Ambac Assurance Corporation

Statement for June 30, 2013 of the Ambac Assurance Corporation

Q02

ASSETS Current Statement Date 4

1 2 3Net Admitted December 31

Nonadmitted Assets Prior Year NetAssets Assets (Cols. 1 - 2) Admitted Assets

1. Bonds........................................................................................................................................... ..........3,447,829,958 ................................... ..........3,447,829,958 ..........3,570,975,091

2. Stocks:

2.1 Preferred stocks................................................................................................................. ................................... ................................... ...............................0 ...................................

2.2 Common stocks................................................................................................................. .............206,820,239 ......................99,324 .............206,720,915 .............204,537,180

3. Mortgage loans on real estate:

3.1 First liens............................................................................................................................ ................................... ................................... ...............................0 ...................................

3.2 Other than first liens........................................................................................................... ................................... ................................... ...............................0 ...................................

4. Real estate:

4.1 Properties occupied by the company (less $..........0encumbrances).................................................................................................................. ................................... ................................... ...............................0 ...................................

4.2 Properties held for the production of income (less $..........0encumbrances).................................................................................................................. ................................... ................................... ...............................0 ...................................

4.3 Properties held for sale (less $..........0 encumbrances)..................................................... ................................... ................................... ...............................0 ...................................

5. Cash ($.....878,241), cash equivalents ($..........0) and short-term investments ($.....572,972,351)........................................................................... .............573,850,592 ................................... .............573,850,592 .............475,808,261

6. Contract loans (including $..........0 premium notes).................................................................... ................................... ................................... ...............................0 ...................................

7. Derivatives................................................................................................................................... ................................... ................................... ...............................0 ...................................

8. Other invested assets.................................................................................................................. .............289,223,434 ................................... .............289,223,434 .............196,823,944

9. Receivables for securities............................................................................................................ ....................525,399 ........................8,561 ....................516,838 ....................223,021

10. Securities lending reinvested collateral assets............................................................................ ................................... ................................... ...............................0 ...................................

11. Aggregate write-ins for invested assets....................................................................................... .............947,785,822 ...............................0 .............947,785,822 .............719,220,689

12. Subtotals, cash and invested assets (Lines 1 to 11).................................................................... ..........5,466,035,444 ....................107,885 ..........5,465,927,559 ..........5,167,588,186

13. Title plants less $..........0 charged off (for Title insurers only)..................................................... ................................... ................................... ...............................0 ...................................

14. Investment income due and accrued........................................................................................... ...............32,701,014 ................................... ...............32,701,014 ...............35,901,668

15. Premiums and considerations:

15.1 Uncollected premiums and agents' balances in the course of collection........................... .................1,692,447 ....................562,676 .................1,129,771 ....................143,886

15.2 Deferred premiums, agents' balances and installments booked but deferred and not yet due (including $..........0 earned but unbilled premiums)................................. .................4,414,236 ........................9,462 .................4,404,774 .................5,146,415

15.3 Accrued retrospective premiums....................................................................................... ................................... ................................... ...............................0 ...................................

16. Reinsurance:

16.1 Amounts recoverable from reinsurers................................................................................ ....................540,006 ................................... ....................540,006 .................1,059,577

16.2 Funds held by or deposited with reinsured companies...................................................... ................................... ................................... ...............................0 ...................................

16.3 Other amounts receivable under reinsurance contracts.................................................... ................................... ................................... ...............................0 ........................7,656

17. Amounts receivable relating to uninsured plans.......................................................................... ................................... ................................... ...............................0 ...................................

18.1 Current federal and foreign income tax recoverable and interest thereon................................... .................5,417,472 ................................... .................5,417,472 .................5,591,946

18.2 Net deferred tax asset.................................................................................................................. ................................... ................................... ...............................0 ...................................

19. Guaranty funds receivable or on deposit..................................................................................... ................................... ................................... ...............................0 ...................................

20. Electronic data processing equipment and software................................................................... .................1,228,590 .................1,228,590 ...............................0 ...................................

21. Furniture and equipment, including health care delivery assets ($..........0)................................. .................6,415,566 .................6,415,566 ...............................0 ...................................

22. Net adjustment in assets and liabilities due to foreign exchange rates....................................... ................................... ................................... ...............................0 ...................................

23. Receivables from parent, subsidiaries and affiliates.................................................................... .................3,056,470 ....................358,852 .................2,697,618 ....................726,752

24. Health care ($..........0) and other amounts receivable................................................................. ................................... ................................... ...............................0 ...................................

25. Aggregate write-ins for other than invested assets...................................................................... .................3,628,779 .................3,628,779 ...............................0 ...............................0

26. Total assets excluding Separate Accounts, Segregated Accounts and Protected Cell Accounts (Lines 12 through 25)............................................................................................ ..........5,525,130,024 ...............12,311,810 ..........5,512,818,214 ..........5,216,166,086

27. From Separate Accounts, Segregated Accounts and Protected Cell Accounts.......................... .............298,226,935 .................1,816,379 .............296,410,556 .............592,032,376

28. Total (Lines 26 and 27)................................................................................................................ ..........5,823,356,959 ...............14,128,189 ..........5,809,228,770 ..........5,808,198,462

DETAILS OF WRITE-INS

1101. Investments in Ambac-insured bonds with policies allocated to the Seg Account....................... .............935,785,822 ................................... .............935,785,822 .............652,934,380

1102. Inter-company loans with affiliates............................................................................................... ...............12,000,000 ................................... ...............12,000,000 ...............66,286,309

1103. ..................................................................................................................................................... ................................... ................................... ...............................0 ...................................

1198. Summary of remaining write-ins for Line 11 from overflow page................................................. ...............................0 ...............................0 ...............................0 ...............................0

1199. Totals (Lines 1101 thru 1103 plus 1198) (Line 11 above)........................................................... .............947,785,822 ...............................0 .............947,785,822 .............719,220,689

2501. Prepaid assets............................................................................................................................. .................3,628,779 .................3,628,779 ...............................0 ...................................

2502. ..................................................................................................................................................... ................................... ................................... ...............................0 ...................................

2503. ..................................................................................................................................................... ................................... ................................... ...............................0 ...................................

2598. Summary of remaining write-ins for Line 25 from overflow page................................................. ...............................0 ...............................0 ...............................0 ...............................0

2599. Totals (Lines 2501 thru 2503 plus 2598) (Line 25 above)........................................................... .................3,628,779 .................3,628,779 ...............................0 ...............................0


Q03

LIABILITIES, SURPLUS AND OTHER FUNDS 1 2

Current December 31Statement Date Prior Year

1. Losses (current accident year $.....11,832,251)....................................................................................................................... ........................2,896,557,698 ........................2,814,001,452

2. Reinsurance payable on paid losses and loss adjustment expenses...................................................................................... ................................................. .................................................

3. Loss adjustment expenses....................................................................................................................................................... ...........................111,837,625 ...........................132,479,893

4. Commissions payable, contingent commissions and other similar charges............................................................................ ................................................. .................................................

5. Other expenses (excluding taxes, licenses and fees).............................................................................................................. .............................34,123,841 .............................34,723,773

6. Taxes, licenses and fees (excluding federal and foreign income taxes).................................................................................. ...............................6,215,369 ...............................5,558,485

7.1 Current federal and foreign income taxes (including $..........0 on realized capital gains (losses)).......................................... ................................................. .................................................

7.2 Net deferred tax liability............................................................................................................................................................ ................................................. .................................................

8. Borrowed money $.....373,960,459 and interest thereon $.....59,001,005............................................................................... ...........................432,961,464 ...........................720,305,4949. Unearned premiums (after deducting unearned premiums for ceded reinsurance of $.....88,301,941 and including

warranty reserves of $..........0 and accrued accident and health experience rating refunds including $..........0 for medical loss ratio rebate per the Public Health Service Act................................................................. ........................1,217,967,370 ........................1,358,041,052

10. Advance premium.................................................................................................................................................................... ....................................99,832 ....................................99,832

11. Dividends declared and unpaid:

11.1 Stockholders.................................................................................................................................................................... ................................................. .................................................

11.2 Policyholders................................................................................................................................................................... ................................................. .................................................

12. Ceded reinsurance premiums payable (net of ceding commissions)....................................................................................... ...............................1,204,067 ...............................1,559,530

13. Funds held by company under reinsurance treaties................................................................................................................ ................................................. .................................................

14. Amounts withheld or retained by company for account of others............................................................................................. ..................................158,405 ....................................13,165

15. Remittances and items not allocated....................................................................................................................................... ................................................. .................................................

16. Provision for reinsurance (including $..........0 certified)........................................................................................................... ................................................. .................................................

17. Net adjustments in assets and liabilities due to foreign exchange rates.................................................................................. ................................................. .................................................

18. Drafts outstanding.................................................................................................................................................................... ................................................. .................................................

19. Payable to parent, subsidiaries and affiliates........................................................................................................................... ................................................. .............................29,737,016

20. Derivatives................................................................................................................................................................................ ................................................. .................................................

21. Payable for securities............................................................................................................................................................... .............................42,900,504 ....................................24,783

22. Payable for securities lending.................................................................................................................................................. ................................................. .................................................

23. Liability for amounts held under uninsured plans..................................................................................................................... ................................................. .................................................

24. Capital notes $..........0 and interest thereon $..........0............................................................................................................. ................................................. .................................................

25. Aggregate write-ins for liabilities............................................................................................................................................... ...........................671,472,180 ...........................611,653,987

26. Total liabilities excluding protected cell liabilities (Lines 1 through 25).................................................................................... ........................5,415,498,355 ........................5,708,198,462

27. Protected cell liabilities............................................................................................................................................................. ................................................. .................................................

28. Total liabilities (Lines 26 and 27).............................................................................................................................................. ........................5,415,498,355 ........................5,708,198,462

29. Aggregate write-ins for special surplus funds........................................................................................................................... .............................................0 .............................................0

30. Common capital stock.............................................................................................................................................................. .............................82,000,000 .............................82,000,000

31. Preferred capital stock.............................................................................................................................................................. .............................26,411,000 .............................26,411,000

32. Aggregate write-ins for other than special surplus funds......................................................................................................... .............................................0 .............................................0

33. Surplus notes........................................................................................................................................................................... ........................1,210,820,764 ........................1,210,820,764

34. Gross paid in and contributed surplus...................................................................................................................................... ........................3,546,364,289 ........................3,546,364,289

35. Unassigned funds (surplus)...................................................................................................................................................... .......................(4,471,865,638) .......................(4,765,596,053)

36. Less treasury stock, at cost:

36.1 ..........0.000 shares common (value included in Line 30 $..........0)............................................................................... ................................................. .................................................

36.2 ..........0.000 shares preferred (value included in Line 31 $..........0).............................................................................. ................................................. .................................................

37. Surplus as regards policyholders (Lines 29 to 35, less 36)...................................................................................................... ...........................393,730,415 ...........................100,000,000

38. Totals (Page 2, Line 28, Col. 3)................................................................................................................................................ ........................5,809,228,770 ........................5,808,198,462

DETAILS OF WRITE-INS 2501. Mandatory contingency reserve for adverse losses................................................................................................................. ...........................573,626,199 ...........................528,302,2372502. Deferred gain on purchase of securities from subsidiary......................................................................................................... ..................................921,303 ..................................921,3032503. Unapplied premium liability...................................................................................................................................................... ....................................30,804 ..................................784,9902598. Summary of remaining write-ins for Line 25 from overflow page............................................................................................. .............................96,893,874 .............................81,645,4572599. Totals (Lines 2501 thru 2503 plus 2598) (Line 25 above)........................................................................................................ ...........................671,472,180 ...........................611,653,9872901. ................................................................................................................................................................................................. ................................................. .................................................2902. ................................................................................................................................................................................................. ................................................. .................................................2903. ................................................................................................................................................................................................. ................................................. .................................................2998. Summary of remaining write-ins for Line 29 from overflow page............................................................................................. .............................................0 .............................................02999. Totals (Lines 2901 thru 2903 plus 2998) (Line 29 above)........................................................................................................ .............................................0 .............................................03201. ................................................................................................................................................................................................. ................................................. .................................................3202. ................................................................................................................................................................................................. ................................................. .................................................3203. ................................................................................................................................................................................................. ................................................. .................................................3298. Summary of remaining write-ins for Line 32 from overflow page............................................................................................. .............................................0 .............................................03299. Totals (Lines 3201 thru 3203 plus 3298) (Line 32 above)........................................................................................................ .............................................0 .............................................0


Q04

STATEMENT OF INCOME 1 2 3

Current Year Prior Year Prior Year Endedto Date to Date December 31

UNDERWRITING INCOME 1. Premiums earned:

1.1 Direct.............. (written $.....49,222,658)................................................................................................................ ..............199,027,340 ..............204,672,810 ..............465,950,2871.2 Assumed........ (written $.....7,981)......................................................................................................................... ......................(53,281) .....................124,774 .....................114,0621.3 Ceded............. (written $.....3,642,869).................................................................................................................. ................13,312,608 ................10,643,565 ................23,922,9581.4 Net.................. (written $.....45,587,770)................................................................................................................ ..............185,661,451 ..............194,154,019 ..............442,141,391DEDUCTIONS:

2. Losses incurred (current accident year $.....18,032,848): 2.1 Direct........................................................................................................................................................................ ................37,573,091 ..............509,238,625 ..............680,855,9142.2 Assumed.................................................................................................................................................................. ................................... ................................... ...................................2.3 Ceded....................................................................................................................................................................... .................(4,440,329) ................24,952,844 ................21,213,3922.4 Net............................................................................................................................................................................ ................42,013,420 ..............484,285,781 ..............659,642,522

3. Loss adjustment expenses incurred............................................................................................................................... .................(5,759,341) ................62,157,702 ................37,208,0904. Other underwriting expenses incurred........................................................................................................................... ................32,640,819 ................34,583,641 ................65,715,0265. Aggregate write-ins for underwriting deductions............................................................................................................ ................................0 ................................0 ................................06. Total underwriting deductions (Lines 2 through 5)......................................................................................................... ................68,894,898 ..............581,027,124 ..............762,565,6387. Net income of protected cells......................................................................................................................................... ................................... ................................... ...................................8. Net underwriting gain (loss) (Line 1 minus Line 6 + Line 7)........................................................................................... ..............116,766,553 .............(386,873,105) .............(320,424,247)

INVESTMENT INCOME 9. Net investment income earned....................................................................................................................................... ..............155,431,780 ..............121,863,244 ..............306,490,148

10. Net realized capital gains (losses) less capital gains tax of $..........0............................................................................ ..............154,178,786 .................(2,106,700) .............(188,060,214)11. Net investment gain (loss) (Lines 9 + 10)....................................................................................................................... ..............309,610,566 ..............119,756,544 ..............118,429,934

OTHER INCOME 12. Net gain or (loss) from agents' or premium balances charged off

(amount recovered $..........0 amount charged off $..........0).......................................................................................... ................................0 ................................... ...................................13. Finance and service charges not included in premiums................................................................................................ ................................... ................................... ...................................14. Aggregate write-ins for miscellaneous income............................................................................................................... .............(528,174,386) ..............862,654,797 ..............710,577,41715. Total other income (Lines 12 through 14)...................................................................................................................... .............(528,174,386) ..............862,654,797 ..............710,577,41716. Net income before dividends to policyholders, after capital gains tax and before all other federal and

foreign income taxes (Lines 8 + 11 + 15)....................................................................................................................... .............(101,797,267) ..............595,538,236 ..............508,583,10417. Dividends to policyholders.............................................................................................................................................. ................................... ................................... ...................................18. Net income after dividends to policyholders, after capital gains tax and before all other federal and

foreign income taxes (Line 16 minus Line 17)................................................................................................................ .............(101,797,267) ..............595,538,236 ..............508,583,10419. Federal and foreign income taxes incurred.................................................................................................................... .................(1,125,524) .............(104,532,360) .............(107,537,946)20. Net income (Line 18 minus Line 19) (to Line 22)........................................................................................................... .............(100,671,743) ..............700,070,596 ..............616,121,050

CAPITAL AND SURPLUS ACCOUNT 21. Surplus as regards policyholders, December 31 prior year........................................................................................... ..............100,000,000 ..............495,293,439 ..............495,293,43922. Net income (from Line 20).............................................................................................................................................. .............(100,671,743) ..............700,070,596 ..............616,121,05023. Net transfers (to) from Protected Cell accounts............................................................................................................. ................................... ................................... ...................................24. Change in net unrealized capital gains or (losses) less capital gains tax of $..........0................................................... ..............102,206,712 ................40,645,228 ................17,972,49025. Change in net unrealized foreign exchange capital gain (loss)...................................................................................... .................(4,907,137) .................(3,800,844) .................(7,528,665)26. Change in net deferred income tax................................................................................................................................ ................................... ................................... ...................................27. Change in nonadmitted assets....................................................................................................................................... .....................968,414 .................(5,199,265) ..............117,066,46828. Change in provision for reinsurance............................................................................................................................... ................................... ................................... ...................................29. Change in surplus notes................................................................................................................................................. ................................... .............(789,179,236) .............(789,179,236)30. Surplus (contributed to) withdrawn from protected cells................................................................................................ ................................... ................................... ...................................31. Cumulative effect of changes in accounting principles................................................................................................... ................................... ................................... ...................................32. Capital changes:

32.1 Paid in................................................................................................................................................................... ................................... ................................... ...................................32.2 Transferred from surplus (Stock Dividend)............................................................................................................ ................................... ................................... ...................................32.3 Transferred to surplus........................................................................................................................................... ................................... ................................... ...................................

33. Surplus adjustments: 33.1 Paid in................................................................................................................................................................... ................................... ................................... ...................................33.2 Transferred to capital (Stock Dividend)................................................................................................................. ................................... ................................... ...................................33.3 Transferred from capital........................................................................................................................................ ................................... ................................... ...................................

34. Net remittances from or (to) Home Office...................................................................................................................... ................................... ................................... ...................................35. Dividends to stockholders.............................................................................................................................................. ................................... ................................... ...................................36. Change in treasury stock................................................................................................................................................ ................................... ................................... ...................................37. Aggregate write-ins for gains and losses in surplus....................................................................................................... ..............296,134,169 .............(337,829,918) .............(349,745,546)38. Change in surplus as regards policyholders (Lines 22 through 37)............................................................................... ..............293,730,415 .............(395,293,439) .............(395,293,439)39. Surplus as regards policyholders, as of statement date (Lines 21 plus 38)................................................................... ..............393,730,415 ..............100,000,000 ..............100,000,000

DETAILS OF WRITE-INS 0501. ....................................................................................................................................................................................... ................................... ................................... ...................................0502. ....................................................................................................................................................................................... ................................... ................................... ...................................0503. ....................................................................................................................................................................................... ................................... ................................... ...................................0598. Summary of remaining write-ins for Line 5 from overflow page..................................................................................... ................................0 ................................0 ................................00599. Totals (Lines 0501 thru 0503 plus 0598) (Line 5 above)................................................................................................ ................................0 ................................0 ................................01401. Other miscellaneous income.......................................................................................................................................... ..................2,465,041 ..................7,005,098 ................12,463,1961402. Estimated provision for uncollectible intercompany loan with affiliate............................................................................ ...............(21,000,000) .............(105,978,393) ....................(743,750)1403. Change in liabilities allocated to Ambac Assurance Corporation Segregated Account................................................. ...............(95,311,654) ...........1,151,909,513 ................37,405,0421498. Summary of remaining write-ins for Line 14 from overflow page................................................................................... .............(414,327,773) .............(190,281,421) ..............661,452,9291499. Totals (Lines 1401 thru 1403 plus 1498) (Line 14 above).............................................................................................. .............(528,174,386) ..............862,654,797 ..............710,577,4173701. Mandatory contingency reserve for adverse losses, net of tax...................................................................................... ...............(45,323,962) .............(261,064,205) .............(271,742,760)3702. Change in Surplus of Ambac Assurance Corporation Segregated Account ................................................................. ..............341,458,131 ....................(986,517) .................(2,223,590)3703. Cumulative effect of prior period errors.......................................................................................................................... ................................... ...............(75,779,196) ...............(75,779,196)3798. Summary of remaining write-ins for Line 37 from overflow page................................................................................... ................................0 ................................0 ................................03799. Totals (Lines 3701 thru 3703 plus 3798) (Line 37 above).............................................................................................. ..............296,134,169 .............(337,829,918) .............(349,745,546)


Q05

CASH FLOW 1 2 3

Current Year Prior Year Prior Year Endedto Date To Date December 31

CASH FROM OPERATIONS 1. Premiums collected net of reinsurance..................................................................................................................... .............44,939,570 .............53,024,217 ............105,394,2982. Net investment income............................................................................................................................................. .............82,112,779 .............94,458,544 ............205,398,5283. Miscellaneous income............................................................................................................................................... ...............2,465,041 ...............7,005,099 .............12,463,1964. Total (Lines 1 through 3)........................................................................................................................................... ............129,517,390 ............154,487,860 ............323,256,0225. Benefit and loss related payments............................................................................................................................ ..........(219,495,120) ............(63,372,376) ..........(193,101,993)6. Net transfers to Separate Accounts, Segregated Accounts and Protected Cell Accounts......................................... ................................ ................................ ................................7. Commissions, expenses paid and aggregate write-ins for deductions....................................................................... .............72,230,310 .............44,953,231 .............64,747,2008. Dividends paid to policyholders................................................................................................................................. ................................ ................................ ................................9. Federal and foreign income taxes paid (recovered) net of $..........0 tax on capital gains (losses)............................. ..............(1,299,998) ..............(3,962,855) ..............(6,796,000)

10. Total (Lines 5 through 9)........................................................................................................................................... ..........(148,564,808) ............(22,382,000) ..........(135,150,793)11. Net cash from operations (Line 4 minus Line 10)...................................................................................................... ............278,082,198 ............176,869,860 ............458,406,815

CASH FROM INVESTMENTS 12. Proceeds from investments sold, matured or repaid:

12.1 Bonds............................................................................................................................................................. ............700,131,729 ............633,307,222 .........1,126,601,34112.2 Stocks............................................................................................................................................................. ................................ ................................ ................................12.3 Mortgage loans............................................................................................................................................... ................................ ................................ ................................12.4 Real estate...................................................................................................................................................... ................................ ................................ ................................12.5 Other invested assets..................................................................................................................................... ..................148,862 ..................140,932 .............20,194,21512.6 Net gains or (losses) on cash, cash equivalents and short-term investments.................................................. ...................(25,041) ....................23,957 ....................62,83612.7 Miscellaneous proceeds.................................................................................................................................. ............189,604,580 ............208,500,000 ............774,741,35912.8 Total investment proceeds (Lines 12.1 to 12.7)............................................................................................... ............889,860,130 ............841,972,111 .........1,921,599,751

13. Cost of investments acquired (long-term only): 13.1 Bonds............................................................................................................................................................. ............588,132,640 ............408,280,041 ............750,657,52313.2 Stocks............................................................................................................................................................. ................................ ................................ ................................13.3 Mortgage loans............................................................................................................................................... ................................ ................................ ................................13.4 Real estate...................................................................................................................................................... ................................ ................................ ................................13.5 Other invested assets..................................................................................................................................... .............50,000,000 ................................ ................................13.6 Miscellaneous applications.............................................................................................................................. ............113,286,310 ............189,414,153 ............385,959,35513.7 Total investments acquired (Lines 13.1 to 13.6).............................................................................................. ............751,418,950 ............597,694,194 .........1,136,616,878

14. Net increase (decrease) in contract loans and premium notes.................................................................................. ................................ ................................ ................................15. Net cash from investments (Line 12.8 minus Line 13.7 and Line 14)........................................................................ ............138,441,180 ............244,277,917 ............784,982,873

CASH FROM FINANCING AND MISCELLANEOUS SOURCES 16. Cash provided (applied):

16.1 Surplus notes, capital notes............................................................................................................................ ................................ ..........(188,446,303) ..........(188,446,303)16.2 Capital and paid in surplus, less treasury stock............................................................................................... ................................ ................................ ................................16.3 Borrowed funds............................................................................................................................................... ..........(316,722,095) ............(51,906,575) .......(1,243,480,406)16.4 Net deposits on deposit-type contracts and other insurance liabilities............................................................. ................................ ................................ ................................16.5 Dividends to stockholders............................................................................................................................... ................................ ................................ ................................16.6 Other cash provided (applied)......................................................................................................................... ..............(1,758,952) ...............2,074,016 ...............1,722,534

17. Net cash from financing and miscellaneous sources (Lines 16.1 through 16.4 minus Line 16.5 plus Line 16.6)........ ..........(318,481,047) ..........(238,278,862) .......(1,430,204,175)

RECONCILIATION OF CASH, CASH EQUIVALENTS AND SHORT-TERM INVESTMENTS 18. Net change in cash, cash equivalents and short-term investments (Line 11 plus Line 15 plus Line 17)..................... .............98,042,331 ............182,868,915 ..........(186,814,487)19. Cash, cash equivalents and short-term investments:

19.1 Beginning of year............................................................................................................................................ ............475,808,261 ............662,622,747 ............662,622,74719.2 End of period (Line 18 plus Line 19.1)............................................................................................................. ............573,850,592 ............845,491,663 ............475,808,261

Note: Supplemental disclosures of cash flow information for non-cash transactions: 20.0001 Increase in Secured Note for capitalized interest ........................................................................................... .............11,688,417 .............39,494,387 .............73,923,82420.0002 25% partial payments of permitted claims; Settled via reduction of Secured Note.......................................... ............172,669,068 ................................ .........1,061,667,11820.0003 Operation and loss related expenses paid on behalf of Seg Acct; Settled via reduction of Secured Note........ .............32,311,013 .............42,674,227 ............115,466,475


Q06

NOTES TO FINANCIAL STATEMENTSNote 1 - Summary of Significant Accounting Policies

A. Accounting Practices

The accompanying financial statements of Ambac Assurance Corporation (the "Company" or "Ambac Assurance“) have been prepared on the basisof accounting practices prescribed or permitted by the State of Wisconsin Office of the Commissioner of Insurance ("Wisconsin InsuranceCommissioner" or “OCI” (which term shall be understood to refer to such office as regulator of Ambac Assurance and to the Commissioner ofInsurance for the State of Wisconsin as rehabilitator of the Segregated Account of Ambac Assurance (the “Rehabilitator”), as the contextrequires)).

OCI recognizes statutory accounting practices prescribed or permitted by the State of Wisconsin for determining and reporting the financialcondition and results of operations of an insurance company for determining its solvency under Wisconsin Insurance Law. The NationalAssociation of Insurance Commissioners ("NAIC") Accounting Practices and Procedures manual ("NAIC SAP") has been adopted as a componentof prescribed practices by the State of Wisconsin.

OCI has prescribed an accounting practice that differs from NAIC SAP. Paragraph 7 of Statement of Statutory Accounting Principles No. 60“Financial Guaranty Insurance” (“SSAP 60”) allows for a deduction from loss reserves for the time value of money by application of a discountrate equal to the average rate of return on the admitted assets of the financial guaranty insurer as of the date of the computation of the reserve. Thediscount rate shall be adjusted at the end of each calendar year. Additionally, in accordance with paragraph 7 of Statutory Accounting PrinciplesNo. 5R “Liabilities, Contingencies and Impairments of Assets - Revised”, Ambac Assurance records probable losses on its subsidiaries for which itguarantees their obligations, using a discount rate equal to the average rate of return on its admitted assets. The Company’s average rate of returnon its admitted assets at December 31, 2012 was 8.01%. OCI has directed the Company to utilize a prescribed discount rate of 5.10% for thepurpose of discounting both its loss reserves and its estimated impairment losses on subsidiary guarantees. Statutory surplus at June 30, 2013 andat December 31, 2012 was lower by $142,983,945 and $117,602,092, respectively, than if the Company had reported such amounts in accordancewith NAIC SAP. Net income for the six months ended June 30, 2013 and for the year ended December 31, 2012 was lower by $25,381,853 and$19,376,858, respectively, than if the Company had reported such amounts in accordance with NAIC SAP.

OCI has prescribed an additional accounting practice that differs from NAIC SAP. Paragraph 4 of Statement of Statutory Accounting PrinciplesNo. 41 “Surplus Notes” (“SSAP 41”) states that proceeds received by the issuer of surplus notes must be in the form of cash or other admittedassets having readily determinable values and liquidity satisfactory to the commissioner of the state of domicile. Under statutory accountingprinciples, surplus notes issued in conjunction with commutations or the settlement of claims would be valued at zero upon issuance pursuant toparagraph 4, SSAP 41. The Wisconsin Insurance Commissioner has directed the Company to record surplus notes issued in settlement of liabilitiesat full par value upon issuance as in these instances the surplus notes do not represent a contribution of capital, but rather a distribution of valuefrom the common and preferred shareholders of the Company. The surplus notes issued have a claim against surplus senior to the preferred andcommon shareholders. Statutory surplus is not impacted as a result of the prescribed practice as it is a reclassification from unassigned funds tosurplus notes. Net income for the six months ended June 30, 2013 and for the year ended December 31, 2012 was greater by $0 and $789,179,236,respectively, than if the Company recorded the issuance or retirement of surplus notes in accordance with NAIC SAP. The net income difference isthe result of Ambac Assurance’s June 2012 call of surplus notes for $188,446,303, a significant discount to their par values of $789,179,236.

OCI has extended the preceding prescribed practice related to surplus notes to the evaluation of other-than-temporary impairments for AmbacAssurance guaranteed securities held in the investment portfolio. Paragraph 35 of Statement of Statutory Accounting Principles No. 43R”Loan-backed and Structured Securities” states that when an other-than-temporary impairment has occurred, the amount of theother-than-temporary impairment recognized as a realized loss shall equal the difference between the investment’s amortized cost basis and thepresent value of cash flows expected to be collected, discounted at the loan-backed or structured security’s effective interest rate. Under NAICSAP, the present value of cash flows expected to be collected should include the fair value of surplus notes received from the Segregated Accountof Ambac Assurance (the “Segregated Account”), as required under the Segregated Account Rehabilitation Plan (as defined below). TheWisconsin Insurance Commissioner has prescribed an accounting practice that differs from NAIC and has directed the Company to utilize parvalue rather than fair value of these surplus notes in this computation. Statutory surplus at June 30, 2013 and December 31, 2012 was greater by$95,065,335 and $35,761,275, respectively, and net income for the six months ended June 30, 2013 and year ended December 31, 2012 was lowerby $410,907 and $26,097,222, respectively than if the present value of the cash flows expected to be collected included the surplus notes at fairvalue in accordance with NAIC SAP.

OCI has prescribed an additional accounting practice related to the total liabilities and total surplus of the Segregated Account that are reported asdiscrete components of Ambac Assurance’s liabilities and surplus reported in Ambac Assurance’s statutory basis financial statements. Pursuant tothis prescribed practice, the results of the Segregated Account are not included in Ambac Assurance’s financial statements if Ambac Assurance’ssurplus is (or would be) less than $100,000,000 (the “Minimum Surplus Amount”). Maintaining the Minimum Surplus Amount will result in areduction in the liabilities assumed by Ambac Assurance from the Segregated Account. Statutory surplus at June 30, 2013 and year endedDecember 31, 2012 was greater by $0 and $163,687,180, respectively, than if the Company recorded the Segregated Account’s surplus in AmbacAssurance’s statutory basis financial statements in accordance with NAIC SAP. Net income is not impacted as a result of this prescribed practice.

Wisconsin accounting practices for changes to contingency reserves differ from NAIC SAP. Under NAIC SAP, contributions to and releases fromthe contingency reserve are recorded via a direct charge or credit to surplus. Under section 3.08(7)(b) of the Wisconsin Administrative Code,contributions to and releases from the contingency reserve are to be recorded through underwriting income. The Company received permission ofOCI to record contributions to and releases from the contingency reserve and the related tax and loss bond impact, in accordance with NAIC SAP.


Q06.1

NOTES TO FINANCIAL STATEMENTSStatutory surplus is the same using each of these accounting practices. Net income for the six months ended June 30, 2013 and for the year endedDecember 31, 2012 is greater by $45,323,962 and $338,985,112, respectively, than if the Company had reported the contributions to thecontingency reserve in accordance with the Wisconsin Administrative Code.

Ambac Assurance received permission from OCI to report investment holdings of Ambac Assurance insured securities, with coverage underfinancial guaranty policies that have been allocated to the Segregated Account, as a separate invested asset on the balance sheet rather thancombined with other bond investments. This permitted practice only impacts the balance sheet line items and has no impact on the valuation of thesecurities to which it applies or to statutory surplus.

A reconciliation of the Company's net income and statutory surplus between practices prescribed and permitted by the Wisconsin InsuranceCommissioner and NAIC SAP is shown below:

NET INCOME State ofDomicile

June 30,2013

December 31,2012

1. Net (Loss) Income Per Quarterly Statement WI $ (100,671,743) $ 616,121,0502. State Prescribed Practices that increase (decrease) NAIC SAP Prescribed discount rate effect WI (25,381,853) (19,376,858) Value of Surplus Note in Investments WI (410,907) (26,097,222) Value of Surplus Notes WI - 789,179,236

$ (25,792,760) $ 743,705,1563. State Permitted Practices that increase (decrease) NAIC SAP - -4. NAIC SAP (1-2-3 = 4) WI $ (74,878,983) $ (127,584,106)

SURPLUS5. Statutory Surplus Per Quarterly Statement $ 393,730,415 $ 100,000,0006. State Prescribed Practices that increase (decrease) NAIC SAP Prescribed discount rate effect WI (142,983,945) (117,602,092) Value of Surplus Note in Investments WI 95,065,335 35,761,275 Reduction due to Minimum Surplus WI - 163,687,180

$ (47,918,610) $ 81,846,3637. State Permitted Practices that increase (decrease) NAIC SAP - -8. NAIC SAP (5-6-7 = 8) WI $ 441,649,025 $ 18,153,637

Note 2 - Accounting Changes and Corrections of Errors

No significant change from 2012 Notes to Financial Statements.

Note 3 - Business Combinations and Goodwill


Note 4 - Discontinued Operations


Note 5 - Investments

D. Loan-Backed Securities

1. The Company consistently uses the retrospective method to revalue loan-backed securities using current prepayment assumptions. Prepayment assumptions for single class and multi-class loan-backed securities were obtained from publicly available resources. During2013, there were no changes in the methodology utilized by the Company to revalue loan-backed securities.

2. During 2013, the Company recognized other-than-temporary impairment losses (“OTTI losses”) on certain loan-backed securities, includingholdings of Ambac Assurance insured securities, where the present value of cash flows expected to be collected were less than the amortizedcost basis of the securities. For the loan-backed securities still held at June 30, 2013, the total amortized cost immediately prior to the


Q06.2

NOTES TO FINANCIAL STATEMENTSrecognition of OTTI losses, the OTTI losses recognized during the six months ended June 30, 2013, and the fair value of these securities atthe time OTTI losses were recognized are as follows:

Amortized CostBasis – ImmediatelyPrior to Recognition

of OTTI Losses

OTTI LossesRecognized duringsix months ended

June 30, 2013 Difference(1)

Aggregate of all loan-backed securities for whichOTTI losses were recognized during 2013 that wereclassified as “Intent to Sell”

$ - $ - $ -

Aggregate of all loan-backed securities for whichOTTI losses were recognized during 2013 that wereclassified as “Intent & Ability to Hold to Maturity”

- - -

Aggregate of all loan-backed securities for whichOTTI losses were recognized during 2013 due to thepresent value of cash flows expected to be collectedwere less than the amortized cost basis of the security

$49,007,174 $3,749,396 $45,257,778

(1) Fair value of these loan-backed securities based primarily on SVO prices, at June 30, 2013 was $19,399,271.

3. During 2013, the Company recognized OTTI losses on certain loan-backed securities where the present value of cash flows expected to becollected were less than the amortized cost basis of the securities. For the loan-backed securities still held at June 30, 2013, the totalamortized cost immediately prior to the recognition of OTTI losses, the OTTI losses recognized during the six months ended June 30, 2013,amortized cost after current period other-than-temporary impairment at the time OTTI losses were recognized, and the fair value of thesesecurities as of June 30, 2013 are as follows:

CUSIP

Amortized costbefore currentperiod OTTI

Projected Cashflows

Recognizedother-than-tempora

ry impairment

Amortized costafter

other-than-temporary impairment

Fair Value at6/30/2013

07401WAP4 $13,648,447 $13,240,010 $408,437 $13,240,010 $4,814,574

12668RAC2 225,699 209,190 16,509 209,190 4,581

39538WEF1 2,755,956 844,254 1,911,702 844,254 4,095

456606LM2 6,124,804 5,918,942 205,862 5,918,942 3,921,766

45667HAB7 9,868,867 9,506,423 362,444 9,506,423 9,104,738

45667HAC5 14,419,340 13,576,280 843,060 13,576,280 175,642

55265DAH8 1,964,061 1,962,679 1,382 1,962,679 1,373,875

TOTAL $49,007,174 $45,257,778 $3,749,396 $45,257,778 $19,399,271

4. The following table shows all impaired securities (Fair Value is less than cost or Amortized cost) for which an other-than-temporaryimpairment has not been recognized in earnings by length of time that the individual securities have been in a continuous unrealized lossposition at June 30, 2013:

Unrealized Loss Fair ValueLess than 12 months $21,857,350 $367,293,742Greater than 12 months $44,845,219 $128,918,483

5. Management has determined that the unrealized losses reflected in the table above are temporary in nature as of June 30, 2013 based upon(i) no unexpected principal and interest payment defaults on these securities; (ii) analysis of the creditworthiness of the issuer and financialguarantor, as applicable, and analysis of projected defaults on the underlying collateral; (iii) management has no intent to sell theseinvestments; and (iv) it is not more likely than not that Ambac Assurance will be required to sell these debt securities before the anticipated


Q06.3

NOTES TO FINANCIAL STATEMENTSrecovery of its amortized cost basis. The assessment under (iv) is based on a comparison of future available liquidity from the investmentportfolio against the projected net cash outflow from operating activities and debt service. For purposes of this assessment, availableliquidity from the investment portfolio is comprised of the fair value of securities for which management has asserted its intent to sell plusthe scheduled maturities and interest payments from the remaining securities in the portfolio. To the extent that securities that managementintends to sell are in an unrealized loss position, they would have already been considered other-than-temporarily impaired with theamortized cost written down to fair value. As of June 30, 2013, management has not asserted an intent to sell any securities from itsportfolio. Because the above-described assessment indicates that future available liquidity exceeds projected net cash outflow, it is not morelikely than not that we would be required to sell securities before the recovery of their amortized cost basis.

As of June 30, 2013, for securities that have indications of possible other-than-temporary impairment but which management does not intendto sell and will not more likely than not be required to sell, management compared the present value of cash flows expected to be collected tothe amortized cost basis of the securities to assess whether the amortized cost will be recovered. Receipts were discounted at the effectiveinterest rate implicit in the security at the date of acquisition or for debt securities that are beneficial interests in securitized financial assets,at a rate equal to the current yield used to accrete the beneficial interest. For floating rate securities, future cash flows and the discount rateused were both adjusted to reflect changes in the index rate applicable to each security as of the evaluation date. For RMBS securities thatare insured by Ambac Assurance, future receipts take into account the par value of surplus notes issued as discussed in the prescribedpractice from OCI described above.

E. Repurchase Agreements and/or Securities Lending Transactions

2. For repurchase agreements, in December 2012, Ambac Assurance entered into a repurchase agreement with the Segregated Account, underwhich the Segregated Account loaned Ambac Assurance $100,000,000. The repurchase agreement obligation, matured on February 28, 2013and subsequently renewed to mature on April 30, 2013, accrued interest at a rate of 4.5% per annum. The securities received by theSegregated Account pursuant to the repurchase transaction had been placed in escrow pursuant to the terms of the offer to settle a disputewith the United States Internal Revenue Service (the “IRS”). This repurchase agreement matured on April 30, 2013 and the proceeds wereused in connection with the IRS Settlement (as defined in Note 10). See Note 14 for further details about the IRS Settlement.

3. Collateral Received

b. Not applicable

Note 6 - Joint Ventures, Partnerships and Limited Liability Companies


Note 7 – Investment Income


Note 8 – Derivative Instruments


Note 9 - Income Taxes

D. The Company’s income tax incurred and change in deferred income tax differs from the amount obtained by applying the federal statutory rate of35% to income before taxes as follows:


Q06.4

NOTES TO FINANCIAL STATEMENTS6/30/2013 Tax effect

35%Effective Tax

RateIncome before taxes $ (101,797,267) $ (35,629,043) 35.00%Dividend received deduction – 100% owned subsidiary (1,390,746) (486,761) 0.48%Investments (187,830,597) (65,740,709) 64.58%Income/(loss) from subsidiary 58,736,110 20,557,639 -20.19%Change in statutory valuation allowance adjustment 335,827,416 117,539,596 -115.46%Change in inter-company uncollectible reserve (27,500,000) (9,625,000) 9.46%Change in contingency reserve (45,323,962) (15,863,388) 15.57%Subsidiary tax sharing agreement NOL utilization (3,501,500) (1,225,525) 1.20%Tax-exempt interest (20,688,202) (7,240,871) 7.11%Other (10,032,752) (3,511,462) 3.45%Total $ (3,501,500) $ (1,225,524) 1.20%

Federal and foreign Income taxes incurred $ (1,225,524) 1.20%Tax on capital gains(losses) - 0.00%Change in net deferred taxes - 0.00%Total statutory taxes $ (1,225,524) 1.20%

E. Operating loss carry forward

1. At June 30, 2013, Ambac Assurance has the following net operating loss carry forwards (“NOLs”)available for tax purposes in F.1. and 2.below for payments to be made by the Company to Ambac Financial Group, Inc. (“Ambac”) for use of pre-September 30, 2011 net operatingloss carry forwards reductions to such operating loss carry forwards):

Origination Year Expiration Year Amount2009 2030 $ 2,584,754,1092010 2031 1,472,423,7572011 2032 838,152,2942012 2033 256,079,6222013 2034 -Total $5,151,409,782

As of June 30, 2013, Ambac Assurance also has the following net capital loss carry forwards available for tax purposes:

Origination Year Expiration Year Amount2009 2014 $156,998,7742010 2015 -2011 2016 -2012 2017 -2013 2018 59,503,157Total $216,501,931

Ambac Assurance has no alternative minimum tax credit carryovers.

2. At June 30, 2013 Ambac Assurance has no Federal income taxes incurred that are available for recoupment in the event of future net losses.

3. The Company has no deposits admitted under Section 6603 of the Internal Revenue Code of 1986, as amended (the “Tax Code”).

F. Consolidated federal income tax return

1. Pursuant to a written tax-sharing agreement (“TSA”) Ambac Assurance is included in Ambac’s consolidated Federal income tax return, whichincludes the following taxable entities: Ambac, Ambac Assurance, Ambac (Bermuda) Limited, Ambac Capital Corporation, AmbacInvestments Inc., Ambac Capital Funding, Inc. (“ACF”), Ambac Asset Funding Corporation, Ambac AII Corporation, Connie Lee HoldingsInc., and Everspan Financial Guarantee Corp. (“Everspan”).

Amounts assessed/reimbursed under the TSA are based upon separate return and other calculations made as if Ambac Assurance had filed itsown federal income tax return for each taxable period. Pursuant to the TSA, the Company will be paid for losses to the extent they could be


Q06.5

NOTES TO FINANCIAL STATEMENTSutilized by the Company on a standalone basis under the rules of the Internal Revenue Code. The TSA addresses certain issues including, butnot limited to, the allocation and use of NOLs by Ambac, Ambac Assurance and their respective subsidiaries.

2. Pursuant to the TSA, to the extent the Company generates taxable income after September 30, 2011, which is offset with NOLs (or theproportionate amount of AMT NOL (as defined below)), it is obligated to make payments, subject to certain credits, to Ambac in accordancewith the following NOL Usage table, where the “Applicable Percentage” is applied to the aggregate amount of federal income tax liability thatwould have been paid if the “Allocated NOLs” were not available:

NOL Usage Table

NOL Usage Tier Allocated NOLsApplicablePercentage

A The first $479,000,000 15%B The next $1,057,000,000 after Tier A 40%C The next $1,057,000,000 after Tier B 10%D The next $1,057,000,000 after Tier C 15%

NOLs identified in E.1. above in excess of $3,650,000,000 are available for use by Ambac, to offset cancellation of indebtedness income, andsettlement of a dispute with IRS. The amount of lost NOLs associated with these two events is $1,876,370,030. To the extent the Companyutilizes Allocated NOLs greater than $3,650,000,000 (or the proportionate amount of AMT NOLs), the Company is obligated to pay Ambac25% of the federal income tax liability that would have been paid if the NOLs were not available.

For the period from September 30, 2011 through June 30, 2013, the Company has generated taxable losses of approximately $165,504,428. Future taxable income shall be offset against this amount prior to payments under the NOL Usage table above.

“AMT NOLs” is defined in the TSA to mean any NOL or NOLs as determined for purposes of the alternative minimum tax provisions of theTax Code, including any adjustments or limitations provided pursuant to Sections 55 through 59 of the Tax Code.

Note 10 - Information Concerning Parent, Subsidiaries, Affiliates and Other Related Parties

A. Nature of Relationships

Chapter 11 Reorganization of Ambac

On November 8, 2010, Ambac filed a voluntary petition for relief under Chapter 11 of the United States Bankruptcy Code (“Bankruptcy Code”) inthe United States Bankruptcy Court for the Southern District of New York (“Bankruptcy Court”). Ambac, as debtor and debtor-in-possession,filed a Fifth Amended Plan of Reorganization on March 12, 2012 and modified in accordance with orders entered by the Bankruptcy Court onApril 29, 2013 (such Fifth Amended Plan of Reorganization, as so modified, the “Reorganization Plan”). On April 30, 2013, Ambac executed aclosing agreement with the IRS to conclude the settlement of a dispute with the IRS (the “IRS Settlement”), and concurrently paid $1,900,000while the Segregated Account (as defined above) paid $100,000,000 to the United States in connection with such settlement. On May 1, 2013 (the“Effective Date”), the Reorganization Plan became effective and Ambac emerged from bankruptcy.

As provided for in the Reorganization Plan, Ambac’s Amended and Restated Certificate of Incorporation and revised Bylaws became effective onthe Effective Date. Pursuant to the Amended and Restated Certificate of Incorporation of Ambac, Ambac is authorized to issue 150,000,000 sharesof capital stock, consisting of 130,000,000 shares of common stock, par value $0.01 per share and 20,000,000 shares of preferred stock, par value$0.01 per share. In accordance with the Reorganization Plan and the bylaws of the reorganized Ambac, the Board of Directors of Ambac nowconsists of Ambac’s Chief Executive Officer and four other Directors selected by the pre-Effective Date creditors of Ambac.

Pursuant to the Reorganization Plan, Ambac distributed 45,000,000 shares of new common stock on May 1, 2013, consisting of (1) 43,946,750shares to holders of senior debt securities outstanding prior to the Effective Date with claims against Ambac of approximately $1,246,129,000 thatwere discharged in the bankruptcy case; (2) 378,250 shares to holders of allowed general unsecured claims against Ambac in the aggregate amountof approximately $14,328,000 that were discharged in the bankruptcy case; and (3) 675,000 shares to holders of subordinate debt securitiesoutstanding prior to the Effective Date with claims against Ambac of approximately $444,183,000 that were discharged in the bankruptcy case. Ambac has reserved approximately 10,000 shares for possible future distributions to holders of disputed general unsecured claims when suchclaims are resolved. Under the Reorganization Plan Ambac also distributed warrants to (1) the aforementioned holders of allowed generalunsecured claims, which entitle such holders to acquire an additional 42,424 shares of new common stock of Ambac at an exercise price of $16.67per share at any time on or prior to April 30, 2023 and (2) the aforementioned holders of subordinate debt securities, which entitle such holders toacquire an additional 5,004,714 shares of new common stock of Ambac at an exercise price of $16.67 per share at any time on or prior to April 30,2023. The new common stock and warrants were listed on NASDAQ and began trading under the symbols “AMBC” and “AMBCW,”respectively, on May 1, 2013. All such common stock and warrants were issued without registration under the Securities Act of 1933, as amended,or state securities laws, in reliance on Section 1145 of the Bankruptcy Code. The common stock of Ambac in existence prior to the Effective Date


Q06.6

NOTES TO FINANCIAL STATEMENTSwas cancelled on the Effective Date and the holders of such stock did not receive, and will not receive, any distributions under the ReorganizationPlan.

Pursuant to the Mediation Agreement, dated September 21, 2011 (the “Mediation Agreement”) among Ambac, the statutory committee of creditorsappointed by the United States Trustee on November 17, 2010 (the “Creditors’ Committee”), Ambac Assurance, the Segregated Account, theRehabilitator, and the OCI, the terms of which formed an integral part of the Reorganization Plan, Ambac Assurance transferred $30,000,000 (plusaccrued interest) from an escrow account to Ambac on the Effective Date. Additionally, the Segregated Account issued a Junior Surplus Note inthe amount of $350,000,000 to Ambac on the Effective Date in accordance with the Mediation Agreement. No payment of interest on or principalof a Segregated Account Junior Surplus Note may be made until all existing and future indebtedness of the Segregated Account, includingSegregated Account Surplus Notes, policy claims and claims having statutory priority have been paid in full. All payments of principal and intereston Segregated Account Junior Surplus Notes are subject to the prior approval of the OCI. If the OCI does not approve the payment of interest onthe Segregated Account Junior Surplus Notes, such interest will accrue and compound annually until paid.

As of the Effective Date, Ambac was generally discharged and released from all pre-Effective Date debts, liabilities, claims, causes of action andinterests in accordance with the provisions of the Reorganization Plan. Holders of claims and equity interests are also generally barred fromcommencing or continuing any action or proceeding relating to such claims, causes of action or interests. The Reorganization Plan also providesfor broad exculpation and releases of Ambac, Ambac Assurance, the Segregated Account, OCI, the Rehabilitator, the board of directors and boardcommittees of Ambac and Ambac Assurance, all individual directors, officers and employees of Ambac and Ambac Assurance, the Creditors’Committee and the individual members thereof, and each of the respective representatives of such parties, for actions or omissions that occurred onor prior to the Effective Date.

Ambac’s Amended and Restated Certificate of Incorporation limits voting and transfer rights of shareholders in significant ways. Article IVcontains voting restrictions applicable to any person owning at least 10% of Ambac’s common stock so that such person shall not be entitled tocast votes in excess of one vote less than 10% of the votes entitled to be cast by all common stock holders, except as otherwise approved by OCI. Article XII generally prohibits transfers of common stock to the extent that, as a result of such transfer, either (i) the transferee would become thebeneficial owner of 5% or more of Ambac’s outstanding stock or (ii) the percentage stock ownership interest in Ambac of any existing beneficialowner of 5% or more of Ambac’s outstanding stock would be increased. A purported transferee of such a prohibited transfer shall not berecognized as a shareholder of Ambac for any purpose whatsoever in respect of the shares of common stock which comprise the prohibitedtransfer. The Board of Directors of Ambac may grant exceptions to the restrictions of Article XII. Furthermore, on September 27, 2012, theBankruptcy Court entered an order (the “Trading Order”), amending and restating an order entered on November 30, 2010, establishing proceduresfor certain pre-Effective Date transfers or acquisitions of equity interests in and claims (including debt securities) against Ambac. The BankruptcyCourt retains jurisdiction after the Effective Date to enforce the Trading Order with respect to pre-Effective Date violations of the Trading Order.

Segregated Account

On March 24, 2010, Ambac Assurance acquiesced to the request of OCI to establish a segregated account pursuant to Wis. Stat. section 611.24(2).The purpose of the Segregated Account is to segregate certain segments of Ambac Assurance’s liabilities. OCI commenced rehabilitationproceedings with respect to the Segregated Account (the “Segregated Account Rehabilitation Proceedings”) in order to permit the OCI to facilitatean orderly run-off and/or settlement of the liabilities allocated to the Segregated Account pursuant to the provisions of the Wisconsin InsurersRehabilitation and Liquidation Act. Under Wisconsin insurance law, the Segregated Account is a separate insurer from Ambac Assurance forpurposes of the Segregated Account Rehabilitation Proceedings. The Rehabilitator is Theodore Nickel, the Commissioner of Insurance of the Stateof Wisconsin. Ambac Assurance is not, itself, in rehabilitation proceedings.

On October 8, 2010, the Rehabilitator filed a plan of rehabilitation for the Segregated Account (the “Segregated Account Rehabilitation Plan”) inthe Circuit Court of Dane County, Wisconsin in which the Segregated Account Rehabilitation Proceedings are pending (the “RehabilitationCourt”). The Rehabilitation Court confirmed the Segregated Account Rehabilitation Plan on January 24, 2011. The confirmed Segregated AccountRehabilitation Plan also makes permanent the injunctions issued by the Rehabilitation Court on March 24, 2010. The Segregated AccountRehabilitation Plan has not been made effective and is subject to modification. On June 4, 2012, the Rehabilitation Court approved a motion madeby the Rehabilitator to make partial interim policy claim payments to Segregated Account policyholders. In accordance with such approval, onAugust 1, 2012, the Rehabilitator promulgated Rules Governing the Submission, Processing and Partial Payment of Policy Claims in accordancewith the June 4, 2012 Interim Cash Payment Order (the “Policy Claim Rules”). Pursuant to the Policy Claim Rules, effective from August 1, 2012,holders of policies allocated to the Segregated Account were, and continue to be, allowed to submit policy claims for review and partial paymentequating to 25% of the permitted policy claim amount.

In 2010, Ambac Assurance issued a $2,000,000 secured note due in 2050 (the “Secured Note”) to the Segregated Account. Interest on the SecuredNote accrues at the rate of 4.5% per annum, and accrued interest will be added to principal quarterly. The Segregated Account has the ability todemand payment under the Secured Note from time to time to pay claims and other liabilities. The Segregated Account also has the ability todemand payment from time to time under an aggregate excess of loss reinsurance agreement provided by Ambac Assurance (the “ReinsuranceAgreement”) to pay claims and other liabilities after the Secured Note is fully drawn.

On July 11, 2013 the Rehabilitator filed a motion with the Rehabilitation Court seeking approval from the Rehabilitation Court for the SegregatedAccount to make cash payments in excess of 25% of the permitted policy claim amount (“Supplemental Payments”) with respect to 14 policies (the“Identified Policies”) so that cash flow in the related securitization trusts that would have been available to reimburse Ambac Assurance had it paidclaims in full is not diverted to uninsured holders who would not have received such cash flow if claims had been paid in full. The motion also


Q06.7

NOTES TO FINANCIAL STATEMENTSsought authorization for the payment of Supplemental Payments on other policies identified from time to time where similar reimbursements areavailable (together with the Identified Policies, the “SP Policies”). Without making such Supplemental Payments, Ambac Assurance would likelyrealize lower levels of reimbursements as cash flow that would have been available for the benefit of Ambac Assurance in relation to SP Policieswould be lost to such uninsured holders. A hearing on such motion was held on August 2, 2013, following which the Rehabilitation Court grantedsuch motion and entered an order permitting Supplemental Payments to be made with respect to the SP Policies. As a result, it is anticipated thatthe Segregated Account will begin making Supplemental Payments on certain SP Policies in August 2013.

The Rehabilitator has informed Ambac that it intends to seek rulings from the IRS as to certain tax issues associated with potential amendments tothe Segregated Account Rehabilitation Plan. Pursuant to such amendments, surplus notes would not be issued with respect to the unpaid balance ofpermitted policy claims, but such balance would be recorded by the Segregated Account as outstanding policy obligations which would accrueinterest at a rate of 5.1%, likely from the date on which the initial portion (currently 25%) of any such permitted policy claim is paid, compoundedannually until paid (any such outstanding policy obligation, including accrued interest thereon, as such obligation may be adjusted from time totime in accordance with the Segregated Account Rehabilitation Plan, guidelines or rules issued by the Rehabilitator and/or orders of theRehabilitation Court, a “Deferred Amount”). If favorable rulings are received by the Rehabilitator from the IRS as to such tax issues, then theRehabilitator would likely file amendments to the Segregated Account Rehabilitation Plan to provide for Deferred Amounts to be established,rather than for surplus notes to be issued, with respect to the unpaid portion of permitted policy claims. The timing and likelihood of suchamendments to the Segregated Account Rehabilitation Plan are presently unclear, but such amendments could result in a material change to ourfinancial results.

At June 30, 2013, insurance liabilities for policies allocated to the Segregated Account were $6,150,172,103. Pursuant to a prescribed practice, theresults of the Segregated Account are not included in Ambac Assurance’s financial statements if Ambac Assurance’s surplus is (or would be) lessthan the Minimum Surplus Amount. Maintaining the Minimum Surplus Amount will result in a reduction in the liabilities assumed by AmbacAssurance from the Segregated Account. As long as the surplus as regards to policy holders is not less than the Minimum Surplus Amount,payments by Ambac Assurance to the Segregated Account under the Reinsurance Agreement are not capped. At June 30, 2013, AmbacAssurance’s surplus as regards to policyholders is at $393,730,415. In the event that Ambac Assurance does not maintain surplus in excess of theMinimum Surplus Amount, the Segregated Account would experience a shortfall in funds available to pay its liabilities to the extent that suchliabilities exceed amounts available under the Secured Note and the Reinsurance Agreement. Any such shortfall will be a consideration for theRehabilitator in the determination of whether any changes to the Segregated Account Rehabilitation Plan and/or the amount of partial policy claimpayments are necessary or appropriate, or whether to institute general rehabilitation proceedings against Ambac Assurance.

B. Transactions with Affiliates

The Company engaged in the following non-insurance transactions (representing greater than 0.5% of admitted assets) with affiliates.

In February 2013 Ambac Assurance purchased from Ambac Investments, Inc. (“AII”) an investment security for an amount equal to $64,680,570. Such security supported a portion of certain loans made under the Credit Agreement, dated November 12, 2008, by and between ACF, as borrower,and Ambac Assurance, as lender (the “ACF Credit Facility”). AII used the proceeds of such transaction to repay ACF a corresponding amountoutstanding on an outstanding loan from ACF to AII. ACF in turn used such proceeds to pay down a portion of the outstanding balance of theunsecured loan outstanding under the ACF Credit Facility.

In April, the amendment to the Tax Sharing Agreement provides that the increase in NOL from taking a partial bad debt deduction pursuant to theprovisions of IRC 166: LB&I Directive Related to Partial Worthlessness Deduction for Eligible Securities Reported by Insurance Companies willbe shared equally between Ambac and Ambac Assurance.

On May 1, 2013, Ambac Assurance transferred $30,000,000 (plus accrued interest) from an escrow account to Ambac pursuant to the MediationAgreement.

Note 11- Debt


Note 12- Retirement Plans, Deferred Compensation, Postemployment Benefits and Compensated Absences and Other Postretirement Benefit Plans

A. The Company does not sponsor a defined benefit pension plan.

Note 13 - Capital and Surplus, Dividend Restrictions and Quasi-Reorganizations

K. Surplus note interest payments require the approval of OCI. On April 17, 2013, OCI disapproved the requests of Ambac Assurance and theRehabilitator of the Segregated Account, acting for and on behalf of the Segregated Account, to pay accrued interest on all outstanding surplusnotes issued by Ambac Assurance and the Segregated Account on the scheduled interest payment date of June 7, 2013. The cumulative unpaid


Q06.8

NOTES TO FINANCIAL STATEMENTSinterest on outstanding surplus notes of $194,864,228 will accrue and compound annually until paid. If OCI approves interest payments on surplusnotes in the future, Ambac Assurance will also be required to pay interest accrued on certain repurchased surplus notes through the call optionexercise dates. The portion of such unpaid interest on repurchased surplus notes is $52,225,000 at June 30, 2013.

At June 30, 2013, Ambac Assurance has outstanding surplus notes as follows:

Date Issued InterestRate

Par Value(Face Amount

of the Note)

Carrying Valueof Note

Principaland/or Interest

Paid Current Year

Total Principaland/or Interest

Paid

UnapprovedPrincipal

and/or Interest

Date ofMaturity

June 7, 2010 5.1% $1,210,820,764 $1,210,820,764 $0 $0 $194,864,228 June 7, 2020.

Note 14 – Contingencies

The descriptions of matters appearing below in this Note provide an update of those discussed in is Note 14: “Contingencies” in the Company’sAnnual Statement for the year ended December 31, 2012, and should be read in conjunction with the complete descriptions provided in the AnnualStatement.

Ambac’s Chapter 11 Reorganization

Under the Bankruptcy Code, the filing of Ambac’s petition on November 8, 2010 automatically stayed most actions against Ambac. Substantiallyall of Ambac’s pre-petition liabilities were addressed under the Reorganization Plan, if not otherwise addressed pursuant to orders of theBankruptcy Court. The Reorganization Plan was substantially consummated on May 1, 2013, primarily through the distribution of new commonstock and warrants.

In addition to the distributions made on May 1, 2013 pursuant to the Reorganization Plan, Ambac may be required to distribute additional newcommon stock and warrants to claimholders in its Chapter 11 case and will need to make cash payments in respect of any allowed administrativeclaims and professional fees relating to its bankruptcy.

Regulatory Matters

Ambac Assurance has periodically received various regulatory inquiries and requests for information with respect to investigations and inquiriesthat such regulators are conducting. Ambac Assurance has complied with all such inquiries and requests for information.

The Segregated Account Rehabilitation Proceeding

Various third parties have filed motions or objections in the Rehabilitation Court and/or moved to intervene in the Segregated AccountRehabilitation Proceedings. On January 24, 2011, the Rehabilitation Court issued its Decision and Final Order Confirming the Rehabilitator’sPlan of Rehabilitation, with Findings of Fact and Conclusions of Law (the “Confirmation Order”). Notices of appeal from the Confirmation Orderwere filed by various parties, including policyholders. Such appeals are pending.

The Rehabilitation Court entered an order on November 10, 2011 approving the transactions contemplated in the Mediation Agreement and certainparties appealed such order. On March 1, 2013, the Wisconsin Court of Appeals entered an order dismissing this appeal for lack of standing. Thetime for appellants to appeal that order to the Wisconsin Supreme Court has expired and appellants have not made such further appeal. Therefore,the order entered by the Rehabilitation Court approving the transactions contemplated in the Mediation Agreement has become final andnon-appealable.

On June 4, 2012, the Rehabilitation Court issued an order approving Ambac Assurance’s purchase of surplus notes pursuant to the exercise of calloptions (“Surplus Notes Order”). Fannie Mae filed both a Petition for Leave to Appeal and a Notice of Appeal of the Surplus Notes Order. OnMarch 7, 2013, the Wisconsin Court of Appeals denied Fannie Mae’s Petition for Leave to Appeal the Surplus Notes Order and extended FannieMae’s time to respond to the Commissioner’s pending motion to dismiss Fannie Mae’s appeal for lack of jurisdiction and lack of standing toMarch 25, 2013. On March 21, 2013 Fannie Mae filed a Notice of Voluntary Dismissal of Appeal and on April 1, 2013 the Wisconsin Court ofAppeals dismissed Fannie Mae’s appeal of the Surplus Notes Order.

On April 5, 2013, the Rehabilitator filed a motion to confirm the authority of Ambac Assurance to direct Deutsche Bank National Trust Company,as Trustee, to terminate OneWest Bank, F.S.B. (“OneWest”) as servicer for the residential mortgage loans held by two trusts that had issuedsecurities insured by Ambac Assurance, the IndyMac Certificate Trust 2004-2 and the IndyMac Residential Asset-Backed Trust, Series 2004-LH1,and to appoint Green Tree Servicing LLC as the successor servicer. In response to this motion, OneWest filed a Notice of Removal to the UnitedStates District Court for the Western District of Wisconsin on May 5, 2013. The Rehabilitator filed a motion to remand the proceedings back toWisconsin state court on May 21, 2013 and, on May 23, 2013, advised all interested parties of record that the Notice of Removal filed by OneWesthad created uncertainty as the procedural status of the entire rehabilitation proceeding. On July 8, 2013, the Western District of Wisconsin grantedthe Rehabilitator’s remand motion, remanding the case to the Rehabilitation Court, and invited the Rehabilitator to submit a request for fees and


Q06.9

NOTES TO FINANCIAL STATEMENTScosts. At a hearing on the Rehabilitator’s motion concerning the termination of OneWest as servicer on July 31, 2013, the Rehabilitation Courtgranted the Rehabilitator’s motion confirming Ambac Assurance’s authority to direct the trustee to terminate OneWest as servicer for the two trustsand to appoint Green Tree Servicing LLC as the successor servicer.

On July 11, 2013, the Rehabilitator filed a motion seeking authority to pay more than 25% of certain permitted policy claims, either in one lumpsum or in varying proportions over time, in order to maximize reimbursements payable to Ambac Assurance and increase claims-paying resourcesfor the benefit of all policyholders. At a hearing on August 2, 2013, the Rehabilitation Court issued an order authorizing the Rehabilitator and theSegregated Account to pay such Supplemental Payments on 14 policies identified in the motion and on any other policies where similarreimbursements are available.

Tax Treatment of Ambac Assurance’s CDS Portfolio

On April 3, 2013, Ambac, the Creditors’ Committee, Ambac Assurance, the Segregated Account, OCI and the Rehabilitator submitted to the IRSand the Department of Justice, Tax Division, a letter which modified and supplemented the terms of the offer to settle the dispute between the IRS, on the one hand, and Ambac, the Company and the Segregated Account, on the other hand, and related proceedings. On April 4, 2013, theDepartment of Justice, Tax Division, accepted the offer as supplemented and modified. On April 8, 2013, Ambac filed a motion with the UnitedStates Bankruptcy Court for the Southern District of New York seeking approval of the terms of the IRS Settlement. On April 29, 2013, theBankruptcy Court approved in all respects the IRS Settlement, and authorized and directed Ambac, in part, to effectuate the IRS Settlement and totake any other actions as may be reasonably necessary to consummate the settlement, including, without limitation, the execution of a closingagreement with the IRS, and entry of a stipulation dismissing the IRS adversary proceeding with prejudice. On April 30, 2013, Ambac paid to theUnited States Department of the Treasury $1,900,000 and the Segregated Account paid the United States Department of Treasury $100,000,000.Upon confirmation of payment, Ambac and the Internal Revenue Service entered into a closing agreement on April 30, 2013 which resolved withfinality all federal income tax liability of Ambac (and its subsidiaries) for the 2003 through 2009 tax years and resolved with finality the federalincome tax liability of Ambac (and its subsidiaries) for the 2010 tax year solely with respect to items of income, gain, deductions or loss related tothe credit default swaps (“CDS”) contracts. The closing agreement does not resolve the tax treatment of CDS contracts for tax years subsequent to2010.

On May 7, 2013, following execution of the closing agreement and payment of the settlement consideration by Ambac and the SegregatedAccount, the Bankruptcy Court issued an order dismissing with prejudice the adversary proceeding against the IRS. On the same day, Ambac, theUnited States and the Creditors’ Committee filed a stipulation withdrawing and dismissing with prejudice the motion to withdraw the referencepending before the United States District Court for the Southern District of New York. In accordance with the terms of the settlement, on May 9,2013, the United States moved to dismiss with prejudice the two appeals pending in the Seventh Circuit Court of Appeals and to vacate theopinions and orders of the District Court underlying the appeals it perfected. As part of the IRS Settlement, the Segregated Account and AmbacAssurance agreed to support the United States’ motion. On May 15, 2013, the Seventh Circuit Court of Appeals issued an order directing theUnited States to comply with Circuit Rule 57 by requesting that the District Court indicate whether it is inclined to vacate the orders underlying theappeal. The United States complied with that order and on July 10, 2013, the District Court issued a memorandum stating that it was “inclined tovacate the opinions in the case is returned to [the District Court] for that purpose.” Accordingly, on July 12, 2013, the United States requested thatthe Seventh Circuit Court of Appeals grant its May 9th motion to dismiss the appeal and vacate the underlying orders, or alternatively, to remandthe case to the District Court for that purpose. The Seventh Circuit remanded the matter to the District Court which, by orders dated July 16, 2013,dismissed both cases (10-CV-788 and 11-CV-99) with prejudice and vacated its prior decisions.

Litigation Filed Against Ambac Assurance

County of Alameda et al. v. Ambac Assurance Corporation et al. (Superior Court of the State of California, County of San Francisco, secondamended complaint filed on or about August 23, 2011); Contra Costa County et al. v. Ambac Assurance Corporation et al. (Superior Court of theState of California, County of San Francisco, third amended complaint filed on or about October 21, 2011); The Olympic Club v. AmbacAssurance Corporation et al. (Superior Court of the State of California, County of San Francisco, fourth amended complaint filed on or aboutOctober 21, 2011). After oral argument on March 21, 2013, the court dismissed claims related to the conspiracy branch of the complaint under theCalifornia Antitrust Law (the Cartwright Act) and after oral argument on April 22, 2013 denied defendants’ motion to dismiss claims under theCalifornia Unfair Competition Law. The court entered an order to this effect on July 9, 2013.

City of Phoenix v. Ambac Assurance Corporation et al. (United States District Court, District of Arizona, filed on or about March 11, 2010). OnAugust 1, 2013, the court dismissed the case with prejudice pursuant to a stipulation filed by the parties.

Broadbill Partners LP et al. v. Ambac Assurance Corporation (Supreme Court of the State of New York, County of New York, filed November 8,2012). Ambac Assurance filed a motion to dismiss on January 15, 2013, which the plaintiffs opposed. The court has not yet decided the motion.

Water Works Board of the City of Birmingham v. Ambac Financial Group, Inc. and Ambac Assurance Corporation (United States District Court,Northern District of Alabama, Southern Division, filed on November 10, 2009). On April 1, 2010, the court granted defendants’ motion to dismissall claims. The plaintiff appealed the dismissal to the U.S. Court of Appeals for the Eleventh Circuit. In light of Ambac’s pending bankruptcyproceedings, on January 25, 2011, the Court of Appeals stayed the plaintiff’s appeal of the dismissal of all claims and lifted that stay on June 3,2013. On August 5, 2013, the Court of Appeals affirmed the District Court’s dismissal of all claims.


Q06.10

NOTES TO FINANCIAL STATEMENTSIt is not reasonably possible to predict whether additional suits will be filed or whether additional inquiries or requests for information will bemade, and it is also not possible to predict the outcome of litigation, inquiries or requests for information. It is possible that there could beunfavorable outcomes in these or other proceedings. Legal accruals for certain litigation matters discussed above which are probable andreasonably estimable, and management’s estimated range of loss for such matters, are not material to the operating results or financial position ofthe Company. For the remaining litigation matters that do not meet the “probable and reasonably estimable” accrual threshold and where no lossestimates have been provided above, management is unable to make a meaningful estimate of the amount or range of loss that could result fromunfavorable outcomes but, under some circumstances, adverse results in any such proceedings could be material to our business, operations,financial position, profitability or cash flows. The Company believes that it has substantial defenses to the claims filed against it in these lawsuitsand, to the extent that these actions proceed, the Company intends to defend itself vigorously; however, the Company is not able to predict theoutcomes of these actions.

Litigation Filed by Ambac Assurance

Ambac Assurance Corporation v. Adelanto Public Utility Authority (United States District Court, Southern District of New York, filed on June 1,2009). On January 11, 2013 the court granted Ambac Assurance’s motion for summary judgment and denied defendant’s motion. At a March 13,2013 conference, the court requested that the parties prepare submissions regarding the amount of damages and fees Ambac Assurance is entitledto recover. Ambac Assurance served its submissions upon the defendant on April 23, 2013, the defendant served its response on June 26, 2013,and Ambac Assurance served its reply on July 23, 2013. A hearing regarding Ambac Assurance’s recovery of damages and fees has been scheduledfor August 26, 2013.

In connection with Ambac Assurance’s efforts to seek redress for breaches of representations and warranties and fraud related to the informationprovided by both the underwriters and the sponsors of various transactions and for failure to comply with the obligation by the sponsors torepurchase ineligible loans, Ambac Assurance has filed various lawsuits:

Ambac Assurance Corporation and The Segregated Account of Ambac Assurance Corporation v. EMC Mortgage LLC (formerly knownas EMC Mortgage Corporation), J.P. Morgan Securities, Inc. (formerly known as Bear, Stearns & Co. Inc.), and JP Morgan Chase Bank,N.A. (Supreme Court of the State of New York, County of New York, filed March 30, 2012 and amended on August 14, 2012).Defendants filed a motion to dismiss the amended complaint on September 28, 2012, which Ambac Assurance opposed on October 26,2012. Oral argument was held on February 21, 2013. On June 13, 2013, the court dismissed Ambac Assurance’s contractual claims butnot its claims for fraudulent inducement or successor liability. On July 8, 2013, Ambac Assurance filed its notice of appeal.Ambac Assurance Corporation and The Segregated Account of Ambac Assurance Corporation v. First Franklin Financial Corporation,Bank of America, N.A., Merrill Lynch, Pierce, Fenner & Smith Inc., Merrill Lynch Mortgage Lending, Inc., and Merrill Lynch MortgageInvestors, Inc. (Supreme Court of the State of New York, County of New York, filed April 16, 2012). Defendants filed a motion todismiss on July 13, 2012, which Ambac Assurance opposed on September 21, 2012. Oral argument was held on May 6, 2013. On July18, 2013 the court dismissed Ambac Assurance’s claims for indemnification and limited Ambac Assurance’s claim for breach ofloan-level warranties to the repurchase protocol, but did not dismiss Ambac Assurance’s other contractual claims or fraudulentinducement claim.Ambac Assurance Corporation and The Segregated Account of Ambac Assurance Corporation v. DLJ Mortgage Capital, Inc. and CreditSuisse Securities (USA) LLC (Supreme Court of the State of New York, County of New York, filed on January 12, 2010). On March 1,2013, the parties filed a stipulation discontinuing the litigation with prejudice.Ambac Assurance Corporation and The Segregated Account of Ambac Assurance Corporation v. Countrywide Securities Corp.,Countrywide Financial Corp. (a.k.a. Bank of America Home Loans) and Bank of America Corp. (Supreme Court of the State of NewYork, County of New York, filed on September 28, 2010). On May 28, 2013, Ambac Assurance filed a second amended complaintadding an alter ego claim against Bank of America alleging that, because Bank of America and Countrywide are alter egos of oneanother, Bank of America is responsible for Countrywide’s liabilities to Ambac. The defendants served their answers on July 31, 2013.

Ambac Assurance Corporation and The Segregated Account of Ambac Assurance Corporation v. Capital One, N.A., as successor bymerger to Chevy Chase Bank, F.S.B. (United States District Court for the Southern District of New York, filed on October 24, 2012).Ambac Assurance alleges claims for breach of contract, indemnification, and reimbursement and requested the repurchase of loans thatbreach representations and warranties as required under the contracts, as well as damages. Defendants filed a motion to dismiss onFebruary 6, 2013, which Ambac Assurance opposed in a brief filed on February 20, 2013. The motion was fully briefed and filed onMarch 5, 2013. The court held oral argument on March 7, 2013 and has not yet decided the motion.Ambac Assurance Corporation and The Segregated Account of Ambac Assurance Corporation v. Nomura Credit & Capital, Inc. andNomura Holding America Inc. (Supreme Court of the State of New York, County of New York, filed on April 15, 2013). AmbacAssurance alleges claims for material breach of contract and for the repurchase of loans that breach representations and warranties underthe contracts, as well as damages. Ambac has also asserted alter ego claims against Nomura Holding America Inc. Defendants filed amotion to dismiss on July 12, 2013, which Ambac Assurance intends to oppose.


Q06.11

NOTES TO FINANCIAL STATEMENTSNote 15 - Leases


Note 16 - Information About Financial Instruments With Off-Balance Sheet Risk and Financial Instruments With Concentrations of Credit Risk


Note 17 - Sale, Transfer and Servicing of Financial Assets and Extinguishments of Liabilities

B. The Company has not transferred or serviced any financial assets during the six months ended June 30, 2013.

C. The Company did not engage in any wash sale transactions during the six months ended June 30, 2013.

Note 18 - Gain or Loss to the Reporting Entity from Uninsured Plans and the Uninsured Portion of Partially Insured Plans


Note 19 - Direct Premium Written/Produced by Managing General Agents/Third Party Administrators


Note 20 – Fair Value Measurements

The following methods and assumptions were used to estimate the fair value of each class of financial instrument for which it is practicable toestimate that value:

Bonds and loan-backed securities (collectively “bonds”) and Other Unaffiliated Invested Assets

The estimated fair values represent fair values as determined by the NAIC Securities Valuation Offices (“SVO”). In the event the SVO has notdetermined the fair value of a security, fair value amounts are determined by using independent market sources, when available, and appropriatevaluation methodologies when market quotes are not available. In cases where specific market quotes are unavailable, interpreting market data andestimating market values require considerable judgment by management. Accordingly, the estimates presented are not necessarily indicative of theamount Ambac Assurance could realize in the market.

Short-Term Investments, Cash and Cash Equivalents and Intercompany Loans with Affiliates

The fair values of short-term investments are determined by using independent market sources. The fair value of cash and cash equivalentsapproximates their carrying value. Fair values for intercompany loans with affiliates are valued at amortized cost, net of impairments, ordetermined using appropriate valuation methodologies as no market quotes are available.

Receivables for Securities

The fair values of receivable for securities sold approximate carrying value.

Investment Income Due and Accrued

The fair values of investment income due and accrued approximate carrying value.

Liabilities Allocated to the Segregated Account

The fair value estimate represents a net asset to the Company and is the sum of the present values of expected losses (excluding the effect of futureinstallment premiums, reinsurance or subrogation recoveries which is not allocated to the Segregated Account) for both defaulted andnon-defaulted allocated policies, and claims presented and not yet paid as a result of the Segregated Account Rehabilitation Proceedings. TheCompany and the Segregated Account are a single corporate entity and the estimated fair value below does not include a credit valuationadjustment for the creditworthiness of the Segregated Account.

Key variables are par amounts outstanding, expected term, discount rate, and expected net loss and LAE payments. The risk free rate was utilizedto calculate present values, and net par outstanding is monitored by Ambac Assurance's Surveillance Group. Our fair value estimate also considers


Q06.12

NOTES TO FINANCIAL STATEMENTSan estimated profit margin on net cash flows. This profit margin represents what another financial guarantee insurer would require to assume theliabilities allocated. Given the unique nature of financial guarantees and current state of the industry there is a lack of observable marketinformation to make this estimate. A profit margin of 17% was developed based on yields on Ambac Assurance surplus notes and discussions withthe third-party institutions, including those with valuation and industry expertise.

This methodology is based on management’s expectations of how a market participant would estimate net cash flows. We are aware of a numberof factors that may cause such fair or exit value to differ, perhaps materially. For instance, Ambac Assurance is no longer writing new financialguarantee business and accordingly does not have access to observable pricing data points. Additionally, although the fair value accountingguidance for liabilities requires a company to consider the cost to completely transfer its obligation to another market participant, our primaryinsurance obligation is irrevocable and thus there is no established active market for transferring such obligations. Pursuant to paragraph 14 of theStatement of Statutory Accounting Principles No. 100 “Fair Value Measurements” (“SSAP 100”), a credit valuation adjustment for the Company’screditworthiness has not been incorporated in our current fair value estimate of financial guarantees.

Liabilities Assumed from the Segregated Account

The fair value estimate represents a net asset to the Company and is the excess of the estimated fair value of liabilities allocated from AmbacAssurance over the sum of the estimated fair value of the Segregated Account’s net financial assets. Net financial assets include other investedassets, investment income due and accrued, offset by Ambac Assurance’s obligation to support payments under Surplus Notes.

Under the terms of the Reinsurance Agreement, Ambac Assurance assumes all liabilities in excess of the principal balance of the Secured Note andthe total of all other liquid assets of the Segregated Account, subject to the Minimum Surplus Amount at Ambac Assurance. Since the surplus ofAmbac Assurance is contingent on the activities of Ambac Assurance and its insured book of financial guarantees, there is no guarantee that suchsurplus will exceed the Minimum Surplus Amount for the life of the Reinsurance Agreement and accordingly the value of such reinsurance couldbe reduced. The Company considers Ambac Assurance and the Segregated Account to be a single corporate entity. As such, the estimated fairvalue of the liabilities ceded to Ambac Assurance from the Segregated Account does not include a credit valuation adjustment for AmbacAssurance’s creditworthiness.

Borrowed Money and Interest Thereon

The fair value estimates of borrowed money and interest thereon approximate carrying value and do not reflect credit valuation adjustments for theCompany’s creditworthiness pursuant to paragraph 14 of Statement of Statutory Accounting Principles No. 100 “Fair Value Measurements”(“SSAP 100”).

Liability for Net Financial Guarantees Written

This fair value estimate of financial guarantees is disclosed below on a net basis, and includes direct and assumed contracts written, whichrepresents a net liability to the Company, net of ceded reinsurance contracts, which represents a net asset to the Company. The fair value estimateof financial guarantees is computed by utilizing cash flows calculated at the policy level. Projected net cash flows for each policy included: (i)installment premium receipts, (ii) estimated gross claim payments for both defaulted and non-defaulted policies, and (iii) subrogation receipts forboth defaulted and non-defaulted policies. For ceded reinsurance contracts, projected net cash flows for each policy included: (i) installment cededpremium payments, (ii) ceding commission receipts, (iii) ceded claim receipts, and (iv) ceded subrogation payments. For each individual direct,assumed, and ceded reinsurance contract, the respective undiscounted cash flow components are aggregated to determine if we are in a net asset ornet liability position. For each contract in a net liability position, we estimate the fair value using Libor and subsequently apply a profit margin. This profit margin represents what another market participant would require to assume the financial guarantee contracts. Given the unique nature offinancial guarantees and current state of the industry there is a lack of observable market information to make this estimate. The profit margin wasdeveloped based on discussions with the third-party institutions with valuation expertise, discussions with industry participants and yields onAmbac Assurance surplus notes. The profit margin utilized was 17% at June 30, 2013.

Similar to liabilities allocated to the Segregated Account as discussed above, this methodology is based on management’s expectations of how amarket participant would estimate net cash flows. We are aware of a number of factors that may cause such fair or exit value to differ, perhapsmaterially. For instance, as Ambac Assurances is no longer writing new financial guarantee business, we do not have observable pricing datapoints. Additionally, although the fair value accounting guidance for liabilities requires a company to consider the cost to completely transfer itsobligation to another market participant, our primary insurance obligation is irrevocable and thus there is no established active market fortransferring such obligations. Pursuant to paragraph 14 of SSAP 100, a credit valuation adjustment for the Company’s creditworthiness has notbeen incorporated in our current fair value estimate of financial guarantees.

Fair Value Hierarchy

The Company's financial assets have been classified, for disclosure purposes, based on a hierarchy defined by the SSAP 100. SSAP 100 specifiesa fair value hierarchy based on whether the inputs to valuation techniques used to measure fair value are observable or unobservable. Observableinputs reflect market data obtained from independent sources, while unobservable inputs reflect Company-based market assumptions. Inaccordance with SSAP 100, the fair value hierarchy prioritizes model inputs into three broad levels as follows:


Q06.13

NOTES TO FINANCIAL STATEMENTS• Level 1 – Quoted prices for identical instruments in active markets. Assets typically classified as Level 1 include

US treasury securities, money market funds and mutual funds.

• Level 2 – Quoted prices for similar instruments in active markets; quoted prices for identical or similarinstruments in markets that are not active; and model-derived valuations in which all significant inputsand significant value drivers are observable in active markets. Assets typically classified as Level 2generally include fixed income securities representing municipal, asset-backed and corporateobligations.

• Level 3 – Model derived valuations in which one or more significant inputs or significant value drivers areunobservable. This hierarchy requires the use of observable market data when available. Assets andliabilities classified as Level 3 typically include certain fixed income securities for which quoted pricesare not available, transactions with the Segregated Account, and fair value of financial guarantees.Valuation models require significant Company based assumptions.

When available, the Company generally uses quoted market prices to determine fair value, and classifies such items within Level 1. Because manyfixed income securities do not trade on a daily basis, pricing sources apply available information through processes such as matrix pricing tocalculate fair value. In those cases the items are classified within Level 2. If quoted market prices are not available, fair value is based upon modelsthat use, where possible, current market-based or independently-sourced market parameters. Items valued using valuation models are classifiedaccording to the lowest level input or value driver that is significant to the valuation. Thus, an item may be classified in Level 3 even though theremay be significant inputs that are readily observable.

The determination of fair value for financial instruments categorized in Level 2 or 3 involves significant judgment due to the complexity of factorscontributing to the valuation. Third-party sources from which we obtain independent market quotes also use assumptions, judgments and estimatesin determining financial instrument values and different third parties may use different methodologies or provide different prices for securities. Webelieve the potential for differences in third-party asset pricing levels is particularly significant with respect to residential mortgage-backed andcertain other asset-backed securities held in our investment portfolio due to the low levels of recent trading activity for such securities. As a resultof these factors, the actual trade value of a financial instrument in the market may be significantly different from its reported fair value.

A.

1. The following table sets forth Ambac Assurance’s financial assets and liabilities that were measured and reported at fair value in the statementof financial position after initial recognition as of June 30, 2013 by level within the fair value hierarchy due to the bonds having a NAICdesignation of 3 or higher and the fair value being lower than amortized cost. The NAIC designation for loan backed securities considers thetwo step process and these securities are determined based on the first step.

A.

June 30, 2013 Level 1 Level 2 Level 3 TotalAssets at fair value:Bonds Issuer obligations $ - $ 2,495,350 $ - $ 2,495,350 Residential mortgage-backed securities 17,295,491 17,295,491 Loan-backed and structured securities - 4,350,000 - 4,350,000Investments in Ambac Assurance insured bonds withpolicies allocated to the Segregated Account - 326,389,155 326,389,155

Other unaffiliated invested assets - 49,979,236 - 49,979,236Total financial assets measured at fair value $ - $ 400,509,232 $ - $ 400,509,232

B.

Liabilities at fair value: Level 1 Level 2 Level 3 Total

Total financial liabilities measured at fair value $ - $ - $ - $ -

For securities measured at fair value there were no transfers between Level 1 and Level 2 as of June 30, 2013.

2. Fair value measurements in Level 3 of the fair value hierarchy

A. There are no financial assets carried at fair value in Level 3 of the fair value hierarchy as of June 30, 2013.


Q06.14

NOTES TO FINANCIAL STATEMENTS

B. There are no financial liabilities carried at fair value in Level 3 of the fair value hierarchy as of June 30, 2013.

C. There are no transfers of bonds carried at fair value into or out of Level 3 as of June 30, 2013.

3. Transfers between Levels are recognized at the beginning of each quarterly accounting period.

4. The fair values of fixed income securities held by Ambac Assurance that are carried at fair value are based primarily on market prices receivedfrom the SVO, alternative pricing sources with reasonable levels of price transparency or from brokers. Such quotes generally consider avariety of factors, including recent trades of the same and similar securities. These quotes represent the only input to the reported fair value ofLevel 2 fixed income securities. The fair values of other unaffiliated invested assets that are carried at fair value are based on the net assetvalue per share or equivalent (“NAV”), calculated on at least a monthly basis where the NAV is the basis for determining the redemptionvalue of the investment.

5. There are no derivative assets and liabilities as of June 30, 2013.

C.1. The estimated fair value and carrying amounts of those financial instruments discussed above are presented below:

June 30, 2013 Fair Value MeasurementsCategorized as:

Estimated fair value Admitted Assets Level 1 Level 2 Level 3Financial assets:Bonds $ 4,782,633,457 $ 4,383,615,780 $244,504,952 $4,473,524,005 $ 64,604,500Short-term investments 572,985,533 572,972,351 572,985,533 - -Cash and cash equivalents 878,241 878,241 878,241 - -Receivables for securities 516,838 516,838 516,838 - -Investment income due and accrued 32,701,014 32,701,014 32,701,014 - -Other unaffiliated invested assets 55,967,011 57,336,001 - 49,979,236 5,987,775Intercompany loans with affiliates 12,000,000 12,000,000 - - 12,000,000Liabilities allocated to Segregated Account 10,737,737,387 6,150,172,103 - - 10,737,737,387

Financial liabilities:Borrowed money and interest thereon $ 432,961,464 $ 432,961,464 $ - $ - $ 432,961,464Liabilities assumed from SegregatedAccount

11,053,471,827 6,298,472,829 - - 11,053,471,827

Liability for net financial guaranteeswritten

9,934,549,622 4,890,618,407 - - 9,934,549,622

D.1. There are no classes of financial instruments where it isn’t practicable to estimate the fair value as of June 30, 2013.

Note 21 - Other Items


Note 22 - Events Subsequent

Pursuant to SSAP 9, Subsequent Events, the date through which Type I or Type II subsequent events have been evaluated was August 15, 2013 forthe six months ended June 30, 2013, the same date on which the Company's financial statements are issued.

Note 23 - Reinsurance

Ambac Assurance provides aggregate excess of loss reinsurance to the Segregated Account pursuant to the Reinsurance Agreement whereby oncethe Secured Note provided to the Segregated Account is exhausted, the Segregated Account has the ability to demand payment from time to timeunder the Reinsurance Agreement to pay claims and other liabilities. Ambac Assurance is not obligated to make payments on the Secured Note orunder the Reinsurance Agreement if its surplus as regards to policyholders is (or would be) less than the Minimum Surplus Amount. As of June 30,


Q06.15

NOTES TO FINANCIAL STATEMENTS2013, Ambac Assurance’s surplus is greater than the Minimum Surplus Amount and therefore all of the Segregated Account’s insurance liabilitieswere assumed by Ambac Assurance under the Reinsurance Agreement. In the event that Ambac Assurance does not maintain surplus in excess of theMinimum Surplus Amount, the Segregated Account would experience a shortfall in funds available to pay its liabilities to the extent that suchliabilities exceed amounts available under the Secured Note and Reinsurance Agreement. This shortfall will be a consideration for the Rehabilitatorin the determination of whether any changes to the Segregated Account Rehabilitation Plan and/or the amount of partial policy claim payments arenecessary or appropriate or whether to institute general rehabilitation proceedings against Ambac Assurance.

Pursuant to SSAP 62R, the allocation of insurance policies to the Segregated Account as well as the Reinsurance Agreement has been recorded asretroactive reinsurance since these contracts were executed in connection with a court-ordered rehabilitation of the Segregated Account. Accordingly, the net balances due under these obligations are reported in as a net write-in contra-liability.

Below is a table reflecting ever-to-date retroactive reinsurance activity:

Liabilities allocated to the

Segregated Account

Liabilities Assumedfrom the

Segregated Account

Net Liabilitiesallocated to the

Segregated AccountInitial allocation and assumption of Assets/(Liabilities) $3,639,973,059 $(1,639,973,059) $2,000,000,000Changes in prior years 2,605,510,698 (4,052,999,435) (1,447,488,737)Changes in current year (95,311,654) (605,500,335) (700,811,989)Assets/(Liabilities) at June 30, 2013 $6,150,172,103 $(6,298,472,829) $148,300,726

Liabilities allocated to the

Segregated Account

Liabilities Assumedfrom the

Segregated Account Impact to SurplusAssets/(Liabilities) at June 30, 2013 $6,150,172,103 $(6,298,472,829)Consideration provided to the Segregated Account (2,000,000,000) -Loss and LAE payments in prior years 1,587,406,028 -Loss and LAE payments in current year 191,172,562 -Surplus impact through June 30, 2013 $5,928,750,693 $(6,298,472,829) $ (369,722,136)

The liabilities allocated to the Segregated Account from Ambac Assurance consist of loss reserves and loss adjustment expenses, gross of remediationand gross of reinsurance.

The current and prior years loss and LAE payments consist of the following:

Current Year Prior Years25% partial payments of permitted claims and commutations

in the form of surplus notes issued by and cashsettlements paid by the Segregated Account $ 172,669,068 $ 1,382,112,426

Loss related and loss adjustment expenses 18,503,494 205,293,602 $ 191,172,562 $ 1,587,406,028

Note 24 - Retrospectively Rated Contracts & Contracts Subject to Redetermination


Note 25 - Change in Incurred Losses and Loss Adjustment Expenses

Net case basis loss reserves at June 30, 2013 and December 31, 2012 were as follows:


Q06.16

NOTES TO FINANCIAL STATEMENTS

June 30, 2013

December 31,2012 Change

Mortgage-Backed & Home Equity $2,848,564,313 $2,724,970,300 $123,594,013Public Finance 49,514,452 90,949,976 (41,435,524)Other (1,521,067) (1,918,824) 397,757Total Loss Reserves $2,896,557,698 $2,814,001,452 $82,556,246Total Net Losses Recoveredfor the six months ended June 30, 2013 (40,542,826)Total Losses Incurred for the six months ended June 30, 2013 $42,013,420

Losses incurred of $42,013,420 for the six months ended June 30, 2013 is primarily due to a decrease in expected RMBS subrogation recoveries.

June 30, 2013 loss reserves include $3,752,163,618 of claims that have been presented and not paid by the Segregated Account.

Loss adjustment expenses incurred, a benefit of $5,759,326 for the six months ended June 30, 2013 is primarily due to a decrease in loss adjustmentexpense reserves for certain residential mortgage backed credits.

Total net case basis reserves of $2,896,557,698 at June 30, 2013 are net of $(2,511,308,625) of subrogation recoveries relating to representation andwarranty breaches by RMBS transaction sponsors (discounted at 5.1%). In an effort to better understand the unprecedented levels of delinquencies anddefaults, Ambac Assurance or its counsel engaged consultants with significant mortgage underwriting experience to review the underwritingdocumentation for mortgage loans underlying certain insured RMBS transactions. Transactions which exhibited exceptionally poor performance werechosen for further examination of the underwriting documentation supporting the underlying loans. Factors which Ambac Assurance believes to beindicative of poor performance include (i) high levels of early payment defaults, (ii) significant number of loan liquidations or charge-offs and resultinghigh level of losses, and (iii) rapid elimination of credit protections inherent in the transactions’ structures. With respect to item (ii), “loan liquidations”refers to loans for which the servicer has liquidated the related collateral and the securitization has realized losses on the loan; “charge-offs” refers toloans which have been written off as uncollectible by the servicer, thereby generating no recoveries to the securitization, and may also refer to theunrecovered balance of liquidated loans. In either case, the servicer has taken actions as it has deemed viable to recover against the collateral, and thesecuritization has incurred losses to the extent such actions did not fully repay the borrower’s obligations. Generally, the sponsor of the transactionprovided representations and warranties with respect to the securitized loans, including representations with respect to the loan characteristics, theabsence of fraud or other misconduct in the origination process, and attesting to the compliance of loans with the prevailing underwriting policies. Perthe underlying transaction documents, the sponsor of the transaction is contractually obligated to repurchase, cure or substitute collateral for any loanthat breaches the representations and warranties.

Subsequent to the forensic exercise of examining loan files to ascertain whether the loans conformed to the representations and warranties, we submitnonconforming loans to the sponsor for repurchase. To effect a repurchase, depending on the transaction, the sponsor is obligated to repurchase theloan (a) for loans which have not been liquidated or charged off, either at (i) the current unpaid principal balance of the loan, (ii) the current unpaidprincipal balance plus accrued unpaid interest, or (iii) the current unpaid principal balance plus accrued unpaid interest plus unreimbursed serviceradvances/expenses and/or trustee expenses resulting from the breach of representations and warranties that trigger the repurchase, and (b) for a loan thathas already been liquidated or charged-off, the amount of the realized loss (which in certain cases may exclude accrued unpaid interest).

In cases where loans are repurchased by a sponsor, the effect is typically to offset current period losses and then to increase the over-collateralization ofthe securitization, depending on the extent of loan repurchases and the structure of the securitization. Specifically, the repurchase price is paid by thesponsor to the securitization trust which holds the loan. The cash becomes an asset of the trust, replacing the loan that was repurchased by the sponsor. On a monthly basis the cash received related to loan repurchases by the sponsor is aggregated with cash collections from the underlying mortgages andapplied in accordance with the trust indenture payment waterfall. This payment waterfall typically includes principal and interest payments to the noteholders, various expenses of the trust and reimbursements to Ambac Assurance, as financial guarantor, for claim payments made in previous months. Notwithstanding the reimbursement of previous monthly claim payments, to the extent there continues to be insufficient cash in the waterfall in thecurrent month to make scheduled principal and interest payments to the note holders, Ambac Assurance is required to make additional claim paymentsto cover this shortfall.

While the obligation by sponsors to repurchase loans with material breaches is clear, generally the sponsors have not yet honored those obligations. Ambac Assurance’s approach to resolving these disputes has included negotiating with individual sponsors at the transaction level and in some cases atthe individual loan level and has resulted in the repurchase of some loans. Ambac Assurance has utilized the results of the above described loan fileexaminations to make demands for loan repurchases from sponsors or their successors and, in certain instances, as a part of the basis for litigationfilings. Ambac Assurance has initiated and will continue to initiate lawsuits seeking compliance with the repurchase obligations in the securitizationdocuments.

Ambac Assurance has performed the above-mentioned, detailed examinations on a variety of second-lien and first-lien transactions that haveexperienced exceptionally poor performance. However, the loan file examinations and related estimated recoveries we have reviewed and recorded todate have been limited to only those transactions whose sponsors (or their successors) are believed to have sufficient financial wherewithal to meet therelevant obligations. A total of 38 transactions have been reviewed as of June 30, 2013. While our contractual recourse is generally to thesponsor/subsidiary, rather than to the financial institutional parent, each of these financial institutions has significant financial resources and an ongoing


Q06.17

NOTES TO FINANCIAL STATEMENTSinterest in mortgage finance, and we therefore believe that the financial institution/parent would not seek to disclaim financial responsibility for theseobligations if the sponsor/subsidiary is unable to honor its contractual obligations or pay a judgment that we may obtain in litigation. Additionally, inthe case of successor institutions, we are not aware of any provisions that explicitly preclude or limit the successors’ ability to honor the obligations ofthe original sponsor. In fact, certain successor financial institutions have made significant payments to certain claimants to settle breaches ofrepresentations and warranties perpetrated by sponsors that have been acquired by such financial institutions. As a result, we did not make anysignificant adjustments to our estimated subrogation recoveries with respect to the credit risk of these sponsors or their successors. We believe thatfocusing our loan remediation efforts on large financial institutions first will provide the greatest economic benefit to Ambac Assurance. AmbacAssurance retains the right to review other RMBS transactions for representations and warranties breaches. Since a significant number of othersecond-lien and first-lien transactions are also experiencing poor performance, management is considering expanding the scope of this effort.

Note 26 - Intercompany Pooling Arrangements


Note 27 - Structured Settlements


Note 28 - Health Care Receivables


Note 29 - Participating Accident and Health Policies


Note 30 - Premium Deficiency Reserves


Note 31 - High Deductibles


Note 32 - Discounting of Liabilities for Unpaid Losses or Unpaid Loss Adjustment Expenses


Note 33 - Asbestos/Environmental Reserves


Note 34 - Subscriber Savings Accounts


Note 35 - Multiple Peril Crop Insurance


Note 36 - Financial Guaranty Insurance


Q06.18

NOTES TO FINANCIAL STATEMENTSAmbac Assurance’s loss reserves are based on management’s ongoing review of the financial guarantee insurance portfolio. Active surveillance of theinsured portfolio enables Ambac Assurance’s surveillance group to track credit migration of insured obligations from period to period and updateinternal classifications and credit ratings for each transaction. Non-adversely classified credits are assigned a Class I or Survey List (“SL”) ratingwhile adversely classified credits are assigned a rating of Class IA through Class V. The criteria for an exposure to be assigned an adversely classifiedcredit rating includes the deterioration of an issuer’s financial condition, underperformance of the underlying collateral (for collateral dependenttransactions such as mortgage-backed securitizations), poor performance by the servicer of the underlying collateral and other adverse economic eventsor trends. The servicer of the underlying collateral of an insured securitization transaction is a consideration in assessing credit quality because theservicer’s performance can directly impact the performance of the related issue.

Additional remediation activities applied to adversely classified credits can include various actions by Ambac Assurance. The most common actionsinclude obtaining detailed appraisal information on collateral, more frequent meetings with the issuer’s or servicer’s management to review operations,financial condition and financial forecasts and more frequent analysis of the issuer’s financial statements. Senior management meets at least quarterlywith the surveillance group to review the status of their work to determine the adequacy of Ambac Assurance’s loss reserves and make any necessaryadjustments.

All credits are assigned risk classifications by the Surveillance Group using the following guidelines:

CLASS I – “Fully Performing – Meets Ambac Assurance Criteria with Remote Probability of Claim”

Credits that demonstrate adequate security and structural protection with a strong capacity to pay interest, repay principal and perform as underwritten. Factors supporting debt service payment and performance are considered unlikely to change and any such change would not have a negative impactupon the fundamental credit quality.

SURVEY LIST (SL) – “Investigation of Specific Condition or Weakness Underway”

Credits that require additional analysis to determine if adverse classification is warranted. These credits may lack information or demonstrate aweakness but further deterioration is not expected.

CLASS IA – “Potential Problem with Risks to be Dimensioned”

Credits that are fully current and monetary default or claims-payment are not anticipated. The payor’s or issuer’s financial condition may bedeteriorating or the credits may lack adequate collateral. A structured financing may also evidence weakness in its fundamental credit quality asevidenced by its under-performance relative to its modeled projections at underwriting, issues related to the servicer’s ability to perform, or questionsabout the structural integrity of the transaction. While these credits may still retain an investment grade rating, they usually have experienced or arevulnerable to a ratings downgrade. Further investigation is required to dimension and correct any deficiencies. A complete legal review of documentsmay be required. An action plan should be developed with triggers for future classification changes upward or downward.

CLASS II – “Substandard Requiring Intervention”

Credits whose fundamental credit quality has deteriorated to the point that timely payment of debt service may be jeopardized by adversely developingtrends of a financial, economic, structural, managerial or political nature. No claim payment is currently foreseen but the probability of loss or claimpayment over the life of the transaction is now existent (10% or greater probability). Class II credits may be borderline or below investment grade(BBB- to B). Prompt and sustained action must be taken to execute a comprehensive loss mitigation plan and correct deficiencies.

CLASS III – “Doubtful with Clear Potential for Loss”

Credits whose fundamental credit quality has deteriorated to the point that timely payment of debt service has been or will be jeopardized by adversetrends of a financial, economic, structural, managerial or political nature which, in the absence of positive change or corrective action, are likely toresult in a loss. The probability of monetary default or claims paying over the life of the transaction is 50% or greater. Full exercise of all availableremedial actions is required to avert or minimize losses. Class III credits will generally be rated below investment grade (B to CCC).

CLASS IV – “Imminent Default or Defaulted”

Monetary default or claims payment has occurred or is expected imminently. Class IV credits are generally rated D.

CLASS V – “Fully Reserved”

The credit has defaulted and payments have occurred. The claim payments are scheduled and known, and reserves have been established to fully coversuch claims.

Below is the losses and loss adjustment expense roll-forward, net of subrogation recoverable and reinsurance for the period ended June 30, 2013:


Q06.19

NOTES TO FINANCIAL STATEMENTSSix Months

Ended June 30, 2013Losses and Loss Adjustment Expenses at December 31, 2012, net ofsubrogation recoverable and net of reinsurance $ 2,946,481,345Change in losses and loss adjustment expenses reserves due to: Credits added:Establishment of new loss and loss adjustment expense reserves,

gross of subrogation and net of reinsurance $44,932,182

Net claim and loss adjustment expense payments, net of reinsurance (9,001,522)

Establishment of subrogation recoveries, net of reinsurance (11,777,542)

Total Credits Added 24,153,118

Existing credits:Change in previously established loss and loss adjustment expense

reserves, gross of subrogation and net of reinsurance (174,236,220)

Net claim and loss adjustment expense recoveries, net of reinsurance 34,661.405

Change in subrogation recoveries, net of reinsurance 177,335,675 Total Existing Credits 37,760,860Loss and Loss Adjustment Expenses at June 30, 2013 * $ 3,008,395,323

* Includes $3,752,163,618 of claims that have been presented and not paid as of June 30, 2013.

Loss adjustment expenses paid for the six months ended June 30, 2013 for credits added and existing credits are $2,757,682 and $12,125,262, respectively.

Total credits added includes loss adjustment expense reserves on non-defaulted credits of $12,319,560.

Below are the insured financial obligations with loss and/or loss adjustment expense reserves at the period ended June 30, 2013:

Surveillance CategoriesI -III IV V Total

Number of Policies 46 148 1 195

Remaining weighted-average contract period(in years)

14 6 6 8

Gross insured contractual paymentsoutstanding:

Principal $4,480,706,038 $10,884,097,040 $46,704 $15,364,849,782Interest 2,136,630,986 1,856,360,940 18,623 3,993,010,549Total $6,617,337,024 $12,740,457,980 $65,327 $19,357,860,331

Gross claim liability, includingloss adjustment expense reserves $11,087,056 $7,090,317,462 $65,327 $7,101,469,845Less:

Gross potential recoveries - (3,470,519,323) - (3,470,519,323)

Discount on gross claim liability, net ofrecoveries - (627,768,634) (13,503) (627,782,137)

Claim liability, including loss adjustmentexpense reserves reported in the balance sheet,excluding reinsurance $11,087,056 $2,992,029,505 $51,824 $3,003,168,385

Gross unearned premium revenue $12,810,389 $6,348,522 $ - $19,158,911

Reinsurance recoverables(payable) $254,523 ($5,481,461) $ - ($5,226,938)


Q07

GENERAL INTERROGATORIES PART 1 - COMMON INTERROGATORIES - GENERAL

1.1 Did the reporting entity experience any material transactions requiring the filing of Disclosure of Material Transactions with the State of Domicile, as required by the Model Act? Yes [ X ] No [ ]

1.2 If yes, has the report been filed with the domiciliary state? Yes [ X ] No [ ]

2.1 Has any change been made during the year of this statement in the charter, by-laws, articles of incorporation, or deed of settlement of the reporting entity? Yes [ ] No [ X ]

2.2 If yes, date of change: ........................................

3.1 Have there been any substantial changes in the organizational chart since the prior quarter end? Yes [ X ] No [ ]3.2 If the response to 3.1 is yes, provide a brief description of those changes.

Ambac Credit Products Limited was dissolved on 1/30/2013.

4.1 Has the reporting entity been a party to a merger or consolidation during the period covered by this statement? Yes [ ] No [ X ]

4.2 If yes, provide name of entity, NAIC Company Code, and state of domicile (use two letter state abbreviation) for any entity that has ceased to exist as a result of the merger or consolidation.

1 2 3 NAIC State of

Name of Entity Company Code Domicile

5. If the reporting entity is subject to a management agreement, including third-party administrator(s), managing general agent(s), attorney-in-fact, or similar agreement, have there been any significant changes regarding the terms of the agreement or principals involved? Yes [ ] No [ ] N/A [ X ]If yes, attach an explanation.

6.1 State as of what date the latest financial examination of the reporting entity was made or is being made. 12/31/2011......................

6.2 State the as of date that the latest financial examination report became available from either the state of domicile or the reporting entity. This date should be the date of the examined balance sheet and not the date the report was completed or released. 12/31/2011......................

6.3 State as of what date the latest financial examination report became available to other states or the public from either the state of domicile or the reporting entity. This is the release date or completion date of the examination report and not the date of the examination (balance sheet date). 6/21/2013........................

6.4 By what department or departments? Wisconsin

6.5 Have all financial statement adjustments within the latest financial examination report been accounted for in a subsequent financial statement filed with Departments? Yes [ X ] No [ ] N/A [ ]

6.6 Have all of the recommendations within the latest financial examination report been complied with? Yes [ X ] No [ ] N/A [ ]

7.1 Has this reporting entity had any Certificates of Authority, licenses or registrations (including corporate registration, if applicable) suspended or revoked by any governmental entity during the reporting period? Yes [ X ] No [ ]

7.2 If yes, give full information: The reporting entity's license has been suspended in the state of Mississippi.

8.1 Is the company a subsidiary of a bank holding company regulated by the Federal Reserve Board? Yes [ ] No [ X ]

8.2 If response to 8.1 is yes, please identify the name of the bank holding company.

8.3 Is the company affiliated with one or more banks, thrifts or securities firms? Yes [ ] No [ X ]

8.4 If the response to 8.3 is yes, please provide below the names and location (city and state of the main office) of any affiliates regulated by a federal regulatory services agency [i.e. the Federal Reserve Board (FRB), the Office of the Comptroller of the Currency (OCC), the Federal Deposit Insurance Corporation (FDIC) and the Securities Exchange Commission (SEC)] and identify the affiliate's primary federal regulator].

1 2 3 4 5 6 Affiliate Name Location (City, State) FRB OCC FDIC SEC

9.1 Are the senior officers (principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions) of the reporting entity subject to a code of ethics, which includes the following standards? Yes [ X ] No [ ](a) Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and

professional relationships; (b) Full, fair, accurate, timely and understandable disclosure in the periodic reports required to be filed by the reporting entity; (c) Compliance with applicable governmental laws, rules and regulations; (d) The prompt internal reporting of violations to an appropriate person or persons identified in the code; and (e) Accountability for adherence to the code.

9.11 If the response to 9.1 is No, please explain:

9.2 Has the code of ethics for senior managers been amended? Yes [ X ] No [ ]

9.21 If the response to 9.2 is Yes, provide information related to amendment(s). The Code of Conduct changes are applicable to all senior officers, senior managers, employees, or persons performing similar functions. The Codeof Conduct was amended as of May 1, 2013. None of the Code of Conduct changes were substantive.

9.3 Have any provisions of the code of ethics been waived for any of the specified officers? Yes [ ] No [ X ]

9.31 If the response to 9.3 is Yes, provide the nature of any waiver(s).

PART 1 - FINANCIAL 10.1 Does the reporting entity report any amounts due from parent, subsidiaries or affiliates on Page 2 of this statement? Yes [ X ] No [ ]

10.2 If yes, indicate any amounts receivable from parent included in the Page 2 amount: $........................308,426


Q07.1

PART 1 - INVESTMENT 11.1 Were any of the stocks, bonds, or other assets of the reporting entity loaned, placed under option agreement, or otherwise made available

for use by another person? (Exclude securities under securities lending agreements.) Yes [ X ] No [ ]

11.2 If yes, give full and complete information relating thereto: The Company loaned securities with a carrying value of $185,356,259 to Ambac Financial Services, LLC pursuant to a revolving credit facilityapproved by the Wisconsin Insurance Commissioner. There is no collateral for the loan.The Company placed securities on deposit with states with a carrying value of $3,561,132.

12. Amount of real estate and mortgages held in other invested assets in Schedule BA: $...................................0

13. Amount of real estate and mortgages held in short-term investments: $...................................0

14.1 Does the reporting entity have any investments in parent, subsidiaries and affiliates? Yes [ X ] No [ ]

14.2 If yes, please complete the following: 1 2Prior Year-End Current Quarter

Book/Adjusted Carrying Value Book/Adjusted Carrying Value14.21 Bonds............................................................................................................................................ $ ..........................0 $ .....................................014.22 Preferred Stock............................................................................................................................. $ ..........................0 $ .....................................014.23 Common Stock............................................................................................................................. $ ........204,661,856 $ ...................206,820,23914.24 Short-Term Investments............................................................................................................... $ ..........................0 $ .....................................014.25 Mortgage Loans on Real Estate................................................................................................... $ ..........................0 $ .....................................014.26 All Other........................................................................................................................................ $ ........188,813,896 $ ...................231,887,43214.27 Total Investment in Parent, Subsidiaries and Affiliates (Subtotal Lines 14.21 to 14.26).............. $ ........393,475,752 $ ...................438,707,67114.28 Total Investment in Parent included in Lines 14.21 to 14.26 above............................................. $ ..........................0 $ .....................................0

15.1 Has the reporting entity entered into any hedging transactions reported on Schedule DB? Yes [ ] No [ X ]

15.2 If yes, has a comprehensive description of the hedging program been made available to the domiciliary state? Yes [ ] No [ ]If no, attach a description with this statement.

16. For the reporting entity's security lending program, state the amount of the following as current statement date: 16.1 Total fair value of reinvested collateral assets reported on Schedule DL, Parts 1 and 2: $...................................016.2 Total book adjusted/carrying value of reinvested collateral assets reported on Schedule DL, Parts 1 and 2: $...................................016.3 Total payable for securities lending reporting on the liability page: $...................................0

17. Excluding items in Schedule E-Part 3-Special Deposits, real estate, mortgage loans and investments held physically in the reporting entity's offices, vaults or safety deposit boxes, were all stocks, bonds and other securities, owned throughout the current year held pursuant to a custodial agreement with a qualified bank or trust company in accordance with Section 1, III - General Examination Considerations, F. Outsourcing of Critical Functions, Custodial or Safekeeping Agreements of the NAIC Financial Condition Examiners Handbook? Yes [ X ] No [ ]

17.1 For all agreements that comply with the requirements of the NAIC Financial Condition Examiners Handbook, complete the following:

1 2 Name of Custodian(s) Custodian Address

Citibank, N.A. 333 West 34th Street, 3rd Floor, Securities Vault, NY, NY 10001Bank of New York Mellon One Wall Street, 14th Floor, NY, NY 10286

17.2 For all agreements that do not comply with the requirements of the NAIC Financial Condition Examiners Handbook, provide the name, location and a complete explanation.

1 2 3 Name(s) Location(s) Complete Explanation(s)

17.3 Have there been any changes, including name changes, in the custodian(s) identified in 17.1 during the current quarter? Yes [ ] No [ X ]

17.4 If yes, give full and complete information relating thereto: 1 2 3 4

Old Custodian New Custodian Date of Change Reason

17.5 Identify all investment advisors, broker/dealers or individuals acting on behalf of broker/dealers that have access to the investment accounts, handle securities and have authority to make investments on behalf of the reporting entity:

1 2 3 Central Registration Depository Name(s) Address

754 DeAM Investor Services, Inc 345 Park Avenue, Mailstop NYC03-0630, New York, NY 10154113972 Standish 201 Washington Street, Suite 2900, Boston MA 021084-4408

18.1 Have all the filing requirements of the Purposes and Procedures Manual of the NAIC Securities Valuation Office been followed? Yes [ X ] No [ ]

18.2 If no, list exceptions:


Q08

GENERAL INTERROGATORIES (continued) PART 2

PROPERTY & CASUALTY INTERROGATORIES 1. If the reporting entity is a member of a pooling arrangement, did the agreement or the reporting entity's participation change? Yes [ ] No [ ] N/A [ X ]

If yes, attach an explanation.

2. Has the reporting entity reinsured any risk with any other reporting entity and agreed to release such entity from liability, in whole or in part, from any loss that may occur on the risk, or portion thereof, reinsured? Yes [ ] No [ X ]If yes, attach an explanation.

3.1 Have any of the reporting entity's primary reinsurance contracts been canceled? Yes [ ] No [ X ]3.2 If yes, give full and complete information thereto:

4.1 Are any of the liabilities for unpaid losses and loss adjustment expenses other than certain workers' compensation tabular reserves (see Annual Statement Instructions pertaining to disclosure of discounting for definition of "tabular reserves,") discounted at a rate of interest greater than zero? Yes [ X ] No [ ]

4.2 If yes, complete the following schedule: 1 2 3 Total Discount Discount Taken During Period

4 5 6 7 8 9 10 11Maximum Disc. Unpaid Unpaid Unpaid Unpaid

Line of Business Interest Rate Losses LAE IBNR Total Losses LAE IBNR TotalFinancial Guaranty ................... .............0.051 ..622,385,234 ....................... ....................... ..622,385,234 ....32,347,242 ....................... ....................... ....32,347,242Total..................................... ........XXX... ........XXX........ ..622,385,234 ....................0 ....................0 ..622,385,234 ....32,347,242 ....................0 ....................0 ....32,347,242

5. Operating Percentages: 5.1 A&H loss percent 0.0 %5.2 A&H cost containment percent 0.0 %5.3 A&H expense percent excluding cost containment expenses 0.0 %

6.1 Do you act as a custodian for health savings accounts? Yes [ ] No [ X ]6.2 If yes, please provide the amount of custodial funds held as of the reporting date. 06.3 Do you act as an administrator for health savings accounts? Yes [ ] No [ X ]6.4 If yes, please provide the amount of funds administered as of the reporting date. 0


Q09

SCHEDULE F - CEDED REINSURANCE Showing All New Reinsurers - Current Year to Date

1 2 3 4 5NAIC Federal Is Insurer

Company ID Domiciliary Authorized?Code Number Name of Reinsurer Jurisdiction (YES or NO)

NONE


Q10

SCHEDULE T - EXHIBIT OF PREMIUMS WRITTEN Current Year to Date - Allocated by States and Territories

1 Direct Premiums Written Direct Losses Paid (Deducting Salvage) Direct Losses Unpaid2 3 4 5 6 7

Active Current Year Prior Year Current Year Prior Year Current Year Prior YearStates, Etc. Status to Date to Date to Date to Date to Date to Date

1. Alabama..................................AL .......L........ ....................117,448 ....................118,854 ................................... ................................... ................................... ...................................2. Alaska.....................................AK .......L........ ................................... ................................... ................................... ................................... ................................... ...................................3. Arizona....................................AZ .......L........ ......................18,576 ......................19,013 ................................... ................................... ................................... ...................................4. Arkansas................................AR .......L........ ................................... ......................30,000 ................................... ................................... ................................... ...................................5. California................................CA .......L........ .................3,798,557 .................4,455,638 ..............(44,159,767) .................2,340,657 .............944,118,884 ..........1,200,767,8286. Colorado................................CO .......L........ .................1,192,154 .................1,229,796 ................................... ................................... ................................... ...................................7. Connecticut.............................CT .......L........ ....................300,395 ....................320,740 ................................... ................................... ................................... ...................................8. Delaware................................DE .......L........ .................2,000,114 .................2,146,952 ................(1,455,432) ................(9,844,497) ................................... ...................................9. District of Columbia................DC .......L........ ................................... ................................... ................................... ................................... ................................... ...................................

10. Florida.....................................FL .......L........ ....................166,778 ....................248,104 ................................... .................7,000,163 ................................... ..............(33,733,342)11. Georgia..................................GA .......L........ ....................125,927 ....................205,706 ................................... ................................... ................................... ...................................12. Hawaii......................................HI .......L........ ....................590,068 ....................592,717 ................................... ................................... ................................... ...................................13. Idaho........................................ID .......L........ ................................... .............................21 ................................... ................................... ................................... ...................................14. Illinois.......................................IL .......L........ .................1,826,106 .................2,210,735 ................(8,400,523) ................(7,585,324) .............273,013,369 .............358,687,32515. Indiana.....................................IN .......L........ ......................26,535 ....................137,476 ................................... ................................... ................................... ...................................16. Iowa.........................................IA .......L........ ......................33,552 ......................18,650 ................................... ................................... ................................... ...................................17. Kansas....................................KS .......L........ ....................252,898 ....................255,785 ......................13,900 ......................12,242 ....................582,806 ...................................18. Kentucky.................................KY .......L........ ....................162,628 ....................162,935 ................................... ................................... ................................... ...................................19. Louisiana.................................LA .......L........ ....................280,293 ....................282,895 ................................... ................................... ................................... ...................................20. Maine.....................................ME .......L........ ................................... ................................... ................................... ...................(295,300) ................................... ...................................21. Maryland................................MD .......L........ ....................610,335 ....................732,518 ...............15,189,035 ...................(368,652) .............331,944,123 .............416,837,98722. Massachusetts.......................MA .......L........ .................2,879,815 .................3,804,592 ................(2,984,010) ................(4,169,337) .............382,084,862 .............421,114,28723. Michigan..................................MI .......L........ ......................50,130 ......................81,747 ................................... ................................... ................................... ...................................24. Minnesota..............................MN .......L........ .................5,626,195 .................6,846,535 ..............(22,991,509) ................(2,646,801) .............140,263,687 .............238,972,18725. Mississippi..............................MS .......L........ ................................... ................................... ................................... ................................... ................................... ...................................26. Missouri.................................MO .......L........ ....................245,818 .................2,357,342 ................................... ................................... ................................... ...................................27. Montana.................................MT .......L........ ....................121,395 ....................121,395 ................................... ................................... ................................... ...................................28. Nebraska................................NE .......L........ ................................... ................................... ................................... ................................... ................................... ...................................29. Nevada...................................NV .......L........ ....................297,151 ....................522,601 ....................356,792 .....................(15,455) ...............61,258,586 ...............63,651,71530. New Hampshire......................NH .......L........ ...........................812 ...........................703 ................................... ................................... ................................... ...................................31. New Jersey.............................NJ .......L........ ....................259,527 ....................286,213 ................................... .................6,222,511 ................................... .................3,195,69932. New Mexico...........................NM .......L........ ....................158,546 ....................158,693 ................................... ................................... ................................... ...................................33. New York................................NY .......L........ ...............22,772,688 ...............22,976,038 ...............22,972,874 ..............(28,068,598) .............772,661,141 .............936,422,30434. North Carolina........................NC .......L........ ....................768,446 ....................794,733 ................................... ................................... ......................41,705 ...................................35. North Dakota..........................ND .......L........ ................................... ................................... ................................... ................................... ................................... ...................................36. Ohio.......................................OH .......L........ ....................163,795 ....................184,762 ................................... ................................... ................................... ...................................37. Oklahoma...............................OK .......L........ ................................... ................................... ................................... ................................... ................................... ...................................38. Oregon...................................OR .......L........ ......................10,549 ......................10,774 ................................... ................................... ................................... ...................................39. Pennsylvania..........................PA .......L........ ....................451,130 ....................457,868 .................4,854,402 .................3,374,780 ..............(15,822,948) .................6,001,05140. Rhode Island............................RI .......L........ ....................247,882 ....................444,354 ................................... ................................... ................................... ...................................41. South Carolina........................SC .......L........ ....................248,773 ....................274,238 ................................... ................................... ................................... ...................................42. South Dakota..........................SD .......L........ ................................... ................................... ................................... ................................... ................................... ...................................43. Tennessee..............................TN .......L........ ................................... ................................... ................................... ................................... ................................... ...................................44. Texas......................................TX .......L........ .................1,291,347 .................1,265,603 ................................... ................................... ................................... ...................................45. Utah........................................UT .......L........ ................................... ................................... ................................... ................................... ................................... ...................................46. Vermont..................................VT .......L........ ................................... ................................... ................................... ................................... ................................... ...................................47. Virginia....................................VA .......L........ ....................265,512 ....................273,609 ................................... ................................... ................................... ...................................48. Washington............................WA .......L........ ....................375,026 ....................379,940 ................................... ................................... ................................... ...................................49. West Virginia.........................WV .......L........ ........................4,063 ......................81,258 ................................... ................................... ................................... ...................................50. Wisconsin................................WI .......L........ ........................3,081 ........................3,291 ................................... ................................... ................................... ...................................51. Wyoming................................WY .......L........ ................................... ................................... ................................... ................................... ................................... ...................................52. American Samoa....................AS .......N........ ................................... ................................... ................................... ................................... ................................... ...................................53. Guam.....................................GU .......L........ ................................... ................................... ................................... ................................... ................................... ...................................54. Puerto Rico.............................PR .......L........ ........................5,225 ................................... ................................... ................................... ................................... ...................................55. US Virgin Islands.....................VI .......L........ ................................... ................................... ................................... ................................... ................................... ...................................56. Northern Mariana Islands.......MP .......N........ ................................... ................................... ................................... ................................... ................................... ...................................57. Canada................................CAN .......N........ ................................... ................................... ................................... ................................... ................................... ...................................58. Aggregate Other Alien............OT .....XXX..... .................1,473,388 .................2,152,483 ...............................0 ...............................0 ...............................0 ...............................059. Totals........................................... (a)........54 ...............49,222,658 ...............56,647,307 ..............(36,604,238) ..............(34,043,611) ..........2,890,146,215 ..........3,611,917,041

DETAILS OF WRITE-INS58001. Cayman Islands........................... .....XXX..... ......................76,935 ....................465,752 ................................... ................................... ................................... ...................................58002. Australia...................................... .....XXX..... .................1,341,045 .................1,633,360 ................................... ................................... ................................... ...................................58003. New Zealand............................... .....XXX..... ......................55,408 ......................53,371 ................................... ................................... ................................... ...................................58998. Summary of remaining write-ins

for Line 58 from overflow page.... .....XXX..... ...............................0 ...............................0 ...............................0 ...............................0 ...............................0 ...............................058999. Totals (Lines 58001 thru 58003+

Line 58998) (Line 58 above)....... .....XXX..... .................1,473,388 .................2,152,483 ...............................0 ...............................0 ...............................0 ...............................0(L) - Licensed or Chartered - Licensed Insurance Carrier or Domicilied RRG; (R) - Registered - Non-domiciled RRGs; (Q) - Qualified - Qualified or Accredited Reinsurer; (E) - Eligible - Reporting Entities eligible or approved to write Surplus Lines in the state; (N) - None of the above - Not allowed to write business in the state.

(a) Insert the number of L responses except for Canada and Other Alien.


Q11

SCHEDULE Y – INFORMATION CONCERNING ACTIVITIES OF INSURER MEMBERS OF A HOLDING COMPANY GROUPPART 1 – ORGANIZATIONAL CHART


Q12

SCHEDULE YPART 1A - DETAIL OF INSURANCE HOLDING COMPANY SYSTEM

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15Name of Type of

Securities ControlExchange (Ownershipif Publicly Board, If Control is

NAIC Federal Traded Names of Relationship Management OwnershipGroup Group Company ID Federal (U.S. or Parent, Subsidiaries Domiciliary to Reporting Directly Controlled by Attorney-in-Fact, Provide Ultimate ControllingCode Name Code Number RSSD CIK International) or Affiliates Location Entity (Name of Entity/Person) Influence, Other) Percentage Entity(ies)/Person(s) *

Members .............. ....................................................... ............... 13-3621676 ................ 0000874501 NASDAQ............ Ambac Financial Group, Inc...................................... DE............ UDP........... ........................................................................... .......................... ................. ........................................................................... .............1248...... Ambac Assurance Corporation........ 18708...... 39-1135174 ................ ................... .......................... Ambac Assurance Corporation................................. WI............. ................... Ambac Financial Group, Inc................................ Ownership......... ...100.000 Ambac Financial Group, Inc................................ ........................... ....................................................... ............... 98-0550554 ................ ................... .......................... Ambac (Bermuda) Ltd............................................... BMU......... IA............... Ambac Financial Group, Inc................................ Ownership......... ...100.000 Ambac Financial Group, Inc................................ .............

1248...... Ambac Assurance Corporation........ 13763...... 39-1135174 ................ ................... ..........................Ambac Assurance Corporation Segregated Account,in Rehabilitation WI............. IA............... Rehabilitator of the Segregated Account............. Other................. ................. Rehabilitator of the Segregated Account............. 1...........

.............. ....................................................... ............... 13-3989177 ................ ................... .......................... Connie Lee Holdings, Inc.......................................... DE............ DS.............. Ambac Assurance Corporation........................... Ownership......... ...100.000 Ambac Financial Group, Inc................................ .............

.............. ....................................................... ............... 06-1418630 ................ ................... .......................... Ambac Capital Corporation....................................... DE............ DS.............. Ambac Assurance Corporation........................... Ownership......... ...100.000 Ambac Financial Group, Inc................................ .............

.............. ....................................................... ............... J3917#102. ................ ................... .......................... Ambac Japan Co, Ltd............................................... JPN........... DS.............. Ambac Assurance Corporation........................... Ownership......... ...100.000 Ambac Financial Group, Inc................................ .............

.............. ....................................................... ............... 39-1135174 ................ ................... .......................... Ortley Investments, LLC........................................... DE............ DS.............. Ambac Assurance Corporation........................... Ownership......... ...100.000 Ambac Financial Group, Inc................................ .............

.............. ....................................................... ............... AA-1124103 ................ ................... .......................... Ambac Assurance UK Limited.................................. GBR.......... DS.............. Ambac Assurance Corporation........................... Ownership......... ...100.000 Ambac Financial Group, Inc................................ .............

.............. ....................................................... ............... 45-3983800 ................ ................... .......................... Orient Bay, LLC........................................................ DE............ DS.............. Ambac Assurance Corporation........................... Ownership......... ...100.000 Ambac Financial Group, Inc................................ .............

.............. ....................................................... ............... 06-1393606 ................ ................... .......................... Ambac Financial Services, LLC................................ DE............ DS.............. Ambac Assurance Corporation........................... Ownership......... ...100.000 Ambac Financial Group, Inc................................ .............

.............. ....................................................... ............... 13-3981170 ................ ................... .......................... Ambac Credit Products, LLC..................................... DE............ NIA.............Ambac Assurance Corporation SegregatedAccount, in Rehabilitation Ownership......... ...100.000 Rehabilitator of the Segregated Account............. 1...........

.............. ....................................................... ............... 13-4081697 ................ ................... .......................... Ambac Conduit Funding, LLC................................... DE............ NIA.............Ambac Assurance Corporation SegregatedAccount, in Rehabilitation Ownership......... ...100.000 Rehabilitator of the Segregated Account............. 1...........

.............. ....................................................... ............... 13-4101380 ................ ................... .......................... Aleutian Investments, LLC........................................ DE............ NIA.............Ambac Assurance Corporation SegregatedAccount, in Rehabilitation Ownership......... .......1.000 Rehabilitator of the Segregated Account............. 1...........

.............. ....................................................... ............... 13-4081850 ................ ................... .......................... Juneau Investments, LLC......................................... DE............ NIA.............Ambac Assurance Corporation SegregatedAccount, in Rehabilitation Ownership......... .......1.000 Rehabilitator of the Segregated Account............. 1...........

1248...... Ambac Assurance Corporation........ 24961...... 39-1092844 ................ ................... .......................... Everspan Financial Guarantee Corp......................... WI............. DS.............. Connie Lee Holdings, Inc.................................... Ownership......... ...100.000 Ambac Financial Group, Inc................................ ........................... ....................................................... ............... 06-1443905 ................ ................... .......................... Ambac Capital Funding, Inc...................................... DE............ DS.............. Ambac Capital Corporation................................. Ownership......... ...100.000 Ambac Financial Group, Inc................................ ........................... ....................................................... ............... 13-3947579 ................ ................... .......................... Ambac Asset Funding Corporation............................ DE............ DS.............. Ambac Capital Corporation................................. Ownership......... ...100.000 Ambac Financial Group, Inc................................ ........................... ....................................................... ............... 06-1443904 ................ ................... .......................... Ambac Investments, Inc............................................ DE............ DS.............. Ambac Capital Corporation................................. Ownership......... ...100.000 Ambac Financial Group, Inc................................ ........................... ....................................................... ............... 36-4446928 ................ ................... .......................... AE Global Holdings, LLC.......................................... DE............ DS.............. Ambac Capital Corporation................................. Ownership......... .....50.000 Ambac Financial Group, Inc................................ ........................... ....................................................... ............... 13-4101380 ................ ................... .......................... Aleutian Investments, LLC........................................ DE............ NIA............. Ambac Conduit Funding, LLC............................. Ownership......... .....99.000 Rehabilitator of the Segregated Account............. 1......................... ....................................................... ............... 13-4081850 ................ ................... .......................... Juneau Investments, LLC......................................... DE............ NIA............. Ambac Conduit Funding, LLC............................. Ownership......... .....99.000 Rehabilitator of the Segregated Account............. 1......................... ....................................................... ............... 36-4446934 ................ ................... .......................... AE Global Asset Funding, LLC................................. DE............ DS.............. AE Global Holdings, LLC.................................... Ownership......... ...100.000 Ambac Financial Group, Inc................................ ........................... ....................................................... ............... 36-4446932 ................ ................... .......................... AE Global Investments, LLC..................................... DE............ DS.............. AE Global Holdings, LLC.................................... Ownership......... ...100.000 Ambac Financial Group, Inc................................ ........................... ....................................................... ............... 13-3979659 ................ ................... .......................... Ambac AII Corp........................................................ DE............ DS.............. Ambac Investments, Inc..................................... Ownership......... ...100.000 Ambac Financial Group, Inc................................ .............

Asterisk Explanation1 Ambac Assurance Corporation Segregated Account, in Rehabiliation ("Segregated Account") is operated in accordance with a Plan of Operation and certain operative documents.1 These operative documents provide that the Segregated Account will act exclusively through the rehabilitator.1 The rehabilitator of the Segregated Account is Theodore Nickel, the Commissioner of Insurance of the State of Wisconsin.


Q13

PART 1 - LOSS EXPERIENCE Current Year to Date 4

1 2 3 Prior Year to DateDirect Premiums Direct Losses Direct Direct Loss

Lines of Business Earned Incurred Loss Percentage Percentage1. Fire................................................................................................................. ........................................... ........................................... .....................................0.0 ...........................................2. Allied lines...................................................................................................... ........................................... ........................................... .....................................0.0 ...........................................3. Farmowners multiple peril.............................................................................. ........................................... ........................................... .....................................0.0 ...........................................4. Homeowners multiple peril............................................................................. ........................................... ........................................... .....................................0.0 ...........................................5. Commercial multiple peril............................................................................... ........................................... ........................................... .....................................0.0 ...........................................6. Mortgage guaranty......................................................................................... ........................................... ........................................... .....................................0.0 ...........................................8. Ocean marine................................................................................................ ........................................... ........................................... .....................................0.0 ...........................................9. Inland marine................................................................................................. ........................................... ........................................... .....................................0.0 ...........................................

10. Financial guaranty.......................................................................................... ......................197,798,894 ........................37,573,091 ...................................19.0 .................................250.311.1. Medical professional liability - occurrence..................................................... ........................................... ........................................... .....................................0.0 ...........................................11.2. Medical professional liability - claims-made................................................... ........................................... ........................................... .....................................0.0 ...........................................

12. Earthquake..................................................................................................... ........................................... ........................................... .....................................0.0 ...........................................13. Group accident and health............................................................................. ........................................... ........................................... .....................................0.0 ...........................................14. Credit accident and health............................................................................. ........................................... ........................................... .....................................0.0 ...........................................15. Other accident and health.............................................................................. ........................................... ........................................... .....................................0.0 ...........................................16. Workers' compensation.................................................................................. ........................................... ........................................... .....................................0.0 ...........................................

17.1 Other liability-occurrence............................................................................... ........................................... ........................................... .....................................0.0 ...........................................17.2 Other liability-claims made............................................................................. ........................................... ........................................... .....................................0.0 ...........................................17.3 Excess workers' compensation...................................................................... ........................................... ........................................... .....................................0.0 ...........................................18.1 Products liability-occurrence.......................................................................... ........................................... ........................................... .....................................0.0 ...........................................18.2 Products liability-claims made........................................................................ ........................................... ........................................... .....................................0.0 ...........................................19.1, 19.2 Private passenger auto liability............................................................. ........................................... ........................................... .....................................0.0 ...........................................19.3, 19.4 Commercial auto liability....................................................................... ........................................... ........................................... .....................................0.0 ...........................................

21. Auto physical damage.................................................................................... ........................................... ........................................... .....................................0.0 ...........................................22. Aircraft (all perils)........................................................................................... ........................................... ........................................... .....................................0.0 ...........................................23. Fidelity............................................................................................................ ........................................... ........................................... .....................................0.0 ...........................................24. Surety............................................................................................................. ..........................1,228,446 ........................................... .....................................0.0 ...........................................26. Burglary and theft........................................................................................... ........................................... ........................................... .....................................0.0 ...........................................27. Boiler and machinery..................................................................................... ........................................... ........................................... .....................................0.0 ...........................................28. Credit............................................................................................................. ........................................... ........................................... .....................................0.0 ...........................................29. International................................................................................................... ........................................... ........................................... .....................................0.0 ...........................................30. Warranty........................................................................................................ ........................................... ........................................... .....................................0.0 ...........................................31. Reinsurance-nonproportional assumed property........................................... ...................XXX................. ...................XXX................. ...................XXX................. ...................XXX.................32. Reinsurance-nonproportional assumed liability............................................. ...................XXX................. ...................XXX................. ...................XXX................. ...................XXX.................33. Reinsurance-nonproportional assumed financial lines.................................. ...................XXX................. ...................XXX................. ...................XXX................. ...................XXX.................34. Aggregate write-ins for other lines of business.............................................. ........................................0 ........................................0 .....................................0.0 ...........................................35. Totals............................................................................................................. ......................199,027,340 ........................37,573,091 ...................................18.9 .................................248.8

DETAILS OF WRITE-INS 3401. ....................................................................................................................... ........................................... ........................................... .....................................0.0 ...........................................3402. ....................................................................................................................... ........................................... ........................................... .....................................0.0 ...........................................3403. ....................................................................................................................... ........................................... ........................................... .....................................0.0 ...........................................3498. Sum. of remaining write-ins for Line 34 from overflow page.......................... ........................................0 ........................................0 .....................................0.0 ...................XXX.................3499. Totals (Lines 3401 thru 3403 plus 3498) (Line 34)........................................ ........................................0 ........................................0 .....................................0.0 ...........................................

PART 2 - DIRECT PREMIUMS WRITTEN 1 2 3

Current Current Prior YearLines of Business Quarter Year to Date Year to Date

1. Fire................................................................................................................... ........................................................... ........................................................... ...........................................................2. Allied lines........................................................................................................ ........................................................... ........................................................... ...........................................................3. Farmowners multiple peril................................................................................ ........................................................... ........................................................... ...........................................................4. Homeowners multiple peril............................................................................... ........................................................... ........................................................... ...........................................................5. Commercial multiple peril................................................................................. ........................................................... ........................................................... ...........................................................6. Mortgage guaranty........................................................................................... ........................................................... ........................................................... ...........................................................8. Ocean marine................................................................................................... ........................................................... ........................................................... ...........................................................9. Inland marine.................................................................................................... ........................................................... ........................................................... ...........................................................

10. Financial guaranty............................................................................................ .......................................23,379,568 .......................................49,222,658 .......................................56,904,46611.1 Medical professional liability - occurrence........................................................ ........................................................... ........................................................... ...........................................................11.2 Medical professional liability - claims made..................................................... ........................................................... ........................................................... ...........................................................

12. Earthquake....................................................................................................... ........................................................... ........................................................... ...........................................................13. Group accident and health............................................................................... ........................................................... ........................................................... ...........................................................14. Credit accident and health................................................................................ ........................................................... ........................................................... ...........................................................15. Other accident and health................................................................................ ........................................................... ........................................................... ...........................................................16. Workers' compensation.................................................................................... ........................................................... ........................................................... ...........................................................

17.1 Other liability-occurrence.................................................................................. ........................................................... ........................................................... ...........................................................17.2 Other liability-claims made............................................................................... ........................................................... ........................................................... ...........................................................17.3 Excess workers' compensation........................................................................ ........................................................... ........................................................... ...........................................................18.1 Products liability-occurrence............................................................................ ........................................................... ........................................................... ...........................................................18.2 Products liability-claims made.......................................................................... ........................................................... ........................................................... ...........................................................19.1 19.2 Private passenger auto liability................................................................ ........................................................... ........................................................... ...........................................................19.3 19.4 Commercial auto liability......................................................................... ........................................................... ........................................................... ...........................................................

21. Auto physical damage...................................................................................... ........................................................... ........................................................... ...........................................................22. Aircraft (all perils)............................................................................................. ........................................................... ........................................................... ...........................................................23. Fidelity.............................................................................................................. ........................................................... ........................................................... ...........................................................24. Surety............................................................................................................... ........................................................... ........................................................... ...........................................(257,159)26. Burglary and theft............................................................................................. ........................................................... ........................................................... ...........................................................27. Boiler and machinery........................................................................................ ........................................................... ........................................................... ...........................................................28. Credit................................................................................................................ ........................................................... ........................................................... ...........................................................29. International...................................................................................................... ........................................................... ........................................................... ...........................................................30. Warranty........................................................................................................... ........................................................... ........................................................... ...........................................................31. Reinsurance-nonproportional assumed property............................................. .........................XXX.......................... .........................XXX.......................... .........................XXX..........................32. Reinsurance-nonproportional assumed liability................................................ .........................XXX.......................... .........................XXX.......................... .........................XXX..........................33. Reinsurance-nonproportional assumed financial lines..................................... .........................XXX.......................... .........................XXX.......................... .........................XXX..........................34. Aggregate write-ins for other lines of business................................................ .......................................................0 .......................................................0 .......................................................035. Totals................................................................................................................ .......................................23,379,568 .......................................49,222,658 .......................................56,647,307

DETAILS OF WRITE-INS 3401. ......................................................................................................................... ........................................................... ........................................................... ...........................................................3402. ......................................................................................................................... ........................................................... ........................................................... ...........................................................3403. ......................................................................................................................... ........................................................... ........................................................... ...........................................................3498. Sum. of remaining write-ins for Line 34 from overflow page............................ .......................................................0 .......................................................0 .......................................................03499. Totals (Lines 3401 thru 3403 plus 3498) (Line 34)........................................... .......................................................0 .......................................................0 .......................................................0


Q14

PART 3 (000 omitted) LOSS AND LOSS ADJUSTMENT EXPENSE RESERVES SCHEDULE

1 2 3 4 5 6 7 8 9 10 11 12 13Q.S. Date Known Q.S. Date Known Prior Year-End Known Prior Year-End Prior Year-End

Total Prior 2013 2013 Case Loss and Case Loss and LAE Case Loss and LAE IBNR Loss and LAE Total LossPrior Year-End Prior Year-End Year-End Loss and LAE Loss and LAE Total 2013 LAE Reserves on Reserves on Claims Q.S. Date Total Q.S. Reserves Developed Reserves Developed and LAE Reserve

Years in Which Known Case IBNR Loss and Payments on Claims Payments on Claims Loss and Claims Reported and Reported or Reopened IBNR Loss and LAE (Savings)/Deficiency (Savings)/Deficiency DevelopedLosses Loss and LAE Loss and LAE LAE Reserves Reported as of Prior Unreported as of LAE Payments Open as of Prior Subsequent to Loss and LAE Reserves (Cols. 4 + 7 (Cols. 5 + 8 + 9 (Savings)/Deficiency

Occurred Reserves Reserves (Cols. 1 + 2) Year-End Prior Year-End (Cols. 4 + 5) Year-End Prior Year-End Reserves (Cols. 7 + 8 + 9) minus Col. 1) minus Col. 2) (Cols. 11 + 12)

1. 2010 + Prior........ ................1,970,236 ................................. ................1,970,236 .....................(69,135) ................................... ....................(69,135) .................1,997,779 ..................................... ................................. ................1,997,779 .......................(41,592) ................................0 ......................(41,592)

2. 2011.................. ...................354,715 ................................. ...................354,715 .......................(2,573) ................................... ......................(2,573) ....................447,753 ..................................... ................................. ...................447,753 ........................90,465 ................................0 .......................90,465

3. Subtotals 2011 + Prior........ ................2,324,951 ..............................0 ................2,324,951 .....................(71,708) ...............................0 ....................(71,708) .................2,445,532 .................................0 ..............................0 ................2,445,532 ........................48,873 ................................0 .......................48,873

4. 2012.................. ...................621,530 ................................. ...................621,530 ......................37,046 ................................... .....................37,046 ....................538,710 ..................................... ................................. ...................538,710 .......................(45,774) ................................0 ......................(45,774)

5. Subtotals 2012 + Prior........ ................2,946,481 ..............................0 ................2,946,481 .....................(34,662) ...............................0 ....................(34,662) .................2,984,242 .................................0 ..............................0 ................2,984,242 ..........................3,099 ................................0 .........................3,099

6. 2013................... ...............XXX........... ...............XXX........... ...............XXX........... ...............XXX............ ........................9,002 .......................9,002 ...............XXX............ ........................24,153 ................................. .....................24,153 ...............XXX.............. ...............XXX............. ...............XXX.............

7. Totals.................. ................2,946,481 ..............................0 ................2,946,481 .....................(34,662) ........................9,002 ....................(25,660) .................2,984,242 ........................24,153 ..............................0 ................3,008,395 ..........................3,099 ................................0 .........................3,099

8. Prior Year- Col. 11, Line 7 Col. 12, Line 7 Col. 13, Line 7End's Surplus As % of Col. 1, As % of Col. 2, As % of Col. 3,As Regards Line 7 Line 7 Line 7Policyholders ...................100,000

1. ......................0.1 % 2. .....................0.0 % 3. .....................0.1 %

Col. 13, Line 7Line 8

4. .....................3.1 %


Q15

SUPPLEMENTAL EXHIBITS AND SCHEDULES INTERROGATORIES The following supplemental reports are required to be filed as part of your statement filing. However, in the event that your company does not transact the type of business for which the special report must be filed, your response of NO to the specific interrogatory will be accepted in lieu of filing a "NONE" report and a bar code will be printed below. If the supplement is required of your company but is not being filed for whatever reason, enter SEE EXPLANATION and provide an explanation following the interrogatory questions.

Response

1. Will the Trusteed Surplus Statement be filed with the state of domicile and the NAIC with this statement? NO

2. Will Supplement A to Schedule T (Medical Professional Liability Supplement) be filed with this statement? NO

3. Will the Medicare Part D Coverage Supplement be filed with the state of domicile and the NAIC with this statement? NO

4. Will the Director and Officer Supplement be filed with the state of domicile and the NAIC with this statement? NO

Explanation: 1.2.3.4.

Bar Code:

*18708201349000002*

*18708201345500002*

*18708201336500002*

*18708201350500002*


Q16

Overflow Page for Write-Ins

Additional Write-ins for Liabilities: 1 2

Current December 31,Statement Date Prior Year

2504. Liabilities allocated to Ambac Assurance Corporation Segregated Account............................................................................ .......................(6,150,172,103) .......................(6,245,483,757)2505. Liabilities assumed from Ambac Assurance Corporation Segregated Account....................................................................... ........................6,298,472,829 ........................5,692,972,4942506. Liabilities of Ambac Assurance Corporation Segregated Account........................................................................................... ..........................(146,906,852) ...........................490,156,7202507. Estimated impairment losses on guarantees of subsidiary liabilities........................................................................................ .............................95,500,000 ...........................144,000,0002597. Summary of remaining write-ins for Line 25............................................................................................................................. .............................96,893,874 .............................81,645,457Additional Write-ins for Statement of Income:

1 2 3Current Year Prior Year Prior Year Ended

to Date to Date December 311404. Settlements of liabilities allocated to Ambac Assurance Corporation Segregated Account........................................... ..............191,172,562 ................27,839,082 ...........1,146,122,7861405. Change in liabilities assumed from Ambac Assurance Corporation Segregated Account............................................. .............(605,500,335) .............(818,853,437) ..........(1,085,402,791)1406. Gain on Extinguishment of Surplus Notes...................................................................................................................... ................................... ..............600,732,934 ..............600,732,9341497. Summary of remaining write-ins for Line 14................................................................................................................... .............(414,327,773) .............(190,281,421) ..............661,452,929


QSI01

SCHEDULE A - VERIFICATION Real Estate

1 2Prior Year Ended

Year to Date December 311. Book/adjusted carrying value, December 31 of prior year....................................................................................................... ...............................................0 ...................................................2. Cost of acquired:

2.1 Actual cost at time of acquisition...................................................................................................................................... ................................................... ...................................................2.2 Additional investment made after acquisition................................................................................................................... ................................................... ...................................................

3. Current year change in encumbrances................................................................................................................................... ................................................... ...................................................4. Total gain (loss) on disposals.................................................................................................................................................. ................................................... ...................................................5. Deduct amounts received on disposals................................................................................................................................... ................................................... ...................................................6. Total foreign exchange change in book/adjusted carrying value............................................................................................. ................................................... ...................................................7. Deduct current year's other than temporary impairment recognized....................................................................................... ................................................... ...................................................8. Deduct current year's depreciation.......................................................................................................................................... ................................................... ...................................................9. Book/adjusted carrying value at end of current period (Lines 1+2+3+4-5+6-7-8)................................................................... ...............................................0 ...............................................0

10. Deduct total nonadmitted amounts.......................................................................................................................................... ................................................... ...................................................11. Statement value at end of current period (Line 9 minus Line 10)............................................................................................ ...............................................0 ...............................................0

NONE

SCHEDULE B - VERIFICATION Mortgage Loans

1 2Prior Year Ended

Year to Date December 311. Book value/recorded investment excluding accrued interest, December 31 of prior year....................................................... ...............................................0 ...................................................2. Cost of acquired:

2.1 Actual cost at time of acquisition...................................................................................................................................... ................................................... ...................................................2.2 Additional investment made after acquisition................................................................................................................... ................................................... ...................................................

3. Capitalized deferred interest and other................................................................................................................................... ................................................... ...................................................4. Accrual of discount.................................................................................................................................................................. ................................................... ...................................................5. Unrealized valuation increase (decrease)............................................................................................................................... ................................................... ...................................................6. Total gain (loss) on disposals.................................................................................................................................................. ................................................... ...................................................7. Deduct amounts received on disposals................................................................................................................................... ................................................... ...................................................8. Deduct amortization of premium and mortgage interest points and commitment fees............................................................ ................................................... ...................................................9. Total foreign exchange change in book value/recorded investment excluding accrued interest............................................. ................................................... ...................................................

10. Deduct current year's other than temporary impairment recognized....................................................................................... ................................................... ...................................................11. Book value/recorded investment excluding accrued interest at end of current period (Lines 1+2+3+4+5+6-7-8+9-10)......... ...............................................0 ...............................................012. Total valuation allowance........................................................................................................................................................ ................................................... ...................................................13. Subtotal (Line 11 plus Line 12)................................................................................................................................................ ...............................................0 ...............................................014. Deduct total nonadmitted amounts.......................................................................................................................................... ................................................... ...................................................15. Statement value at end of current period (Line 13 minus Line 14).......................................................................................... ...............................................0 ...............................................0

NONE

SCHEDULE BA - VERIFICATION Other Long-Term Invested Assets

1 2Prior Year Ended

Year to Date December 311. Book/adjusted carrying value, December 31 of prior year....................................................................................................... .............................196,823,944 .............................154,297,1632. Cost of acquired:

2.1 Actual cost at time of acquisition...................................................................................................................................... ...............................25,000,000 ...................................................2.2 Additional investment made after acquisition................................................................................................................... ...............................25,000,000 ...................................................

3. Capitalized deferred interest and other................................................................................................................................... ................................................... ...................................................4. Accrual of discount.................................................................................................................................................................. ................................................... ...................................................5. Unrealized valuation increase (decrease)............................................................................................................................... ...............................43,052,771 ...............................62,353,7076. Total gain (loss) on disposals.................................................................................................................................................. .......................................(7,568) ..........................................(249)7. Deduct amounts received on disposals................................................................................................................................... ....................................148,862 ...............................20,194,2158. Deduct amortization of premium and depreciation.................................................................................................................. ................................................... ...................................................9. Total foreign exchange change in book/adjusted carrying value............................................................................................. ...................................(496,851) ....................................367,538

10. Deduct current year's other than temporary impairment recognized....................................................................................... ................................................... ...................................................11. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5+6-7-8+9-10)......................................................... .............................289,223,434 .............................196,823,94412. Deduct total nonadmitted amounts.......................................................................................................................................... ................................................... ...................................................13. Statement value at end of current period (Line 11 minus Line 12).......................................................................................... .............................289,223,434 .............................196,823,944

SCHEDULE D - VERIFICATION Bonds and Stocks

1 2Prior Year Ended

Year to Date December 311. Book/adjusted carrying value of bonds and stocks, December 31 of prior year...................................................................... ..........................3,775,636,947 ..........................4,556,547,6292. Cost of bonds and stocks acquired......................................................................................................................................... .............................366,196,038 .............................707,671,9423. Accrual of discount.................................................................................................................................................................. ...............................25,807,591 .............................174,187,5594. Unrealized valuation increase (decrease)............................................................................................................................... .................................8,924,314 .................................4,473,1125. Total gain (loss) on disposals.................................................................................................................................................. .............................108,566,589 ...............................50,885,0896. Deduct consideration for bonds and stocks disposed of......................................................................................................... .............................621,262,828 ..........................1,673,719,9317. Deduct amortization of premium.............................................................................................................................................. .................................4,845,405 .................................8,886,7268. Total foreign exchange change in book/adjusted carrying value............................................................................................. ................................(4,373,049) ................................(7,939,768)9. Deduct current year's other than temporary impairment recognized....................................................................................... ................................................... ...............................27,581,959

10. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9)............................................................... ..........................3,654,650,197 ..........................3,775,636,94711. Deduct total nonadmitted amounts.......................................................................................................................................... ......................................99,324 ....................................124,67612. Statement value at end of current period (Line 10 minus Line 11).......................................................................................... ..........................3,654,550,873 ..........................3,775,512,271


QSI02

SCHEDULE D - PART 1B Showing the Acquisitions, Dispositions and Non-Trading Activity

During the Current Quarter for all Bonds and Preferred Stock by Rating Class 1 2 3 4 5 6 7 8

Book/Adjusted Carrying Acquisitions Dispositions Non-Trading Activity Book/Adjusted Carrying Book/Adjusted Carrying Book/Adjusted Carrying Book/Adjusted Carrying Value Beginning During During During Value End of Value End of Value End of Value December 31of Current Quarter Current Quarter Current Quarter Current Quarter First Quarter Second Quarter Third Quarter Prior Year

BONDS

1. Class 1 (a)................................................................................................................ .....................3,322,358,488 .....................1,705,358,452 .....................1,636,069,257 ..........................14,310,108 .....................3,322,358,488 .....................3,405,957,791 ............................................. .....................3,361,607,073

2. Class 2 (a)................................................................................................................ ........................468,505,456 ............................4,521,420 ............................5,006,264 ..........................15,835,699 ........................468,505,456 ........................483,856,311 ............................................. ........................519,798,470

3. Class 3 (a)................................................................................................................ ..........................43,876,679 ............................7,760,390 ............................2,588,173 .........................(19,591,245) ..........................43,876,679 ..........................29,457,651 ............................................. ..........................17,428,781

4. Class 4 (a)................................................................................................................ ............................2,982,157 ............................................. ...............................265,205 .................................72,568 ............................2,982,157 ............................2,789,520 ............................................. ............................3,214,706

5. Class 5 (a)................................................................................................................ ............................................. ............................................. ............................................. ............................2,904,294 ............................................. ............................2,904,294 ............................................. .............................................

6. Class 6 (a)................................................................................................................ ........................118,871,547 ............................................. ..........................19,006,427 ...........................(4,052,372) ........................118,871,547 ..........................95,812,748 ............................................. ........................111,246,466

7. Total Bonds.............................................................................................................. .....................3,956,594,327 .....................1,717,640,262 .....................1,662,935,326 ............................9,479,052 .....................3,956,594,327 .....................4,020,778,315 ..........................................0 .....................4,013,295,496

PREFERRED STOCK

8. Class 1..................................................................................................................... ............................................. ............................................. ............................................. ............................................. ............................................. ............................................. ............................................. .............................................

9. Class 2..................................................................................................................... ............................................. ............................................. ............................................. ............................................. ............................................. ............................................. ............................................. .............................................

10. Class 3..................................................................................................................... ............................................. ............................................. ............................................. ............................................. ............................................. ............................................. ............................................. .............................................

11. Class 4..................................................................................................................... ............................................. ............................................. ............................................. ............................................. ............................................. ............................................. ............................................. .............................................

12. Class 5..................................................................................................................... ............................................. ............................................. ............................................. ............................................. ............................................. ............................................. ............................................. .............................................

13. Class 6..................................................................................................................... ............................................. ............................................. ............................................. ............................................. ............................................. ............................................. ............................................. .............................................

14. Total Preferred Stock............................................................................................... ..........................................0 ..........................................0 ..........................................0 ..........................................0 ..........................................0 ..........................................0 ..........................................0 ..........................................0

15. Total Bonds and Preferred Stock............................................................................. .....................3,956,594,327 .....................1,717,640,262 .....................1,662,935,326 ............................9,479,052 .....................3,956,594,327 .....................4,020,778,315 ..........................................0 .....................4,013,295,496

(a) Book/Adjusted Carrying Value column for the end of the current reporting period includes the following amount of non-rated short-term and cash equivalent bonds by NAIC designation: NAIC 1 $.....572,948,357; NAIC 2 $..........0; NAIC 3 $..........0; NAIC 4 $..........0; NAIC 5 $..........0; NAIC 6 $..........0.


QSI03

SCHEDULE DA - PART 1 Short-Term Investments

1 2 3 4 5Book/Adjusted Actual Interest Collected Paid for Accrued InterestCarrying Value Par Value Cost Year To Date Year To Date

9199999........................................................ ..........................572,972,351 ................XXX....................... .........................572,936,618 ................................116,552 .........................................30

SCHEDULE DA - VERIFICATION Short-Term Investments

1 2Prior Year Ended

Year to Date December 31

1. Book/adjusted carrying value, December 31 of prior year....................................................................................................... .............................443,508,605 .............................661,376,974

2. Cost of short-term investments acquired................................................................................................................................. ..........................2,340,528,348 ..........................4,412,642,436

3. Accrual of discount.................................................................................................................................................................. ......................................36,720 ...................................................

4. Unrealized valuation increase (decrease)............................................................................................................................... ................................................... ...................................................

5. Total gain (loss) on disposals.................................................................................................................................................. ......................................12,196 ......................................19,271

6. Deduct consideration received on disposals........................................................................................................................... ..........................2,211,076,281 ..........................4,630,573,641

7. Deduct amortization of premium.............................................................................................................................................. ................................................... ...................................................

8. Total foreign exchange change in book/adjusted carrying value............................................................................................. .....................................(37,237) ......................................43,565

9. Deduct current year's other than temporary impairment recognized....................................................................................... ................................................... ...................................................

10. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9)............................................................... .............................572,972,351 .............................443,508,605

11. Deduct total nonadmitted amounts.......................................................................................................................................... ................................................... ...................................................

12. Statement value at end of current period (Line 10 minus Line 11).......................................................................................... .............................572,972,351 .............................443,508,605


QSI04, QSI05, QSI06, QSI07

Sch. DB-Pt A-VerificationNONE

Sch. DB-Pt B-VerificationNONE

Sch. DB-Pt C-Sn 1NONE

Sch. DB-Pt C-Sn 2NONE

Sch. DB-VerificationNONE


QSI08

SCHEDULE E- VERIFICATION Cash Equivalents

1 2Prior Year Ended

Year to Date December 31

1. Book/adjusted carrying value, December 31 of prior year..................................................................................... ..........................................................0 .............................................................

2. Cost of cash equivalents acquired......................................................................................................................... ..........................................99,978,251 .............................................................

3. Accrual of discount................................................................................................................................................. .................................................21,749 .............................................................

4. Unrealized valuation increase (decrease).............................................................................................................. ............................................................. .............................................................

5. Total gain (loss) on disposals................................................................................................................................. ............................................................. .............................................................

6. Deduct consideration received on disposals.......................................................................................................... ........................................100,000,000 .............................................................

7. Deduct amortization of premium............................................................................................................................ ............................................................. .............................................................

8. Total foreign exchange change in book/ adjusted carrying value.......................................................................... ............................................................. .............................................................

9. Deduct current year's other than temporary impairment recognized...................................................................... ............................................................. .............................................................

10. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9).............................................. ..........................................................0 ..........................................................0

11. Deduct total nonadmitted amounts......................................................................................................................... ............................................................. .............................................................

12. Statement value at end of current period (Line 10 minus Line 11)......................................................................... ..........................................................0 ..........................................................0


QE01, QE02

Sch. A-Pt 2NONE

Sch. A-Pt 3NONE

Sch. B-Pt 2NONE

Sch. B-Pt 3NONE


QE03

SCHEDULE BA - PART 2 Showing Other Long-Term Invested Assets ACQUIRED AND ADDITIONS MADE During the Current Quarter

1 2 Location 5 6 7 8 9 10 11 12 133 4 Actual Additional Commitment

Name of NAIC Date Type Cost at Investment for PercentageCUSIP Name or Vendor or Desig- Originally and Time of Made After Amount of Additional of

Identification Description City State General Partner nation Acquired Strategy Acquisition Acquisition Encumbrances Investment OwnershipFixed or Variable Interest Rate Investments That Have Underlying Characteristics of Other Fixed Income Instruments - Unaffiliated

95766@ 10 2 WAM HY Fltg Rate Loan Fund.................................................................................................. New York............................................ NY......... Western Asset Management.................................................................................... 4.............. 03/20/2013.... ................. ..................................... ..................25,000,000 ..................................... ..................................... ................3.01199999. Total - Fixed or Variable Interest Rate Investments That Have Underlying Characteristics of Other Fixed Income Instruments - Unaffiliated.......................... ................................................................................................................................................................................................... ..................................0 ..................25,000,000 ..................................0 ..................................0 ....XXX...........3999999. Subtotal - Unaffiliated................................................................................................................................................................................................................... ................................................................................................................................................................................................... ..................................0 ..................25,000,000 ..................................0 ..................................0 ....XXX...........4199999. Totals........................................................................................................................................................................................................................................... ................................................................................................................................................................................................... ..................................0 ..................25,000,000 ..................................0 ..................................0 ....XXX...........

SCHEDULE BA - PART 3 Showing Other Long-Term Invested Assets DISPOSED, Transferred or Repaid During the Current Quarter

1 2 Location 5 6 7 8 Changes in Book/Adjusted Carrying Value 15 16 17 18 19 203 4 9 10 11 12 13 14

Book/Adjusted Current Year's Current Year's Total Book/AdjustedCarrying Value Unrealized (Depreciation) Other Than Capitalized Total Foreign Carrying Value Foreign

Date Less Valuation or Temporary Deferred Change in Exchange Less Exchange Realized TotalCUSIP Name or Name of Purchaser or Originally Disposal Encumbrances, Increase (Amortization)/ Impairment Interest B./A.C.V Change in Encumbrances Gain (Loss) Gain (Loss) Gain (Loss) Investment

Identification Description City State Nature of Disposal Acquired Date Prior Year (Decrease) Accretion Recognized and Other (9+10-11+12) B./A.C.V. on Disposal Consideration on Disposal on Disposal on Disposal IncomeNon-Collateral Loans - Unaffiliated

Exchequer Partnership Finance.................................... London.............................. UK... Redemption............................................................ 09/30/2009 06/30/2013 .............148,715 ........................ ........................ ........................ ........................ .....................0 ..............7,715 .............148,862 ..........148,862 ...........(7,568) ...................... ...........(7,568) ......................2599999. Total - Non-Collateral Loans - Unaffiliated................................................................................................ .......................................................................................................................... .............148,715 .....................0 .....................0 .....................0 .....................0 .....................0 ..............7,715 .............148,862 ..........148,862 ...........(7,568) ...................0 ...........(7,568) ...................0

3999999. Subtotal - Unaffiliated.............................................................................................................................................................................................................................. .............148,715 .....................0 .....................0 .....................0 .....................0 .....................0 ..............7,715 .............148,862 ..........148,862 ...........(7,568) ...................0 ...........(7,568) ...................04199999. Totals........................................................................................................................................................ .......................................................................................................................... .............148,715 .....................0 .....................0 .....................0 .....................0 .....................0 ..............7,715 .............148,862 ..........148,862 ...........(7,568) ...................0 ...........(7,568) ...................0


QE04

SCHEDULE D - PART 3 Show all Long-Term Bonds and Stock Acquired During the Current Quarter

1 2 3 4 5 6 7 8 9 10Paid for NAIC Designation

CUSIP Date Number of Accrued Interest or MarketIdentification Description Foreign Acquired Name of Vendor Shares of Stock Actual Cost Par Value and Dividends Indicator (a)

Bonds - Industrial and Miscellaneous 125634 AJ 4 CLI Funding LLC Series 3.220% 06/18/28........................................................................................................ ........... ....06/05/2013 Wells Fargo............................................................................................................................... ............................................... ..................................4,998,153 ..................................5,000,000 ................................................... 1FE...........................12625H AA 0 CNH Equipment Trust Ser 0.230% 06/16/14..................................................................................................... ........... ....05/21/2013 Bank of America........................................................................................................................ ............................................... ..................................1,114,676 ..................................1,114,676 ................................................... 1FE...........................12625H AA 0 CNH Equipment Trust Ser 0.230% 06/16/14..................................................................................................... ........... ....05/21/2013 Bank of America........................................................................................................................ ............................................... ................................18,885,324 ................................18,885,324 ................................................... 1FE...........................14313M AB 0 Carmax Auto Owner Trust 0.420% 06/15/16..................................................................................................... ........... ....05/08/2013 Barclay's Bank........................................................................................................................... ............................................... ................................19,999,424 ................................20,000,000 ................................................... 1FE...........................165182 BH 8 Chesapeake Funding LLC 0.643% 01/07/25..................................................................................................... ........... ....06/05/2013 Deutsche Bank.......................................................................................................................... ............................................... ................................10,000,000 ................................10,000,000 ................................................... 1FE...........................23339Q AA 4 DT Auto Owner Trust Ser 1.180% 05/16/16...................................................................................................... ........... ....06/12/2013 Deutsche Bank.......................................................................................................................... ............................................... ..................................8,499,696 ..................................8,500,000 ................................................... 1FE...........................268648 AQ 5 EMC Corp Hardware 2.650% 06/01/20.............................................................................................................. ........... ....06/03/2013 Citibank, NA.............................................................................................................................. ............................................... ..................................2,409,204 ..................................2,415,000 ................................................... 1FE...........................34530E AB 3 Ford Credit Auto Owner 0.380% 02/15/16......................................................................................................... ........... ....05/14/2013 RBC Dain Rauscher.................................................................................................................. ............................................... ................................19,998,390 ................................20,000,000 ................................................... 1FE...........................345397 VU 4 Ford Motor Credit Corp 5.875% 08/02/21......................................................................................................... ........... ....06/26/2013 Bank of America........................................................................................................................ ............................................... ..................................3,264,390 ..................................3,000,000 .......................................72,948 3FE...........................39153V BC 7 Great America Leasing 1.250% 04/15/15.......................................................................................................... ........... ....06/11/2013 Wells Fargo............................................................................................................................... ............................................... ................................11,522,882 ................................11,466,000 .......................................11,546 1FE...........................43814E AA 3 Honda Auto Receivables 0.240% 05/16/14....................................................................................................... ........... ....04/17/2013 First Boston Corp...................................................................................................................... ............................................... ..................................4,918,104 ..................................4,918,104 ................................................... 1FE...........................43814E AA 3 Honda Auto Receivables 0.240% 05/16/14....................................................................................................... ........... ....04/17/2013 First Boston Corp...................................................................................................................... ............................................... ................................15,081,896 ................................15,081,896 ................................................... 1FE...........................44890H AC 7 Hyundai Auto Receivable 0.620% 09/15/16...................................................................................................... ........... ....05/22/2013 RW Baird................................................................................................................................... ............................................... ..................................3,408,500 ..................................3,400,000 ............................................761 1FE...........................65476V AB 5 Nissan Auto Lease Trust 0.450% 09/15/15....................................................................................................... ........... ....05/16/2013 Barclay's Bank........................................................................................................................... ............................................... ..................................4,999,468 ..................................5,000,000 ................................................... 1FE...........................65476V AE 9 Nissan Auto Lease Trust 0.323% 09/15/15....................................................................................................... ........... ....05/16/2013 Barclay's Bank........................................................................................................................... ............................................... ................................15,000,000 ................................15,000,000 ................................................... 1FE...........................80283G AB 0 Santander Drive Auto 0.550% 09/15/16............................................................................................................ ........... ....05/08/2013 JPM Chase................................................................................................................................ ............................................... ................................13,999,160 ................................14,000,000 ................................................... 1FE...........................857477 AL 7 State Street Corp Finan 3.100% 05/15/23......................................................................................................... ........... ....05/08/2013 Bank of America........................................................................................................................ ............................................... ..................................2,995,140 ..................................3,000,000 ................................................... 1FE...........................928667 AB 0 Volkswagen Credit Auto 0.872% 09/20/16........................................................................................................ ........... ....06/12/2013 RW Baird................................................................................................................................... ............................................... ................................11,553,906 ................................11,500,000 .........................................7,855 1FE...........................03761K AA 6 APIDOS CDO Series 2006- 0.534% 06/12/20................................................................................................... F......... ....06/13/2013 Guggenheim Capital Markets.................................................................................................... ............................................... ..................................7,621,804 ..................................7,660,104 ............................................682 1FE...........................03764N AA 7 APIDOS CDO Series 2013- 0.000% 04/15/25................................................................................................... F......... ....06/12/2013 Deutsche Bank.......................................................................................................................... ............................................... ..................................4,496,000 ..................................5,000,000 ................................................... 3FE...........................067901 AP 3 Barrick Gold Corp Metal 4.100% 05/01/23........................................................................................................ F......... ....06/27/2013 Morgan Stanley......................................................................................................................... ............................................... ..................................1,692,420 ..................................2,000,000 .......................................13,667 2FE...........................27636P AC 3 Eastern Energy 7.250% 12/01/16...................................................................................................................... F......... ....06/20/2013 Tax Free Exchange................................................................................................................... ............................................... ..................................4,048,777 ..................................4,000,000 .......................................15,306 1FE...........................37952U AB 9 Global SC Finance SRL 2.980% 04/17/28........................................................................................................ F......... ....05/08/2013 Bank of America........................................................................................................................ ............................................... .......................................83,952 .......................................83,333 ..............................................76 1FE...........................37952U AB 9 Global SC Finance SRL 2.980% 04/17/28........................................................................................................ F......... ....05/08/2013 Bank of America........................................................................................................................ ............................................... ..................................4,953,158 ..................................4,916,667 .........................................4,477 1FE...........................38136G AB 7 Goldentree Loan 0.504% 08/18/22.................................................................................................................... F......... ....06/18/2013 Dain Rauscher Pierce............................................................................................................... ............................................... ..................................9,650,000 ................................10,000,000 .........................................4,481 1FE...........................62388X AA 7 Mountain Capital CLO Lt 0.511% 04/25/19....................................................................................................... F......... ....05/21/2013 Guggenheim Capital Markets.................................................................................................... ............................................... ..................................9,900,000 ................................10,000,000 .........................................4,113 1FE...........................801060 AB 0 Sanofi Pharmaceuticals 1.250% 04/10/18......................................................................................................... F......... ....04/03/2013 JPM Chase................................................................................................................................ ............................................... ..................................1,378,920 ..................................1,385,000 ................................................... 1FE...........................86175N AD 9 Stone Tower CLO Ltd Ser 1.043% 05/26/17..................................................................................................... F......... ....06/07/2013 Guggenheim Capital Markets.................................................................................................... ............................................... ..................................2,998,050 ..................................3,000,000 .........................................1,130 1FE...........................893830 BC 2 Transocean Inc Oil & Ga 3.800% 10/15/22....................................................................................................... F......... ....06/27/2013 Barclay's Bank........................................................................................................................... ............................................... ..................................2,829,000 ..................................3,000,000 .......................................24,383 2FE...........................97314N AC 0 Wind River Clo Ltd. Ser 1.026% 10/19/17......................................................................................................... F......... ....05/29/2013 Guggenheim Capital Markets.................................................................................................... ............................................... ..................................9,937,450 ................................10,000,000 .......................................12,169 1FE...........................

3899999. Total - Bonds - Industrial & Miscellaneous................................................................................................................................................. .................................................................................................................................................................................................... ..............................232,237,844 ..............................233,326,104 .....................................173,594 ..........XXX.................8399997. Total - Bonds - Part 3................................................................................................................................................................................. .................................................................................................................................................................................................... ..............................232,237,844 ..............................233,326,104 .....................................173,594 ..........XXX.................8399999. Total - Bonds.............................................................................................................................................................................................. .................................................................................................................................................................................................... ..............................232,237,844 ..............................233,326,104 .....................................173,594 ..........XXX.................9999999. Total - Bonds, Preferred and Common Stocks.......................................................................................................................................... .................................................................................................................................................................................................... ..............................232,237,844 .....................XXX....................... .....................................173,594 ..........XXX.................(a) For all common stock bearing the NAIC market indicator "U" provide: the number of such issues:...............0.


QE05

SCHEDULE D - PART 4 Show All Long-Term Bonds and Stock Sold, Redeemed or Otherwise Disposed of During the Current Quarter

1 2 3 4 5 6 7 8 9 10 Change in Book/Adjusted Carrying Value 16 17 18 19 20 21 22F 11 12 13 14 15 NAICo Current Foreign Bond Desig-r Prior Year Year's Total Book/ Exchange Realized Total Interest/ natione Book/ Unrealized Current Other Than Total Foreign Adjusted Gain Gain Gain Stock Stated ori Number of Adjusted Valuation Year's Temporary Change in Exchange Carrying (Loss) (Loss) (Loss) Dividends Contractual Market

CUSIP g Disposal Shares of Carrying Increase/ (Amortization)/ Impairment B./A.C.V. Change in Value At on on on Received Maturity IndicatorIdentification Description n Date Name of Purchaser Stock Consideration Par Value Actual Cost Value (Decrease) Accretion Recognized (11+12-13) B./A.C.V. Disposal Date Disposal Disposal Disposal During Year Date (a)

Bonds - U.S. Government 36213C YP 9 GNMA #550718 5.000% 11/15/35............................ ..... 06/01/2013 Paydown..................................... .......................... ..............17,599 ..............17,599 ..............18,245 ..............18,167 .................... ............(569) .................. ..............(569) .................. ..............17,599 ................ .................... .................0 ...........376 11/15/2035 1...........36241K VV 7 GNMA #782428 5.000% 10/15/38............................ ..... 06/01/2013 Paydown..................................... .......................... ..............87,138 ..............87,138 ..............90,283 ..............89,956 .................... .........(2,818) .................. ...........(2,818) .................. ..............87,138 ................ .................... .................0 ........1,778 10/15/2038 1...........36241K YZ 5 GNMA #782528 5.000% 01/15/39............................ ..... 06/01/2013 Paydown..................................... .......................... ..............55,527 ..............55,527 ..............57,531 ..............57,326 .................... .........(1,798) .................. ...........(1,798) .................. ..............55,527 ................ .................... .................0 ........1,127 01/15/2039 1...........36297A 3U 5 GNMA #706511 5.000% 01/01/39............................ ..... 06/01/2013 Paydown..................................... .......................... ..............61,457 ..............61,457 ..............63,685 ..............62,743 .................... .........(1,287) .................. ...........(1,287) .................. ..............61,457 ................ .................... .................0 ........1,382 01/01/2039 1...........

0599999. Total - Bonds - U.S. Government............................................................................................................................................ ............221,721 ............221,721 ............229,744 ............228,192 .................0 .........(6,472) ...............0 ...........(6,472) ...............0 ............221,721 .............0 .................0 .................0 ........4,663 ......XXX... ..XXX....Bonds - U.S. States, Territories and Possessions

130628 VT 4 California State Ref 5.000% 02/01/25....................... ..... 05/23/2013 Redemption 100.0000............ .......................... .........1,145,000 .........1,145,000 .........1,051,625 .........1,066,005 .................... ..........1,546 .................. ............1,546 .................. .........1,067,551 ................ ........77,449 ........77,449 ......43,732 02/01/2025 1FE......977056 3Y 4 Wisconsin St Series G 5.000% 05/01/21.................. ..... 05/01/2013 Call 100.0000........................ .......................... .......12,785,000 .......12,785,000 .......13,248,073 .......12,818,089 .................... .......(33,089) .................. .........(33,089) .................. .......12,785,000 ................ .................... .................0 .....319,625 05/01/2021 1FE......

1799999. Total - Bonds - U.S. States, Territories & Possessions............................................................................................................ .......13,930,000 .......13,930,000 .......14,299,698 .......13,884,094 .................0 .......(31,543) ...............0 .........(31,543) ...............0 .......13,852,551 .............0 ........77,449 ........77,449 .....363,357 ......XXX... ..XXX....Bonds - U.S. Political Subdivisions of States, Territories and Possessions

170016 SZ 3 Chippewa Valley Michiga 5.000% 05/01/21.............. ..... 05/01/2013 Call 100.0000........................ .......................... .........5,000,000 .........5,000,000 .........5,197,000 .........5,007,434 .................... .........(7,434) .................. ...........(7,434) .................. .........5,000,000 ................ .................... .................0 .....125,000 05/01/2021 1FE......251129 R8 7 Detroit Michigan City S 5.000% 05/01/28.................. ..... 05/01/2013 Redemption 100.0000............ .......................... .......10,000,000 .......10,000,000 .........8,839,200 .........8,969,147 .................... ........14,671 .................. ..........14,671 .................. .........8,983,819 ................ ....1,016,181 ....1,016,181 .....250,000 05/01/2028 1FE......251129 T5 1 Detroit Michigan City S 5.000% 05/01/18.................. ..... 05/01/2013 Redemption 100.0000............ .......................... .........6,000,000 .........6,000,000 .........5,823,960 .........5,883,816 .................... ..........6,752 .................. ............6,752 .................. .........5,890,568 ................ ......109,432 ......109,432 .....150,000 05/01/2018 1FE......389582 EE 3 Grays Harbor County 5.250% 12/01/21.................... ..... 06/01/2013 Call 100.0000........................ .......................... .........6,040,000 .........6,040,000 .........6,352,812 .........6,055,554 .................... .......(15,554) .................. .........(15,554) .................. .........6,040,000 ................ .................... .................0 .....158,550 12/01/2021 1FE......516228 LH 4 Lanse Creuse Mich. Pub 5.000% 05/01/21.............. ..... 05/01/2013 Call 100.0000........................ .......................... .........6,850,000 .........6,850,000 .........7,086,120 .........6,858,821 .................... .........(8,821) .................. ...........(8,821) .................. .........6,850,000 ................ .................... .................0 .....171,250 05/01/2021 1FE......516228 LJ 0 Lanse Creuse Mich. Pub 5.000% 05/01/23.............. ..... 05/01/2013 Call 100.0000........................ .......................... .........6,550,000 .........6,550,000 .........6,701,109 .........6,555,396 .................... .........(5,396) .................. ...........(5,396) .................. .........6,550,000 ................ .................... .................0 .....163,750 05/01/2023 1FE......771537 SN 8 Rochester Michigan Cmnt 5.000% 05/01/13............. ..... 05/01/2013 Maturity...................................... .......................... .........5,425,000 .........5,425,000 .........6,082,890 .........5,452,173 .................... .......(27,173) .................. .........(27,173) .................. .........5,425,000 ................ .................... .................0 .....135,625 05/01/2013 1FE......776219 ML 8 Romulus Michigan Commun 5.000% 05/01/22......... ..... 05/01/2013 Call 100.0000........................ .......................... .........5,000,000 .........5,000,000 .........5,151,850 .........5,005,610 .................... .........(5,610) .................. ...........(5,610) .................. .........5,000,000 ................ .................... .................0 .....125,000 05/01/2022 1FE......848712 LL 7 Spokane County Washingt 5.000% 12/01/21............ ..... 06/01/2013 Call 100.0000........................ .......................... .........8,750,000 .........8,750,000 .........8,972,163 .........8,760,767 .................... .......(10,767) .................. .........(10,767) .................. .........8,750,000 ................ .................... .................0 .....218,750 12/01/2021 1FE......

2499999. Total - Bonds - U.S. Political Subdivisions of States, Territories & Possessions....................................................................... .......59,615,000 .......59,615,000 .......60,207,104 .......58,548,718 .................0 .......(59,332) ...............0 .........(59,332) ...............0 .......58,489,387 .............0 ....1,125,613 ....1,125,613 ..1,497,925 ......XXX... ..XXX....Bonds - U.S. Special Revenue and Special Assessment

09089T AY 7 Birgmingham Taxable-Civ 6.000% 04/01/22............. ..... 04/01/2013 Redemption 100.0000............ .......................... ............525,000 ............525,000 ............525,000 ............525,000 .................... .................... .................. ...................0 .................. ............525,000 ................ .................... .................0 ......15,750 04/01/2022 1FE......287468 EG 3 Elkhart Cnty Ind Hosp A 5.250% 08/15/28................ ..... 06/20/2013 Call 100.0000........................ .......................... .........9,000,000 .........9,000,000 .........8,561,790 .........8,611,238 .................... ..........7,308 .................. ............7,308 .................. .........8,618,546 ................ ......381,454 ......381,454 .....400,313 08/15/2028 1FE......31283H 5A 9 Freddie Mac Pool # G017 6.500% 10/01/34............. ..... 06/01/2013 Paydown..................................... .......................... ..............10,069 ..............10,069 ..............10,599 ..............10,538 .................... ............(469) .................. ..............(469) .................. ..............10,069 ................ .................... .................0 ...........277 10/01/2034 1...........31283H N2 7 Freddie Mac Pool # G013 7.000% 08/01/31............. ..... 06/01/2013 Paydown..................................... .......................... ...................155 ...................155 ...................164 ...................163 .................... ................(8) .................. ..................(8) .................. ...................155 ................ .................... .................0 ...............4 08/01/2031 1...........3128H7 H3 9 Freddie Mac FGCI # E992 6.000% 09/01/18............ ..... 06/01/2013 Paydown..................................... .......................... ................1,706 ................1,706 ................1,792 ................1,757 .................... ..............(51) .................. ................(51) .................. ................1,706 ................ .................... .................0 .............43 09/01/2018 1...........3128KF BD 1 Freddie Mac Pool # A527 6.000% 09/01/36.............. ..... 06/01/2013 Paydown..................................... .......................... ..............29,350 ..............29,350 ..............30,574 ..............30,442 .................... .........(1,092) .................. ...........(1,092) .................. ..............29,350 ................ .................... .................0 ...........675 09/01/2036 1...........3128NC 5Z 3 Freddie Mac FHARM #1G08 2.754% 08/01/35......... ..... 06/01/2013 Paydown..................................... .......................... ...................988 ...................988 ...................986 ...................986 .................... .................2 .................. ...................2 .................. ...................988 ................ .................... .................0 .............11 08/01/2035 1...........31292H VU 5 Freddie Mac C01527 5.500% 04/01/33..................... ..... 06/01/2013 Paydown..................................... .......................... ..............27,166 ..............27,166 ..............27,896 ..............27,591 .................... ............(425) .................. ..............(425) .................. ..............27,166 ................ .................... .................0 ...........623 04/01/2033 1...........31295W D7 0 FGLMC A01026 9.500% 05/01/20........................... ..... 06/01/2013 Paydown..................................... .......................... ...................129 ...................129 ...................134 ...................131 .................... ................(2) .................. ..................(2) .................. ...................129 ................ .................... .................0 ...............5 05/01/2020 1...........31295W GF 9 FGLMC A01098 9.500% 09/01/20........................... ..... 06/01/2013 Paydown..................................... .......................... ...................635 ...................635 ...................661 ...................644 .................... ................(9) .................. ..................(9) .................. ...................635 ................ .................... .................0 .............25 09/01/2020 1...........31295W PP 7 FGLMC A01330 9.500% 09/01/16........................... ..... 06/01/2013 Paydown..................................... .......................... ...................423 ...................423 ...................440 ...................426 .................... ................(3) .................. ..................(3) .................. ...................423 ................ .................... .................0 .............17 09/01/2016 1...........312962 5K 5 Freddie Mac FG #B10850 4.500% 11/01/18............. ..... 06/01/2013 Paydown..................................... .......................... ..............60,700 ..............60,700 ..............62,521 ..............61,789 .................... .........(1,089) .................. ...........(1,089) .................. ..............60,700 ................ .................... .................0 ........1,137 11/01/2018 1...........31296P EM 0 Freddie Mac FG #A14640 5.000% 10/01/33............. ..... 06/01/2013 Paydown..................................... .......................... ................8,474 ................8,474 ................8,739 ................8,703 .................... ............(229) .................. ..............(229) .................. ................8,474 ................ .................... .................0 ...........171 10/01/2033 1...........312971 H9 8 Freddie Mac FG #B18356 5.000% 05/01/20............. ..... 06/01/2013 Paydown..................................... .......................... ..............21,375 ..............21,375 ..............22,160 ..............21,892 .................... ............(517) .................. ..............(517) .................. ..............21,375 ................ .................... .................0 ...........448 05/01/2020 1...........


QE05.1




31297M H2 7 Freddie Mac Pool #A3204 5.500% 04/01/35............. ..... 06/01/2013 Paydown..................................... .......................... .........1,168,623 .........1,168,623 .........1,209,525 .........1,204,969 .................... .......(36,346) .................. .........(36,346) .................. .........1,168,623 ................ .................... .................0 ......30,322 04/01/2035 1...........31297T 6K 4 FGLMC FGA38074 5.000% 10/01/35....................... ..... 06/01/2013 Paydown..................................... .......................... ..............12,926 ..............12,926 ..............13,312 ..............13,265 .................... ............(339) .................. ..............(339) .................. ..............12,926 ................ .................... .................0 ...........282 10/01/2035 1...........3133TD JS 6 FHLMC 2050 PE 6.500% 04/15/13........................... ..... 04/01/2013 Paydown..................................... .......................... ................7,673 ................7,673 ................7,727 ................7,655 .................... ...............18 .................. .................18 .................. ................7,673 ................ .................... .................0 ...........166 04/15/2013 1...........3133TG U4 9 FHLMC Series 2091 Class 6.000% 11/15/28............ ..... 06/01/2013 Paydown..................................... .......................... ..............12,496 ..............12,496 ..............12,918 ..............12,845 .................... ............(349) .................. ..............(349) .................. ..............12,496 ................ .................... .................0 ...........306 11/15/2028 1...........3133TS BS 1 Freddie Mac FHR 2293 6.500% 03/15/31.............. ..... 06/01/2013 Paydown..................................... .......................... ..............37,533 ..............37,533 ..............40,278 ..............40,602 .................... .........(3,069) .................. ...........(3,069) .................. ..............37,533 ................ .................... .................0 ...........968 03/15/2031 1...........31362T GE 7 FNMA #070367 8.000% 07/01/19............................ ..... 06/01/2013 Paydown..................................... .......................... ................1,689 ................1,689 ................1,593 ................1,621 .................... ...............67 .................. .................67 .................. ................1,689 ................ .................... .................0 .............57 07/01/2019 1...........31365D JV 8 FNCL #124576 9.000% 09/01/22............................ ..... 06/01/2013 Paydown..................................... .......................... ...................110 ...................110 ...................112 ...................110 .................... ................(1) .................. ..................(1) .................. ...................110 ................ .................... .................0 ...............4 09/01/2022 1...........31371J 6T 6 FNMA 15YR 5.500% 08/01/16.................................. ..... 06/01/2013 Paydown..................................... .......................... ..............18,846 ..............18,846 ..............18,460 ..............18,637 .................... .............209 .................. ...............209 .................. ..............18,846 ................ .................... .................0 ...........447 08/01/2016 1...........31371K EJ 6 FNCI #254037 5.500% 10/01/16.............................. ..... 06/01/2013 Paydown..................................... .......................... ..............16,522 ..............16,522 ..............16,280 ..............16,369 .................... .............153 .................. ...............153 .................. ..............16,522 ................ .................... .................0 ...........399 10/01/2016 1...........31371L A6 6 Fannie Mae FN 254829 5.500% 08/01/33................. ..... 06/01/2013 Paydown..................................... .......................... ............193,756 ............193,756 ............192,227 ............192,564 .................... ..........1,192 .................. ............1,192 .................. ............193,756 ................ .................... .................0 ........4,346 08/01/2033 1...........

31384W BA 7 FNCI # 535633 5.500% 12/01/14............................. ..... 06/01/2013 Paydown..................................... .......................... ..............10,831 ..............10,831 ..............10,673 ..............10,768 .................... ...............63 .................. .................63 .................. ..............10,831 ................ .................... .................0 ...........245 12/01/2014 1...........31385J CH 9 FNCI #545572 6.000% 04/01/17.............................. ..... 06/01/2013 Paydown..................................... .......................... ..............18,091 ..............18,091 ..............18,149 ..............18,075 .................... ...............16 .................. .................16 .................. ..............18,091 ................ .................... .................0 ...........450 04/01/2017 1...........31387K V5 9 FNMA 15 YR 586636 6.000% 06/01/16.................... ..... 06/01/2013 Paydown..................................... .......................... ................5,367 ................5,367 ................5,313 ................5,336 .................... ...............32 .................. .................32 .................. ................5,367 ................ .................... .................0 ...........110 06/01/2016 1...........31387K V8 3 FNMA #586639 6.000% 06/01/16............................. ..... 06/01/2013 Paydown..................................... .......................... ................4,146 ................4,146 ................4,105 ................4,122 .................... ...............24 .................. .................24 .................. ................4,146 ................ .................... .................0 ...........103 06/01/2016 1...........31387N YL 5 FNMA 589415 5.500% 07/01/16............................... ..... 06/01/2013 Paydown..................................... .......................... ................5,697 ................5,697 ................5,590 ................5,640 .................... ...............57 .................. .................57 .................. ................5,697 ................ .................... .................0 ...........136 07/01/2016 1...........31389H HL 5 Fannie Mae # 625835 6.000% 01/01/17................... ..... 06/01/2013 Paydown..................................... .......................... ................3,502 ................3,502 ................3,507 ................3,495 .................... .................7 .................. ...................7 .................. ................3,502 ................ .................... .................0 .............88 01/01/2017 1...........31392J AD 1 Fannie Mae Series 2003- 7.500% 07/25/42.............. ..... 06/01/2013 Paydown..................................... .......................... ...................390 ...................390 ...................416 ...................414 .................... ..............(23) .................. ................(23) .................. ...................390 ................ .................... .................0 .............13 07/25/2042 1...........31392J YH 6 Fannie Mae Series 2003- 7.500% 08/25/42.............. ..... 06/01/2013 Paydown..................................... .......................... ...................283 ...................283 ...................302 ...................300 .................... ..............(17) .................. ................(17) .................. ...................283 ................ .................... .................0 ...............9 08/25/2042 1...........31401H PU 0 Fannie Mae FN #708835 5.000% 06/01/18............... ..... 06/01/2013 Paydown..................................... .......................... ................9,964 ................9,964 ..............10,357 ..............10,188 .................... ............(224) .................. ..............(224) .................. ................9,964 ................ .................... .................0 ...........226 06/01/2018 1...........31401H SE 3 Fannie Mae 708917 6.000% 06/01/33..................... ..... 06/01/2013 Paydown..................................... .......................... ..............25,900 ..............25,900 ..............27,240 ..............27,240 .................... .........(1,340) .................. ...........(1,340) .................. ..............25,900 ................ .................... .................0 ...........534 06/01/2033 1...........31401J ND 6 Fannie Mae FN 709688 5.500% 06/01/33................. ..... 06/01/2013 Paydown..................................... .......................... ............208,125 ............208,125 ............208,197 ............207,555 .................... .............570 .................. ...............570 .................. ............208,125 ................ .................... .................0 ........4,541 06/01/2033 1...........

31401W GV 5 Fannie Mae 720312 4.500% 06/01/18...................... ..... 06/01/2013 Paydown..................................... .......................... ............394,889 ............394,889 ............395,321 ............394,445 .................... .............444 .................. ...............444 .................. ............394,889 ................ .................... .................0 ........7,240 06/01/2018 1...........31401W KH 1 Fannie Mae FN 720396 5.000% 07/01/18................. ..... 06/01/2013 Paydown..................................... .......................... ............415,763 ............415,763 ............422,130 ............418,178 .................... .........(2,415) .................. ...........(2,415) .................. ............415,763 ................ .................... .................0 ........8,434 07/01/2018 1...........31402C 4H 2 FNCL 725424 5.500% 04/01/34................................ ..... 06/01/2013 Paydown..................................... .......................... ............578,752 ............578,752 ............581,917 ............579,300 .................... ............(548) .................. ..............(548) .................. ............578,752 ................ .................... .................0 ......13,254 04/01/2034 1...........31402C XE 7 FNCL 725277 4.500% 03/01/19................................ ..... 06/01/2013 Paydown..................................... .......................... ............357,896 ............357,896 ............361,251 ............358,588 .................... ............(692) .................. ..............(692) .................. ............357,896 ................ .................... .................0 ........6,720 03/01/2019 1...........31402J SW 8 FNCL 730533 5.000% 08/01/33................................ ..... 06/01/2013 Paydown..................................... .......................... ............749,679 ............749,679 ............753,231 ............751,369 .................... .........(1,690) .................. ...........(1,690) .................. ............749,679 ................ .................... .................0 ......15,600 08/01/2033 1...........31403N UF 2 Fannie Mae 753982 5.500% 12/01/33...................... ..... 06/01/2013 Paydown..................................... .......................... ..............95,100 ..............95,100 ..............98,459 ..............98,822 .................... .........(3,722) .................. ...........(3,722) .................. ..............95,100 ................ .................... .................0 ........2,025 12/01/2033 1...........31403U MG 3 Fannie Mae FN #758259 6.000% 12/01/33............... ..... 06/01/2013 Paydown..................................... .......................... ................4,507 ................4,507 ................4,710 ................4,683 .................... ............(176) .................. ..............(176) .................. ................4,507 ................ .................... .................0 ...........121 12/01/2033 1...........31404F JZ 7 Fannie Mae 767180 4.500% 02/01/19...................... ..... 06/01/2013 Paydown..................................... .......................... .........1,262,979 .........1,262,979 .........1,274,819 .........1,265,975 .................... .........(2,996) .................. ...........(2,996) .................. .........1,262,979 ................ .................... .................0 ......23,877 02/01/2019 1...........31404K SG 8 Fannie Mae FN #771019 5.000% 04/01/34............... ..... 06/01/2013 Paydown..................................... .......................... ..............14,229 ..............14,229 ..............14,675 ..............14,614 .................... ............(386) .................. ..............(386) .................. ..............14,229 ................ .................... .................0 ...........296 04/01/2034 1...........31405A KB 8 Fannie Mae FN #783390 6.500% 09/01/34............... ..... 06/01/2013 Paydown..................................... .......................... ...................868 ...................868 ...................913 ...................908 .................... ..............(40) .................. ................(40) .................. ...................868 ................ .................... .................0 .............23 09/01/2034 1...........31407M MT 9 FNCL FN #834770 6.500% 07/01/35........................ ..... 06/01/2013 Paydown..................................... .......................... ................7,655 ................7,655 ................8,046 ................8,001 .................... ............(346) .................. ..............(346) .................. ................7,655 ................ .................... .................0 ...........167 07/01/2035 1...........31409W W8 0 Fannie Mae FN #880971 5.500% 10/01/21............... ..... 06/01/2013 Paydown..................................... .......................... ................2,363 ................2,363 ................2,458 ................2,429 .................... ..............(66) .................. ................(66) .................. ................2,363 ................ .................... .................0 .............54 10/01/2021 1...........472682 NX 7 Jefferson Cnty Ala Swr 5.625% 02/01/19................. ..... 04/09/2013 Barclay's Bank............................ .......................... .........1,301,250 .........1,735,000 ............645,836 ............645,836 .................... .................... .................. ...................0 .................. ............645,836 ................ ......655,414 ......655,414 ......48,797 02/01/2019 6FE......54811A XY 4 Lower Colorado River Tx 5.000% 05/15/23............... ..... 05/15/2013 Call 100.0000........................ .......................... .........3,010,000 .........3,010,000 .........3,013,800 .........3,011,303 .................... .........(1,303) .................. ...........(1,303) .................. .........3,010,000 ................ .................... .................0 ......75,250 05/15/2023 1FE......54811A Y3 1 Lower Colorado River Tx 5.000% 05/15/23............... ..... 05/15/2013 Call 100.0000........................ .......................... ..............20,000 ..............20,000 ..............20,020 ..............20,009 .................... ................(9) .................. ..................(9) .................. ..............20,000 ................ .................... .................0 ...........500 05/15/2023 1FE......


QE05.2




64468T JW 8 New Hampshire St Hsg Fi 6.000% 07/01/16............. ..... 05/03/2013 Call 100.0000........................ .......................... ............360,000 ............360,000 ............360,000 ............360,000 .................... .................... .................. ...................0 .................. ............360,000 ................ .................... .................0 ......18,120 07/01/2016 1FE......64468T JY 4 New Hampshire St Hsg Fi 6.100% 07/01/28............. ..... 05/03/2013 Call 100.0000........................ .......................... ............170,000 ............170,000 ............171,063 ............170,000 .................... .................... .................. ...................0 .................. ............170,000 ................ .................... .................0 ........8,699 07/01/2028 1FE......64970M XT 5 New York NY City Hsg De 6.420% 11/01/27............ ..... 05/01/2013 Call 100.0000........................ .......................... .........4,280,000 .........4,280,000 .........4,280,000 .........4,280,000 .................... .................... .................. ...................0 .................. .........4,280,000 ................ .................... .................0 .....137,388 11/01/2027 1FE......87354T AP 0 Tacoma Washington Regl 5.000% 12/01/28............. ..... 05/16/2013 Call 100.0000........................ .......................... .......13,650,000 .......13,650,000 .......13,610,142 .......13,619,204 .................... .............733 .................. ...............733 .................. .......13,619,937 ................ ........30,063 ........30,063 .....312,813 12/01/2028 1FE......

3199999. Total - Bonds - U.S. Special Revenue & Assessment.............................................................................................................. .......38,124,570 .......38,558,320 .......37,078,528 .......37,106,734 .................0 .......(49,096) ...............0 .........(49,096) ...............0 .......37,057,639 .............0 ....1,066,931 ....1,066,931 ..1,142,629 ......XXX... ..XXX....Bonds - Industrial and Miscellaneous

007036 LX 2 Adjustable Rate Mortgag 0.423% 09/25/35............... ..... 05/22/2013 Jefferies Group Inc.................... .......................... .........6,406,723 .........6,636,942 .........5,644,719 .........5,646,277 .................... ........40,981 .................. ..........40,981 .................. .........5,687,257 ................ ......719,466 ......719,466 ........9,621 09/25/2035 1FM.....007036 LX 2 Adjustable Rate Mortgag 0.423% 09/25/35............... ..... 05/28/2013 Paydown..................................... .......................... ............214,314 ............214,314 ............182,274 ............182,324 .................... ........31,990 .................. ..........31,990 .................. ............214,314 ................ .................... .................0 ........2,938 09/25/2035 1FM.....02006A AB 3 Ally Auto Receivable Tr 0.560% 10/15/14................. ..... 06/15/2013 Paydown..................................... .......................... .........1,636,367 .........1,636,367 .........1,637,965 .......................... .................... .........(1,598) .................. ...........(1,598) .................. .........1,636,367 ................ .................... .................0 ........3,047 10/15/2014 1FE......02660T FV 0 American Home Mortgage 0.453% 09/25/35............. ..... 06/25/2013 Paydown..................................... .......................... ............130,362 ............130,362 ............130,362 ............130,362 .................... .................... .................. ...................0 .................. ............130,362 ................ .................... .................0 ...........257 09/25/2035 2FM.....026935 AR 7 American Home Mortgage 0.893% 09/25/27............. ..... 06/25/2013 Paydown..................................... .......................... ............160,168 ............160,168 ............160,168 ............110,822 ........49,346 .................... .................. ..........49,346 .................. ............160,168 ................ .................... .................0 ...........630 09/25/2027 6FM.....07386H LZ 2 Bear Stearns Alt- A Tru 0.873% 09/25/34................. ..... 06/25/2013 Paydown..................................... .......................... ............545,956 ............545,956 ............492,125 ............492,759 .................... ........53,197 .................. ..........53,197 .................. ............545,956 ................ .................... .................0 ........2,043 09/25/2034 1FM.....07386H NQ 0 Bear Stearns Alt- A Tru 0.893% 01/25/35................. ..... 06/25/2013 Paydown..................................... .......................... ............294,633 ............294,633 ............272,035 ............272,232 .................... ........22,401 .................. ..........22,401 .................. ............294,633 ................ .................... .................0 ........1,080 01/25/2035 1FM.....07386H QG 9 Bear Stearns Alt-A Trus 0.753% 01/25/35................ ..... 06/25/2013 Paydown..................................... .......................... ............447,210 ............447,210 ............417,470 ............417,753 .................... ........29,456 .................. ..........29,456 .................. ............447,210 ................ .................... .................0 ........1,322 01/25/2035 1FM.....07386H QR 5 Bear Stearns Alt- A Tru 0.693% 03/25/35................. ..... 06/25/2013 Paydown..................................... .......................... ............368,227 ............368,227 ............323,855 ............324,305 .................... ........43,922 .................. ..........43,922 .................. ............368,227 ................ .................... .................0 ........1,044 03/25/2035 2FE......07386H TY 7 Bear Stearns Alt- A Tru 0.633% 10/25/34................. ..... 06/25/2013 Paydown..................................... .......................... ............746,989 ............746,989 ............617,312 ............556,933 ........60,583 ......129,474 .................. ........190,057 .................. ............746,989 ................ .................... .................0 ........1,985 10/25/2034 3FE......07386H XN 6 Bear Stearns Alt- A Tru 0.713% 11/25/35................. ..... 05/22/2013 Knight Capital Americas LLC..... .......................... .........6,866,018 .........9,373,403 .........4,734,378 .........3,663,275 .................... ........67,426 .................. ..........67,426 .................. .........3,730,700 ................ ....3,135,318 ....3,135,318 ......22,648 11/25/2035 1FM.....07386H XN 6 Bear Stearns Alt- A Tru 0.713% 11/25/35................. ..... 05/28/2013 Paydown..................................... .......................... ............133,213 ............133,213 ..............67,284 ..............52,062 .................... ........81,151 .................. ..........81,151 .................. ............133,213 ................ .................... .................0 ........6,537 11/25/2035 1FM.....12625H AA 0 CNH Equipment Trust Ser 0.230% 06/16/14............. ..... 06/17/2013 Paydown..................................... .......................... .........1,114,676 .........1,114,676 .........1,114,676 .......................... .................... .................... .................. ...................0 .................. .........1,114,676 ................ .................... .................0 ...........128 06/16/2014 1FE......12668A SY 2 Countrywide Alternative 0.463% 08/25/35................ ..... 06/25/2013 Paydown..................................... .......................... ............234,343 ............234,343 ............109,592 ..............79,382 .................... ......154,961 .................. ........154,961 .................. ............234,343 ................ .................... .................0 ...........512 08/25/2035 1FM.....12668B RC 9 Countrywide Alternative 0.393% 02/25/36................ ..... 06/25/2013 Paydown..................................... .......................... .......................... .........1,083,606 ............366,703 ............288,172 .................... .....(288,172) .................. .......(288,172) .................. .......................... ................ .................... .................0 ........1,841 02/25/2036 1FM.....14041N ED 9 Capital One Multi Asset 5.050% 02/15/16................. ..... 04/15/2013 Paydown..................................... .......................... .......15,000,000 .......15,000,000 .......15,154,102 .......................... .................... .....(154,102) .................. .......(154,102) .................. .......15,000,000 ................ .................... .................0 .....189,375 02/15/2016 1FE......156700 AQ 9 Centurylink Inc 5.150% 06/15/17.............................. ..... 06/18/2013 Millennium Advisors LLC............. .......................... ............533,645 ............500,000 ............498,750 ............499,022 .................... .............100 .................. ...............100 .................. ............499,122 ................ ........34,523 ........34,523 ......13,304 06/15/2017 3FE......16165Y AA 0 Chaseflex Trust Series 0.343% 08/25/37.................. ..... 06/25/2013 Paydown..................................... .......................... ............329,795 ............388,397 ............186,723 ..............96,422 .................... ......233,373 .................. ........233,373 .................. ............329,795 ................ .................... .................0 ........1,043 08/25/2037 1FM.....36185T AA 5 Fort Lewis Comm 04/37 @ 7.120% 04/10/37............ ..... 06/10/2013 Paydown..................................... .......................... ............260,051 ............260,051 ............257,843 ............258,064 .................... ..........1,986 .................. ............1,986 .................. ............260,051 ................ .................... .................0 ........7,721 04/10/2037 1FE......36186E AA 7 GMAC Commercial Mortgag 6.240% 10/10/41......... ..... 06/10/2013 Paydown..................................... .......................... ............214,692 ............214,692 ............180,264 ............183,321 .................... ........31,371 .................. ..........31,371 .................. ............214,692 ................ .................... .................0 ........5,586 10/10/2041 1...........36186T AA 4 GMAC Commercial Mortgag 6.045% 11/10/40......... ..... 06/10/2013 Paydown..................................... .......................... ..............80,046 ..............80,046 ..............65,990 ..............67,228 .................... ........12,818 .................. ..........12,818 .................. ..............80,046 ................ .................... .................0 ........2,018 11/10/2040 2FE......362334 GT 5 GSAA Home Equity Trust 0.463% 03/25/36.............. ..... 05/23/2013 First Boston Corp........................ .......................... .......71,258,035 .....107,966,720 .......15,803,218 .......23,700,047 .................... ......190,426 .................. ........190,426 .................. .......23,890,473 ................ ..47,367,562 ..47,367,562 .....172,287 03/25/2036 1FM.....362334 GT 5 GSAA Home Equity Trust 0.463% 03/25/36.............. ..... 05/28/2013 Paydown..................................... .......................... .........1,487,473 .........1,487,473 ............217,723 ............326,519 .................... ....1,160,954 .................. .....1,160,954 .................. .........1,487,473 ................ .................... .................0 ......49,239 03/25/2036 1FM.....362381 AC 9 GSAA Home Equity Trust 0.443% 08/25/36.............. ..... 05/22/2013 Bank of America......................... .......................... .......43,602,902 .......71,480,168 .......23,226,079 .......21,547,856 .................... ......203,490 .................. ........203,490 .................. .......21,751,346 ................ ..21,851,557 ..21,851,557 .....108,379 08/25/2036 1FM.....362381 AC 9 GSAA Home Equity Trust 0.443% 08/25/36.............. ..... 05/28/2013 Paydown..................................... .......................... .........1,117,345 .........1,117,345 ............363,059 ............336,826 .................... ......780,519 .................. ........780,519 .................. .........1,117,345 ................ .................... .................0 ......31,486 08/25/2036 1FM.....36249B AD 2 GSAA Home Equity Trust 0.463% 07/25/37.............. ..... 05/22/2013 Greenwich Capital Markets......... .......................... .......21,676,798 .......24,862,277 .......19,531,805 .......19,508,957 .................... ........74,862 .................. ..........74,862 .................. .......19,583,819 ................ ....2,092,979 ....2,092,979 ......39,354 07/25/2037 1FM.....36249B AD 2 GSAA Home Equity Trust 0.463% 07/25/37.............. ..... 05/28/2013 Paydown..................................... .......................... ............515,590 ............515,590 ............405,047 ............404,573 .................... ......111,016 .................. ........111,016 .................. ............515,590 ................ .................... .................0 ......11,625 07/25/2037 1FM.....36298Y AC 4 GSAA Home Equity Trust 0.443% 09/25/36.............. ..... 05/23/2013 Knight Capital Americas LLC..... .......................... .......19,790,782 .......35,419,745 .......12,024,975 .......10,372,978 .................... .............242 .................. ...............242 .................. .......10,373,220 ................ ....9,417,562 ....9,417,562 ......54,147 09/25/2036 1FM.....36298Y AC 4 GSAA Home Equity Trust 0.443% 09/25/36.............. ..... 05/28/2013 Paydown..................................... .......................... ............440,173 ............440,173 ............149,439 ............128,909 .................... ......311,265 .................. ........311,265 .................. ............440,173 ................ .................... .................0 ......15,377 09/25/2036 1FM.....38011N AA 4 GMAC Commercial Mortgag 7.152% 08/10/36......... ..... 06/10/2013 Paydown..................................... .......................... ............232,905 ............232,905 ............230,621 ............230,860 .................... ..........2,045 .................. ............2,045 .................. ............232,905 ................ .................... .................0 ........6,947 08/10/2036 6*.........


QE05.3




38011W AA 4 Fort Meade - GMAC 2002- 6.845% 05/10/37............ ..... 06/10/2013 Paydown..................................... .......................... ............357,174 ............357,174 ............334,547 ............336,423 .................... ........20,750 .................. ..........20,750 .................. ............357,174 ................ .................... .................0 ......10,195 05/10/2037 1...........422777 AP 7 Hedged Mutual Fund Fee 0.443% 08/05/13.............. ..... 05/04/2013 Paydown..................................... .......................... ............343,522 ............343,522 ............343,522 ............343,522 .................... .................... .................. ...................0 .................. ............343,522 ................ .................... .................0 ...........566 08/05/2013 3FE......422777 AQ 5 Hedged Mutual Fund Fee 0.398% 12/04/13.............. ..... 06/04/2013 Paydown..................................... .......................... ............287,101 ............287,101 ............287,101 ............287,101 .................... .................... .................. ...................0 .................. ............287,101 ................ .................... .................0 ...........446 12/04/2013 2FE......43814C AA 7 Honda Auto Receivables 0.200% 01/21/14............... ..... 06/21/2013 Paydown..................................... .......................... .........3,912,840 .........3,912,840 .........3,912,840 .......................... .................... .................... .................. ...................0 .................. .........3,912,840 ................ .................... .................0 ........2,578 01/21/2014 1FE......43814E AA 3 Honda Auto Receivables 0.240% 05/16/14............... ..... 06/17/2013 Paydown..................................... .......................... .........4,918,104 .........4,918,104 .........4,918,104 .......................... .................... .................... .................. ...................0 .................. .........4,918,104 ................ .................... .................0 ........1,246 05/16/2014 1FE......44890J AA 7 Hyundai Auto Receivable 0.200% 02/18/14.............. ..... 06/17/2013 Paydown..................................... .......................... .........3,825,799 .........3,825,799 .........3,825,799 .......................... .................... .................... .................. ...................0 .................. .........3,825,799 ................ .................... .................0 ........2,234 02/18/2014 1FE......45254N KF 3 Impac CMB Trust Series 0.933% 11/25/34............... ..... 06/25/2013 Paydown..................................... .......................... ............134,123 ............134,123 ............120,080 ............120,092 .................... ........14,030 .................. ..........14,030 .................. ............134,123 ................ .................... .................0 ...........525 11/25/2034 1FM.....45254N KX 4 Impac CMB Trust 2004-9 0.953% 02/25/35............. ..... 05/22/2013 Knight Capital Americas LLC..... .......................... .........5,647,786 .........6,308,173 .........5,758,101 .........5,758,964 .................... ........47,784 .................. ..........47,784 .................. .........5,806,748 ................ .....(158,962) .....(158,962) ......20,288 02/25/2035 1FM.....45254N KX 4 Impac CMB Trust 2004-9 0.953% 02/25/35............. ..... 05/28/2013 Paydown..................................... .......................... ............151,028 ............151,028 ............137,859 ............137,879 .................... ........13,149 .................. ..........13,149 .................. ............151,028 ................ .................... .................0 ........6,117 02/25/2035 1FM.....45254N MA 2 Impac CMB Trust Series 0.713% 03/25/35.............. ..... 06/25/2013 Paydown..................................... .......................... ............125,511 ............160,969 ..............64,024 ..............70,837 .................... ........54,675 .................. ..........54,675 .................. ............125,511 ................ .................... .................0 ...........471 03/25/2035 1FM.....45257B AD 2 Impac Secured Assets Co 0.453% 01/25/37............. ..... 06/25/2013 Paydown..................................... .......................... .......................... ............736,147 ..............83,596 ..............91,029 .................... .......(91,029) .................. .........(91,029) .................. .......................... ................ .................... .................0 ........1,414 01/25/2037 1FM.....45257E AC 8 Impac Secured Assets Co 0.463% 10/25/36............. ..... 06/25/2013 Paydown..................................... .......................... .........1,607,360 .........2,070,349 ............734,668 ............667,782 .................... ......939,578 .................. ........939,578 .................. .........1,607,360 ................ .................... .................0 ........4,148 10/25/2036 1FM.....466247 QH 9 JP Morgan Series 2005-A 2.784% 06/25/35............. ..... 06/01/2013 Paydown..................................... .......................... ............424,260 ............424,260 ............400,396 ............412,977 .................... ........11,283 .................. ..........11,283 .................. ............424,260 ................ .................... .................0 ........5,421 06/25/2035 1FM.....466275 AA 2 JP Morgan Alternative L 0.473% 04/25/47................ ..... 06/25/2013 Paydown..................................... .......................... .........1,542,559 .........1,542,559 ............827,640 ............864,660 .................... ......677,899 .................. ........677,899 .................. .........1,542,559 ................ .................... .................0 ........3,274 04/25/2047 1FM.....493268 BJ 4 Keycorp Student Loan T 0.673% 08/27/31............... ..... 05/28/2013 Paydown..................................... .......................... ............756,239 ............756,239 ............756,239 ............756,239 .................... .................... .................. ...................0 .................. ............756,239 ................ .................... .................0 ........2,673 08/27/2031 2FE......49326E EB 5 Keycorp Super-Regional 6.500% 05/14/13............... ..... 05/14/2013 Maturity...................................... .......................... .........2,000,000 .........2,000,000 .........2,099,300 .........2,011,179 .................... .......(11,179) .................. .........(11,179) .................. .........2,000,000 ................ .................... .................0 ......65,000 05/14/2013 2FE......52523Y AC 8 Lehman XS Trust Series 0.443% 12/25/36............... ..... 05/22/2013 Greenwich Capital Markets......... .......................... .........7,695,391 .......17,896,257 .........2,059,213 .........2,632,573 .................... ......150,635 .................. ........150,635 .................. .........2,783,209 ................ ....4,912,182 ....4,912,182 ......27,134 12/25/2036 1FM.....52523Y AC 8 Lehman XS Trust Series 0.443% 12/25/36............... ..... 05/28/2013 Paydown..................................... .......................... .......................... ............173,252 ..............19,935 ..............25,486 .................... .......(25,486) .................. .........(25,486) .................. .......................... ................ .................... .................0 ........7,693 12/25/2036 1FM.....550279 AA 1 Luminent Mortgage Trust 0.453% 11/25/35.............. ..... 05/22/2013 Goldman Sachs.......................... .......................... .........8,609,109 .......10,117,204 .........7,956,169 .........7,955,386 .................... ........43,047 .................. ..........43,047 .................. .........7,998,433 ................ ......610,676 ......610,676 ......15,677 11/25/2035 1FM.....550279 AA 1 Luminent Mortgage Trust 0.453% 11/25/35.............. ..... 05/28/2013 Paydown..................................... .......................... ............319,891 ............319,891 ............251,562 ............251,538 .................... ........68,354 .................. ..........68,354 .................. ............319,891 ................ .................... .................0 ........4,816 11/25/2035 1FM.....55028E AD 3 Luminent Mortgage Trust 0.503% 05/25/37.............. ..... 05/22/2013 Nomura....................................... .......................... .......28,616,930 .......47,571,000 .......17,349,144 .......17,361,398 ........91,616 ......514,504 .................. ........606,120 .................. .......17,967,518 ................ ..10,649,412 ..10,649,412 .....103,890 05/25/2037 6FE......59018Y N5 6 Merrill Lynch & Co 6.150% 04/25/13......................... ..... 04/25/2013 Maturity...................................... .......................... .........5,000,000 .........5,000,000 .........5,053,050 .........5,003,953 .................... .........(3,953) .................. ...........(3,953) .................. .........5,000,000 ................ .................... .................0 .....153,750 04/25/2013 1FE......61913P AP 7 Mortgageit Trust Series 0.513% 02/25/35................. ..... 06/25/2013 Paydown..................................... .......................... ............334,254 ............334,254 ............308,048 ............308,090 .................... ........26,164 .................. ..........26,164 .................. ............334,254 ................ .................... .................0 ...........745 02/25/2035 1FM.....61915R AA 4 Mortgageit Trust Series 0.453% 05/25/35................. ..... 06/25/2013 Paydown..................................... .......................... ............400,924 ............400,924 ............335,012 ............335,402 .................... ........65,522 .................. ..........65,522 .................. ............400,924 ................ .................... .................0 ...........781 05/25/2035 1FM.....61915R AK 2 Mortgageit Trust Series 0.493% 08/25/35................. ..... 06/25/2013 Paydown..................................... .......................... ............447,134 ............447,134 ............447,134 ............395,942 ........51,192 .................... .................. ..........51,192 .................. ............447,134 ................ .................... .................0 ...........941 08/25/2035 1FM.....63543P AM 8 National Collegiate Stu 0.533% 06/25/27.................. ..... 06/25/2013 Paydown..................................... .......................... ............265,205 ............265,205 ............248,630 ............243,755 ..........5,115 ........16,335 .................. ..........21,450 .................. ............265,205 ................ .................... .................0 ...........747 06/25/2027 4FE......65535V KE 7 Nomura Asset Acceptance 0.443% 05/25/35............ ..... 05/22/2013 RW Baird.................................... .......................... ............772,056 ............779,363 ............715,377 ............718,056 .................... ..........6,744 .................. ............6,744 .................. ............724,800 ................ ........47,256 ........47,256 ........1,182 05/25/2035 2FE......65535V KE 7 Nomura Asset Acceptance 0.443% 05/25/35............ ..... 05/28/2013 Paydown..................................... .......................... ............338,695 ............338,695 ............310,888 ............312,053 .................... ........26,643 .................. ..........26,643 .................. ............338,695 ................ .................... .................0 ...........842 05/25/2035 2FE......65535V MJ 4 Nomura Asset Acceptance 0.453% 07/25/35............ ..... 06/25/2013 Paydown..................................... .......................... ............565,312 ............565,312 ............468,562 ............468,616 .................... ........96,696 .................. ..........96,696 .................. ............565,312 ................ .................... .................0 ........1,185 07/25/2035 1FM.....65535V NL 8 Nomura Asset Acceptance 0.483% 08/25/35............ ..... 05/22/2013 First Boston Corp........................ .......................... .........8,007,287 .......12,709,979 .........4,856,546 .........4,938,098 .................... ........75,219 .................. ..........75,219 .................. .........5,013,317 ................ ....2,993,970 ....2,993,970 ......20,966 08/25/2035 1FM.....65535V NL 8 Nomura Asset Acceptance 0.483% 08/25/35............ ..... 05/28/2013 Paydown..................................... .......................... ............148,202 ............148,202 ..............56,629 ..............57,580 .................... ........90,622 .................. ..........90,622 .................. ............148,202 ................ .................... .................0 ........6,004 08/25/2035 1FM.....65535V PV 4 Nomura Asset Acceptance 0.463% 10/25/35............ ..... 05/22/2013 Nomura....................................... .......................... .........8,659,656 .......13,120,691 .........6,103,333 .........6,130,036 .................... ........68,193 .................. ..........68,193 .................. .........6,198,229 ................ ....2,461,427 ....2,461,427 ......20,768 10/25/2035 1FM.....65535V PV 4 Nomura Asset Acceptance 0.463% 10/25/35............ ..... 05/28/2013 Paydown..................................... .......................... ............121,986 ............121,986 ..............56,744 ..............56,993 .................... ........64,994 .................. ..........64,994 .................. ............121,986 ................ .................... .................0 ........5,853 10/25/2035 1FM.....71531P AA 1 Pershing Road 0.675% 09/01/26.............................. ..... 06/03/2013 Redemption 100.0000............ .......................... ............969,874 ............969,874 ............969,874 ............969,874 .................... .................... .................. ...................0 .................. ............969,874 ................ .................... .................0 ........3,426 09/01/2026 1...........89236Q AB 7 Toyota Auto Receivables 0.530% 04/15/14.............. ..... 06/15/2013 Paydown..................................... .......................... .........6,675,899 .........6,675,899 .........6,680,071 .......................... .................... .........(4,172) .................. ...........(4,172) .................. .........6,675,899 ................ .................... .................0 ......14,484 04/15/2014 1FE......05330A AA 5 Autopista Maipo 7.373% 06/15/22............................ F... 06/15/2013 Redemption 100.0000............ .......................... ............310,520 ............310,520 ............327,466 ............321,151 .................... ............(356) .................. ..............(356) .................. ............320,794 ................ .......(10,274) .......(10,274) ......11,447 06/15/2022 2FE......


QE05.4




06675E AB 6 Banque PSA Frin Finance 4.375% 04/04/16............. F... 06/18/2013 BNP Paribas............................... .......................... .........1,009,930 .........1,000,000 ............997,600 ............998,317 .................... .............222 .................. ...............222 .................. ............998,540 ................ ........11,389 ........11,389 ......31,233 04/04/2016 3FE......18971W AB 2 Clydesdale Strategic CL 0.844% 01/20/17................ F... 05/20/2013 Paydown..................................... .......................... .........8,000,000 .........8,000,000 .........7,380,000 .........7,667,791 .................... ......332,209 .................. ........332,209 .................. .........8,000,000 ................ .................... .................0 ......35,013 01/20/2017 1FE......27636P AF 6 Eastern Energy Electric 7.250% 12/01/16................. F... 06/20/2013 Tax Free Exchange.................... .......................... .........4,048,777 .........4,000,000 .........4,099,640 .........4,054,505 .................... .........(5,728) .................. ...........(5,728) .................. .........4,048,777 ................ .................... .................0 .....160,306 12/01/2016 1FE......358428 AB 6 Friedbergmilstein Priva 1.177% 01/15/19.................. F... 04/15/2013 Paydown..................................... .......................... ............592,450 ............592,450 ............576,157 ............589,565 .................... ..........2,885 .................. ............2,885 .................. ............592,450 ................ .................... .................0 ........3,661 01/15/2019 1FE......37952U AB 9 Global SC Finance SRL 2.980% 04/17/28................ F... 06/17/2013 Paydown..................................... .......................... ..............83,333 ..............83,333 ..............83,952 .......................... .................... ............(618) .................. ..............(618) .................. ..............83,333 ................ .................... .................0 ...........207 04/17/2028 1FE......96525P AB 4 Whitehorse LTD Series 0.753% 06/15/17................. F... 06/17/2013 Paydown..................................... .......................... .........3,964,486 .........3,964,486 .........3,772,457 .........3,868,224 .................... ........96,265 .................. ..........96,265 .................. .........3,964,486 ................ .................... .................0 ......15,505 06/15/2017 1FE......

3899999. Total - Bonds - Industrial & Miscellaneous............................................................................................................................... .....317,830,138 .....446,920,289 .....200,653,565 .....167,401,306 ......257,852 ....6,707,434 ...............0 .....6,965,286 ...............0 .....211,694,095 .............0 106,136,043 106,136,043 ..1,538,373 ......XXX... ..XXX....8399997. Total - Bonds - Part 4.............................................................................................................................................................. .....429,721,429 .....559,245,330 .....312,468,639 .....277,169,044 ......257,852 ....6,560,991 ...............0 .....6,818,843 ...............0 .....321,315,393 .............0 108,406,036 108,406,036 ..4,546,947 ......XXX... ..XXX....8399999. Total - Bonds........................................................................................................................................................................... .....429,721,429 .....559,245,330 .....312,468,639 .....277,169,044 ......257,852 ....6,560,991 ...............0 .....6,818,843 ...............0 .....321,315,393 .............0 108,406,036 108,406,036 ..4,546,947 ......XXX... ..XXX....9999999. Total - Bonds, Preferred and Common Stocks......................................................................................................................... .....429,721,429 ...........XXX........ .....312,468,639 .....277,169,044 ......257,852 ....6,560,991 ...............0 .....6,818,843 ...............0 .....321,315,393 .............0 108,406,036 108,406,036 ..4,546,947 ......XXX... ..XXX....

(a) For all common stock bearing the NAIC market indicator "U" provide: the number of such issues:...............0.


QE06, QE07, QE08, QE09, QE10, QE11

Sch. DB-Pt A-Sn 1NONE

Sch. DB-Pt B-Sn 1NONE

Sch. DB-Pt B-Sn 1B-Broker ListNONE

Sch. DB-Pt D-Sn 1NONE

Sch. DB-Pt D-Sn 2NONE

Sch. DL-Pt. 1NONE

Sch. DL-Pt. 2NONE


QE12

SCHEDULE E - PART 1 - CASH Month End Depository Balances

1 2 3 4 5 Book Balance at End of Each 9Amount of Amount of Month During Current Quarter

Rate Interest Interest Accrued 6 7 8of Received During at Current

Depository Code Interest Current Quarter Statement Date First Month Second Month Third Month *Open Depositories Bank of New York............................................................ New York, New York............................... ................... ..................... ...........................21 ................................ .................23,383 .................77,005 .................39,238 XXX..Citibank, N.A.................................................................... London, England..................................... ................... ..................... .........................559 ................................ ...............868,625 ...............945,214 ...............331,197 XXX..Citibank, N.A.................................................................... New York, New York............................... ................... ..................... ................................ ................................ .................23,190 ...............106,725 ...................7,806 XXX..BNS Time Deposit CD 6/11/14........................................ Charlotte Amalie, USVI........................... SD.............. ...........1.700 ......................8,500 .........................342 ...............500,000 ...............500,000 ...............500,000 XXX..Bank of New York............................................................ New York, New York............................... O................. ..................... ................................ ................................ ..........30,000,000 ..........30,000,000 ............................. XXX..0199999. Total Open Depositories.................................................................................................... ....XXX........ ......XXX........ ......................9,080 .........................342 ..........31,415,198 ..........31,628,944 ...............878,241 XXX..0399999. Total Cash on Deposit......................................................................................................... ....XXX........ ......XXX........ ......................9,080 .........................342 ..........31,415,198 ..........31,628,944 ...............878,241 XXX..0599999. Total Cash........................................................................................................................... ....XXX........ ......XXX........ ......................9,080 .........................342 ..........31,415,198 ..........31,628,944 ...............878,241 XXX..


QE13

SCHEDULE E - PART 2 - CASH EQUIVALENTS Show Investments Owned End of Current Quarter

1 2 3 4 5 6 7 8

Date Rate of Maturity Book/Adjusted Amount of Interest Amount ReceivedDescription Code Acquired Interest Date Carrying Value Due & Accrued During Year

NONE

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