in the fourth quarter was not spectacular, payroll employment gains

were robust, topping 200,000 three months in a row while the unemployment rate declined to 8.2%. Moreover, motor vehicle sales surged past the 15 million mark. Last but not the least, the housing market showed several signs of coming back to life, with housing starts and homebuilder confidence reaching their highest levels since 2008. Relative to the U.S., global economic data was more mixed. Europe remained weak, although the data was better than expected. Meanwhile, emerging markets, notably China and India, showed continued deceleration.

Treasuries experienced their first losing quarter after three consecutive quarters of gains. The yield curve steepened as the flight to safety faded and strong U.S. economic data dampened prospects of monetary easing. The 10-year yield easily surged past the 2.25% mark and came close to the 2.40% level last reached in October 2011 before rallying toward the end of the quarter; it climbed 34 basis points to end the quarter at 2.23%. The 30-year yield soared by 46 basis points to end the quarter at 3.35% while the 5-year yield rose by 21 basis points to 1.04%. The two year yield increased by 8 basis points to 33 basis points. The U.S. Federal Reserve (“Fed”) left policy unchanged during the quarter and notably refrained from indicating any prospect of QE3. The ECB maintained status quo on rates but conducted another round of LTRO on February 21 to provide funding to banks. The Bank of England held rates steady but increased its asset purchase program. The Bank of Japan kept key rates unchanged through the quarter but announced an explicit inflation target (of 1%) for the first time ever.

Currencies: The greenback lost support as flight to safety faded. The Dollar Index declined 1.16%. The euro gained 2.78% against the dollar. The British pound also benefited from the cooling of fears in Europe, gaining 2.88% against the greenback. The risk-on environment, coupled with the Bank of Japan’s announcement of an explicit inflation target, caused the yen to plummet 7.05%. Growing optimism about the global economy and strengthening commodity prices helped the commodity currencies; the Australian and the Canadian dollars gained 1.13% and 1.75%, respectively.

Indices: U.S. equities enjoyed their best first quarter since 1998. The gains were broad-based. Financials led the way as a result of the dwindling fears of a banking crisis in Europe. Technology had an explosive quarter as well. Utilities lagged, partly because unusually warm weather placed a dent on utilization rates. The DowSM, the S&P 500^®, and NASDAQ^® gained approximately 8.14%, 12.58% and 18.78%, respectively, for the quarter. European stocks too experienced broad-based gains. The STOXX 600, a broad measure of European equities, rose 10.46%, in dollar terms. The CAC^®, the DAX^® and the FTSE 100^® closed the quarter with gains of approximately 8.36%, 17.78%, and 3.52%, respectively. Asian markets were no different. The Nikkei^® soared 19.26%, the Hang SengTM surged 11.51%, and the Korean Kospi^® rose 10.31%. The Australian All Ordinaries Index increased 7.52%.

Energies: Commodities rallied for the second consecutive quarter as global purchasing managers’ indices showed that global industrial activity appeared to be stabilizing. While much of the commodity complex gained during the quarter, natural gas, coffee, nickel, lean hogs, and live cattle were the notable exceptions. Crude oil increased 3.49% during the quarter and heating oil gained 8.52%. Gasoline surged 19.35% as several refineries were shut down. Natural gas plummeted by 39.78% to its lowest level since 2002 due to rapidly growing supply.

Metals: Gold ended the quarter with a gain of 6.46%, but experienced some sharp reversals during the quarter, especially following the release of Fed meeting minutes suggesting a diminishing need for further stimulus. Silver recorded a robust gain of 16.33%. Base metals, barring nickel, had a solid quarter. Copper and zinc recorded gains of 11.16% and 8.40%, respectively, but nickel fell 4.73%.

Agriculturals/Softs and Livestock: Grains were among the better performers within the agricultural complex. Soybeans gained 17.69% on contoured strong demand from China. Wheat and corn posted increases of 2.45% and 1.28%, respectively. Lean hogs and live cattle registered losses of 4.03% and 2.55%, respectively.

Sector Performance

Due to the nature of the Registrant’s indirect trading activities, a period-to-period comparison of its indirect trading results is not meaningful. However, set forth below are the following:

(a)

the major sectors to which the Registrant’s assets were indirectly allocated as of the First Quarter 2013 and First Quarter 2012, measured as a percentage of the “gross speculator margin” (i.e., the minimum amount of cash or marginable securities a speculator must post when buying or selling futures assets); and

(b)

a discussion of the Registrant’s indirect trading results for the major sectors in which the Registrant traded for the First Quarter 2013 and First Quarter 2012.

First Quarter 2013

As of March 31, 2013, the allocation of the Registrant’s assets, through its investments in CTA Choice segregated series, to major sectors was as follows:


Sector	Allocation
Currencies		15.25	%

Energies		11.72	%

Grains		4.69	%

Indices		27.54	%

Interest Rates		24.99	%

Meats		0.21	%

Metals		12.77	%

Tropicals		2.83	%


TOTAL		100.00	%

Trading results for the major sectors in which the Registrant traded indirectly for First Quarter 2013 were as follows:

Currencies: (+) Registrant experienced a majority of its gains in the Japanese yen and the Euro. The majority of its losses were incurred in the British pound and Swiss franc.

Energies: (+) Registrant experienced a majority of its gains in natural gas and heating oil. The majority of its losses were incurred in crude oil.

Grains: (-) Registrant experienced a majority of its gains in wheat. The majority of its losses were incurred in corn and soybeans.

Indices: (+) Registrant experienced a majority of its gains in the Nikkei index and the S&P 500 Mini index. The majority of its losses were incurred in the Hang Seng index.

Interest Rates: (-) Registrant experienced a majority of its gains in Japanese government bonds and the German bobl. The majority of its losses were incurred in U.S. treasury notes and the London gilt.

Meats: (+) Registrant experienced a majority of its gains in cattle. The majority of its losses were incurred in hogs.

Metals: (-) Registrant experienced a majority of its gains in gold. The majority of its losses were incurred in silver and copper.

Softs: (+) Registrant experienced a majority of its gains in sugar. The majority of its losses were incurred in cocoa.

First Quarter 2012

As of March 31, 2012, the allocation of the Registrant’s assets, through its investments in CTA Choice segregated series to major sectors was as follows:


Sector	Allocation
Currencies		22.89	%

Energies		12.85	%

Grains		6.38	%

Indices		21.36	%

Interest Rates		0.22	%

Meats		6.11	%

Metals		27.43	%

Tropicals		2.76	%


TOTAL		100.00	%

Trading results for the major sectors in which the Registrant traded for First Quarter 2012 were as follows:

Currencies: (-) The Registrant experienced a majority of its gains in the Swedish krona and Norwegian krone. The majority of its losses were incurred in the Euro, Swiss franc, and British pound.

Energies: (+) The Registrant experienced the majority of its gains in natural gas, RBOB gasoline futures, and brent crude.

Grains: (-) The Registrant experienced gains in Kansas wheat and soybean meal. The majority of its losses were incurred in corn and soybeans.

Indices: (+) The Registrant experienced gains in the Nasdaq 100 (E-Mini), S&P 500 Mini, and Dow Jones Industrial Average. The majority of its losses were incurred in the Hang Seng and CAC 40.

Interest Rates: (-) The Registrant experienced a majority of its gains in the Euribor (Liffe) and German BOBL. The majority of its losses were incurred in U.S. treasury bonds and notes as well as the Aussie 10-year bond.

Meats: (-) The Registrant experienced losses in live hogs. Feeder cattle and live cattle traded flat.

Metals: (-) The Registrant experienced a majority of its losses were realized in zinc, aluminum, and copper.

Softs: (-) The Registrant experienced gains in coffee. Losses were incurred in sugar and cocoa.

Results of Operations

First Quarter 2013

The Net Asset Value of the Registrant as of March 31, 2013 was $18,207,221, a decrease of $413,250 from the December 31, 2012 Net Asset Value of $18,620,471, primarily due to investor redemptions during the quarter.

The Registrant’s performance for the First Quarter 2013 was 0.68%. Performance includes the percentage change in the Registrant’s Net Asset Value excluding the effect of any subscriptions and redemptions and includes the percentage impact of investment gains/(losses) less any commissions and related fees and expenses. Past performance is not necessarily indicative of future results.

The Registrant’s total loss from its investment in securities for the First Quarter 2013 was approximately $7,000.

The Registrant’s total gain from its investment in Affiliated Investment Funds for the First Quarter 2013 was approximately $461,000.

Dividend income for the First Quarter 2013 was approximately $30,000, a decrease of approximately $21,000, as compared to the First Quarter 2012.

Brokerage Commissions and other transaction fees, which are paid indirectly through the Affiliated Investment Funds and are reflected within the respective net asset values of each of the Affiliated Investment Funds, for the First Quarter 2013 were approximately $10,000, a decrease of approximately $28,000 as compared to the First Quarter 2012, primarily due to the decrease in net asset value discussed above.

Trading Advisor’s management fees, which are paid indirectly through the Affiliated Investment Funds and are reflected within the respective net asset values of each of the Affiliated Investment Funds, for the First Quarter 2013 were approximately $81,000, a decrease of approximately $33,000 as compared to the First Quarter 2012, primarily due to the decrease in net asset value discussed above.

Management fees to the Managing Member for the First Quarter 2013 were approximately $123,000, a decrease of approximately $38,000 as compared to the First Quarter 2012, primarily due to investor redemptions.

Incentive fees are based on the New High Net Trading Profits generated by the Trading Advisors, as defined in the Trading Advisory Agreements between the Registrant and the Trading Advisors. Incentive fees, which are paid indirectly through the Affiliated Investment Funds and are reflected within the respective net asset values of each of the Affiliated Investment Funds, for the First Quarter 2013 were approximately $39,000.

ClariTy Managed Account fees, which are paid indirectly through the Affiliated Investment Funds and are reflected within the respective net asset values of each of the Affiliated Investment Funds, for the First Quarter 2013 were approximately $12,000, a decrease of approximately $4,000 as compared to the First Quarter 2012, primarily due to the decrease in net asset value discussed above.

Service fees for the First Quarter 2013 were approximately $154,000, a decrease of approximately $73,000 as compared to the First Quarter 2012, primarily due to investor redemptions.

Managing Member interest earned on investment funds for the First Quarter 2013 was approximately $12,000, an increase of approximately $1,000 as compared to the First Quarter 2012.

Operating expenses include accounting, audit, tax, and legal fees. Operating expenses for the First Quarter 2013 were approximately $101,000.

First Quarter 2012

The Net Asset Value of the Registrant as of March 31, 2012 was $24,651,450, a decrease of $1,337,777 from the December 31, 2011 Net Asset Value of $25,989,227, primarily due to the net effect of investor redemptions and negative performance during the quarter.

The Registrant’s performance for the First Quarter 2012 was (1.33) %. Performance includes the percentage change in the Registrant’s Net Asset Value excluding the effect of any subscriptions and redemptions and includes the percentage impact of trading gains/(losses) less any commissions and related fees and expenses. Past performance is not necessarily indicative of future results.

The Registrant’s total gains on investments before commissions and related fees for the First Quarter 2012 were approximately $137,000.

Dividend income for the First Quarter 2012 was approximately $51,000, a decrease of approximately $89,000 as compared to the First Quarter 2011.

Commissions and other transaction fees for the First Quarter 2012 were $0, a decrease of approximately $62,000 as compared to the First Quarter 2011, primarily due to the change in structure from investments in direct managed accounts to investments in CTA Choice WTN and GRM, effective January 1, 2012.

Trading Advisor’s management fees for the First Quarter 2012 were $0, a decrease of approximately $157,000 as compared to the First Quarter 2011, primarily due to the change in structure from investments in direct managed accounts to investments in CTA Choice WTN and GRM, effective January 1, 2012.

Management fees to the Managing Member for the First Quarter 2012 were approximately $161,000 a decrease of approximately $78,000 as compared to the First Quarter 2011, primarily due to the net effect of investor redemptions and negative trading performance during the quarter.

Incentive fees are based on the “New High Net Trading Profits” generated by the Trading Advisors, as defined in the trading advisory Agreements between the Registrant and the Trading Advisors. Incentive fees for the First Quarter 2012 were approximately $0.

ClariTy Managed Account fees for the First Quarter 2012 were $0, a decrease of approximately $23,000 as compared to the First Quarter 2011, primarily due to the change in structure from investments in direct managed accounts to investments in CTA Choice WTN and GRM, effective January 1, 2012.

Service Fees for the First Quarter 2012 were approximately $227,000, a decrease of approximately $80,000 as compared to the First Quarter 2011, primarily due to the net effect of investor redemptions and negative performance during the quarter.

Managing Member interest earned on investment funds for the First Quarter 2012 were approximately $11,000, a decrease of approximately $34,000 as compared to the First Quarter 2011.

Operating expenses include accounting, audit, tax, and legal fees. Operating expenses for the First Quarter 2012 were approximately $74,000.

Inflation

Inflation has had no material impact on the operations or on the financial condition of the Registrant from inception through March 31, 2013.

Off-Balance Sheet Arrangements and Contractual Obligations

The Registrant does not have any off-balance-sheet arrangements (as defined in Regulation S-K 303(a)(4)(ii)) that have or are reasonably likely to have a current or future effect on its financial condition, changes in financial condition, revenues or expenses, results of operations, liquidity, capital expenditures or capital resources that is material to investors.

The Registrant’s contractual obligations are with the Managing Member, the Trading Advisor and its commodity broker. Trading Advisor management fees payable by the Registrant to the Trading Advisor through the CTA Funds and commencing January 1, 2010, management fees to the Managing Member, are calculated as a fixed percentage of the Registrant’s Net Asset Value. Incentive fees payable by the Registrant to the Trading Advisor through the CTA Funds are at a fixed rate, calculated as a percentage of the Registrant’s New High Net Trading Profits (as defined in the Advisory Agreement). As such, the Managing Member cannot anticipate the amounts to be paid for future periods as Net Asset Values and New High Net Trading Profits are not known until a future date. Commissions payable to the Registrant’s commodity broker are based on a cost per executed trade and, as such, the Managing Member cannot anticipate the amount that will be required under the brokerage agreement, as the level of executed trades are not known until a future date. These agreements are effective for one-year terms, renewable automatically for additional one-year terms unless terminated. Additionally, these agreements may be terminated by either party thereto for various reasons. Additionally, since the Registrant does not enter into other long-term debt obligations, capital lease obligations, operating lease obligations or other long-term liabilities that would otherwise be reflected on the Registrant’s condensed statements of financial condition, therefore a table of contractual obligations has not been presented. For a further discussion of the Registrant’s contractual obligations, see Notes 1, 3, 4 and 5 of the Registrant’s 2012 annual report, which is filed as an exhibit to the Registrant’s Form 10-K for the fiscal year ended December 31, 2012.

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Registrant’s market risk exposures—except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Registrant manages its primary market risk exposures—constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Exchange Act. The Registrant’s primary market risk exposures as well as the strategies used and to be used by the Managing Member and the Trading Advisors for managing such exposures are subject to numerous uncertainties, contingencies and risks are one of which could cause the actual results of the Registrant’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Registrant. There can be no assurance that the Registrant’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in the Registrant.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

The means by which the Managing Member and the Trading Advisors through the CTA Funds, severally, attempt to manage the risk of the Registrant’s open positions is essentially the same in all market categories traded.

The Trading Advisors attempt to minimize market risk exposure by applying their own risk management trading policies that include the diversification of trading assets into various market sectors. Additionally, the Trading Advisors have an oversight committee broadly responsible for evaluating and overseeing the Trading Advisors’ trading policies. The oversight committee meets periodically to discuss and analyze issues such as liquidity, position size, capacity, performance cycles, and new product and market strategies.

The Managing Member attempts to minimize market risk exposure by requiring the Trading Advisors to abide by various trading limitations and policies. The Managing Member monitors compliance with these trading limitations and policies which include, but are not limited to, limiting the amount of margin or premium required for any one commodity or all commodities combined and generally limiting transactions to contracts which are traded in sufficient volume to permit the taking and liquidating of positions. Additionally, the Managing Member shall automatically terminate the Trading Advisors through termination of the CTA Fund if the Net Asset Value of the Registrant declines by 40% during any year or since the commencement of trading activities. Furthermore, the Trust Agreement provides that the Registrant will liquidate its positions, and eventually dissolve, if the Registrant experiences a decline in the net asset value of 50% in any year or since the commencement of trading activities. In each case, the decline in Net Asset Value is after giving effect for contributions, distributions and redemptions. The Managing Member may impose additional restrictions (through modifications of such trading limitations and policies) upon the trading activities of the Trading Advisors as it, in good faith, deems to be in the best interest of the Registrant.

Item 4.

Controls and Procedures

Evaluation of Disclosure Controls and Procedures

The Registrant’s “disclosure controls and procedures” (as such term is defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) are designed to ensure that information required to be disclosed by the Registrant in reports filed or submitted under the Exchange Act is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the Securities and Exchange Commission (the “SEC”), and that such information is accumulated and communicated to the Registrant’s management, including the Managing Member’s Co-Chief Executive Officers and Director of Fund Administration (who, in these capacities, function as the Principal Executive Officers and Principal Financial/Accounting Officer, respectively, of the Registrant), as appropriate to allow for timely decisions regarding required disclosure.

In designing and evaluating the Registrant’s disclosure controls and procedures, the Managing Member recognizes that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives. In addition, the design of disclosure controls and procedures must reflect the fact that there are resource constraints and that management is required to apply its judgment in evaluating the benefits of possible controls and procedures relative to their costs. Because of the inherent limitations in all control systems, no evaluation of the controls can prove absolute assurance that all control issues and instances of fraud, if any, within the Registrant have been detected.

The Managing Member’s management, under the supervision and with the participation of certain officers of the Managing Member (including the Managing Member’s Co-Chief Executive Officers and Director of Fund Administration), has evaluated the effectiveness of the Registrant’s disclosure controls and procedures during First Quarter 2013. Based upon such evaluation, the Managing Member’s Co-Chief Executive Officers and Director of Fund Administration have concluded that, as of March 31, 2013, the Registrant’s disclosure controls and procedures were effective.

Changes in Internal Control Over Financial Reporting

There have been no changes in the Registrant’s internal control over financial reporting (as defined in Rules 13a – 15(f) and 15d – 15(f) under the Exchange Act) during the First Quarter of 2013 that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

PART II – OTHER INFORMATION

Item 1.

Legal Proceedings

There are no material legal proceedings pending, on appeal, or concluded to which the Registrant is a party or to which any of its assets are subject.

Item 1.A.

Risk Factors

There have been no changes from risk factors as previously disclosed in the Registrant’s Form 10-K for the fiscal year ended December 31, 2012.

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

From January 1, 2013 to March 31, 2013, the Registrant sold Interests which resulted in aggregate proceeds to the Registrant of $0.

Item 3.

Defaults Upon Senior Securities

None

Item 5.

Other Information

None

Item 6.

Exhibits:



3.1		Certificate of Formation of KMP Futures Fund I LLC (f/k/a WCM Pool LLC) (incorporated by reference from Exhibit 3.1 of the Registrant’s Registration Statement on Form 10, File No. 000-53816, filed with the Commission on November 2, 2009)

3.2		Certificate of Amendment of Certificate of Formation of KMP Futures Fund I LLC (incorporated by reference from Exhibit 3.2 of the Registrant’s Registration Statement on Form 10, File No. 000-53816, filed with the Commission on November 2, 2009)

3.3		Amended and Restated Limited Liability Company Operating Agreement of KMP Futures Fund I LLC (f/k/a WCM Pool LLC) (incorporated by reference from Exhibit 3.3 of the Registrant’s Registration Statement on Form 10, File No. 000-53816, filed with the Commission on November 2, 2009)

10.1		Advisory Agreement among KMP Futures Fund I LLC (f/k/a WCM Pool LLC), Kenmar Preferred Investments Corp. (f/k/a Preferred Investment Solutions Corp.) and Winton Capital Management Limited (incorporated by reference from Exhibit 10.1 of the Registrant’s Registration Statement on Form 10, File No. 000-53816, filed with the Commission on November 2, 2009)

10.2		Services Agreement between Spectrum Global Fund Administration, L.L.C. and KMP Futures Fund I LLC (f/k/a WCM Pool LLC) (incorporated by reference from Exhibit 10.2 of the Registrant’s Registration Statement on Form 10, File No. 000-53816, filed with the Commission on November 2, 2009)

10.3		Customer Agreement between the KMP Futures Fund I LLC (f/k/a WCM Pool LLC) and UBS Securities LLC (incorporated by reference from Exhibit 10.3 of the Registrant’s Registration Statement on Form 10, File No. 000-53816, filed with the Commission on November 2, 2009)

10.4		Amendment No. 1 to Customer Agreement between KMP Futures Fund I LLC (f/k/a WCM Pool LLC) and UBS Securities LLC (incorporated by reference from Exhibit 10.4 of the Registrant’s Registration Statement on Form 10, File No. 000-53816, filed with the Commission on November 2, 2009)



10.5		FX Prime Brokerage Agreement between UBS AG and KMP Futures Fund I LLC (f/k/a WCM Pool LLC) (incorporated by reference from Exhibit 10.5 of the Registrant’s Registration Statement on Form 10, File No. 000-53816, filed with the Commission on November 2, 2009)

10.6		ISDA Master Agreement, Schedule and Credit Support Annex between UBS AG and KMP Futures Fund I LLC (f/k/a WCM Pool LLC) (incorporated by reference from Exhibit 10.6 of the Registrant’s Registration Statement on Form 10, File No. 000-53816, filed with the Commission on November 2, 2009)

10.7		Amendment to ISDA Maser Agreement between UBS AG and KMP Futures Fund I LLC (f/k/a WCM Pool LLC) (incorporated by reference from Exhibit 10.7 of the Registrant’s Registration Statement on Form 10, File No. 000-53816, filed with the Commission on November 2, 2009)

10.8		Master Confirmation Agreement for Non-Deliverable Forward FX Transactions between UBS AG and KMP Futures Fund I LLC (f/k/a WCM Pool LLC) (incorporated by reference from Exhibit 10.8 of the Registrant’s Registration Statement on Form 10, File No. 000-53816, filed with the Commission on November 2, 2009)

10.9		Master Confirmation for Exotic Options between UBS AG and KMP Futures Fund I LLC (f/k/a WCM Pool LLC) (incorporated by reference from Exhibit 10.9 of the Registrant’s Registration Statement on Form 10, File No. 000-53816, filed with the Commission on November 2, 2009)

31.1		Certification pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith)

31.2		Certification pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith)

32.1		Certification pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (filed herewith)

32.2		Certification pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (filed herewith)

99.1		Notice to Members regarding certain changes to the ownership and structure of the Registrant’s underlying managers (incorporated by reference to Exhibit 99.1 to the Registrant’s Form 8-K, File No. 000-53816, filed with the Commission on August 17, 2012)

99.2		Notice to Members regarding certain changes to the ownership and structure of the Registrant’s underlying managers (incorporated by reference to Exhibit 99.1 to the Registrant’s Form 8-K, File No. 000-53816, filed with the Commission on November 6, 2012)

99.3		Notice to Members of Administration Agreement and Middle/Back Office Agreement between GlobeOp Financial Services LLC and KMP Futures Fund I LLC (f/k/a WCM Pool LLC) (incorporated by reference to Exhibit 99.3 to the Registrant’s Form 8-K, File No. 000-53816, filed with the Commission on February 28, 2011)

101.INS		XBRL Instance Document

101.SCH		XBRL Taxonomy Extension Schema Document

101.CAL		XBRL Taxonomy Extension Calculation Linkbase Document

101.LAB		XBRL Taxonomy Extension Label Linkbase Document

101.PRE		XBRL Taxonomy Extension Presentation Linkbase Document

101.DEF		XBRL Taxonomy Extension Definition Linkbase Document

In accordance with Rule 406T of Regulation S-T, the XBRL related information in Exhibit 101 to the Quarterly Report on Form 10-Q shall not be deemed to be “filed” for purposes of Section 18 of the Exchange Act, or otherwise subject to the liability of that section, and shall not be part of any registration statement or other document filed under the Securities Act or the Exchange Act, except as shall be expressly set forth by specific reference in such filing.

[Remainder of page left blank intentionally.]

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.


KMP FUTURES FUND I LLC

By:	Kenmar Preferred Investments, L.P., its Managing Member

	By:	/s/ Kenneth A. Shewer		Date: May 14, 2013
		Name:	Kenneth A. Shewer
		Title:	Co-Chief Executive Officer (Principal Executive Officer)

	By:	/s/ David K. Spohr		Date: May 14, 2013
		Name:	David K. Spohr
		Title:	Senior Vice President and Director of Fund Administration (Principal Financial/Accounting Officer)

KMP Futures Fund I LLC - FORM 10-Q - May 14, 2013

Attached files

KMP Futures Fund I LLC Reports