WYNSTONE FUND, L.L.C.
FINANCIAL STATEMENTS
FOR THE SIX MONTHS ENDED
JUNE 30, 2000
(UNAUDITED)
<PAGE>
WYNSTONE FUND, L.L.C.
FINANCIAL STATEMENTS
FOR THE SIX MONTHS ENDED
JUNE 30, 2000
(UNAUDITED)
CONTENTS
Statement of Assets, Liabilities and Members' Capital.................. 1
Statement of Operations................................................ 2
Statement of Changes in Members' Capital - Net Assets.................. 3
Notes to Financial Statements.......................................... 4
Schedule of Portfolio Investments...................................... 11
Schedule of Securities Sold, Not Yet Purchased......................... 14
Schedule of Written Options............................................ 15
<PAGE>
WYNSTONE FUND, L.L.C.
STATEMENT OF ASSETS, LIABILITIES AND MEMBERS' CAPITAL (IN THOUSANDS)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
JUNE 30, 2000
(UNAUDITED)
<S> <C>
ASSETS
Cash $ 4,607
Investments in securities, at market (identified cost - $10,320) 9,993
Dividends receivable 22
Other assets 18
-------
TOTAL ASSETS 14,640
-------
LIABILITIES
Securities sold, not yet purchased, at market (proceeds of sales - $107) 98
Outstanding options written, at value (proceeds received - $130) 81
Withdrawals payable 1,216
Due to broker 87
Management fee payable 12
Payable to affiliate 5
Accrued expenses 80
-------
TOTAL LIABILITIES 1,579
-------
NET ASSETS $13,061
=======
MEMBERS' CAPITAL - NET ASSETS
Represented by:
Capital contributions - net $13,515
Accumulated net investment loss (338)
Accumulated net realized gain on investments 153
Accumulated net unrealized depreciation (269)
-------
MEMBERS' CAPITAL - NET ASSETS $13,061
=======
</TABLE>
The accompanying notes are an intergral part of these financial statements.
- 1 -
<PAGE>
WYNSTONE FUND, L.L.C.
STATEMENT OF OPERATIONS (IN THOUSANDS)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS ENDED
June 30, 2000
(Unaudited)
<S> <C>
INVESTMENT INCOME
Interest $ 9
Dividends 129
----
138
----
EXPENSES
OPERATING EXPENSES:
Management fee 68
Professional fees 45
Board of Managers' fees and expenses 16
Insurance expense 13
Custodian fees 10
Miscellaneous 8
Administration fees 4
----
TOTAL OPERATING EXPENSES 164
Dividends on securities sold, not yet purchased 1
----
TOTAL EXPENSES 165
----
NET INVESTMENT LOSS (27)
----
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
REALIZED GAIN (LOSS) ON INVESTMENTS:
Investment securities (52)
Purchased options (5)
Written options 173
Short sales 32
----
NET REALIZED GAIN ON INVESTMENTS 148
----
NET CHANGE IN UNREALIZED DEPRECIATION ON INVESTMENTS 144
----
NET REALIZED AND UNREALIZED GAIN 292
----
INCREASE IN MEMBERS' CAPITAL DERIVED FROM INVESTMENT ACTIVITIES $265
====
</TABLE>
The accompanying notes are an intergral part of these financial statements.
- 2 -
<PAGE>
WYNSTONE FUND, L.L.C.
STATEMENT OF CHANGES IN MEMBERS' CAPITAL - NET ASSETS (IN THOUSANDS)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
<S> <C> <C>
FROM INVESTMENT ACTIVITIES
Net investment loss $ (27) $ (239)
Net realized gain on investments 148 0
Net change in unrealized depreciation on investments 144 (553)
------- -------
INCREASE IN MEMBERS' CAPITAL DERIVED
FROM INVESTMENT ACTIVITIES 265 (792)
MEMBERS' CAPITAL TRANSACTIONS
Capital contributions 1,650 3,750
Capital withdrawals (1,216) (1,344)
------- -------
INCREASE IN MEMBERS' CAPITAL
DERIVED FROM CAPITAL TRANSACTIONS 434 2,406
MEMBERS' CAPITAL AT BEGINNING OF PERIOD 12,362 10,748
------- -------
MEMBERS' CAPITAL AT END OF PERIOD $13,061 $12,362
======= =======
</TABLE>
The accompanying notes are an intergral part of these financial statements.
- 3 -
<PAGE>
WYNSTONE FUND, L.L.C.
NOTES TO FINANCIAL STATEMENTS - JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
1. ORGANIZATION
Wynstone Fund, L.L.C. (the "Company") was organized as Wynstone
Partners, L.P. (the "Partnership") under the Delaware Revised Uniform
Limited Partnership Act on August 13, 1998. Effective July 1, 1999 the
Limited Partners of record as of May 12, 1999 elected to approve the
conversion of the Partnership to a Delaware limited liability company.
The Company is registered under the Investment Company Act of 1940 (the
"Act") as a closed-end, non-diversified management investment company.
The Company's term is perpetual unless the Company is otherwise
terminated under the terms of the Limited Liability Company Agreement
dated as of July 1, 1999.
The Company's investment objective is to achieve capital appreciation.
The Company pursues this objective by investing principally in equity
securities of U.S. companies engaged in the financial services
industry, but it may also invest up to 25% of the value of its total
assets in the securities of foreign issuers, including depository
receipts relating to foreign securities. Except during periods of
adverse market conditions in the financial services industry or in the
U.S. equity market generally, the Company will invest more than 25% of
the value of its total assets in issuers engaged in the financial
services industry. The Company's investments may include long and short
positions in equity securities, fixed-income securities, and various
derivatives, including options on securities and stock index options.
Responsibility for the overall management and supervision of the
operations of the Company is vested in the individuals who serve as the
Board of Managers of the Company (the "Board of Managers"). There are
four members of the Board of Managers and an "Adviser." CIBC
Oppenheimer Advisers, L.L.C. (the "Adviser") serves as the investment
adviser of the Company and is responsible for managing the Company's
investment activities pursuant to an Investment Advisory Agreement.
CIBC World Markets Corp. ("CIBC WM") (formerly CIBC Oppenheimer Corp.)
is the managing member and controlling person of the Adviser and KBW
Asset Management Inc. ("KBWAM") is a non-managing member of the
Adviser. Investment professionals employed by KBWAM will manage the
Company's investment portfolio on behalf of the Adviser under the
supervision of CIBC WM.
The acceptance of initial and additional capital contributions from
Members is subject to approval by the Board of Managers. The Company
may from time to time offer to repurchase interests pursuant to written
tenders by Members. Such repurchases will be made at such times and on
such terms as may be determined by the Board of Managers, in their
complete and exclusive discretion. The Adviser expects that generally
it will recommend to the Board of Managers that the Company repurchase
interests from Members twice each year effective at the end of the
second fiscal quarter and again at the end of the year.
- 4 -
<PAGE>
WYNSTONE FUND, L.L.C.
NOTES TO FINANCIAL STATEMENTS - JUNE 30, 2000 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with generally
accepted accounting principles requires the Adviser to make estimates
and assumptions that affect the amounts reported in the financial
statements and accompanying notes. The Adviser believes that the
estimates utilized in preparing the Company's financial statements are
reasonable and prudent; however, actual results could differ from these
estimates.
a. PORTFOLIO VALUATION
Securities transactions, including related revenue and expenses, are
recorded on a trade-date basis and dividends are recorded on the
ex-dividend date. Interest income is recorded on the accrual basis.
Domestic exchange traded or NASDAQ listed equity securities will be
valued at their last composite sale prices as reported on the exchanges
where such securities are traded. If no sales of such securities are
reported on a particular day, the securities will be valued based upon
their composite bid prices for securities held long, or their composite
asked prices for securities sold short, as reported by such exchanges.
Securities traded on a foreign securities exchange will be valued at
their last sale prices on the exchange where such securities are
primarily traded, or in the absence of a reported sale on a particular
day, at their bid prices (in the case of securities held long) or asked
prices (in the case of securities sold short) as reported by such
exchange. Listed options will be valued at their bid prices (or asked
prices in the case of listed options sold short) as reported by the
exchange with the highest volume on the last day a trade was reported.
Other securities for which market quotations are readily available will
be valued at their bid prices (or asked prices in the case of
securities sold short) as obtained from one or more dealers making
markets for such securities. If market quotations are not readily
available, securities and other assets will be valued at fair value as
determined in good faith by, or under the supervision of, the Board of
Managers.
Debt securities will be valued in accordance with the procedures
described above, which with respect to such securities may include the
use of the valuations furnished by a pricing service which employs a
matrix to determine valuation for normal institutional size trading
units. The Board of Managers will periodically monitor the
reasonableness of valuations provided by any such pricing service. Debt
securities with remaining maturities of 60 days or less will, absent
unusual circumstances, be valued at amortized cost, so long as such
valuation is determined by the Board of Managers to represent fair
value.
All assets and liabilities initially expressed in foreign currencies
will be converted into U.S. dollars using foreign exchange rates
provided by a pricing service compiled as of 4:00 p.m. London time.
Trading in foreign securities generally is completed, and the values of
such securities are determined, prior to the close of securities
markets in the U.S. Foreign exchange rates are also determined prior to
such close.
- 5 -
<PAGE>
WYNSTONE FUND, L.L.C.
NOTES TO FINANCIAL STATEMENTS - JUNE 30, 2000 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
a. PORTFOLIO VALUATION (CONTINUED)
On occasion, the values of such securities and exchange rates may be
affected by events occurring between the time such values or exchange
rates are determined and the time that the net asset value of the
Company is determined. When such events materially affect the values of
securities held by the Company or its liabilities, such securities and
liabilities will be valued at fair value as determined in good faith
by, or under the supervision of, the Board of Managers.
b. INCOME TAXES
No provision for the payment of Federal, state or local income taxes on
the profits of the Company have been made. The Members are individually
liable for their share of the Company's income.
3. ADMINISTRATION FEE, RELATED PARTY TRANSACTIONS AND OTHER
CIBC WM provides certain administrative services to the Company
including, among other things, providing office space and other support
services. In exchange for such services, the Company pays CIBC WM a
monthly administration fee of .08333% (1% on an annualized basis) of
the Company's net assets determined as of the beginning of the month.
During the six months ended June 30, 2000, CIBC WM earned no brokerage
commissions from portfolio transactions executed on behalf of the
Company. Keefe, Bruyette & Woods, Inc., an affiliated broker of KBWAM,
earned $7,414 in brokerage commissions from portfolio transactions
executed on behalf of the Company.
The Adviser will serve as the Special Advisory Member of the Company.
In such capacity, the Adviser will be entitled to receive an incentive
allocation (the "Incentive Allocation"), charged to the capital account
of each Member as of the last day of each allocation period, of 20% of
the amount by which net profits, if any, exceed the positive balance in
the Member's "loss recovery account." The Incentive Allocation will be
credited to the Special Advisory Account of the Adviser. During the six
months ended June 30, 2000, there was an Incentive Allocation of $1,132
to the Special Advisory Account.
Each member of the Board of Managers (a "Manager") who is not an
"interested person" of the Company, as defined by the Act, receives an
annual retainer of $5,000 plus a fee for each meeting attended.
Currently, no Manager is an "interested person" of the Company. All
Managers are reimbursed by the Company for all reasonable out-of-pocket
expenses incurred by them in performing their duties. For the six
months ended June 30, 2000, fees paid to the Board of Managers
(including meeting fees and a pro-rata annual retainer) and expenses
totaled $24,900.
- 6 -
<PAGE>
WYNSTONE FUND, L.L.C.
NOTES TO FINANCIAL STATEMENTS - JUNE 30, 2000 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
3. ADMINISTRATION FEE, RELATED PARTY TRANSACTIONS AND OTHER (CONTINUED)
The Chase Manhattan Bank served as Custodian of the Company's assets
for the six months ended June 30, 2000.
PFPC Inc. serves as Investor Services and Accounting Agent to the
Company, and in that capacity, provides certain accounting,
recordkeeping, tax and investor related services.
4. SECURITIES TRANSACTIONS
Aggregate purchases and sales of investment securities, excluding
short-term securities, for the six months ended June 30, 2000 amounted
to $7,972,145 and $7,919,345, respectively.
At June 30, 2000, the cost of investments for Federal income tax
purposes was substantially the same as the cost for financial reporting
purposes. At June 30, 2000, accumulated net unrealized depreciation on
investments was $269,622, consisting of $692,865 gross unrealized
appreciation and $962,487 gross unrealized depreciation.
Due to broker primarily represents receivables and payables from
unsettled security trades and proceeds from securities sold, not yet
purchased.
5. SHORT-TERM BORROWINGS
The Company has the ability to trade on margin and, in that connection,
borrow from brokers and banks for investment purposes. Trading in
equity securities on margin involves an initial cash requirement
representing at least 50% of the underlying security's value with
respect to transactions in U.S. markets and varying percentages with
respect to transactions in foreign markets. The Act requires the
Company to satisfy an asset coverage requirement of 300% of its
indebtedness, including amounts borrowed, measured at the time the
Company incurs the indebtedness. As of June 30, 2000, the Company had
no margin borrowings. The Company pays interest on outstanding margin
borrowings at an annualized rate of LIBOR plus 0.875%. The Company
pledges securities as collateral for the margin borrowings, which are
maintained in a segregated account held by the Custodian.
6. FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK OR
CONCENTRATIONS OF CREDIT RISK
In the normal course of business, the Company may trade various
financial instruments and enter into various investment activities with
off-balance sheet risk. These financial instruments include forward
contracts, options and securities sold, not yet purchased. Generally,
these financial instruments represent future commitments to purchase or
sell other financial instruments at specific
- 7 -
<PAGE>
WYNSTONE FUND, L.L.C.
NOTES TO FINANCIAL STATEMENTS - JUNE 30, 2000 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
6. FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK OR
CONCENTRATION OF CREDIT RISK (CONTINUED)
terms at future dates. Each of these financial instruments contains
varying degrees of off-balance sheet risk whereby changes in the market
value of the securities underlying the financial instruments may be in
excess of the amounts recognized in the statement of assets,
liabilities and members' capital.
The Company maintains cash in bank deposit accounts which, at times,
may exceed Federally insured limits. The Company has not experienced
any losses in such accounts and does not believe it is exposed to any
significant credit risk on cash.
Securities sold, not yet purchased represent obligations of the Company
to deliver specified securities and thereby creates a liability to
purchase such securities in the market at prevailing prices.
Accordingly, these transactions result in off-balance sheet risk as the
Company's ultimate obligation to satisfy the sale of securities sold,
not yet purchased may exceed the amount indicated in the statement of
assets, liabilities and members' capital.
The risk associated with purchasing an option is that the Company pays
a premium whether or not the option is exercised. Additionally, the
Company bears the risk of loss of premium and change in market value
should the counterparty not perform under the contract. Put and call
options purchased are accounted for in the same manner as investment
securities.
Transactions in purchased options were as follows:
PUT OPTIONS
------------------------
NUMBER
OF CONTRACTS COST
------------ ----
Beginning balance 0 $ 0
Options purchased 73 13,507
Options closed (40) (7,245)
Options expired (33) (6,262)
--- -------
Options outstanding at
June 30, 2000 -- $ --
=== =======
When the Company writes an option, the premium received by the Company
is recorded as a liability and is subsequently adjusted to the current
market value of the option written. If a call option is exercised, the
premium is added to the proceeds from the sale of the underlying
security or currency in determining whether the Company has realized a
gain or loss.
- 8 -
<PAGE>
WYNSTONE FUND, L.L.C.
NOTES TO FINANCIAL STATEMENTS - JUNE 30, 2000 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
6. FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK OR
CONCENTRATION OF CREDIT RISK (CONTINUED)
In writing an option, the Company bears the market risk of an
unfavorable change in the price of the security, index or currency
underlying the written
option.
Exercise of an option written by the Company could result in the
Company selling or buying a security or currency at a price different
from the current market value.
Transactions in written options were as follows:
<TABLE>
<CAPTION>
CALL OPTIONS PUT OPTIONS
------------------------ --------------------------
NUMBER AMOUNT NUMBER AMOUNT
OF CONTRACT OF PREMIUM OF CONTRACTS OF PREMIUM
----------- ---------- ------------ ----------
<S> <C> <C> <C> <C>
Beginning balance 237 $ 126,543 388 $ 127,494
Options written 2,191 598,577 933 263,079
Options closed (1,969) (608,445) (971) (311,708)
Options expired (74) (21,126) (245) (44,538)
------ --------- --- ---------
Options outstanding at
June 30, 2000 385 $ 95,549 105 $ 34,327
====== ========= === =========
</TABLE>
7. FINANCIAL INSTRUMENTS HELD OR ISSUED FOR TRADING PURPOSES
The Company maintains positions in a variety of financial instruments.
The following table summarizes the components of net realized and
unrealized gains from investment transactions:
GAINS/(LOSSES)
FOR THE SIX MONTHS ENDED
JUNE 30, 2000
------------------------
Equity securities $ (67,509)
Equity Short Sales 60,778
Equity options (4,814)
Written options 302,906
---------
$ 291,361
=========
- 9 -
<PAGE>
WYNSTONE FUND, L.L.C.
NOTES TO FINANCIAL STATEMENTS - JUNE 30, 2000 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
7. FINANCIAL INSTRUMENTS HELD OR ISSUED FOR TRADING PURPOSES (CONTINUED)
The following table presents the market values of derivative financial
instruments and the average market values of those instruments:
AVERAGE MARKET VALUE
MARKET VALUE AT FOR THE SIX MONTHS ENDED
JUNE 30, 2000 JUNE 30, 2000
--------------- -----------------------
ASSETS:
Equity options $ 0 $ 2,546
LIABILITIES:
Written options (81,152) (314,277)
Average market values presented above are based upon month-end market
values during the six months ended June 30, 2000.
8. SELECTED FINANCIAL RATIOS AND OTHER SUPPLEMENTAL INFORMATION
The following represents the ratios to average net assets and other
supplemental information for the period indicated:
<TABLE>
<CAPTION>
NOVEMBER 16, 1998
(COMMENCEMENT OF
SIX MONTHS ENDED YEAR ENDED OPERATIONS) TO
JUNE 30, 2000 DECEMBER 31, 1999 DECEMBER 31,1998
----------------- ----------------- ----------------
<S> <C> <C> <C>
Ratio of net investment loss to
average net assets (0.40)%* (1.73%) (8.39%)*
Ratio of operating expenses to
average net assets (2.46)%* 3.84% 13.39% *
Ratio of interest expense to
average net assets -- 0.01% --
Ratio of dividends on securities sold,
not yet purchased to average net assets 0.01%* 0.01% --
Portfolio turnover 81.84% 201.05% 10.75%
Total return ** 1.89% (5.58)% (1.40%)
<FN>
*Annualized.
**Total return assumes a purchase of an interest in the Company on the
first day and a sale of the interest on the last day of the period
noted, before incentive allocation to the Special Advisory Member, if
any. Total returns for a period of less than a full year are not
annualized.
</FN>
</TABLE>
- 10 -
<PAGE>
WYNSTONE FUND, L.L.C.
SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
JUNE 30, 2000
SHARES MARKET VALUE
COMMON STOCKS - 76.51%
COMMERCIAL BANKS - CENTRAL U.S. - 4.59%
<S> <C> <C> <C>
6,300 Amcore Financial, Inc. $ 115,372
13,500 Cullen/Frost Bankers, Inc. 355,225
5,100 Texas Regional Bancshares, Inc. 129,413
-----------
600,010
-----------
COMMERCIAL BANKS - EASTERN U.S. - 6.95%
15,900 Banknorth Group, Inc. 243,477
850 M&T Bank Corp. (a) 382,500
9,600 Summit Bancorp. 236,400
1,050 Wilmington Trust Corp. 44,888
-----------
907,265
-----------
COMMERCIAL BANKS - SOUTHERN U.S. - 11.21%
28,900 AmSouth Bancorporation 455,175
6,950 CCB Financial Corp. 257,150
4,300 Centura Banks, Inc. 145,933
15,800 Colonial BancGroup, Inc. 142,200
11,800 First Tennessee National Corp. (a) 195,443
4,600 Hamilton Bancorp, Inc. * 80,500
8,300 SouthTrust Corp. 187,788
-----------
1,464,189
-----------
COMMERCIAL BANKS - WESTERN U.S. - 5.38%
13,700 BancWest Corp. 225,201
4,550 City National Corp. 158,112
7,000 UCBH Holdings, Inc. 186,816
2,900 Zions Bancorp. 133,084
-----------
703,213
-----------
FINANCE - CREDIT CARD - 7.65%
12,700 Capital One Financial Corp. (a) 566,737
4,000 MBNA Corp. 108,500
3,600 Providian Financial Corp. 324,000
-----------
999,237
-----------
The accompanying notes are an intergral part of these financial statements.
- 11 -
<PAGE>
WYNSTONE FUND, L.L.C.
SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
JUNE 30, 2000
SHARES MARKET VALUE
COMMON STOCKS - (CONTINUED)
FINANCE - INVESTMENT BANKER/BROKER - 1.67%
4,800 Paine Webber Group, Inc. 218,400
-----------
INVESTMENT MANAGEMENT/ADVISORY SERVICES - 5.55%
2,200 Affiliated Managers Group, Inc. * $ 100,100
16,400 BlackRock, Inc. * 475,600
4,900 Franklin Resources, Inc. 148,838
-----------
724,538
-----------
LIFE/HEALTH INSURANCE - 1.05%
5,800 John Hancock Financial Services, Inc. * 137,390
-----------
MONEY CENTER BANKS - 5.13%
14,550 Chase Manhattan Corp. (a) 670,217
-----------
S&L/THRIFTS - CENTRAL U.S. - 2.59%
14,684 Charter One Financial, Inc. 337,732
-----------
S&L/THRIFTS - EASTERN U.S. - 3.39%
23,500 American Financial Holdings, Inc. 373,062
2,700 Astoria Financial Corp. 69,525
-----------
442,587
-----------
SUPER - REGIONAL BANKS - U.S. - 21.35%
9,700 Comerica, Inc. (a) 435,287
6,650 Firstar Corp. 140,069
6,600 First Union Corp. 163,766
11,200 Fleet Boston Financial Corp. (a) 380,800
7,700 Mellon Financial Corp. 280,573
5,700 National City Corp. 97,259
8,100 PNC Financial Services Group (a) 379,688
6,000 SunTrust Banks, Inc. 274,128
29,252 U.S. Bancorp 563,101
1,900 Wells Fargo & Company 73,625
-----------
2,788,296
-----------
The accompanying notes are an intergral part of these financial statements.
- 12 -
<PAGE>
WYNSTONE FUND, L.L.C.
SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
JUNE 30, 2000
SHARES MARKET VALUE
COMMON STOCKS - (CONTINUED)
TOTAL COMMON STOCKS (COST $10,320,087) $ 9,993,074
===========
TOTAL INVESTMENTS (COST $10,320,087) - 76.51% 9,993,074
-----------
OTHER ASSETS, LESS LIABILITIES - 23.49% 3,067,494
-----------
NET ASSETS - 100.00% $13,060,568
===========
<FN>
(a) Partially or wholly held in a pledged account by the Custodian as collateral
for open written options.
* Non-income producing security.
</FN>
</TABLE>
The accompanying notes are an intergral part of these financial statements.
- 13 -
<PAGE>
WYNSTONE FUND, L.L.C.
SCHEDULE OF SECURITIES SOLD, NOT YET PURCHASED (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
JUNE 30, 2000
SHARES MARKET VALUE
<S> <C> <C>
SECURITIES SOLD, NOT YET PURCHASED - (0.75%)
INSURANCE BROKERS - (0.24%)
300 March & McLennan Co, Inc. $ (31,331)
-----------
PROPERTY/CASUALTY INSURANCE - (0.51%)
900 Progressive Corp. (66,600)
-----------
TOTAL SECURITIES SOLD, NOT YET PURCHASED (PROCEEDS $106,600) $ (97,931)
===========
The accompanying notes are an intergral part of these financial statements.
- 14 -
<PAGE>
WYNSTONE FUND, L.L.C.
SCHEDULE OF WRITTEN OPTIONS
--------------------------------------------------------------------------------
JUNE 30, 2000
NUMBER OF MARKET VALUE
CONTRACTS
WRITTEN CALL OPTIONS - (0.43%)
COMMERCIAL BANKS - SOUTHERN U.S. - (0.05%)
118 First Tennessee National Corp., 08/19/00, $20.00 $ (6,643)
-----------
FINANCE - CREDIT CARD - (0.14%)
26 Capital One Financial Corp., 09/16/00, $45.00 (12,350)
5 Providian Financial Corp., 01/20/01, $105.00 (5,438)
-----------
(17,788)
-----------
FINANCE - INVESTMENT BANKER/BROKER - (0.08%)
48 Pain Webber Group, Inc., 07/22/00, $45.00 (10,502)
-----------
SUPER - REGIONAL BANKS - U.S. - (0.16%)
36 Comerica, Inc., 07/22/00, $50.00 (2,477)
37 First Union Corp., 07/22/00, $30.00 (925)
25 U.S. Bancorp., 09/16/00, $17.50 (8,125)
90 U.S. Bancorp., 09/16/00, $22.50 (9,567)
-----------
(21,094)
TOTAL WRITTEN CALL OPTIONS (PREMIUM $95,549) (56,027)
===========
WRITTEN PUT OPTIONS - (0.19%)
COMMERCIAL BANKS - WESTERN U.S. - (0.12%)
33 Zions Bancorp., 07/22/00, $50.00 (15,263)
-----------
INVESTMENT MANAGEMENT/ADVISORY SERVICES - (0.02%)
25 Franklin Resources, Inc., 07/22/00, $30.00 (2,813)
-----------
S&L/THRIFTS - WESTERN U.S. - (0.05%)
47 Golden State Bancorp., 10/21/00, $17.50 (7,050)
-----------
TOTAL WRITTEN PUT OPTIONS (PREMIUM $34,327) (25,126)
===========
TOTAL OPTIONS WRITTEN (PREMIUM $129,876) $ (81,153)
===========
</TABLE>
The accompanying notes are an intergral part of these financial statements.
- 15 -
