EXHIBIT 99.11

AMBAC ASSURANCE CORPORATION AND SUBSIDIARIES
(a wholly-owned subsidiary of Ambac Financial Group, Inc.)

Consolidated Financial Statements

As of September 30, 2002 and December 31, 2001
and for the Periods Ended September 30, 2002 and 2001

Ambac Assurance Corporation and Subsidiaries
Consolidated Balance Sheets
September 30, 2002 and December 31, 2001
(Dollars in Thousands Except Share Data)

			September 30, 2002		December 31, 2001
			(unaudited)
ASSETS
Investments:
	Fixed income securities, at fair value (amortized cost of $5,437,417 in 2002 and $4,955,542 in 2001)		$	5,859,236	$	5,083,039
	Short-term investments, at cost (approximates fair value)			104,170		185,943
	Other			1,565		1,394
		Total investments		5,964,971		5,270,376
Cash				10,192		33,678
Securities purchased under agreements to resell				24,504		—
Receivable for securities sold				100,215		281
Investment income due and accrued				71,274		73,456
Reinsurance recoverable				2,195		2,259
Prepaid reinsurance				273,931		267,655
Deferred acquisition costs				172,718		163,477
Derivative product assets				961,250		383,959
Other assets				41,807		44,332
		Total assets	$	7,623,057	$	6,239,473
LIABILITIES AND STOCKHOLDER’S EQUITY
Liabilities:
	Unearned premiums		$	1,936,047	$	1,790,084
	Losses and loss adjustment expense reserve			167,045		152,352
	Ceded reinsurance balances payable			11,248		10,146
	Deferred income taxes			253,632		147,642
	Current income taxes			43,037		126,039
	Note payable to affiliate			59,600		63,500
	Payable for securities purchased			127,623		26,097
	Derivative product liabilities			799,719		325,922
	Other liabilities			240,185		120,968
		Total liabilities		3,638,136		2,762,750
Stockholder’s equity:
	Preferred stock, par value $1,000 per share; authorized shares - 285,000; issued and outstanding shares - none			—		—
	Common stock, par value $2.50 per share; authorized shares - 40,000,000; issued and outstanding shares - 32,800,000 at September 30, 2002 and December 31, 2001			82,000		82,000
	Additional paid-in capital			921,567		928,094
	Accumulated other comprehensive income			273,499		80,556
	Retained earnings			2,707,855		2,386,073
		Total stockholder’s equity		3,984,921		3,476,723
	Total liabilities and stockholder’s equity		$	7,623,057	$	6,239,473

See accompanying Notes to Consolidated Financial Statements.

2

Ambac Assurance Corporation and Subsidiaries
Consolidated Statements of Operations
(Unaudited)
For The Periods Ended September 30, 2002 and 2001
(Dollars in Thousands)

			Three Months Ended September 30,						Nine Months Ended September 30,
			2002			2001			2002			2001
Revenues:
	Gross premiums written		$	206,072		$	153,544		$	554,330		$	501,968
	Ceded premiums written			(26,854	)		(35,874	)		(71,108	)		(72,342	)
		Net premiums written	$	179,218		$	117,670		$	483,222		$	429,626
	Net premiums earned		$	124,243		$	98,991		$	344,411		$	279,463
	Other credit enhancement fees			7,307			5,876			20,171			15,524
		Net premiums earned and other credit enhancement fees		131,550			104,867			364,582			294,987
	Net investment income			75,930			67,536			222,272			197,921
	Net securities (losses) gains			(1,500	)		3,578			(10,581	)		(10	)
	Other income			3,443			3,931			13,947			17,483
		Total revenues		209,423			179,912			590,220			510,381
Expenses:
	Losses and loss adjustment expenses			6,100			5,100			17,700			14,500
	Underwriting and operating expenses			19,642			17,356			59,518			54,540
	Interest expense			301			1,157			1,801			3,466
		Total expenses		26,043			23,613			79,019			72,506
	Income before income taxes			183,380			156,299			511,201			437,875
	Provision for income taxes			47,991			48,246			130,919			117,581
	Net income		$	135,389		$	108,053		$	380,282		$	320,294

See accompanying Notes to Consolidated Financial Statements.

3

Ambac Assurance Corporation and Subsidiaries
Consolidated Statements of Stockholder’s Equity
(Unaudited)
For The Nine Months Ended September 30, 2002 and 2001
(Dollars in Thousands)

		2002					2001
Retained Earnings:
	Balance at January 1	$	2,386,073				$	2,002,120
	Net income		380,282		$	380,282		320,294		$	320,294
	Dividends declared - common stock		(58,500	)				(51,000	)
	Balance at September 30	$	2,707,855				$	2,271,414
Accumulated Other Comprehensive Income:
	Balance at January 1	$	80,556				$	81,616
	Unrealized gains on securities, $294,324 and $82,132, pre-tax, in 2002 and 2001, respectively (1)					191,310					53,386
	Foreign currency translation gain (loss)					1,633					(267	)
	Other comprehensive income		192,943			192,943		53,119			53,119
	Comprehensive income				$	573,225				$	373,413
	Balance at September 30	$	273,499				$	134,735
Preferred Stock:
	Balance at January 1 and September 30	$	—				$	—
Common Stock:
	Balance at January 1 and September 30	$	82,000				$	82,000
Additional Paid-in Capital:
	Balance at January 1	$	928,094				$	760,006
	Capital issuance costs		(6,969	)				—
	Exercise of stock options		442					297
	Balance at September 30	$	921,567				$	760,303
Total Stockholder’s Equity at September 30		$	3,984,921				$	3,248,452
(1) Disclosure of reclassification amount:
Unrealized holding gains arising during period			195,618					56,336
Less: reclassification adjustment for net securities gains included in net income			4,308					2,950
Net unrealized gains on securities		$	191,310				$	53,386

See accompanying Notes to Consolidated Financial Statements.

4

Ambac Assurance Corporation and Subsidiaries
Consolidated Statements of Cash Flows
(Unaudited)
For The Nine Months Ended September 30, 2002 and 2001
(Dollars in Thousands)

				2002			2001
Cash flows from operating activities:
	Net income		$	380,282		$	320,294
	Adjustments to reconcile net income to net cash provided by operating activities:
	Depreciation and amortization			2,156			2,185
	Amortization of bond premium and discount			(4,619	)		(5,567	)
	Current income taxes			(83,002	)		59,114
	Deferred income taxes			2,977			7,048
	Deferred acquisition costs			(9,241	)		(7,341	)
	Unearned premiums, net			139,687			150,192
	Losses and loss adjustment expenses			14,757			13,340
	Ceded reinsurance balances payable			1,102			9,267
	Net securities losses			10,581			10
	Other, net			21,123			(5,529	)
		Net cash provided by operating activities		475,803			543,013
Cash flows from investing activities:
	Proceeds from sales of bonds			411,416			479,989
	Proceeds from maturities of bonds			231,260			170,276
	Purchases of bonds			(1,108,285	)		(1,146,310	)
	Change in short-term investments			95,673			52,566
	Securities purchased under agreements to resell			(24,504	)		11,786
	Other, net			(21,580	)		(2,659	)
		Net cash used in investing activities		(416,020	)		(434,352	)
Cash flows from financing activities:
	Dividends paid			(58,500	)		(51,000	)
	Capital issuance costs			(6,969	)		—
	Loan payable to affiliate			(3,900	)		—
	Short-term financing			(13,900	)		9,440
		Net cash used in financing activities		(83,269	)		(41,560	)
		Net cash flow		(23,486	)		67,101
Cash and cash pledged as collateral at January 1				33,678			36,828
Cash and cash pledged as collateral at September 30			$	10,192		$	103,929
Supplemental disclosure of cash flow information:
	Cash paid during the period for:
		Income taxes	$	161,055		$	51,117

See accompanying Notes to Consolidated Financial Statements.

5

Ambac Assurance Corporation and Subsidiaries
Notes to Consolidated Unaudited Financial Statements
(Dollars in Thousands)

          (1)     Basis of Presentation

          Ambac Assurance Corporation is a leading provider of financial guarantee products to clients for both the public and private sectors around the world.  Ambac Assurance provides financial guarantees on public finance and structured finance obligations. Ambac Assurance has earned triple-A ratings, the highest ratings available from Moody’s Investors Service, Inc., Standard & Poor’s Ratings Services, Fitch, Inc., and Rating and Investment Information, Inc. Financial guarantees issued by Ambac Assurance guarantee payment when due of the principal of and interest on the obligation guaranteed. As of September 30, 2002, Ambac Assurance’s net guarantees in force (principal and interest) were $524,568,718. Ambac Assurance is a wholly-owned subsidiary of Ambac Financial Group, Inc., a holding company whose subsidiaries provide financial guarantee products and financial services to clients in both the public and private sectors around the world.

          Ambac Assurance serves clients in international markets through its wholly-owned subsidiary Ambac Assurance UK Limited.

          Ambac Credit Products L.L.C., a wholly-owned subsidiary of Ambac Assurance, also provides credit protection in the form of structured credit derivatives. These structured credit derivatives require that Ambac Credit Products make payments upon the occurrence of certain defined credit events relating to an underlying obligation (generally a fixed income obligation).  Should a credit event occur, Ambac Credit Products would generally pay an amount equivalent to the difference between the par value and market value of the underlying obligation. Substantially all of Ambac Credit Product’s contracts are partially hedged with various financial institutions or structured with first loss protection.

          Ambac Assurance, as the sole limited partner, owns a limited partnership interest representing 90% of the total partnership interests of Ambac Financial Services, L.P., a limited partnership which provides interest rate swaps primarily to states, municipalities and their authorities. The sole general partner of Ambac Financial Services, Ambac Financial Services Holdings, Inc., a wholly-owned subsidiary of Ambac Financial Group, owns a general partnership interest representing 10% of the total partnership interest in Ambac Financial Services.

          The accompanying consolidated unaudited interim financial statements have been prepared on the basis of accounting principles generally accepted in the United States of America (“GAAP”) and, in the opinion of management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for a fair presentation of Ambac Assurance’s financial condition, results of operations and cash flows for the periods presented. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported revenues and expenses during the reporting period. Actual results could differ from those estimates. The results of operations for the nine months ended September 30, 2002 may not be indicative of the results that may be expected for the full year ending December 31, 2002. These consolidated financial statements and notes should be read in conjunction with the financial statements and notes included in the

6

Ambac Assurance Corporation and Subsidiaries
Notes to Consolidated Unaudited Financial Statements (Continued)

audited consolidated financial statements of Ambac Assurance and its subsidiaries as of December 31, 2001 and 2000, and for each of the years in the three-year period ended December 31, 2001 which was filed with the Securities and Exchange Commission on March 26, 2002 as Exhibit 99.01 to Ambac Financial Group Inc.’s Form 10-K.

          The consolidated financial statements include the accounts of Ambac Assurance and each of its subsidiaries. All significant intercompany balances have been eliminated.

          Certain reclassifications have been made to prior period’s amounts to conform to the current period’s presentation.

          (2)     Accounting Standards

          In July 2001, the FASB issued SFAS Statement 142, “Goodwill and Other Intangible Assets”. SFAS 142 addresses the initial recognition and measurement of intangible assets either singly or within a group of assets, as well as the measurement of goodwill and other intangible assets subsequent to their initial acquisition. SFAS 142 changes the accounting for goodwill and intangible assets that have indefinite useful lives from an amortization approach to an impairment-only approach that requires that those assets be tested at least annually for impairment. Intangible assets that have finite useful lives will continue to be amortized over their useful lives, but without an arbitrary ceiling on their useful lives. Ambac adopted SFAS 142 effective January 1, 2002 and has determined that it has no impact on its consolidated results of operations and financial position.

          In August 2001, the FASB issued SFAS Statement 143, “Accounting for Asset Retirement Obligations”(“SFAS 143”.)  SFAS 143 requires companies to record the fair value of an asset retirement obligation as a liability in the period in which it incurs a legal obligation associated with the retirement of tangible long-lived assets that result from the acquisition, construction, development and/or normal use of the assets.  Companies also record a corresponding asset which is depreciated over the life of the asset.  Subsequent to the initial measurement of the asset retirement obligation, the obligation is adjusted at the end of each period to reflect the passage of time and changes in the estimated future cash flows underlying the obligation.  Ambac Assurance is required to adopt SFAS 143 on January 1, 2003. Ambac Assurance does not anticipate that SFAS will have a material impact on the consolidated financial statements.

           In October 2001, the FASB issued SFAS Statement 144, “Accounting for the Impairment or Disposal of Long-Lived Assets”(“SFAS 144”.)  SFAS 144 addresses financial accounting and reporting for the impairment or disposal of long-lived assets.  This Statement requires that long-lived assets be reviewed for impairment whenever events or changes in circumstances indicate that the carrying amount of an asset may not be recoverable. SFAS Statement 144 requires companies to separately report discontinued operations and extends that reporting to a component of an entity that either has been disposed of (by sale, abandonment, or in a distribution to owners) or is classified as held for sale. Assets to be disposed of are reported at the lower of the carrying amount or fair value less cost to sell. Ambac adopted SFAS 144 effective January 1, 2002. This statement did not have an effect on Ambac Assurance’s consolidated financial statements for the nine months ended September 30, 2002 results.