Ultra Series Fund | December 31, 2012

Table of Contents

		Page
Management’s Discussion of Fund Performance
2012 in Review		2
Outlook		3
Conservative Allocation Fund		4
Moderate Allocation Fund		6
Aggressive Allocation Fund		8
Money Market Fund		10
Bond Fund		12
High Income Fund		14
Diversified Income Fund		16
Large Cap Value Fund		18
Large Cap Growth Fund		20
Mid Cap Fund		22
Small Cap Fund		24
International Stock Fund		26
Madison Target Retirement 2020 Fund		28
Madison Target Retirement 2030 Fund		30
Madison Target Retirement 2040 Fund		32
Madison Target Retirement 2050 Fund		34
Notes to Management’s Discussion of Fund Performance		36

Portfolios of Investments
Conservative Allocation Fund		38
Moderate Allocation Fund		39
Aggressive Allocation Fund		40
Money Market Fund		41
Bond Fund		43
High Income Fund		46
Diversified Income Fund		49
Large Cap Value Fund		52
Large Cap Growth Fund		53
Mid Cap Fund		55
Small Cap Fund		56
International Stock Fund		58
Madison Target Retirement 2020 Fund		60
Madison Target Retirement 2030 Fund		61
Madison Target Retirement 2040 Fund		62
Madison Target Retirement 2050 Fund		63

Financial Statements
Statements of Assets and Liabilities		64
Statements of Operations		67
Statements of Changes in Net Assets		70
Financial Highlights		76
Notes to Financial Statements		92
Report of Independent Registered Public Accounting Firm		108
Other Information		109
Trustees and Officers		114

Nondeposit investment products are not federally insured, involve investment risk, may lose value and are not obligations of or guaranteed by any financial institution. For more complete information about Ultra Series Fund, including charges and expenses, request a prospectus from your financial advisor or from CMFG Life Insurance Company, 2000 Heritage Way, Waverly, IA 50677. Consider the investment objectives, risks, and charges and expenses of any fund carefully before investing. The prospectus contains this and other information about the investment company. For more current Ultra Series Fund performance information, please call 1-800-670-3600. Current performance may be lower or higher than the performance data quoted within. Past performance does not guarantee future results. Nothing in this report represents a recommendation of a security by the investment adviser. Portfolio holdings may have changed since the date of this report.

Ultra Series Fund | December 31, 2012

Management’s Discussion of Fund Performance

2012 IN REVIEW

The old adage that markets climb “a wall of worry” was demonstrated by domestic and international stock and bond markets in 2012. Despite signs of sluggish economic growth in the U.S., a recession in Europe, and slowing growth in the emerging markets, investors were well rewarded for holding stocks. The domestic stock market, as measured by the S&P 500, was up 16.0%, while the broad international market, as measured by the MSCI EAFE Index advanced 17.9%. The Russell Emerging Markets Index advanced 19.2%, and even investors in Europe found enough good news in the midst of a still-uncertain sovereign debt crisis to push stock valuations up strongly. The Morningstar Europe Stock Category showed mutual funds specializing in this region up 20.9% for the year. We believe the largest reason for these positive returns was the continued, unprecedented stimulus from the Federal Reserve and central banks around the world.

Stocks were not uniformly positive for the year, with a wide disparity of returns among U.S. Sectors. The Utilities Sector trailed with a loss of -2.9%, while the Financials Sector led the market with a 26.3% return, followed by the Consumer Discretionary Sector, with a 21.9% return. In general, more economically sensitive and lower-quality stocks rallied, while the more defensive sectors such as Utilities and Consumer Staples lagged the broader market. Lower demand and increased energy production, particularly in domestic natural gas, dampened commodity returns, with the S&P Energy Sector up just 2.3% for the year. In general, small and mid-cap stocks advanced in the same range as large stocks, while value stocks had a slight advantage over similarly sized stocks classified as “growth.”

Bond investors enjoyed positive returns, with the most conservative short-term government issuances producing minor advances, while riskier long-term and lower-quality bonds flourished. The bond markets were led by high-yield bonds, which tend to move in tandem with the stock markets. The Barclays High-Yield Bond Index was up 15.8%, the broader Barclay’s Corporate Bond Index advanced 9.8%, while the thin-yielding U.S. Treasuries showed a more modest 2.0% gain, as measured by Barclays U.S. Treasury Bond Index.

While investment returns were heartening to investors, the journey was uneven. Headlines seemed to provide an endless stream of uncertainties from around the world. The most potent of these influences was the sovereign debt crisis in Europe. Worries over the possible default of debt by the most economically troubled countries in southern Europe took the steam out of the year’s first quarter rally, as the S&P 500 dipped -9.6% between April 2 and June 1 when perceived progress on resolving Greece’s debt crisis fueled a rally. The S&P 500 advanced 15.4% between June 1 and September 14, as confidence rose for a positive resolution in Europe, fueled by European Central bank President Mario Draghi’s July statement that he would do “whatever it takes” to hold the Eurozone together. As the year progressed the nation’s attention turned away from Europe to the presidential election and only late in the period did investors begin to focus on the so-called “fiscal cliff.” The January 2013 deadline for automatic shifts to higher taxes and lower spending was partially fended off with a late-December, last-minute compromise which came too late to make up for the stock market’s December losses in response to nervousness regarding the pending fiscal cliff.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

OUTLOOK

While optimism prevailed in 2012, we believe that the market may be overlooking the wide variety of risks that remain unresolved. These include worldwide credit issues, the upcoming battle over the domestic debt ceiling, and the possibility that the Federal Reserve may begin to shift its long-standing policy of near-zero rates. A sign that the “risk on” trade prevailed in 2012 was the rally in the stocks of speculative and highly leveraged companies, matched in the bond market by the preference for long-term and low-quality issuance. This risk concern shouldn’t suggest that we recommend shifting sensible asset allocation strategies. Instead, we believe investors should consider rebalancing portfolios and examining the underlying risks of their holdings.

In stocks, we remain convinced that fundamentals continue to count, and investors may benefit from owning solid companies with the ability to potentially produce strong results in all kinds of environments.

In bonds, we anticipate the 10-year Treasury yield will fluctuate in a much wider range than experienced in 2012 and volatility will increase. We believe the high corporate bond valuations have largely run their course and anticipate increased volatility in 2013 as demand for corporate bonds transitions to more normal levels, especially if investors begin to rebalance their portfolios to a more normal stock allocation. We estimate investment-grade bond returns in 2013 may equal the yield to maturity, and at worst believe a moderate increase in rates could challenge returns in 2013. As a result, we encourage investors to look beyond the broad classification such as “bond” to see what sort of interest-rate and credit risks they may be holding. Our outlook suggests that risk-averse investors with an interest in capital preservation should focus on higher-quality, and lower to intermediate maturity issues to mitigate the potential damages of rising rates or lower valuations on corporate bonds.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

CONSERVATIVE ALLOCATION FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Conservative Allocation Fund invests primarily in shares of registered investment companies (the “underlying funds”). The fund will be diversified among a number of asset classes and its allocation among underlying funds will be based on an asset allocation model developed by Madison Asset Management, LLC (“Madison”), the fund’s investment adviser.

The team may use multiple analytical approaches to determine the appropriate asset allocation, including, but not limited to:

•	Asset allocation optimization analysis – considers the degree to which returns in different asset classes do or do not move together, and the fund’s aim to achieve a favorable overall risk profile for any targeted portfolio return.
•	Scenario analysis – historical and expected return data is analyzed to model how individual asset classes and combinations of asset classes would affect the fund under different economic and market conditions.
•	Fundamental analysis – draws upon Madison’s investment teams to judge each asset class against current and forecasted market condi-tions. Economic, industry and security analysis is used to develop return and risk expectations that may influence asset class selection.

In addition, Madison employs a risk management sleeve within the fund for the purpose of risk reduction when and if conditions exist that require reduction of equity exposure.

PERFORMANCE HISTORY

Cumulative Performance of $10,000 Investment Since Inception^1,2

Average Annual Total Return through December 31, 2012^1,2

	1 Year		3 Years		5 Years		Since 6/30/06 Inception		Since 5/1/09 Inception

Ultra Series Conservative Allocation, Class I	8.98	%	6.80	%	3.15	%	4.15	%	—
Ultra Series Conservative Allocation, Class II	8.71		6.53		—		—		9.38	%
Conservative Allocation Fund Custom Index	8.75		7.98		4.91		6.02		11.46
Bank of America Merrill Lynch US Corp, Govt & Mortg Index	4.43		6.24		6.03		6.54		6.46

See accompanying Notes to Management’s Discussion of Fund Performance.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

Conservative Allocation Fund (concluded)

PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/12

Bond Funds	60	%
Foreign Bond Funds	6	%
Stock Funds	26	%
Foreign Stock Funds	6	%
Money Market Funds and Other Net Assets	2	%

PERFORMANCE DISCUSSION

For the twelve-month period ended December 31, 2012, the Conservative Allocation Fund returned 8.98% (Class I Shares), while the custom blended Conservative Allocation benchmark returned 8.75%. While the fund beat its blended benchmark, it finished behind the Morningstar Conservative Allocation Category average return of 9.40%. We believe outperformance against the benchmark was a result of strong manager performance within the fixed income holdings and an overweight position to corporate bonds. In general, our allocation and manager selection leaned toward lower-risk, which we believe made a difference when compared to the Morningstar peer group in a year in which riskier assets showed a large gap over more conservative securities.

FUND CHANGES

After beginning the year with a modest underweight to equities, the fund ended the year roughly neutral relative to its benchmark. Our confidence to increase equities was underpinned by improved economic data and massive global central bank liquidity measures. In the middle of the year, we began to increase foreign equity exposure. This came on the heels of decisive action by Mario Draghi and the European Central Bank, which we believed removed much of the near-term tail risk from the European markets. However, the fund still remains underweight in comparison to its benchmark in foreign equities as we believe risks from Europe are still very much present. Late in the year, we began to materially reduce the level of both investment grade and high yield credit in the fund. We believe the credit markets have become fully valued and wanted to profit from these investments and dampen the risk level of the fixed income holdings. Finally, throughout the year we opportunistically increased exchange traded fund (“ETF”) holdings to better align the underlying cost structure and upside participation level of the fund.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

MODERATE ALLOCATION FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Moderate Allocation Fund invests primarily in shares of registered investment companies (the “underlying funds”). The fund will be diversified among a number of asset classes and its allocation among underlying funds will be based on an asset allocation model developed by Madison Asset Management, LLC (“Madison”), the fund’s investment adviser.

The team may use multiple analytical approaches to determine the appropriate asset allocation, including, but not limited to:

•	Asset allocation optimization analysis – considers the degree to which returns in different asset classes do or do not move together, and the fund’s aim to achieve a favorable overall risk profile for any targeted portfolio return.
•	Scenario analysis – historical and expected return data is analyzed to model how individual asset classes and combinations of asset classes would affect the fund under different economic and market conditions.
•	Fundamental analysis – draws upon Madison’s investment teams to judge each asset class against current and forecasted market conditions. Economic, industry and security analysis is used to develop return and risk expectations that may influence asset class selection.

In addition, Madison employs a risk management sleeve within the fund for the purpose of risk reduction when and if conditions exist that require reduction of equity exposure.

PERFORMANCE HISTORY

Cumulative Performance of $10,000 Investment Since Inception^1,2

Average Annual Total Return through December 31, 2012^1,2

	1 Year		3 Years		5 Years		Since 6/30/06 Inception		Since 5/1/09 Inception

Ultra Series Moderate Allocation, Class I	10.54	%	7.52	%	0.90	%	3.01	%	—
Ultra Series Moderate Allocation, Class II	10.26		7.26		—		—		10.99	%
Moderate Allocation Fund Custom Index	11.94		8.55		3.55		5.28		14.75
S&P 500 Index	16.00		10.87		1.66		4.01		16.77

See accompanying Notes to Management’s Discussion of Fund Performance.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

Moderate Allocation Fund (concluded)

PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/12

Bond Funds	37	%
Foreign Bond Funds	3	%
Stock Funds	47	%
Foreign Stock Funds	11	%
Money Market Funds and Other Net Assets	2	%

PERFORMANCE DISCUSSION

For the twelve-month period ended December 31, 2012, the Moderate Allocation Fund returned 10.54% (Class I Shares), while the custom blended Moderate Allocation benchmark returned 11.94%. The fund also trailed the Morningstar Moderate Allocation Category average return of 11.72%. In a year of strong equity returns, the fund was hurt by an underweight position to equities at the start of the period, even as it ended the year roughly neutral relative to its benchmark. We also underweighted foreign equities in a year in which the broad international indices were stronger than the domestic indices. Our confidence to increase equities was underpinned by improved economic data and massive global central bank liquidity measures.

FUND CHANGES

In the middle of the year, we began to increase foreign equity exposure. This came on the heels of decisive action by Mario Draghi and the European Central Bank, which we believed removed much of the near-term tail risk from the European markets. However, the fund still remains underweight in comparison to our benchmark in foreign equities as we believe risks from Europe are still very much present. Late in the year, we began to materially reduce the level of both investment grade and high yield credit in the fund. We believe that the credit markets have become fully valued and wanted to profit from these investments and dampen the risk level of the fixed income holdings. Finally, throughout the year we opportunistically increased exchange traded fund (“ETF”) holdings to better align the underlying cost structure and upside participation level of the fund.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

AGGRESSIVE ALLOCATION FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Aggressive Allocation Fund invests primarily in shares of registered investment companies (the “underlying funds”). The fund will be diversified among a number of asset classes and its allocation among underlying funds will be based on an asset allocation model developed by Madison Asset Management, LLC (“Madison”), the fund’s investment adviser.

The team may use multiple analytical approaches to determine the appropriate asset allocation, including, but not limited to:

•	Asset allocation optimization analysis – considers the degree to which returns in different asset classes do or do not move together, and the fund’s aim to achieve a favorable overall risk profile for any targeted portfolio return.
•	Scenario analysis – historical and expected return data is analyzed to model how individual asset classes and combinations of asset classes would affect the fund under different economic and market conditions.
•	Fundamental analysis – draws upon Madison’s investment teams to judge each asset class against current and forecasted market conditions. Economic, industry and security analysis is used to develop return and risk expectations that may influence asset class selection.

In addition, Madison employs a risk management sleeve within the fund for the purpose of risk reduction when and if conditions exist that require reduction of equity exposure.

PERFORMANCE HISTORY

Cumulative Performance of $10,000 Investment Since Inception^1,2

Average Annual Total Return through December 31, 2012^1,2

	1 Year		3 Years		5 Years		Since 6/30/06 Inception		Since 5/1/09 Inception

Ultra Series Aggressive Allocation, Class I	11.34	%	7.53	%	-1.29	%	1.97	%	—
Ultra Series Aggressive Allocation, Class II	11.06		7.27		—		—		12.56	%
Aggressive Allocation Fund Custom Index	15.18		8.56		1.71		4.21		17.77
S&P 500 Index	16.00		10.87		1.66		4.01		16.77

See accompanying Notes to Management’s Discussion of Fund Performance.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

Aggressive Allocation Fund (concluded)

PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/12

Bond Funds	13	%
Foreign Bond Funds	1	%
Stock Funds	67	%
Foreign Stock Funds	18	%
Money Market Funds and Other Net Assets	1	%

PERFORMANCE DISCUSSION

For the twelve-month period ended December 31, 2012, the Aggressive Allocation Fund returned 11.34% (Class I Shares), while the custom blended Aggressive Allocation benchmark return of 15.18%. The fund’s performance also trailed the Morningstar Aggressive Allocation Category average return of 13.42%. Underperformance was largely a result of our underweighting to equities during the first months of the year versus the benchmark during a very strong, double-digit quarter. Additionally, weak relative returns in the fund’s core U.S. equities provided a drag on performance. In general, these results reflect the fund’s overall risk posture. We believe that even an aggressive allocation fund should be constructed to have lower volatility than a pure equity portfolio. This philosophy does have the potential to constrain performance when worldwide equities are not only up strongly, but favor lower-quality, speculative companies as was the case in 2012.

FUND CHANGES

After beginning the year with a modest underweight to equities, the fund ended the year roughly neutral relative to its benchmark. Our confidence to increase equities was underpinned by improved economic data and massive global central bank liquidity measures. In the middle of the year, we began to increase foreign equity exposure. This came on the heels of decisive action by Mario Draghi and the European Central Bank, which we believed removed much of the near-term tail risk from the European markets. By the end of the year, the fund’s overall international equity allocation moved to roughly neutral relative to the benchmark, although the fund still remains underweight European equities. Finally, late in the year we began to materially reduce the level of both investment grade and high yield credit in the fund. We believe that the credit markets have become fully valued and wanted to profit from these investments and dampen the risk level of the fixed income holdings. Finally, throughout the year we opportunistically increased exchange traded fund (“ETF”) holdings to better align the underlying cost structure and upside participation level of the fund.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

MONEY MARKET FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Money Market Fund invests exclusively in U.S. dollar-denominated money market securities maturing in thirteen months or less from the date of purchase. These securities will be obligations of the U.S. Government and its agencies and instrumentalities, but may also include securities issued by U.S. and foreign financial institutions, corporations, municipalities, foreign governments, and multi-national organizations, such as the World Bank. The fund may invest in mortgage-backed and asset-backed securities, including those representing pools of mortgage, commercial, or consumer loans originated by credit unions or other financial institutions.

PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/12

Federal Farm Credit Bank	5	%
Fannie Mae	17	%
Federal Home Loan Bank	23	%
Freddie Mac	22	%
U.S. Treasury Notes	8	%
Commercial Paper	19	%
Cash and Other Net Assets	6	%

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

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Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

BOND FUND

INVESTMENT STRATEGY HIGHLIGHTS

Under normal circumstances, the Ultra Series Bond Fund invests at least 80% of its assets in bonds. To keep current income relatively stable and to limit share price volatility, the fund emphasizes investment grade securities and maintains an intermediate (typically 3-6 year) average portfolio duration (a measure of a security’s price sensitivity to changes in interest rates). The fund also strives to minimize risk in the portfolio by making strategic decisions relating to credit risk and yield curve outlook. The fund may invest in corporate debt securities, U.S. Government debt securities, foreign government debt securities, non-rated debt securities, and asset-backed, mortgage-backed and commercial mortgage-backed securities.

PERFORMANCE HISTORY

Cumulative Performance of $10,000 Investment Since Inception¹

Average Annual Total Return through December 31, 2012¹

	1 Year		3 Years		5 Years		10 Years		Since 5/1/09 Inception

Ultra Series Bond, Class I	3.21	%	5.28	%	5.03	%	4.31	%	—
Ultra Series Bond, Class II	2.96		5.02		—		—		5.63	%
Bank of America Merrill Lynch US Corp, Govt & Mortg Index	4.43		6.24		6.03		5.26		6.46

See accompanying Notes to Management’s Discussion of Fund Performance.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

Bond Fund (concluded)

PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/12

Asset Backed	1	%
Corporate Notes and Bonds	28	%
Mortgage Backed	16	%
U.S. Government and Agency Obligations	51	%
Cash and Other Net Assets	4	%

PERFORMANCE DISCUSSION

For the twelve-month period ended December 31, 2012, the Ultra Series Bond Fund returned 3.21% (Class I shares), while the Bank of America Merrill Lynch U.S. Corp. Government & Mortgage Index returned 4.43%. The most important factor for the underperformance was a significant underweighting to banks and to financials in general. The banking sector earned an excess return over Treasuries of more than 13% which was almost as high a return as the high yield market in 2012. Sector allocation relative to this sector helps explain performance in 2012. Fund performance was also modestly hurt by an underweighting to the mortgage sector and by its relatively shorter duration in a declining rate environment. The performance was positively impacted by an overweighting of corporate bonds in general and BBB rated securities in particular. It also benefitted from individual security selection in that a number of investments such as Transocean Inc. and Westvaco Corp. were perceived as improving. Sector allocation and duration remained stable throughout the period.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

HIGH INCOME FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series High Income Fund invests primarily in lower-rated, higher-yielding income bearing securities, such as “junk” bonds. Because the performance of these securities has historically been strongly influenced by economic conditions, the fund may emphasize security selection in business sectors that favor the economic outlook. Under normal market conditions, the fund invests at least 80% of its assets in bonds rated lower than investment grade (BBB/Baa) and their unrated equivalents or other high-yielding securities.

PERFORMANCE HISTORY

Cumulative Performance of $10,000 Investment Since Inception¹

Average Annual Total Return through December 31, 2012¹

	1 Year		3 Years		5 Years		10 Years		Since 5/1/09 Inception

Ultra Series High Income, Class I	11.23	%	9.28	%	8.36	%	8.23	%	—
Ultra Series High Income, Class II	10.95		9.01		—		—		12.12	%
Bank of America Merrill Lynch US High Yield Master II, Constrained	15.55		11.54		10.14		10.38		18.54

See accompanying Notes to Management’s Discussion of Fund Performance.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

High Income Fund (concluded)

SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/12

Consumer Discretionary^†	35	%
Consumer Staples	6	%
Energy	14	%
Financials	3	%
Health Care	9	%
Industrials	7	%
Information Technology	3	%
Materials	9	%
Telecommunication Services	6	%
Utilities	2	%
Cash and Other Net Assets	6	%

^†Consumer Discretionary includes securities in the following industries: auto components; automobiles; hotels, restaurants & leisure; household durables; media; specialty retail; and textiles, apparel & luxury goods.

PERFORMANCE DISCUSSION

The Ultra Series High Income Fund was more conservative and less volatile than the overall high yield market during 2012. The fund produced a return of 11.23% (Class I shares), underperforming the Bank of America Merrill Lynch U.S. High Yield Master II Constrained Index (HUCO), which returned 15.55%. Being underweight the Financials Sector was a key detractor, as was negative selection within the Telecommunication Services Sector. However, being underweight the Energy Sector contributed strongly to performance, as did positive selection within the Utilities Sector.

The high-yield bond market rallied strong through most of 2012, capping off a banner year in which overwhelmingly positive technical forces and strong fundamentals herded yield-hungry investors to the high yield bond market’s relative value in a low-interest rate environment. We believe high yield was a direct beneficiary of the U.S. Federal Reserve’s latest round of quantitative easing and near-zero interest rate policies, which drove investors to purchase riskier assets and issuers to capitalize on the favorable market conditions. While 15% returns for 2013 are unlikely, we believe the market is well positioned to continue on a strong path. Demand for high yield remained solid through the fourth quarter and showed little sign of slowing. With anemic economic growth, an entrenched low-interest rate environment, modest defaults and strong corporate balance sheets, high yield seems well positioned heading into 2013.

FUND CHANGES

The fund was selectively active as we increased exposure in more stable credits with higher earnings predictability and reduced holdings of volatile components. For the year, there were 130 purchases aggregating $45.3 million and 183 sales totaling $50.8 million. In terms of new issues, the fund participated in 48 new deals. We increased sector allocations in Oil & Gas, Media-Cable, and Automotive while reducing holdings in Utilities, Telecommunication Services and Media-Diversified & Services. The portfolio also shifted towards higher ratings categories, with a roughly 1% increase in B rated bonds and 1% decrease in CCC rated exposure. As such, the portfolio’s ratings weightings were 33% in BB rated bonds, 48% in B rated bonds and 13% in CCC rated bonds. Also, as of year-end, the fund had fully exited all convertible bond positions.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

DIVERSIFIED INCOME FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Diversified Income Fund seeks income by investing in a broadly diversified array of securities including bonds, common stocks, real estate securities, foreign market bonds and stocks and money market instruments. Bonds, stock and cash components will vary, reflecting the portfolio managers’ judgments of the relative availability of attractively yielding and priced stocks and bonds. Generally, however, bonds will constitute up to 80% of the fund’s assets, stocks will constitute up to 60% of the fund’s assets, real estate securities will constitute up to 25% of the fund’s assets, foreign stocks and bonds will constitute up to 25% of the fund’s assets and money market instruments may constitute up to 25% of the fund’s assets. The fund intends to limit the investment in lower credit quality bonds to less than 50% of the fund’s assets. The balance between the two strategies of the fund (fixed income and equity investing) is determined after reviewing the risks associated with each type of investment, with the goal of meaningful risk reduction as market conditions demand. The fund typically sells a stock when the fundamental expectations for producing competitive yields at an acceptable level of price risk no longer apply, the price exceeds the intrinsic value or other stocks appear more attractive.

PERFORMANCE HISTORY

Cumulative Performance of $10,000 Investment Since Inception¹

Average Annual Total Return through December 31, 2012¹

	1 Year		3 Years		5 Years		10 Years		Since 5/1/09 Inception

Ultra Series Diversified Income, Class I	8.16	%	9.33	%	4.66	%	6.41	%	—
Ultra Series Diversified Income, Class II	7.89		9.06		—		—		11.36	%
Custom Blended Index (50% Fixed, 50% Equity)	10.24		8.90		4.31		6.49		11.85
S&P 500 Index	16.00		10.87		1.66		7.10		16.77
Bank of America Merrill Lynch US Corp, Govt & Mortg Index	4.43		6.24		6.03		5.26		6.46

See accompanying Notes to Management’s Discussion of Fund Performance.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

Diversified Income Fund (concluded)

PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/12

Common Stocks	55	%
Corporate Notes and Bonds	16	%
Mortgage Backed	7	%
U.S. Government and Agency Obligations	18	%
Cash and Other Net Assets	4	%

PERFORMANCE DISCUSSION

During the twelve-month period, the Diversified Income Fund gained 8.16% (Class I Shares), while the Custom Blended Index returned 10.24%. The S&P 500 Index of large-cap stocks returned 16.00%, and the broad bond market returned 4.43% as measured by the Bank of America Merrill Lynch U.S. Corporate, Government & Mortgage Index. The portfolio was conservatively positioned during the period, with approximately 55% of the fund invested in mature dividend-paying stocks and 45% in bonds. The fund’s stock portfolio did not keep up with the market as measured by the S&P 500 Index. Compared to the S&P 500 Index, sector allocation was positive due mainly to the fund’s underweight position in Technology, while stock selection was detractive with the largest impact from underperforming stocks in Technology, Health Care and Industrial Sectors. Intel and Broadridge Financial Solutions hurt results in Technology, while Johnson & Johnson, Merck and Medtronic negatively impact performance in Health Care. Within Industrials, Norfolk Southern and UPS lagged. On the positive side, Ensco, Diageo and Time Warner contributed positively to returns.

The bond portion of the fund contributed positively to overall fund performance, but did not pace the overall market as measured by the Bank of America Merrill Lynch U.S. Corporate, Government & Mortgage Index. The market heavily favored lower quality and longer bonds, the areas of the market subject to the greatest potential volatility. During the annual period, Barclays measured the top-rated intermediate-term corporate bonds (AAA) advancing 3.19% while the lowest-rated segment (CA-D) rose 27.61%. The fund is managed with an emphasis on risk control and the goal of moderating losses in a down market. As a result, the fund held shorter bonds and higher quality issuance, areas which had modest returns in a year in which more speculative issues with higher yields were preferred.

FUND CHANGES

Stock sector allocation was generally stable through this period, even as we made a number of portfolio changes. We sold Broadridge and Norfolk Southern due to worries about sub-par earnings growth related to a lack of pricing power. The other stocks mentioned above appear to us to have solid prospects and we continue to hold them. We will look to add on weakness or fundamental improvement. We have maintained a conservative posture on the bond side, believing that the long bull market in bonds has squeezed the bulk of the value out of this sector. Our strategy is to emphasize capital preservation, giving us the ability to add yield should the opportunity arise.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

LARGE CAP VALUE FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Large Cap Value Fund will, under normal market conditions, invest primarily in large cap stocks. The fund follows a “value” approach, meaning the portfolio managers seek to invest in stocks at prices below their perceived intrinsic value as estimated based on fundamental analysis of the issuing company and its prospects. By investing in value stocks, the fund attempts to limit the downside risk over time but may also produce smaller gains than other stock funds if their intrinsic values are not realized by the market or if growth-oriented investments are favored by investors. The fund will diversify its holdings among various industries and among companies within those industries. The fund typically sells a stock when the fundamental expectations for buying it no longer apply, the price exceeds its intrinsic value or other stocks appear more attractively priced relative to their intrinsic values.

PERFORMANCE HISTORY

Cumulative Performance of $10,000 Investment Since Inception¹

Average Annual Total Return through December 31, 2012¹

	1 Year		3 Years		5 Years		10 Years		Since 5/1/09 Inception

Ultra Series Large Cap Value, Class I	11.82	%	9.15	%	-0.56	%	5.83	%	—
Ultra Series Large Cap Value, Class II	11.55		8.88		—		—		14.19	%
Russell 1000 Value Index	17.51		10.86		0.59		7.38		16.81

See accompanying Notes to Management’s Discussion of Fund Performance.

PERFORMANCE DISCUSSION

The Ultra Large Cap Value Fund returned 11.82% (Class I Shares) for the annual period. During the twelve-month period ended December 31, 2012, large-cap value stocks demonstrated somewhat better performance than the robust returns of the overall market. With the S&P 500 up 16.00%, the S&P 500 Value Index rose 17.76% and the Russell 1000® Value Index rose 17.51%. While we were pleased to deliver double-digit returns to shareholders, the fund’s return of 11.82% was disappointing in light of the strength in the value indices. However, the underperformance in 2012 was very much in line with the outperformance in 2011. This is an often-observed market pattern of market

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

Large Cap Value Fund (concluded)

SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/12

	Fund		Russell 1000® Value Index
Consumer Discretionary	9	%	8	%
Consumer Staples	10	%	7	%
Energy	14	%	16	%
Financials^†	26	%	28	%
Health Care	17	%	12	%
Industrials	12	%	9	%
Information Technology	4	%	6	%
Materials	3	%	4	%
Telecommunication Services	1	%	3	%
Utilities	—	%	7	%
Cash and Other Net Assets	4	%	—	%

^†Financials includes securities in the following industries: capital markets; commercial banks; insurance; and real estate management & development.

fluctuation, as the stocks that outperform during one period revert back to the mean over the subsequent one.

The most important component of the fund’s underperformance was the relative returns across the quality spectrum. As measured by Merrill Lynch Quantitative Strategy, A+ and A-rated stocks each returned 10.4% while B-rated stocks were up 18.9% and the lowest-rated segment of C&D stocks returned 25.3%. We have a preference for stocks whose strong fundamentals put them in the higher quality categories.

Stock selection and sector allocation were also a relative drag on performance. The fund’s stocks underperformed their S&P Sectors in Industrial, Financials and Energy. While we have great confidence in insurance holding Markel, it was punished for an acquisition which we believe will turn out to be profitable. While Markel contributed to the financial underperformance, the greater impact came from not owning what we believe to be the riskier, credit-sensitive banks. Other lagging stocks included Norfolk Southern and UPS in Industrials and Canadian Natural Resources and Occidental in Energy.

We continue to find value in stocks that have above-average dividend yields and that are likely to provide dividend growth. These stocks make up 75% of the Large Cap Value portfolio. We have a favorable outlook for this group of blue chip, dividend-paying stocks. The average yield of stock held in the portfolio at year-end was 2.5%, higher than the yield on the S&P 500 of 2.1% and the 10-year Treasury bond yield of 1.8%. High dividend stocks have historically been more resilient in times of stress and sharply dropping markets, which makes the Large-Cap Value portfolio particularly attractive to investors who want the growth potential of stocks, but have concerns regarding downside volatility.

FUND CHANGES

Over the course of the year the fund did not undergo any major strategic or sector shifts. Weighting in the top-performing Financials Sector was up 2.6%, Health Care was up 2.8% and Consumer Discretionary was up 2.9%. The weighting in Technology fell -3.5%, Utilities decreased -2.8% as we stepped out of the sector entirely, and Telecommunication Services fell -1.2%. Among the new issues in the portfolio were Health Care stock Becton Dickinson, and Consumer Discretionary holding Viacom. We sold Broadridge Financial Solutions, IBM and Paychex out of Information Technology, added Accenture and Automatic Data Processing, and trimmed positions in Intel and Microsoft. In exiting the Utilities Sector we sold Exelon and First Energy.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

LARGE CAP GROWTH FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Large Cap Growth Fund invests primarily in common stocks of larger companies and will, under normal market conditions, maintain at least 80% of its assets in large cap stocks. The fund follows a “growth” approach, meaning the portfolio managers seek stocks that have low market prices relative to their perceived growth capabilities as estimated based on fundamental analysis of the issuing companies and their prospects. The fund typically seeks higher earnings growth capabilities in the stocks it purchases, and may include some companies undergoing more significant changes in their operations or experiencing significant changes in their markets. The fund will diversify its holdings among various industries and among companies within those industries. The fund has an active trading strategy which will lead to more portfolio turnover than a more passively-managed fund. The fund typically sells a stock when the fundamental expectations for buying it no longer apply, the price exceeds its perceived value or other stocks appear more attractively priced relative to their prospects.

PERFORMANCE HISTORY

Cumulative Performance of $10,000 Investment Since Inception¹

Average Annual Total Return through December 31, 2012¹

	1 Year		3 Years		5 Years		10 Years		Since 5/1/09 Inception

Ultra Series Large Cap Growth, Class I	11.20	%	7.21	%	1.32	%	6.43	%	—
Ultra Series Large Cap Growth, Class II	10.93		6.94		—		—		12.56	%
Russell 1000® Growth Index	15.26		11.35		3.12		7.52		17.40

See accompanying Notes to Management’s Discussion of Fund Performance.

PERFORMANCE DISCUSSION

For the twelve-month period ended December 31, 2012 the Large Cap Growth Fund returned 11.20% (Class I Shares), while the Russell 1000® Growth Index returned 15.26%. We were disappointed by this relative return, which was handicapped by the outperformance of lower-quality stocks over higher-quality companies and underperformance in individual stock selection.

From a sector attribution perspective, the fund’s two largest detractors were Health Care and Information Technology. Health Care as a sector produced above-benchmark results for the period, with particular strength in the biotech

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

Large Cap Growth Fund (concluded)

SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/12

	Fund		Russell 1000® Growth Index
Consumer Discretionary	17	%	17	%
Consumer Staples	8	%	12	%
Energy	5	%	4	%
Financials	5	%	5	%
Health Care	10	%	12	%
Industrials	12	%	13	%
Information Technology^†	33	%	31	%
Materials	4	%	4	%
Telecommunication Services	2	%	2	%
Utilities	—	%	—	%
Cash and Other Net Assets	4	%	—	%

^†Information Technology includes securities in the following industries: communications equipment; computers and peripherals; electrical equipment; internet software & services; IT services; semiconductors & semiconductor equipment; and software.

area. The fund’s biotech holdings produced positive returns, but did not include the sector leaders. For instance, the portfolio’s largest biotech holding was Celgene, one of the five largest domestic biotech firms. It returned 16.08% in 2012, while the average return of the other top four largest biotechs, none of which were held by the fund, was 46.92%. We believe this leaves Celgene with unrealized upside potential in upcoming quarters.

The technology holdings in the Russell 1000® Growth benchmark advanced 17.52%, ahead of the overall return of the boarder Russell 1000® Index’s 16.42%. The portfolio had some strong stocks in this area, including Apple. However, the fund had two disappointing holdings, Sandisk and MICROS Systems. Sandisk is a flash memory company whose products appear in tablets and smart phones. Excess industry-wide capacity restrained expected pricing advances. Micros, a provider of hotel and restaurant reservation systems, is one of our higher conviction holdings. The stock dropped over the course of the year as the hospitality industry continued to struggle in the slow-growth economic climate, depressing sales of new product.

The fund had strong relative performance in Consumer Staples and Energy, producing returns above the Index sectors of 0.75% and 0.60% respectively. In Consumer Staples Hershey was additive as it gained almost 20% for the year. The fund’s holding in Petrobras, a Brazilian based international oil company, was also additive to performance.

Finally, the fund began the year with exposure to several smaller companies which appeared poised for strong returns. This strategy did not work as planned. For instance, Acme Packet, a technology company whose products are essential to the build-out of higher speed digital networks, received reduced orders from some major telecom companies and the stock price declined.

FUND CHANGES

With a recognition near mid-year that global growth was likely to remain tepid for some time, we reduced the fund’s exposure to economically sensitive, smaller companies. We deployed the proceeds into larger, higher-quality issues while sector diversification increased within the portfolio. Entering 2013, we believe the operating environment for companies should continue to be challenging, but absent another major unforeseen economic shock, can continue to produce selective opportunities for growth. Consequently, the fund remains focused on companies which have intrinsic reasons for driving success. For example, Google in the internet space, continues its innovation in global search and to maintain global leadership with its Android operating system for smart phones and tablets. Given expectations for the continued strength in mobile computing, the fund invested in a number of companies which continue to gain share from older ways of doing business, such as Nuance, the leading voice recognition company whose products are used in Apple’s Siri offering as well as in health care transcription services.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

MID CAP FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Mid Cap Fund generally invests in common stocks of midsize companies and will, under normal market conditions, maintain at least 80% of its assets in mid cap securities. However, the fund will not automatically sell a stock because its market capitalization has changed and such positions may be increased through additional purchases. The fund seeks attractive long-term returns through bottom-up security selection based on fundamental analysis in a diversified portfolio of high-quality growth companies with attractive valuations. These will typically be industry leading companies in niches with strong growth prospects. The fund’s portfolio managers believe in selecting stocks for the fund that show steady, sustainable growth and reasonable valuations. As a result, stocks of issuers that are believed to have a blend of both value and growth potential will be selected for investment. Stocks are generally sold when target prices are reached, company fundamentals deteriorate or more attractive stocks are identified.

PERFORMANCE HISTORY

Cumulative Performance of $10,000 Investment Since Inception¹

Average Annual Total Return through December 31, 2012¹
													Since
													5/1/09
	1 Year			3 Years			5 Years			10 Years			Inception

Ultra Series Mid Cap, Class I		16.24	%		13.41	%		2.67	%		8.53	%		—
Ultra Series Mid Cap, Class II		15.95			13.13			—			—			17.84	%
Russell Midcap Index		17.28			13.15			3.57			10.65			19.73

See accompanying Notes to Management’s Discussion of Fund Performance.

PERFORMANCE DISCUSSION

For the year ended December 31, 2012, the Mid Cap Fund gained 16.24% (Class I Shares), while the Russell Midcap® Index returned 17.28%. While the fund trailed the benchmark slightly, we were content with performance for the year, considering the market environment which favored riskier stocks over fundamentally solid ones. The strongest returns came from the market’s best returning sectors: Financials and Consumer Discretionary. The fund’s financials holdings, which emphasized insurance firms over credit-sensitive banks, did not keep up with the 24.1% return of the Russell Midcap® Index’s Financials Sector, but did contribute to the fund’s positive results second only to Consumer

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

Mid Cap Fund (concluded)

SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/12


				Russell
				Midcap^®
	Fund			Index
Consumer Discretionary		21	%		17	%
Consumer Staples		3	%		6	%
Energy		7	%		7	%
Financials		23	%		20	%
Health Care		8	%		10	%
Industrials		20	%		13	%
Information Technology		4	%		13	%
Materials		7	%		7	%
Telecommunication
Services		–			2	%
Utilities		–			5	%
Cash and Other Net Assets		7	%		–

Discretionary. The fund’s Consumer Discretionary holdings were mixed, but overall additive to performance. While the Energy Sector was relatively weak, with the Index sector up 7.2%, the fund’s Energy holdings saw relative strength. The fund lost ground to the Index in the Health Care and Technology Sectors. Among individual holdings, the largest contributions to return came from Brookfield Asset Management, Copart Inc. and M&T Bank. On the other hand, stocks which trailed the market’s return included technology holdings Micros Systems, Broadridge Financial Solutions and FLIR Systems, the latter two of which were sold during the course of the year.

FUND CHANGES

We made relatively few changes to the portfolio over the year, but did find some attractive opportunities. Examining two of these illustrates our bottom-up stock selection process. Expeditors International is a stock we purchased early in the fall and a good example of the sort of company we like to hold when valuations are attractive. We had an opportunity to purchase the company at 15 times forward earnings, excluding the cash on the balance sheet. We think of Expeditors as a travel agent for freight movement across the globe. In addition to shipping goods it provides other services such as distribution management, cargo insurance, and customs clearance. The business model is “asset light” since there is very little need for capital expenditures. The company has what we believe to be a solid balance sheet, with over six dollars a share in net cash, and a highly capable management team. Recent valuation has been compressed due to concerns over global growth and weak air travel and ocean travel volumes. We believe these are temporary issues and conditions will improve once the global macro-economy and global trade improve.

Another addition of the portfolio early in the fourth quarter was Crown Holding, a manufacturer of aluminum cans which are used for beverages, food products and other consumer products. The industry in which it participates is a global oligopoly, so there are just a few players. Management is shareholder friendly and has a track record of wise allocation of capital. Crown Holding has invested to build capacity in developing markets, particularly China and Brazil. These markets may generate higher returns on invested capital than developed markets, and future growth should be stronger. We believe this investment will pay off, going forward. We purchased the stock at what we calculate to be about 8.5 times future normalized free cash flow, which we believe was an attractive multiple.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

SMALL CAP FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Small Cap Fund invests primarily in a diversified mix of common stocks of small cap U.S. companies that are believed to be undervalued by various measures and offer sound prospects for capital appreciation. The portfolio managers employ a value-oriented investment approach in selecting stocks, using proprietary fundamental research to identify securities of companies they believe have attractive valuations. The portfolio managers focus on companies with a record of above average rates of profitability that sell at a discount relative to the overall small cap market. Through fundamental research, the portfolio managers seek to identify those companies that possess one or more of the following characteristics: sustainable competitive advantages within a market niche; strong profitability and free cash flows; strong market share positions and trends; quality of and share ownership by management; and financial structures that are more conservative than the relevant industry average.

PERFORMANCE HISTORY

Cumulative Performance of $10,000 Investment Since Inception¹

Average Annual Total Return through December 31, 2012¹
										Since			Since
										5/1/07			5/1/09
	1 Year			3 Years			5 Years			10 Years			Inception

Class I Shares		15.39	%		13.87	%		7.66	%		4.84	%		—
Class II Shares		15.10			13.59			—			—			19.60	%
Russell 2000® Index		16.35			12.26			3.56			2.17			17.91

See accompanying Notes to Management’s Discussion of Fund Performance.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

Small Cap Fund (concluded)

SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/12


				Russell
				Midcap^®
	Fund			Index
Consumer Discretionary		14	%		12	%
Consumer Staples		2	%		3	%
Energy		4	%		6	%
Financials		19	%		37	%
Health Care		11	%		4	%
Industrials^†		27	%		13	%
Information Technology		8	%		12	%
Materials		8	%		6	%
Telecommunication
Services		–			1	%
Utilities		4	%		6	%
Cash and Other Net Assets		3	%		–
^†Industrials includes securities in the following industries: aerospace & defense; air freight & logistics; commercial services & supplies; construction & engineering; electrical equipment; industrial conglomerates; machinery; marine; road & rail; and trading companies & distributors.

PERFORMANCE DISCUSSION

The Ultra Series Small Cap Fund returned 15.39% (Class I Shares) for the twelve-month period ended December 31, 2012, underperforming its benchmark, the Russell 2000® Index, which returned 16.35% for the same period.

Sector allocation, a residual of the bottom-up stock selection process, was a significant contributor to relative results primarily due to underweight exposure to the Energy and Information Technology sectors and an overweight exposure to the Industrials sector. Cash held during the period had a negative impact on relative results. Weak selection in the Financials, Materials, and Industrials sectors was partially offset by strong stock selection within Health Care, Energy, and Information Technology.

The fund’s largest contributors to relative and absolute performance during the period included retailer Stage Stores, contract research organization ICON, and Maximus, an outsourcing provider for government health and human services. Diversified industrial manufacturer Carlisle Companies was also among top contributors to absolute performance. The fund’s largest detractors from relative returns during the period included office supplier ACCO Brands, office product wholesaler United Stationers, and packaging company Aptargroup. PSS World Medical, a distributor of medical products and equipment to physi-cian offices and assisted living facilities, and Websense were also among the largest detractors from absolute returns during the period.

FUND CHANGES

The fund’s investment approach emphasizes individual stock selection; sector weights are a residual of our bottom-up investment process. The manager does, however, carefully consider diversification across economic sectors to limit risk. Based on bottom-up stock decisions, exposure to the Materials and Industrials Sectors increased during the period and exposure to the Financials and Consumer Discretionary Sectors fell. We initiated positions in Materials companies Innospec and Sensient Technologies. In Industrials, we initiated positions in Atlas Air Worldwide and Cubic. Within Financials, we eliminated positions in Delphi Financial Group, Alleghany, and Education Realty Trust. As of the end of the period, the fund was most overweight in the Industrials and Materials Sectors relative to the Russell 2000® Index, and most underweight in Information Technology. Based on our two- to three-year time horizon, we continue to find opportunities created by the inefficiencies frequently found among small-cap companies.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

INTERNATIONAL STOCK FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series International Stock Fund will invest, under normal market conditions, primarily in foreign equity securities. Typically, a majority of the fund’s assets are invested in relatively large capitalization stocks of companies located or operating in developed countries. The fund may also invest up to 30% of its assets in securities of companies whose principal business activities are located in emerging market countries. The portfolio managers typically maintain this segment of the fund’s portfolio in such stocks which it believes have a low market price relative to their perceived value based on fundamental analysis of the issuing company and its prospects. The fund may also invest in foreign debt and other income bearing securities at times when it believes that income bearing securities have greater capital appreciation potential than equity securities.

PERFORMANCE HISTORY

Cumulative Performance of $10,000 Investment Since Inception¹

Average Annual Total Return through December 31, 2012¹
													Since
													5/1/09
	1 Year			3 Years			5 Years			10 Years			Inception

Ultra Series International Stock, Class I		21.31	%		6.24	%		-1.20	%		9.35	%		—
Ultra Series International Stock, Class II		21.01			5.98			—			—			13.18	%
MSCI EAFE Index (net)		17.32			3.56			-3.69			8.21			11.81

See accompanying Notes to Management’s Discussion of Fund Performance.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

International Stock Fund (concluded)

SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/12

Africa	1	%
Europe (excluding United Kingdom)	42	%
Japan	15	%
Latin America	3	%
Pacific Basin	8	%
United Kingdom	23	%
Other Countries	6	%
Cash and Other Net Assets	2	%

PERFORMANCE DISCUSSION

The Ultra Series International Stock fund’s 21.31% return for the year bested the MSCI EAFE Index (net), which was up 17.32%.This strong performance was primarily driven by stock selection. Within the Materials Sector, James Hardie performed well on strong demand from a recovering U.S. housing industry. In the Information Technology Sector, Samsung continued to outperform on strong smart phone sales.

The fund was negatively impacted by the Financials Sector, as Credit Suisse Group underperformed following a report which called for a strengthening of its capital base. Stock selection in Japan also detracted from relative returns, as SoftBank declined following the announced acquisition of 70% of Sprint Nextel.

FUND CHANGES

During the period attractive stock-specific opportunities led to changes in the portfolio’s exposures. Additions included Bayer (Germany), Genomma Lab Internacional (Mexico) and Getinge (Sweden), increasing exposure to the Health Care Sector. Purchasing Red Electrica (Spain) and RWE (Germany) increased exposure to the Utilities Sector. The fund sold positions in AXA (France), Banco do Brasil (Brazil), QBE Insurance (Australia), and Credit Suisse Group (Switzerland), reducing exposure to the Financials Sector. Selling a position in Amadeus IT Holding (Spain) and trimming other existing positions lowered holdings in Information Technology stocks. From a regional perspective, exposure to emerging markets increased by purchasing the aforementioned Genomma Lab Internacional in addition to Mediclinic International (South Africa) and Bank Mandiri (Indonesia). Purchasing Bayer, Getinge, and RWE led to increased continental Europe exposure. Lastly, the sale of British Sky Broadcasting, GlaxoSmithKline, and International Power reduced UK exposure.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

MADISON TARGET RETIREMENT 2020 FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Target Retirement 2020 Fund invests primarily in shares of registered investment companies (the “underlying funds”) according to an asset allocation strategy developed by Madison Asset Management, LLC (“Madison”), the fund’s investment adviser, for investors planning to retire in or within a few years of 2020. Over time, the fund’s asset allocation will become more conservative until it reaches approximately 15-30% in stock funds and 70-85% in bond funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still providing the potential for higher total returns over the target period.

On a periodic basis, Madison will evaluate and sometimes revise the fund’s asset allocations, including revising the asset class weightings and adding and/or removing underlying funds. Madison will also monitor the underlying funds on an ongoing basis and may increase or decrease the fund’s investment in one or several underlying funds. The underlying fund selections are made based on several considerations, including the fund’s style or asset class exposures, portfolio characteristics, risk profile, and investment process.

PERFORMANCE HISTORY

Cumulative Performance of $10,000 Investment Since Inception^1,2

Average Annual Total Return through December 31, 2012^1,2
										Since
										10/1/07
	1 Year			3 Years			5 Years			Inception

Ultra Series Target Retirement 2020, Class I		9.98	%		6.98	%		0.42	%		0.02	%
Dow Jones Global Target 2020 Index		9.23			7.80			3.32			3.08

See accompanying Notes to Management’s Discussion of Fund Performance.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

Madison Target Retirement 2020 Fund (concluded)

PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/12

Bond Funds	52	%
Foreign Bond Funds	3	%
Stock Funds	34	%
Foreign Stock Funds	8	%
Money Market Funds and Other Net Assets	3	%

PERFORMANCE DISCUSSION

For the twelve-month period ended December 31, 2012, the Ultra Series Target Retirement 2020 Fund returned 9.98%, ahead the benchmark Dow Jones Global Target 2020 Index return of 9.23%. The fund’s performance trailed the Morningstar Target Date 2016-2020 peer average return of 11.68%. Outperformance against the benchmark was a result of strong manager performance within the fixed income holdings, an overweight position to corporate bonds, and a slight overweight position to equities relative to the benchmark. With the S&P 500 up 16.00%, the Barclays Capital U.S. Corporate High Yield Bond Index up 15.81%, and broad international indices outpacing the domestic indices, portfolios willing to take a more aggressive stance generally would have outpaced the fund’s performance. We believe that our conservative approach was the reason for underperformance compared to the Morningstar peer group, as we began the period leery of international equities given the underlying and unresolved sovereign debt crisis in Europe.

FUND CHANGES

We began the year with a sizable underweight position to international equities based on concerns over the ongoing European debt crisis. By the middle of the year, we began to increase foreign equity exposure. Our decision to increase equities exposure was a result of improved economic data and massive global central bank liquidity measures. Most notably, the decisive action by Mario Draghi and the European Central Bank, which we believed removed much of the near-term tail risk from the European markets. The increase proved timely as international equities rallied hard through the rest of the year. We remain underweight to foreign equities as we believe risks from Europe are still present.

Around the same time, with interest rates near record lows in the late summer/early fall, we significantly reduced the fund’s exchange traded fund (“ETF”) bond holdings in favor of actively managed funds. We believe the current ultra-low interest rate environment should favor active bond funds moving forward. Finally, late in the year, we began to trim the level of both investment grade and high yield credit investments in the fund. We believe that the credit markets have become fully valued and wanted to take advantage of potential profits while dampening the risk level of our fixed income holdings.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

MADISON TARGET RETIREMENT 2030 FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Target Retirement 2030 Fund invests primarily in shares of registered investment companies (the “"underlying funds”) according to an asset allocation strategy developed by Madison Asset Management, LLC (“Madison”), the fund’s investment adviser, for investors planning to retire in or within a few years of 2030. Over time, the fund’s asset allocation will become more conservative until it reaches approximately 15-30% in stock funds and 70-85% in bond funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still providing the potential for higher total returns over the target period.

PERFORMANCE HISTORY

Cumulative Performance of $10,000 Investment Since Inception^1,2

Average Annual Total Return through December 31, 2012^1,2
										Since
										10/1/07
	1 Year			3 Years			5 Years			Inception

Ultra Series Target Retirement 2030, Class I		11.05	%		7.17	%		-0.13	%		-0.61	%
Dow Jones Global Target 2030 Index		12.56			8.76			2.52			2.07

See accompanying Notes to Management’s Discussion of Fund Performance.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

Madison Target Retirement 2030 Fund (concluded)

PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/12

Bond Funds	36	%
Foreign Bond Funds	3	%
Stock Funds	48	%
Foreign Stock Funds	12	%
Money Market Funds and Other Net Assets	1	%

PERFORMANCE DISCUSSION

For the twelve-month period ended December 31, 2012, the Ultra Series Target Retirement 2030 Fund returned 11.05%, while the Dow Jones Global Target 2030 Index returned 12.56%. The fund’s performance also trailed the Morningstar Target Date 2026-2030 peer average return of 13.59%. With the S&P 500 Index up 16.00% for the year, the Barclays Capital U.S. Corporate High Yield Bond Index up 15.81%, and broad international indices outpacing the domestic indices, portfolios willing to take a more aggressive stance would have likely outpaced the fund’s performance. We believe the reason for underperformance compared to the Morningstar peer group was primarily due to the fund’s relatively light equity exposure associated with our conservative approach towards the fund’s target asset allocation position.

FUND CHANGES

We began the year with a sizable underweight to international equities based on concerns over the ongoing European debt crisis. By the middle of the year, we began to increase foreign equity exposure. Our decision to increase equities exposure was a result of improved economic data and massive global central bank liquidity measures. Most notably, the decisive action by Mario Draghi and the European Central Bank, which we believed removed much of the near-term tail risk from the European markets. The increase proved timely as international equities rallied hard through the rest of the year. We remain underweighted to foreign equities as we believe risks from Europe are still present.

With interest rates near record lows in the late summer/early fall, we significantly reduced the fund’s exchange traded fund (“ETF”) bond holdings in favor of actively managed funds. We believe the current ultra-low interest rate environment should favor active bond funds moving forward. Finally, late in the year, we began to materially trim the level of both investment grade and high yield credit in the fund. We believe that the credit markets have become fully valued and wanted to take advantage of potential profits while dampening the risk level of our fixed income holdings.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

MADISON TARGET RETIREMENT 2040 FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Ultra Series Target Retirement 2040 Fund invests primarily in shares of registered investment companies (the “"underlying funds”) according to an asset allocation strategy developed by Madison Asset Management, LLC (“Madison”), the fund’s investment adviser, for investors planning to retire in or within a few years of 2040. Over time, the fund’s asset allocation will become more conservative until it reaches approximately 15-30% in stock funds and 70-85% in bond funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still providing the potential for higher total returns over the target period.

PERFORMANCE HISTORY

Cumulative Performance of $10,000 Investment Since Inception^1,2

Average Annual Total Return through December 31, 2012^1,2
										Since
										10/1/07
	1 Year			3 Years			5 Years			Inception

Ultra Series Target Retirement 2040, Class I		11.42	%		7.17	%		-1.11	%		-1.60	%
Dow Jones Global Target 2040 Index		14.88			9.23			2.09			1.54

See accompanying Notes to Management’s Discussion of Fund Performance.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

Madison Target Retirement 2040 Fund (concluded)

PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/12

Bond Funds	26	%
Foreign Bond Funds	2	%
Stock Funds	56	%
Foreign Stock Funds	15	%
Money Market Funds and Other Net Assets	1	%

PERFORMANCE DISCUSSION

For the twelve-month period ended December 31, 2012, the Madison Target Retirement 2040 Fund returned 11.42%, while the Dow Jones Global Target 2040 Index returned 14.88%. The fund’s performance also trailed the Morningstar Target Date 2036-2040 peer average return of 14.64%. With the S&P 500 Index up 16.00%, the Barclays Capital U.S. Corporate High Yield Bond Index up 15.81%, and broad international indices outpacing the domestic indices, portfolios willing to take a more aggressive stance would have likely outpaced the fund’s performance. We believe the reason for underperformance compared to the Morningstar peer group was primarily due to the fund’s relatively low equity exposure associated with our conservative approach towards the target asset allocation position.

FUND CHANGES

Around the same time, with interest rates near record lows in the late summer/early fall, we significantly reduced the fund’s exchange traded fund (“ETF”) bond holdings in favor of actively managed funds. We believe the current ultra-low interest rate environment should favor active bond funds moving forward. And finally, late in the year, we began to materially trim the level of both investment grade and high yield credit in the fund. We believe that the credit markets have become fully valued and wanted to take advantage of potential profits while dampening the risk level of our fixed income holdings.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

MADISON TARGET RETIREMENT 2050 FUND

INVESTMENT STRATEGY HIGHLIGHTS

The Madison Target Retirement 2050 Fund invests primarily in shares of registered investment companies (the “"underlying funds”) according to an asset allocation strategy developed by Madison Asset Management, LLC (“Madison”), the fund’s investment adviser, for investors planning to retire in or within a few years of 2050. Over time, the fund’s asset allocation will become more conservative until it reaches approximately 15-30% in stock funds and 70-85% in bond funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still providing the potential for higher total returns over the target period.

PERFORMANCE HISTORY

Cumulative Performance of $10,000 Investment Since Inception^1,2

Average Annual Total Return through December 31, 2012^1,2
				Since
				1/3/11
	1 Year			Inception

Ultra Series Target Retirement 2050, Class I		12.12	%	5.36	%
Dow Jones Global Target 2050 Index		15.35		4.78

See accompanying Notes to Management’s Discussion of Fund Performance.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

Madison Target Retirement 2050 Fund (concluded)

PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/12

Bond Funds	15	%
Foreign Bond Funds	2	%
Stock Funds	63	%
Foreign Stock Funds	18	%
Money Market Funds and Other Net Assets	2	%

PERFORMANCE DISCUSSION

The Madison Target Retirement 2050 Fund returned 12.12%, while the Dow Jones Global Target 2050 Index returned 15.35% and the Morningstar Target 2046-2050 Category returned 15.07%. With the S&P 500 up 16.00%, the Barclays Capital U.S. Corporate High Yield Bond Index up 15.81%, and broad international indices outpacing the domestic indices, portfolios willing to take a more aggressive stance would have likely outpaced the fund’s performance. We believe the reason for the fund’s underperformance compared to the Morningstar peer group was primarily due to the fund’s relatively light equity exposure associated with our conservative approach towards the fund’s target asset allocation position.

FUND CHANGES

We began the year with a sizable underweight to international equities based on concerns over the ongoing European debt crisis. By the middle of the year we began to increase foreign equity exposure. Our decision to increase equities exposure was a result of improved economic data and massive global central bank liquidity measures. Most notably, the decisive action by Mario Draghi and the European Central Bank, which we believed removed much of the near-term tail risk from the European markets. The increase proved timely as international equities rallied hard through the rest of the year. We remain underweighted to foreign equities as we believe risks from Europe are still present.

Around the same time, with interest rates near record lows in the late summer/early fall, we significantly reduced the fund’s exchange traded fund (“ETF”) bond holdings in favor of actively managed funds. We believe the current ultra-low interest rate environment should favor active bond funds moving forward. Finally, late in the year, we began to materially trim the level of both investment grade and high yield credit in the fund. We believe that the credit markets have become fully valued and wanted to take advantage of potential profits while dampening the risk level of our fixed income holdings.

Ultra Series Fund | December 31, 2012

Notes to Management’s Discussion of Fund Performance

¹	Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Investment return and principal value will fluctuate, so an investor’s shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund’s performance is contained in the Prospectus and elsewhere in this report. The fund’s past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For Ultra Series Fund performance data current to the most recent month-end, please call 1-800-670-3600 or visit www.ultraseriesfund.com. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses.

²	The management fee for the Conservative, Moderate, and Aggressive Allocation Funds was reduced from June 30, 2006-April 30, 2008. Effective October 1, 2009, Madison contractually agreed to waive a portion of the management fee of the Target Retirement Date 2020, 2030 and 2040 Funds from 0.40% to 0.20%. Effective February 17, 2011, the fee was permanently reduced to 0.20%. On September 1, 2011, shareholders of the Target Retirement Date Funds approved a new fee arrangement which includes an investment advisory fee of 0.25% annualized and a services agreement fee of 0.05% annualized. If the management fees had not been reduced, returns would have been lower.

Morningstar Percentile rankings note: 1st percentile is top, 99th percentile is bottom.

©Morningstar, Inc. All Rights Reserved. The Morningstar related information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

BENCHMARK DESCRIPTIONS

Allocation Fund Indexes

The Conservative Allocation Fund Custom Index consists of 65% Merrill Lynch U.S. Corporate, Government and Mortgage Index, 30% Russell 3000® Index and 5% MSCI EAFE Index. See market indexes descriptions below.

The Moderate Allocation Fund Custom Index consists of 40% Merrill Lynch U.S. Corporate, Government and Mortgage Index, 45% Russell 3000® Index and 15% MSCI EAFE Index. See market indexes descriptions below.

The Aggressive Allocation Fund Custom Index consists of 15% Merrill Lynch U.S. Corporate, Government and Mortgage Index, 55% Russell 3000® Index and 30% MSCI EAFE Index. See market indexes descriptions below.

Hybrid Fund Indexes

The Custom Blended Index consists of 50% S&P 500 Index and 50% Bank of America Merrill Lynch U.S. Corporate, Government & Mortgage Index. See market indexes' descriptions below.

Market Indexes

The Bank of America Merrill Lynch U.S. Corporate, Government & Mortgage Index is a broad-based measure of the total rate of return performance of the U.S. investment-grade bond markets. The index is a capitalization-weighted aggregation of outstanding U.S. treasury, agency and supranational mortgage pass-through, and investment-grade corporate bonds meeting specified selection criteria.

Ultra Series Fund | Management’s Discussion of Fund Performance | December 31, 2012

Benchmark Descriptions - Market Indexes (concluded)

The Bank of America Merrill Lynch U.S. High Yield Master II Constrained Index tracks the performance of below investment grade U.S. dollar denominated corporate bonds publicly issued in the U.S. domestic market, but limits any individual issuer to a maximum weighting of 2%.

The Dow Jones Global Target 2020 Index is a benchmark for multi-asset class portfolios with risk profiles that become more conservative as the year 2020 approaches. The index is a composite of other indexes that represent stocks, bonds and cash.

The Dow Jones Global Target 2030 Index is a benchmark for multi-asset class portfolios with risk profiles that become more conservative as the year 2030 approaches. The index is a composite of other indexes that represent stocks, bonds and cash.

The Dow Jones Global Target 2040 Index is a benchmark for multi-asset class portfolios with risk profiles that become more conservative as the year 2040 approaches. The index is a composite of other indexes that represent stocks, bonds and cash.

The Dow Jones Global Target 2050 Index is a benchmark for multi-asset class portfolios with risk profiles that become more conservative as the year 2050 approaches. The index is a composite of other indexes that represent stocks, bonds and cash.

The MSCI EAFE (Europe, Australasia & Far East) Index is a free float-adjusted market capitalization index that is designed to measure developed market equity performance, excluding the U.S. and Canada. The MSCI EAFE Index (net) is calculated on a total return basis with dividends reinvested after the deduction of withholding taxes.

The Russell 1000® Index is a large-cap market index which measures the performance of the 1,000 largest companies in the Russell 3000® Index (see definition below).

The Russell 1000® Growth Index is a large-cap market index which measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.

The Russell 1000® Value Index is a large-cap market index which measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.

The Russell 2000® Index is a small-cap market index which measures the performance of the smallest 2,000 companies in the Russell 3000® Index (see definition below.)

The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents 98% of the investable U.S. equity market.

The Russell Midcap® Index is a mid-cap market index which measures the performance of the mid-cap segment of the U.S. equity universe.

The S&P 500 Index is a large-cap market index which measures the performance of a representative sample of 500 leading companies in leading industries in the U.S.

Ultra Series Fund | December 31, 2012

Conservative Allocation Fund Portfolio of Investments

	Shares		Value (Note 2)

INVESTMENT COMPANIES - 99.9%
Bond Funds - 60.3%
DoubleLine Total Return Bond Fund Class I		719,654	$	8,153,676
Franklin Floating Rate Daily Access Fund Advisor Class		1,700,520		15,525,747
Madison Investment Grade Corporate Bond Fund (A)		1,277,935		14,913,498
Madison Mosaic Institutional Bond Fund (A)		1,641,621		18,402,574
MEMBERS Bond Fund Class Y (A)		1,904,243		20,127,845
MEMBERS High Income Fund Class Y (A)		1,737,052		12,350,442
Metropolitan West Total Return Bond Fund Class I		2,055,086		22,379,889
PIMCO Investment Grade Corporate Bond Fund Institutional Class		846,139		9,409,067
PIMCO Total Return Fund Institutional Class		1,991,300		22,382,215

				143,644,953
Foreign Bond Funds - 6.5%
TCW Emerging Markets Income Fund Class I		1,017,849		9,486,351
Templeton Global Bond Fund Advisor Class		449,078		5,990,696

				15,477,047
Foreign Stock Funds - 5.9%
MEMBERS International Stock Fund Class Y (A)		592,560		6,695,928
Vanguard FTSE All-World ex-US ETF		163,158		7,464,479

				14,160,407
	Shares		Value (Note 2)

Money Market Funds - 1.6%
State Street Institutional U.S. Government Money Market Fund		3,739,633	$	3,739,633
Stock Funds - 25.6%
iShares Russell Midcap Index Fund		52,696		5,959,918
iShares S&P 100 Index Fund ETF		109,518		7,083,624
Madison Mosaic Disciplined Equity Fund (A)		980,883		13,124,209
MEMBERS Equity Income Fund Class Y (A)		958,772		9,271,324
MEMBERS Large Cap Growth Fund Class Y (A)		407,511		7,098,844
MEMBERS Large Cap Value Fund Class Y (A)		1,076,398		14,843,529
Vanguard Dividend Appreciation ETF		59,607		3,550,789

				60,932,237

TOTAL INVESTMENTS - 99.9% (Cost $222,364,188**)				237,954,277
NET OTHER ASSETS AND LIABILITIES - 0.1%				262,330

TOTAL NET ASSETS - 100.0%			$	238,216,607

**	Aggregate cost for Federal tax purposes was $224,385,052.
(A)	Affiliated Company (see Note 10).
ETF	Exchange Traded Fund.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Moderate Allocation Fund Portfolio of Investments

	Shares		Value (Note 2)

INVESTMENT COMPANIES - 99.3%
Bond Funds - 36.7%
DoubleLine Total Return Bond Fund Class I		1,048,861	$	11,883,593
Franklin Floating Rate Daily Access Fund Advisor Class		2,382,356		21,750,911
Madison Mosaic Institutional Bond Fund (A)		1,393,750		15,623,934
MEMBERS Bond Fund Class Y (A)		2,405,616		25,427,362
MEMBERS High Income Fund Class Y (A)		2,455,877		17,461,282
Metropolitan West Total Return Bond Fund Class I		3,540,055		38,551,204
PIMCO Investment Grade Corporate Bond Fund Institutional Class		1,224,971		13,621,675

				144,319,961
Foreign Bond Funds - 3.1%
TCW Emerging Markets Income Fund Class I		1,305,762		12,169,702

Foreign Stock Funds - 11.5%
Matthews Asian Growth and Income Fund Institutional Shares		316,920		5,894,713


MEMBERS International Stock Fund Class Y (A)		708,463		8,005,628
NorthRoad International Fund Class Y (A)		1,378,003		14,317,452
Vanguard FTSE All-World ex-US ETF		323,701		14,809,321
WisdomTree Japan Hedged Equity Fund ETF		55,233		2,036,993

				45,064,107
Money Market Funds - 1.1%
State Street Institutional U.S. Government Money Market Fund		4,421,329		4,421,329

	Shares		Value (Note 2)

Stock Funds - 46.9%
iShares Core S&P Mid-Cap ETF		48,734	$	4,956,248
iShares S&P 100 Index Fund ETF		213,507		13,809,633
iShares S&P Global Energy Sector Index Fund ETF		50,688		1,938,816
Madison Mosaic Disciplined Equity Fund (A)		2,220,189		29,706,124
MEMBERS Equity Income Fund Class Y (A)		1,319,334		12,757,964
MEMBERS Large Cap Growth Fund Class Y (A)		1,513,868		26,371,588
MEMBERS Large Cap Value Fund Class Y (A)		2,356,806		32,500,352
MEMBERS Mid Cap Fund Class Y (A) *		2,263,279		17,812,004
MEMBERS Small Cap Fund Class Y (A)		619,710		7,244,407
Schwab Fundamental U.S. Large Company Index Fund		2,647,531		28,434,482
Vanguard Health Care ETF		54,251		3,888,169
Vanguard Information Technology ETF		70,910		4,900,590

				184,320,377

TOTAL INVESTMENTS - 99.3% (Cost $351,324,878**)				390,295,476
NET OTHER ASSETS AND LIABILITIES - 0.7%				2,762,997

TOTAL NET ASSETS - 100.0%			$	393,058,473

*	Non-income producing.
**	Aggregate cost for Federal tax purposes was $355,477,443.
(A)	Affiliated Company (see Note 10).
ETF	Exchange Traded Fund.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Aggressive Allocation Fund Portfolio of Investments

	Shares		Value (Note 2)

INVESTMENT COMPANIES - 99.8%
Bond Funds - 12.7%
MEMBERS High Income Fund Class Y (A)		429,563	$	3,054,190
Metropolitan West Total Return Bond Fund Class I		1,146,245		12,482,602
PIMCO Investment Grade Corporate Bond Fund Institutional Class		260,402		2,895,675

				18,432,467
Foreign Bond Funds - 0.5%
TCW Emerging Markets Income Fund Class I		79,680		742,616

Foreign Stock Funds - 18.3%
Market Vectors Agribusiness ETF		20,701		1,092,185
Market Vectors Gold Miners ETF		27,102		1,257,262
Matthews Asian Growth and Income Fund Institutional Shares		230,835		4,293,530
MEMBERS International Stock Fund Class Y (A)		321,305		3,630,741
NorthRoad International Fund Class Y (A)		492,632		5,118,451
Vanguard FTSE All-World ex-US ETF		192,953		8,827,600
WisdomTree Japan Hedged Equity Fund ETF		60,439		2,228,990

				26,448,759
Money Market Funds - 1.6%
State Street Institutional U.S. Government Money Market Fund		2,375,855		2,375,855

	Shares		Value (Note 2)

Stock Funds - 66.7%
iShares Core S&P Mid-Cap ETF		21,468	$	2,183,296
iShares S&P 100 Index Fund ETF		122,897		7,948,978
iShares S&P Global Energy Sector Index Fund ETF		36,809		1,407,944
Madison Mosaic Disciplined Equity Fund (A)		1,236,305		16,541,758
MEMBERS Equity Income Fund Class Y (A)		333,863		3,228,452
MEMBERS Large Cap Growth Fund Class Y (A)		618,663		10,777,117
MEMBERS Large Cap Value Fund Class Y (A)		1,180,844		16,283,838
MEMBERS Mid Cap Fund Class Y (A) *		1,544,805		12,157,615
MEMBERS Small Cap Fund Class Y (A)		255,585		2,987,791
Schwab Fundamental U.S. Large Company Index Fund		1,470,319		15,791,229
Vanguard Health Care ETF		39,782		2,851,176
Vanguard Information Technology ETF		61,691		4,263,465

				96,422,659

TOTAL INVESTMENTS - 99.8% (Cost $127,681,907**)				144,422,356
NET OTHER ASSETS AND LIABILITIES - 0.2%				253,063

TOTAL NET ASSETS - 100.0%			$	144,675,419

*	Non-income producing.
**	Aggregate cost for Federal tax purposes was $129,719,193.
(A)	Affiliated Company (see Note 10).
ETF	Exchange Traded Fund.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Money Market Fund Portfolio of Investments

	Par Value		Value (Note 2)

U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 74.9%
Fannie Mae - 16.9%
0.132%, 1/30/13 (A)	$	428,000	$	427,955
3.625%, 2/12/13		500,000		501,970
0.135%, 2/13/13 (A)		550,000		549,911
4.750%, 2/21/13		1,647,000		1,657,467
1.750%, 2/22/13		750,000		751,684
4.250%, 2/25/13		400,000		402,438
0.750%, 2/26/13		1,297,000		1,298,231
0.122%, 3/6/13 (A)		1,600,000		1,599,659
4.375%, 3/15/13		1,287,000		1,298,125

				8,487,440
Federal Farm Credit Bank - 4.8%
0.140%, 1/28/13 (A)		100,000		99,999
2.150%, 2/4/13		735,000		736,371
3.400%, 2/7/13		1,110,000		1,113,568
1.750%, 2/21/13		300,000		300,667
4.500%, 2/25/13		144,000		144,934

				2,395,539
Federal Home Loan Bank - 22.9%
0.122%, 1/2/13 (A)		100,000		100,000
0.101%, 1/4/13 (A)		200,000		199,998
0.210%, 1/4/13		1,000,000		1,000,007
0.112%, 1/9/13 (A)		575,000		574,986
0.180%, 1/9/13		200,000		200,001
1.500%, 1/16/13		1,105,000		1,105,604
0.170%, 1/17/13		200,000		200,001
0.129%, 1/23/13 (A)		1,100,000		1,099,913
0.020%, 1/30/13 (A)		1,400,000		1,399,977
0.119%, 2/1/13 (A)		958,000		957,909
0.136%, 2/5/13 (A)		400,000		399,949
0.150%, 2/6/13		600,000		600,020
0.170%, 2/11/13		500,000		500,017
0.180%, 2/15/13		125,000		125,007
0.079%, 2/20/13 (A)		1,043,000		1,042,914
0.125%, 3/5/13 (A)		400,000		399,986
5.000%, 3/8/13		750,000		756,663
0.130%, 3/14/13 (A)		700,000		699,820
0.300%, 3/19/13		160,000		160,061

				11,522,833
Freddie Mac - 22.3%
0.122%, 1/3/13 (A)		500,000		499,997
0.101%, 1/7/13 (A)		210,000		209,996
1.375%, 1/9/13		1,375,000		1,375,366
	Par Value		Value (Note 2)

0.152%, 1/14/13 (A)	$	305,000	$	304,983
0.132%, 1/22/13 (A)		250,000		249,981
0.167%, 1/28/13 (A)		2,550,000		2,549,675
0.142%, 2/19/13 (A)		400,000		399,924
0.128%, 2/25/13 (A)		1,500,000		1,499,725
0.041%, 2/27/13 (A)		1,250,000		1,249,921
0.032%, 3/5/13 (A)		500,000		499,972
0.091%, 3/18/13 (A)		2,000,000		1,999,620
1.720%, 4/11/13		400,000		401,732

				11,240,892
U.S. Treasury Notes - 8.0%
1.375%, 1/15/13		3,000,000		3,001,428
0.625%, 1/31/13		550,000		550,221
2.750%, 2/28/13		500,000		502,105

				4,053,754

Total U.S. Government and Agency Obligations (Cost $37,700,458)				37,700,458
SHORT-TERM INVESTMENTS - 19.8%
Consumer Discretionary - 0.2%
McDonald’s Corp., 4.3%, 3/1/13		100,000		100,654

Consumer Staples - 6.1%
Coca-Cola Co. (A), 0.162%, 3/4/13		1,000,000		999,725
PepsiCo Inc., 4.65%, 2/15/13		720,000		723,767
Proctor & Gamble Co. (A), 0.162%, 2/12/13		1,350,000		1,349,748

				3,073,240
Financials - 9.9%
Bank One Corp., 5.25%, 1/30/13		500,000		501,879
John Deere Bank S.A. (A), 0.172%, 1/17/13		1,000,000		999,925
John Deere Bank S.A. (A), 0.172%, 1/23/13		500,000		499,948
John Deere Bank S.A. (A), 0.162%, 1/24/13		500,000		499,949
JPMorgan Chase & Co., 5.75%, 1/2/13		300,000		300,041
Wells Fargo & Co., 4.375%, 1/31/13		150,000		150,493
Wells Fargo & Co. (A), 0.142%, 2/25/13		1,000,000		999,786
Wells Fargo & Co. (A), 0.142%, 3/7/13		1,000,000		999,747

				4,951,768
Industrials - 2.2%
Emerson Electric Co. (A), 0.152%, 1/17/13		1,000,000		999,934
General Electric Capital Corp. (A), 0.203%, 1/4/13		100,000		99,998

				1,099,932
Information Technology - 1.4%
Oracle Corp., 4.95%, 4/15/13		700,000		709,098

Total Short-Term Investments (Cost $9,934,692)				9,934,692

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Money Market Fund Portfolio of Investments

	Shares		Value (Note 2)

INVESTMENT COMPANIES - 4.9%
State Street Institutional U.S. Government Money Market Fund		2,476,374	$	2,476,374

Total Investment Companies (Cost $2,476,374)				2,476,374

TOTAL INVESTMENTS - 99.6% (Cost $50,111,524**)				50,111,524
NET OTHER ASSETS AND LIABILITIES - 0.4%				212,153

TOTAL NET ASSETS - 100.0%			$	50,323,677

**	Aggregate cost for Federal tax purposes was $50,111,524.
(A)	Rate noted represents annualized yield at time of purchase.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Bond Fund Portfolio of Investments

	Par Value		Value (Note 2)

ASSET BACKED SECURITIES - 0.9%
ABSC Long Beach Home Equity Loan Trust, Series 2000-LB1, Class AF5 (A), 8.55%, 9/21/30	$	652,045	$	660,454
New Century Home Equity Loan Trust, Series 2003-5, Class AI5 (B), 5.5%, 11/25/33		2,799,669		2,815,790

Total Asset Backed Securities (Cost $3,472,353)				3,476,244
CORPORATE NOTES AND BONDS - 27.5%
Consumer Discretionary - 2.6%
American Association of Retired Persons (C) (D), 7.5%, 5/1/31		2,500,000		3,466,302
DR Horton Inc., 5.25%, 2/15/15		1,140,000		1,199,850
ERAC USA Finance LLC (C) (D), 6.7%, 6/1/34		4,400,000		5,327,472

				9,993,624
Consumer Staples - 1.1%
PepsiCo Inc., 4.65%, 2/15/13		1,165,000		1,171,372
WM Wrigley Jr. Co. (C) (D), 3.05%, 6/28/13		3,170,000		3,207,625

				4,378,997
Energy - 2.8%
Hess Corp., 7.875%, 10/1/29		2,460,000		3,420,369
Transocean Inc., 6%, 3/15/18		1,400,000		1,623,705
Transocean Inc., 7.5%, 4/15/31		2,310,000		2,870,794
Valero Energy Corp., 7.5%, 4/15/32		2,275,000		2,918,832

				10,833,700
Financials - 2.6%
American Express Credit Corp., 2.375%, 3/24/17		1,080,000		1,130,022
HCP Inc., 6.7%, 1/30/18		2,725,000		3,286,590
Lehman Brothers Holdings Inc. (E) *, 5.75%, 1/3/17		3,135,000		314
Simon Property Group L.P., 5.875%, 3/1/17		1,060,000		1,255,035
Swiss Re Solutions Holding Corp., 7%, 2/15/26		1,250,000		1,589,066
UBS AG (F), 5.75%, 4/25/18		750,000		890,357
US Bank NA, 6.3%, 2/4/14		2,000,000		2,120,934

				10,272,318
Health Care - 4.5%
Eli Lilly & Co., 6.57%, 1/1/16		2,600,000		2,991,521
Genentech Inc., 5.25%, 7/15/35		1,740,000		2,097,672
Merck & Co. Inc., 5.75%, 11/15/36		3,960,000		5,236,209
Quest Diagnostics Inc., 5.45%, 11/1/15		3,500,000		3,886,330
Wyeth LLC, 6.5%, 2/1/34		2,370,000		3,239,873

				17,451,605
Industrials - 4.9%
Boeing Co./The, 8.625%, 11/15/31		760,000		1,179,939
Boeing Co./The, 6.875%, 10/15/43		1,380,000		1,945,629

	Par Value		Value (Note 2)

Burlington Northern Santa Fe LLC, 8.125%, 4/15/20	$	2,925,000	$	3,881,882
EI du Pont de Nemours & Co., 5%, 1/15/13		195,000		195,305
General Electric Capital Corp., 3.35%, 10/17/16		3,200,000		3,434,835
Lockheed Martin Corp., 7.65%, 5/1/16		1,450,000		1,755,969
Norfolk Southern Corp., 5.59%, 5/17/25		1,268,000		1,557,176
Norfolk Southern Corp., 7.05%, 5/1/37		1,400,000		1,989,585
Waste Management Inc., 7.125%, 12/15/17		2,465,000		2,997,026

				18,937,346
Information Technology - 0.7%
Cisco Systems Inc., 5.5%, 2/22/16		2,400,000		2,743,332

Materials - 1.7%
Westvaco Corp., 8.2%, 1/15/30		2,250,000		2,968,724
Weyerhaeuser Co., 7.375%, 3/15/32		3,000,000		3,780,225

				6,748,949
Telecommunication Services - 2.0%
Comcast Cable Communications Holdings Inc., 9.455%, 11/15/22		3,080,000		4,656,526
Rogers Communications Inc. (F), 6.25%, 6/15/13		3,000,000		3,077,292

				7,733,818
Utilities - 4.6%
Indianapolis Power & Light Co. (C) (D), 6.05%, 10/1/36		3,445,000		4,176,528
Interstate Power & Light Co., 6.25%, 7/15/39		2,925,000		3,836,942
Sierra Pacific Power Co., Series M, 6%, 5/15/16		3,250,000		3,761,300
Southwestern Electric Power Co., Series E, 5.55%, 1/15/17		2,165,000		2,442,014
Wisconsin Electric Power Co., 6.5%, 6/1/28		3,000,000		3,787,149

				18,003,933

Total Corporate Notes and Bonds (Cost $94,785,082)				107,097,622
MORTGAGE BACKED SECURITIES - 16.2%
Fannie Mae - 13.7%
4%, 4/1/15 Pool # 255719		379,601		406,596
5.5%, 4/1/16 Pool # 745444		682,655		733,677
6%, 5/1/16 Pool # 582558		36,660		38,962
5.5%, 9/1/17 Pool # 657335		96,624		104,035
5.5%, 2/1/18 Pool # 673194		340,731		367,012
5%, 5/1/20 Pool # 813965		1,246,066		1,360,769
4.5%, 9/1/20 Pool # 835465		933,122		1,005,312
6%, 5/1/21 Pool # 253847		137,543		151,142
7%, 12/1/29 Pool # 762813		106,896		124,576
7%, 11/1/31 Pool # 607515		75,522		90,233
6.5%, 3/1/32 Pool # 631377		194,524		220,741
7%, 4/1/32 Pool # 641518		4,876		5,819
7%, 5/1/32 Pool # 644591		98,120		117,233

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Bond Fund Portfolio of Investments

	Par Value		Value (Note 2)

MORTGAGE BACKED SECURITIES (continued)

Fannie Mae (continued)
6.5%, 6/1/32 Pool # 545691	$	1,126,604	$	1,283,331
5.5%, 4/1/33 Pool # 690206		1,439,349		1,581,886
5%, 10/1/33 Pool # 254903		2,010,627		2,190,574
5.5%, 11/1/33 Pool # 555880		1,666,965		1,832,043
5%, 5/1/34 Pool # 782214		59,025		64,160
5%, 6/1/34 Pool # 778891		494,158		537,149
5.5%, 6/1/34 Pool # 780384		1,818,203		1,989,168
7%, 7/1/34 Pool # 792636		42,248		48,412
5.5%, 8/1/34 Pool # 793647		259,938		292,584
5.5%, 3/1/35 Pool # 810075		958,372		1,048,887
5.5%, 3/1/35 Pool # 815976		1,294,109		1,416,333
5.5%, 7/1/35 Pool # 825283		1,312,833		1,437,262
5%, 8/1/35 Pool # 829670		1,537,205		1,669,018
5.5%, 8/1/35 Pool # 826872		793,858		868,091
5%, 9/1/35 Pool # 820347		1,631,520		1,847,897
5%, 9/1/35 Pool # 835699		1,577,080		1,786,237
5%, 10/1/35 Pool # 797669		2,196,046		2,473,567
5.5%, 10/1/35 Pool # 836912		128,499		140,455
5%, 11/1/35 Pool # 844809		964,192		1,046,870
5%, 12/1/35 Pool # 850561		1,058,250		1,148,992
5.5%, 2/1/36 Pool # 851330		245,879		269,084
5.5%, 10/1/36 Pool # 896340		336,406		366,808
5.5%, 10/1/36 Pool # 901723		1,855,026		2,017,859
6.5%, 10/1/36 Pool # 894118		1,377,630		1,558,398
6%, 11/1/36 Pool # 902510		2,108,180		2,364,715
5.5%, 2/1/37 Pool # 905140		1,632,698		1,837,751
5.5%, 5/1/37 Pool # 899323		957,162		1,044,471
5.5%, 5/1/37 Pool # 928292		973,696		1,095,984
6%, 10/1/37 Pool # 947563		2,010,020		2,254,611
5.5%, 7/1/38 Pool # 986973		1,299,679		1,435,168
5%, 8/1/38 Pool # 988934		2,691,675		2,951,922
6.5%, 8/1/38 Pool # 987711		2,369,386		2,817,900
3.5%, 6/1/42 Pool # AO4136		3,795,828		4,058,431

				53,502,125
Freddie Mac - 2.4%
5%, 5/1/18 Pool # E96322		693,180		745,779
8%, 6/1/30 Pool # C01005		53,693		66,426
7%, 3/1/31 Pool # C48129		218,655		257,732
5%, 7/1/33 Pool # A11325		1,226,603		1,368,197
6%, 10/1/34 Pool # A28439		275,683		303,285
6%, 10/1/34 Pool # A28598		187,975		206,796
5.5%, 11/1/34 Pool # A28282		2,464,371		2,763,094
5%, 4/1/35 Pool # A32314		351,693		393,830
5%, 4/1/35 Pool # A32315		556,231		612,444
5%, 4/1/35 Pool # A32316		768,925		865,856
	Par Value		Value (Note 2)

5%, 4/1/35 Pool # A32509	$	198,149	$	218,174
5%, 1/1/37 Pool # A56371		1,547,515		1,666,671

				9,468,284
Ginnie Mae - 0.1%
8%, 10/20/15 Pool # 2995		24,876		26,555
6.5%, 2/20/29 Pool # 2714		127,063		146,164
6.5%, 4/20/31 Pool # 3068		99,235		114,091

				286,810

Total Mortgage Backed Securities (Cost $57,109,291)				63,257,219
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 51.2%
Fannie Mae - 1.1%
4.625%, 10/15/14		3,905,000		4,207,161

Federal Farm Credit Bank - 1.2%
5.875%, 10/3/16		4,000,000		4,772,500

Freddie Mac - 2.4%
4.875%, 11/15/13		2,500,000		2,603,268
4.500%, 1/15/14		5,500,000		5,744,326
1.000%, 9/29/17		1,000,000		1,010,507

				9,358,101
U.S. Treasury Bonds - 4.3%
6.625%, 2/15/27		7,350,000		11,306,365
4.500%, 5/15/38		4,000,000		5,287,500

				16,593,865
U.S. Treasury Notes - 42.2%
3.625%, 5/15/13		4,000,000		4,051,564
3.125%, 8/31/13		2,710,000		2,762,718
4.000%, 2/15/14		9,500,000		9,902,639
4.250%, 8/15/14		11,200,000		11,925,379
2.375%, 9/30/14		3,600,000		3,733,592
2.625%, 12/31/14		26,000,000		27,226,888
2.500%, 3/31/15		1,750,000		1,836,954
4.250%, 8/15/15		8,900,000		9,805,993
3.250%, 12/31/16		8,000,000		8,860,000
3.125%, 1/31/17		4,000,000		4,415,936
2.375%, 7/31/17		5,250,000		5,661,385
0.750%, 10/31/17		13,000,000		13,042,653
4.250%, 11/15/17		9,100,000		10,655,536
2.750%, 2/15/19		16,750,000		18,546,705
3.375%, 11/15/19		15,000,000		17,246,490
2.625%, 11/15/20		6,500,000		7,133,750
2.000%, 11/15/21		7,500,000		7,784,183

				164,592,365

Total U.S. Government and Agency Obligations (Cost $184,704,850)				199,523,992

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Bond Fund Portfolio of Investments

	Shares		Value (Note 2)

INVESTMENT COMPANIES - 3.4%
State Street Institutional U.S. Government Money Market Fund		13,441,891	$	13,441,891

Total Investment Companies (Cost $13,441,891)				13,441,891

TOTAL INVESTMENTS - 99.2% (Cost $353,513,467**)				386,796,968
NET OTHER ASSETS AND LIABILITIES - 0.8%				2,993,956

TOTAL NET ASSETS - 100.0%			$	389,790,924

*	Non-income producing.
**	Aggregate cost for Federal tax purposes was $353,550,521.
(A)	Stepped rate security. Rate shown is as of December 31, 2012.
(B)	Floating rate or variable rate note. Rate shown is as of December 31, 2012.
(C)	Security sold within terms of a private placement memorandum exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “qualified institutional investors.”
(D)	Illiquid security (See Note 2).
(E)	In default. Issuer is bankrupt.
(F)	Notes and bonds, issued by foreign entities, denominated in U.S. dollars. The aggregate of these securities is 1.02% of total net assets.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

High Income Fund Portfolio of Investments

	Par Value		Value (Note 2)

CORPORATE NOTES AND BONDS - 94.0%
Consumer Discretionary - 34.9%
Auto Components - 3.9%
Allison Transmission Inc. (A), 7.125%, 5/15/19	$	300,000	$	320,250
American Axle & Manufacturing Inc., 7.875%, 3/1/17		750,000		776,250
Dana Holding Corp., 6.5%, 2/15/19		350,000		373,625
Dana Holding Corp., 6.75%, 2/15/21		250,000		268,750
Goodyear Tire & Rubber Co., 7%, 5/15/22		500,000		536,250
Tenneco Inc., 6.875%, 12/15/20		325,000		353,844

				2,628,969
Automobiles - 0.4%
Cooper Standard Automotive Inc., 8.5%, 5/1/18		250,000		268,750

Hotels, Restaurants & Leisure - 6.2%
Ameristar Casinos Inc., 7.5%, 4/15/21		800,000		867,000
Boyd Acquisition Sub LLC / Boyd Acquisition Finance Corp. (A), 8.375%, 2/15/18		200,000		208,000
Boyd Gaming Corp., 7.125%, 2/1/16		150,000		147,000
Boyd Gaming Corp., 9.125%, 12/1/18		500,000		510,000
Felcor Lodging L.P., 6.75%, 6/1/19		950,000		1,009,375
MGM Resorts International, 7.5%, 6/1/16		250,000		268,125
MGM Resorts International, 7.625%, 1/15/17		500,000		535,000
Pinnacle Entertainment Inc., 8.75%, 5/15/20		300,000		324,000
Scientific Games International Inc. (A), 6.25%, 9/1/20		300,000		309,750

				4,178,250
Household Durables - 1.6%
Griffon Corp., 7.125%, 4/1/18		500,000		530,000
Spectrum Brands Holdings Inc., 9.5%, 6/15/18		500,000		567,500

				1,097,500
Media - 16.6%
Allbritton Communications Co., 8%, 5/15/18		950,000		1,030,750
AMC Networks Inc., 4.75%, 12/15/22		700,000		703,500
Cablevision Systems Corp., 7.75%, 4/15/18		250,000		278,125
Cablevision Systems Corp., 5.875%, 9/15/22		200,000		200,250
CCO Holdings LLC / CCO Holdings Capital Corp., 6.5%, 4/30/21		750,000		809,062
Cequel Communications Holdings I LLC / Cequel Capital Corp. (A), 8.625%, 11/15/17		142,000		151,940
Cequel Communications Holdings I LLC / Cequel Capital Corp. (A), 6.375%, 9/15/20		400,000		416,500
CSC Holdings LLC (A), 6.75%, 11/15/21		400,000		443,500
Cumulus Media Holdings Inc., 7.75%, 5/1/19		900,000		884,250
DISH DBS Corp., 5.875%, 7/15/22		100,000		107,500
DISH DBS Corp. (A), 5%, 3/15/23		300,000		300,000
	Par Value		Value (Note 2)

Hughes Satellite Systems Corp., 6.5%, 6/15/19	$	500,000	$	551,250
Intelsat Jackson Holdings S.A. (A) (B), 7.25%, 10/15/20		325,000		352,625
Intelsat Jackson Holdings S.A. (B), 7.5%, 4/1/21		250,000		275,625
Intelsat Luxembourg S.A., PIK (B), 11.5%, 2/4/17		375,000		398,438
Lamar Media Corp., 5.875%, 2/1/22		500,000		542,500
Mediacom Broadband LLC / Mediacom Broadband Corp. (A), 6.375%, 4/1/23		800,000		814,000
Telesat Canada / Telesat LLC (A) (B), 6%, 5/15/17		500,000		525,000
UPCB Finance V Ltd. (A) (B), 6.875%, 1/15/22		350,000		378,875
Videotron Ltee (B), 5%, 7/15/22		750,000		786,562
Virgin Media Finance PLC (B), 4.875%, 2/15/22		600,000		613,500
XM Satellite Radio Inc. (A), 7.625%, 11/1/18		500,000		557,500

				11,121,252
Specialty Retail - 4.2%
Jo-Ann Stores Inc. (A), 8.125%, 3/15/19		600,000		610,500
Michaels Stores Inc., 7.75%, 11/1/18		500,000		548,750
Penske Automotive Group Inc. (A), 5.75%, 10/1/22		500,000		515,000
Sally Holdings LLC / Sally Capital Inc., 5.75%, 6/1/22		1,000,000		1,085,000
Yankee Candle Co. Inc., Series B, 8.5%, 2/15/15		23,000		23,115

				2,782,365
Textiles, Apparel & Luxury Goods - 2.0%
Hanesbrands Inc., 6.375%, 12/15/20		250,000		275,000
Levi Strauss & Co., 7.625%, 5/15/20		500,000		545,000
PVH Corp., 4.5%, 12/15/22		500,000		505,000

				1,325,000
Consumer Staples - 5.9%
Central Garden and Pet Co., 8.25%, 3/1/18		500,000		528,750
Dole Food Co. Inc. (A), 8%, 10/1/16		200,000		208,000
Ingles Markets Inc., 8.875%, 5/15/17		750,000		799,688
Mead Products LLC / ACCO Brands Corp. (A), 6.75%, 4/30/20		250,000		262,500
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp., 9.25%, 4/1/15		378,000		383,670
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp., 8.25%, 9/1/17		500,000		532,500
Stater Brothers Holdings, 7.75%, 4/15/15		500,000		510,000
Tops Markets LLC, 10.125%, 10/15/15		500,000		527,500
US Foodservice (A), 8.5%, 6/30/19		200,000		204,000

				3,956,608

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

High Income Fund Portfolio of Investments

	Par Value		Value (Note 2)

CORPORATE NOTES AND BONDS (continued)

Energy - 14.2%
Access Midstream Partners L.P. / ACMP Finance Corp., 4.875%, 5/15/23	$	500,000	$	507,500
AmeriGas Finance LLC / AmeriGas Finance Corp., 7%, 5/20/22		250,000		278,125
AmeriGas Partners L.P. / AmeriGas Finance Corp., 6.25%, 8/20/19		500,000		535,000
Chaparral Energy Inc., 8.25%, 9/1/21		500,000		542,500
Chesapeake Energy Corp., 6.775%, 3/15/19		750,000		750,937
Cie Generale de Geophysique – Veritas (B), 6.5%, 6/1/21		300,000		321,000
Continental Resources Inc., 8.25%, 10/1/19		250,000		280,000
Copano Energy LLC / Copano Energy Finance Corp., 7.125%, 4/1/21		550,000		590,562
Exterran Holdings Inc., 7.25%, 12/1/18		500,000		530,000
Helix Energy Solutions Group Inc. (A), 9.5%, 1/15/16		87,000		89,175
Key Energy Services Inc., 6.75%, 3/1/21		500,000		500,000
MarkWest Energy Partners L.P. / MarkWest Energy Finance Corp., 6.75%, 11/1/20		500,000		545,000
Oasis Petroleum Inc., 6.875%, 1/15/23		500,000		536,250
PetroBakken Energy Ltd. (A) (B), 8.625%, 2/1/20		700,000		710,500
Plains Exploration & Production Co., 6.5%, 11/15/20		500,000		553,750
Precision Drilling Corp. (B), 6.5%, 12/15/21		850,000		905,250
QEP Resources Inc., 5.25%, 5/1/23		500,000		535,000
Regency Energy Partners L.P. / Regency Energy Finance Corp., 6.875%, 12/1/18		500,000		545,000
Unit Corp., 6.625%, 5/15/21		250,000		256,563

				9,512,112
Financials - 3.4%
Ally Financial Inc., 5.5%, 2/15/17		700,000		748,834
CIT Group Inc., 5%, 5/15/17		50,000		53,000
MPT Operating Partnership L.P. / MPT Finance Corp., 6.875%, 5/1/21		500,000		542,500
Nuveen Investments Inc. (A), 9.125%, 10/15/17		400,000		393,000
Toys R Us Property Co. I LLC, 10.75%, 7/15/17		500,000		538,750

				2,276,084
Health Care - 8.8%
Air Medical Group Holdings Inc., 9.25%, 11/1/18		500,000		552,500
Biomet Inc. (A), 6.5%, 8/1/20		250,000		265,625
DaVita HealthCare Partners Inc., 6.375%, 11/1/18		500,000		536,250
Endo Health Solutions Inc., 7%, 12/15/20		500,000		533,125
	Par Value			Value (Note 2)

Fresenius Medical Care US Finance II Inc. (A), 5.625%, 7/31/19	$	200,000	$	214,750
Fresenius Medical Care US Finance II Inc. (A), 5.875%, 1/31/22		200,000		217,000
HCA Inc., 5.875%, 3/15/22		250,000		271,875
HCA Inc., 5.875%, 5/1/23		800,000		828,000
Multiplan Inc. (A), 9.875%, 9/1/18		250,000		278,750
Tenet Healthcare Corp., 6.25%, 11/1/18		250,000		274,375
Tenet Healthcare Corp., 8%, 8/1/20		850,000		915,344
Valeant Pharmaceuticals International (A), 6.875%, 12/1/18		500,000		538,750
Vanguard Health Holding Co. II LLC / Vanguard Holding Co. II Inc. (A), 7.75%, 2/1/19		500,000		517,500

				5,943,844
Industrials - 6.8%
Alliance Data Systems Corp. (A), 5.25%, 12/1/17		50,000		50,750
Alliance Data Systems Corp. (A), 6.375%, 4/1/20		400,000		426,000
Ashtead Capital Inc. (A), 6.5%, 7/15/22		500,000		542,500
Avis Budget Car Rental LLC / Avis Budget Finance Inc., 8.25%, 1/15/19		500,000		552,500
Belden Inc. (A), 5.5%, 9/1/22		500,000		513,750
Moog Inc., 7.25%, 6/15/18		500,000		525,625
RBS Global Inc. / Rexnord LLC, 8.5%, 5/1/18		300,000		325,125
Tomkins LLC / Tomkins Inc., 9%, 10/1/18		325,000		364,000
TransDigm Inc. (A), 5.5%, 10/15/20		200,000		208,000
United Rentals North America Inc., 8.25%, 2/1/21		175,000		197,312
United Rentals North America Inc. (A), 7.625%, 4/15/22		500,000		558,750
West Corp., 8.625%, 10/1/18		100,000		104,750
West Corp., 7.875%, 1/15/19		200,000		207,000

				4,576,062
Information Technology - 3.3%
Level 3 Financing Inc., 8.125%, 7/1/19		400,000		436,000
SunGard Data Systems Inc., 7.375%, 11/15/18		800,000		857,000
Syniverse Holdings Inc., 9.125%, 1/15/19		850,000		907,375

				2,200,375
Materials - 8.8%
ArcelorMittal (B), 5.75%, 8/5/20		500,000		501,005
Ardagh Packaging Finance PLC / Ardagh MP Holdings USA Inc. (A) (B), 9.125%, 10/15/20		300,000		325,500
Boise Cascade LLC / Boise Cascade Finance Corp. (A), 6.375%, 11/1/20		600,000		618,000
FMG Resources August 2006 Pty Ltd. (A) (B), 7%, 11/1/15		200,000		210,000

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

High Income Fund Portfolio of Investments

	Par Value		Value (Note 2)

CORPORATE NOTES AND BONDS (continued)

Materials (continued)
Graphic Packaging International Inc., 9.5%, 6/15/17	$	350,000	$	378,000
Huntsman International LLC, 5.5%, 6/30/16		250,000		250,313
Huntsman International LLC (A), 4.875%, 11/15/20		250,000		252,812
JMC Steel Group (A), 8.25%, 3/15/18		1,000,000		1,045,000
Penn Virginia Resource Partners L.P. / Penn Virginia Resource Finance Corp., 8.25%, 4/15/18		700,000		742,000
Polymer Group Inc., 7.75%, 2/1/19		500,000		536,250
Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC, 8.5%, 5/15/18		250,000		256,250
Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC, 9%, 4/15/19		250,000		260,000
Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC, 8.25%, 2/15/21		500,000		507,500

				5,882,630
Telecommunication Services - 5.6%
CenturyLink Inc., 5.8%, 3/15/22		500,000		528,563
CommScope Inc. (A), 8.25%, 1/15/19		500,000		547,500
Crown Castle International Corp., 7.125%, 11/1/19		150,000		165,750
Crown Castle International Corp. (A), 5.25%, 1/15/23		600,000		642,000
SBA Telecommunications Inc. (A), 5.75%, 7/15/20		300,000		318,750
Sprint Nextel Corp., 7%, 8/15/20		325,000		355,063
Sprint Nextel Corp., 6%, 11/15/22		200,000		205,500
tw telecom holdings, Inc., 8%, 3/1/18		500,000		547,500
Windstream Corp., 7%, 3/15/19		475,000		485,688

				3,796,314
Utilities - 2.3%
GenOn Energy Inc., 7.875%, 6/15/17		300,000		331,500
Mirant Americas Generation LLC, 8.5%, 10/1/21		300,000		342,000
NRG Energy Inc., 8.25%, 9/1/20		475,000		532,000
Suburban Propane Partners L.P. / Suburban Energy Finance Corp., 7.375%, 8/1/21		309,000		336,038

				1,541,538

Total Corporate Notes and Bonds (Cost $59,983,869)				63,087,653
	Shares			Value (Note 2)

INVESTMENT COMPANIES - 4.7%
State Street Institutional U.S. Government Money Market Fund		3,135,148	$	3,135,148

Total Investment Companies (Cost $3,135,148)				3,135,148

TOTAL INVESTMENTS - 98.7% (Cost $63,119,017**)				66,222,801
NET OTHER ASSETS AND LIABILITIES - 1.3%				876,800

TOTAL NET ASSETS - 100.0%			$	67,099,601

**	Aggregate cost for Federal tax purposes was $63,119,017.
(A)	Security sold within terms of a private placement memorandum exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “qualified institutional investors.”
(B)	Notes and bonds, issued by foreign entities, denominated in U.S. dollars. The aggregate of these securities is 9.39% of total net assets.
PIK	Payment in Kind Security. Pays interest in additional bonds rather than in cash.
PLC	Public Limited Company.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Diversified Income Fund Portfolio of Investments

	Shares			Value (Note 2)

COMMON STOCKS - 54.8%
Consumer Discretionary - 5.4%
McDonald’s Corp.		52,500	$	4,631,025
Omnicom Group Inc.		71,500		3,572,140
Target Corp.		69,000		4,082,730
Time Warner Inc.		130,000		6,217,900
Viacom Inc., Class B		55,500		2,927,070

				21,430,865
Consumer Staples - 7.7%
Coca-Cola Co./The		93,000		3,371,250
Diageo PLC, ADR		27,000		3,147,660
Nestle S.A., ADR		59,000		3,845,030
PepsiCo Inc.		107,300		7,342,539
Philip Morris International Inc.		31,000		2,592,840
Procter & Gamble Co./The		74,000		5,023,860
Sysco Corp.		82,000		2,596,120
Wal-Mart Stores Inc.		35,000		2,388,050

				30,307,349
Energy - 6.3%
Chevron Corp.		91,500		9,894,810
ConocoPhillips		145,000		8,408,550
Exxon Mobil Corp.		38,000		3,288,900
Occidental Petroleum Corp.		43,000		3,294,230

				24,886,490
Financials - 10.5%
Axis Capital Holdings Ltd.		100,500		3,481,320
Bank of New York Mellon Corp./The		109,100		2,803,870
BlackRock Inc.		26,700		5,519,157
M&T Bank Corp.		36,000		3,544,920
Northern Trust Corp.		58,500		2,934,360
PartnerRe Ltd.		50,500		4,064,745
Travelers Cos. Inc./The		126,000		9,049,320
US Bancorp		134,000		4,279,960
Wells Fargo & Co.		167,000		5,708,060

				41,385,712
Health Care - 10.1%
Becton, Dickinson and Co.		34,000		2,658,460
Johnson & Johnson		145,000		10,164,500
Medtronic Inc.		95,800		3,929,716
Merck & Co. Inc.		206,000		8,433,640
Novartis AG, ADR		63,000		3,987,900
Pfizer Inc.		430,019		10,784,876

				39,959,092
Industrials - 7.3%
3M Co.		78,500		7,288,725
Boeing Co./The		60,000		4,521,600
	Shares			Value (Note 2)

Emerson Electric Co.		69,000	$	3,654,240
United Parcel Service Inc., Class B		64,000		4,718,720
United Technologies Corp.		74,000		6,068,740
Waste Management Inc.		72,000		2,429,280

				28,681,305
Information Technology - 5.3%
Accenture PLC, Class A		42,600		2,832,900
Automatic Data Processing Inc.		60,500		3,449,105
Intel Corp.		113,000		2,331,190
Linear Technology Corp.		90,000		3,087,000
Microchip Technology Inc.		75,000		2,444,250
Microsoft Corp.		247,000		6,602,310

				20,746,755
Materials - 0.9%
Air Products & Chemicals Inc.		41,000		3,444,820

Telecommunication Service - 1.3%
AT&T Inc.		155,515		5,242,411

Total Common Stocks (Cost $174,701,827)				216,084,799
	Par Value

ASSET BACKED SECURITIES - 0.2%
ABSC Long Beach Home Equity Loan Trust, Series 2000-LB1, Class AF5 (A), 8.55%, 9/21/30	$	599,648		607,382

Total Asset Backed Securities (Cost $618,567)				607,382
CORPORATE NOTES AND BONDS - 16.0%
Consumer Discretionary - 1.9%
American Association of Retired Persons (B) (C), 7.5%, 5/1/31		2,000,000		2,773,042
DR Horton Inc., 5.25%, 2/15/15		515,000		542,037
ERAC USA Finance LLC (B) (C), 6.7%, 6/1/34		1,850,000		2,239,960
Royal Caribbean Cruises Ltd. (D), 7.25%, 6/15/16		1,600,000		1,808,000

				7,363,039
Consumer Staples - 1.2%
Kraft Foods Inc., 6.5%, 11/1/31		2,025,000		2,609,992
PepsiCo Inc., 4.65%, 2/15/13		620,000		623,392
WM Wrigley Jr. Co. (B) (C), 3.05%, 6/28/13		1,310,000		1,325,548

				4,558,932
Energy - 1.4%
ConocoPhillips, 6.65%, 7/15/18		1,500,000		1,902,687
Hess Corp., 7.875%, 10/1/29		1,150,000		1,598,953
Transocean Inc. (D), 6%, 3/15/18		750,000		869,842
Transocean Inc. (D), 7.5%, 4/15/31		1,030,000		1,280,051

				5,651,533

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Diversified Income Fund Portfolio of Investments

		Par Value	Value (Note 2)

CORPORATE NOTES AND BONDS (continued)

Financials - 1.6%
American Express Credit Corp., 2.375%, 3/24/17	$	450,000	$	470,843
HCP Inc., 6.7%, 1/30/18		1,450,000		1,748,828
Lehman Brothers Holdings Inc. (E) *, 5.75%, 1/3/17		1,735,000		173
Simon Property Group L.P., 5.875%, 3/1/17		530,000		627,517
Swiss Re Solutions Holding Corp., 7%, 2/15/26		1,000,000		1,271,253
US Bank NA, 6.3%, 2/4/14		2,000,000		2,120,934

				6,239,548
Health Care - 3.3%
AbbVie Inc. (B) (C), 2%, 11/6/18		1,200,000		1,215,510
Amgen Inc., 5.85%, 6/1/17		3,950,000		4,677,728
Eli Lilly & Co., 6.57%, 1/1/16		1,200,000		1,380,702
Genentech Inc., 5.25%, 7/15/35		740,000		892,114
Merck & Co. Inc., 5.75%, 11/15/36		1,320,000		1,745,403
Quest Diagnostics Inc., 5.45%, 11/1/15		1,500,000		1,665,570
Wyeth LLC, 6.5%, 2/1/34		1,100,000		1,503,738

				13,080,765
Industrials - 2.1%
Boeing Co./The, 8.625%, 11/15/31		350,000		543,393
Boeing Co./The, 6.875%, 10/15/43		620,000		874,123
Burlington Northern Santa Fe LLC, 8.125%, 4/15/20		1,365,000		1,811,545
EI du Pont de Nemours & Co., 5%, 1/15/13		103,000		103,161
Lockheed Martin Corp., 7.65%, 5/1/16		780,000		944,590
Norfolk Southern Corp., 5.59%, 5/17/25		957,000		1,175,250
Norfolk Southern Corp., 7.05%, 5/1/37		1,050,000		1,492,189
Waste Management Inc., 7.125%, 12/15/17		1,150,000		1,398,207

				8,342,458
Information Technology - 0.7%
Cisco Systems Inc., 5.5%, 2/22/16		960,000		1,097,333
International Business Machines Corp., 1.875%, 8/1/22		1,600,000		1,539,689

				2,637,022
Materials - 0.3%
Westvaco Corp., 8.2%, 1/15/30		1,025,000		1,352,419

Telecommunication Services - 1.0%
Comcast Cable Communications Holdings Inc., 9.455%, 11/15/22		1,780,000		2,691,109
Rogers Communications Inc. (D), 6.25%, 6/15/13		1,315,000		1,348,880

				4,039,989
Utilities - 2.5%
Indianapolis Power & Light Co. (B) (C), 6.05%, 10/1/36		1,555,000		1,885,196
	Par Value		Value (Note 2)

Interstate Power & Light Co., 6.25%, 7/15/39	$	1,365,000	$	1,790,573
Nevada Power Co., Series R, 6.75%, 7/1/37		1,600,000		2,219,242
Sierra Pacific Power Co., Series M, 6%, 5/15/16		474,000		548,571
Southwestern Electric Power Co., Series E, 5.55%, 1/15/17		835,000		941,839
Westar Energy Inc., 6%, 7/1/14		2,400,000		2,570,081

				9,955,502

Total Corporate Notes and Bonds (Cost $55,906,823)				63,221,207
MORTGAGE BACKED SECURITIES - 6.9%
Fannie Mae - 6.0%
4%, 4/1/15 Pool # 255719		178,216		190,890
5.5%, 4/1/16 Pool # 745444		263,817		283,535
6%, 5/1/16 Pool # 582558		67,211		71,430
5%, 12/1/17 Pool # 672243		604,719		657,173
4.5%, 9/1/20 Pool # 835465		573,640		618,020
6%, 5/1/21 Pool # 253847		117,014		128,583
7%, 12/1/29 Pool # 762813		50,060		58,340
7%, 11/1/31 Pool # 607515		75,522		90,233
7%, 4/1/32 Pool # 641518		2,611		3,117
7%, 5/1/32 Pool # 644591		53,943		64,451
5.5%, 10/1/33 Pool # 254904		558,585		613,901
5.5%, 11/1/33 Pool # 555880		1,666,965		1,832,043
5%, 5/1/34 Pool # 780890		2,093,567		2,275,704
7%, 7/1/34 Pool # 792636		20,221		23,172
5.5%, 8/1/34 Pool # 793647		251,127		282,666
5.5%, 3/1/35 Pool # 815976		1,255,573		1,374,157
5.5%, 7/1/35 Pool # 825283		545,799		597,529
5.5%, 8/1/35 Pool # 826872		348,358		380,932
5%, 9/1/35 Pool # 820347		666,810		755,245
5%, 9/1/35 Pool # 835699		660,147		747,697
5%, 10/1/35 Pool # 797669		687,918		774,852
5.5%, 10/1/35 Pool # 836912		280,799		306,926
5%, 12/1/35 Pool # 850561		442,694		480,654
5.5%, 12/1/35 Pool # 844583		1,365,921		1,492,792
5.5%, 2/1/36 Pool # 851330		110,434		120,856
5.5%, 9/1/36 Pool # 831820		1,437,280		1,647,435
6%, 9/1/36 Pool # 831741		634,439		693,909
5.5%, 10/1/36 Pool # 896340		151,359		165,038
5.5%, 10/1/36 Pool # 901723		695,635		756,697
5.5%, 12/1/36 Pool # 902853		1,268,169		1,402,870
5.5%, 12/1/36 Pool # 903059		1,050,415		1,188,575
5.5%, 12/1/36 Pool # 907512		690,238		753,200
5.5%, 12/1/36 Pool # 907635		910,503		1,034,813
3.5%, 6/1/42 Pool # AO4136		1,423,436		1,521,912

				23,389,347

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Diversified Income Fund Portfolio of Investments

		Par Value	Value (Note 2)

MORTGAGE BACKED SECURITIES (continued)
Freddie Mac - 0.9%
8%, 6/1/30 Pool # C01005	$	42,955	$	53,141
6.5%, 1/1/32 Pool # C62333		140,476		162,956
5%, 7/1/33 Pool # A11325		1,226,603		1,368,197
6%, 10/1/34 Pool # A28439		127,853		140,654
6%, 10/1/34 Pool # A28598		87,177		95,905
5%, 4/1/35 Pool # A32314		190,183		212,969
5%, 4/1/35 Pool # A32315		248,382		273,484
5%, 4/1/35 Pool # A32316		264,317		297,637
5%, 4/1/35 Pool # A32509		131,600		144,900
5%, 1/1/37 Pool # A56371		773,757		833,335

				3,583,178
Ginnie Mae - 0.0%
6.5%, 4/20/31 Pool # 3068		81,723		93,957

Total Mortgage Backed Securities (Cost $24,529,551)				27,066,482
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 18.2%
U.S. Treasury Bond - 1.3%
6.625%, 2/15/27		3,270,000		5,030,179

U.S. Treasury Notes - 16.9%
1.375%, 1/15/13		4,000,000		4,001,720
3.625%, 5/15/13		1,980,000		2,005,524
3.125%, 8/31/13		1,175,000		1,197,857
4.000%, 2/15/14		4,810,000		5,013,862
4.250%, 8/15/14		4,965,000		5,286,563
2.375%, 9/30/14		1,400,000		1,451,953
0.500%, 10/15/14		5,000,000		5,022,655
2.500%, 3/31/15		795,000		834,502
4.500%, 2/15/16		3,550,000		4,001,237
3.250%, 12/31/16		2,500,000		2,768,750
3.125%, 1/31/17		2,000,000		2,207,968
0.500%, 7/31/17		4,000,000		3,975,936
2.375%, 7/31/17		2,000,000		2,156,718
4.250%, 11/15/17		12,100,000		14,168,350
2.750%, 2/15/19		1,300,000		1,439,446
3.375%, 11/15/19		1,000,000		1,149,766
2.625%, 11/15/20		7,400,000		8,121,500
1.750%, 5/15/22		1,750,000		1,765,176

				66,569,483

Total U.S. Government and Agency Obligations (Cost $67,276,218)				71,599,662
	Shares			Value (Note 2)

INVESTMENT COMPANIES - 3.6%
State Street Institutional U.S. Government Money Market Fund		14,006,365	$	14,006,365

Total Investment Companies (Cost $14,006,365)				14,006,365

TOTAL INVESTMENTS - 99.7% (Cost $337,039,351**)				392,585,897
NET OTHER ASSETS AND LIABILITIES - 0.3%				1,344,592

TOTAL NET ASSETS - 100.0%			$	393,930,489

*	Non-income producing.
**	Aggregate cost for Federal tax purposes was $337,889,040.
(A)	Stepped rate security. Rate shown is as of December 31, 2012.
(B)	Security sold within terms of a private placement memorandum exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “qualified institutional investors.”
(C)	Illiquid security (See Note 2).
(D)	Notes and bonds, issued by foreign entities, denominated in U.S. dollars. The aggregate of these securities is 1.35% of total net assets.
(E)	In default. Issuer is bankrupt.
ADR	American Depositary Receipt.
PLC	Public Limited Company.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Large Cap Value Fund Portfolio of Investments

		Shares	Value (Note 2)

COMMON STOCKS - 96.2%
Consumer Discretionary - 8.5%
McDonald’s Corp.		58,000	$	5,116,180
Omnicom Group Inc.		174,000		8,693,040
Target Corp.		160,000		9,467,200
Time Warner Inc.		236,500		11,311,795
Viacom Inc., Class B		151,000		7,963,740

				42,551,955
Consumer Staples - 10.1%
Diageo PLC, ADR		42,500		4,954,650
Nestle S.A., ADR		94,000		6,125,980
PepsiCo Inc.		151,000		10,332,930
Philip Morris International Inc.		67,000		5,603,880
Procter & Gamble Co./The		177,000		12,016,530
Sysco Corp.		184,000		5,825,440
Wal-Mart Stores Inc.		82,000		5,594,860

				50,454,270
Energy - 13.5%
Apache Corp.		123,500		9,694,750
Chevron Corp.		143,046		15,468,994
ConocoPhillips		198,000		11,482,020
Exxon Mobil Corp.		59,000		5,106,450
National Oilwell Varco Inc.		37,000		2,528,950
Occidental Petroleum Corp.		158,500		12,142,685
Schlumberger Ltd.		161,000		11,155,690

				67,579,539
Financials - 26.2%
Capital Markets - 4.7%
Bank of New York Mellon Corp./The		480,000		12,336,000
BlackRock Inc.		31,000		6,408,010
Franklin Resources Inc.		40,000		5,028,000

				23,772,010
Commercial Banks - 6.7%
M&T Bank Corp.		55,000		5,415,850
US Bancorp		405,000		12,935,700
Wells Fargo & Co.		450,000		15,381,000

				33,732,550
Insurance - 13.0%
American International Group Inc. *		157,000		5,542,100
Arch Capital Group Ltd. *		202,500		8,914,050
Berkshire Hathaway Inc., Class B *		162,000		14,531,400
Markel Corp. *		32,576		14,119,090
Travelers Cos. Inc./The		217,500		15,620,850
WR Berkley Corp.		165,032		6,228,308

				64,955,798
Real Estate Management & Development - 1.8%

Brookfield Asset Management Inc., Class A		240,000		8,796,000

	Shares		Value (Note 2)

Health Care - 16.7%
Johnson & Johnson		309,000	$	21,660,900
Laboratory Corp. of America Holdings *		70,000		6,063,400
Medtronic Inc.		233,000		9,557,660
Merck & Co. Inc.		461,500		18,893,810
Novartis AG, ADR		119,000		7,532,700
Pfizer Inc.		796,000		19,963,680

				83,672,150
Industrials - 12.4%
3M Co.		179,000		16,620,150
Boeing Co./The		123,500		9,306,960
Danaher Corp.		94,000		5,254,600
Emerson Electric Co.		160,000		8,473,600
General Dynamics Corp.		78,000		5,403,060
United Parcel Service Inc., Class B		122,000		8,995,060
United Technologies Corp.		100,000		8,201,000

				62,254,430
Information Technology - 3.9%
Intel Corp.		245,000		5,054,350
International Business Machines Corp.		35,500		6,800,025
Microsoft Corp.		282,000		7,537,860

				19,392,235
Materials - 3.4%
Air Products & Chemicals Inc.		86,000		7,225,720
Mosaic Co./The		46,000		2,604,980
Newmont Mining Corp.		149,000		6,919,560

				16,750,260
Telecommunication Service - 1.4%
AT&T Inc.		212,987		7,179,792

Total Common Stocks (Cost $399,218,418)				481,090,989
INVESTMENT COMPANIES - 4.0%
State Street Institutional U.S. Government Money Market Fund		20,226,182		20,226,182

Total Investment Companies (Cost $20,226,182)				20,226,182

TOTAL INVESTMENTS - 100.2% (Cost $419,444,600**)				501,317,171
NET OTHER ASSETS AND LIABILITIES - (0.2%)				(848,044	)

TOTAL NET ASSETS - 100.0%			$	500,469,127

*	Non-income producing.
**	Aggregate cost for Federal tax purposes was $419,832,130.
ADR	American Depositary Receipt.
PLC	Public Limited Company.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Large Cap Growth Fund Portfolio of Investments

		Shares	Value (Note 2)

COMMON STOCKS - 95.4%
Consumer Discretionary - 16.7%
Amazon.com Inc. *		22,097	$	5,549,441
CarMax Inc. *		57,568		2,161,103
Chipotle Mexican Grill Inc. *		5,165		1,536,381
Comcast Corp., Class A		134,817		5,039,459
Discovery Communications Inc., Class C *		64,335		3,763,597
Home Depot Inc./The		77,125		4,770,181
J.C. Penney Company Inc.		90,852		1,790,693
Lululemon Athletica Inc. *		24,685		1,881,738
Nielsen Holdings N.V. *		76,523		2,340,839
NIKE Inc.		56,918		2,936,969
Omnicom Group Inc.		79,720		3,982,811
Panera Bread Co., Class A *		28,003		4,447,716
priceline.com Inc. *		6,943		4,312,992
Starbucks Corp.		56,378		3,022,988
Tractor Supply Co.		18,405		1,626,266
Walt Disney Co./The		67,630		3,367,298
Yum! Brands Inc.		78,870		5,236,968

				57,767,440
Consumer Staples - 7.7%
Coca-Cola Co./The		236,890		8,587,262
Costco Wholesale Corp.		57,304		5,659,916
Diageo PLC, ADR		29,717		3,464,408
Hershey Co./The		31,875		2,302,013
PepsiCo Inc.		99,563		6,813,096

				26,826,695
Energy - 4.8%
Exxon Mobil Corp.		80,810		6,994,105
Schlumberger Ltd.		138,765		9,615,027

				16,609,132
Financials - 4.8%
Aon PLC		15,505		862,078
Brookfield Asset Management Inc., Class A		97,582		3,576,380
IntercontinentalExchange Inc. *		55,442		6,864,274
T Rowe Price Group Inc.		84,254		5,487,463

				16,790,195
Health Care - 10.5%
Allergan Inc.		38,628		3,543,347
Becton, Dickinson and Co.		31,965		2,499,343
Biogen Idec Inc. *		26,105		3,828,820
Celgene Corp. *		67,595		5,321,078
Cerner Corp. *		74,564		5,789,149
Eli Lilly & Co.		36,430		1,796,728
Johnson & Johnson		82,125		5,756,963
UnitedHealth Group Inc.		147,345		7,991,993

				36,527,421
	Shares		Value (Note 2)

Industrials - 11.9%
3M Co.		50,963	$	4,731,915
Boeing Co./The		77,597		5,847,710
C.H. Robinson Worldwide Inc.		43,470		2,748,173
Copart Inc. *		72,802		2,147,659
Danaher Corp.		82,145		4,591,905
Emerson Electric Co.		87,988		4,659,844
Expeditors International of Washington Inc.		49,867		1,972,240
IHS Inc., Class A *		25,953		2,491,488
Roper Industries Inc.		37,893		4,224,312
United Parcel Service Inc., Class B		74,075		5,461,550
W.W. Grainger Inc.		11,825		2,393,025

				41,269,821
Information Technology - 33.1%
Communications Equipment - 2.8%
QUALCOMM Inc.		154,710		9,595,114

Computers & Peripherals - 8.6%
Apple Inc.		50,848		27,103,509
EMC Corp. *		109,275		2,764,658

				29,868,167
Electrical Equipment - 0.6%
Sensata Technologies Holding N.V. *		63,077		2,048,741

Internet Software & Services - 5.9%
Baidu Inc., ADR *		14,180		1,422,112
eBay Inc. *		79,935		4,078,284
Google Inc., Class A *		21,348		15,143,631

				20,644,027
IT Services - 3.9%
Accenture PLC, Class A		114,662		7,625,023
Visa Inc., Class A		38,321		5,808,697

				13,433,720
Semiconductors & Semiconductor Equipment - 2.3%
ASML Holding N.V.		48,040		3,094,256
Intel Corp.		234,915		4,846,297

				7,940,553
Software - 9.0%
MICROS Systems Inc. *		112,038		4,754,893
Microsoft Corp.		434,685		11,619,130
Nuance Communications Inc. *		228,411		5,098,133
Oracle Corp.		227,391		7,576,668
SAP AG, ADR		26,550		2,134,089

				31,182,913

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Large Cap Growth Fund Portfolio of Investments

	Shares		Value (Note 2)

COMMON STOCKS (continued)
Materials - 4.1%
Ecolab Inc.	42,352	$	3,045,109
International Flavors & Fragrances Inc.	58,145		3,868,968
Monsanto Co.	77,130		7,300,355

			14,214,432
Telecommunication Service - 1.8%
Verizon Communications Inc.	142,720		6,175,494

Total Common Stocks (Cost $259,589,772)			330,893,865
INVESTMENT COMPANIES - 4.3%
State Street Institutional U.S. Government Money Market Fund	15,071,048		15,071,048

Total Investment Companies (Cost $15,071,048)			15,071,048

TOTAL INVESTMENTS - 99.7% (Cost $274,660,820**)			345,964,913
NET OTHER ASSETS AND LIABILITIES - 0.3%			1,160,940

TOTAL NET ASSETS - 100.0%		$	347,125,853

*	Non-income producing.
**	Aggregate cost for Federal tax purposes was $276,357,865.
ADR	American Depositary Receipt.
PLC	Public Limited Company.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Mid Cap Fund Portfolio of Investments

		Shares	Value (Note 2)

COMMON STOCKS - 93.3%
Consumer Discretionary - 21.0%
Advance Auto Parts Inc.		91,899	$	6,648,893
Bed Bath & Beyond Inc. *		186,786		10,443,205
CarMax Inc. *		298,482		11,205,014
Discovery Communications Inc., Class C *		126,266		7,386,561
Liberty Global Inc., Series C *		164,597		9,670,074
Omnicom Group Inc.		227,693		11,375,542
Tiffany & Co.		158,225		9,072,622
TJX Cos. Inc.		285,782		12,131,446

				77,933,357
Consumer Staples - 3.1%
Brown-Forman Corp., Class B		53,198		3,364,773
McCormick & Co. Inc.		128,511		8,164,304

				11,529,077
Energy - 7.3%
Ensco PLC, Class A		125,332		7,429,681
EOG Resources Inc.		45,949		5,550,180
Noble Corp.		172,962		6,022,537
World Fuel Services Corp.		192,203		7,912,997

				26,915,395
Financials - 23.1%
Arch Capital Group Ltd. *		223,394		9,833,804
Brookfield Asset Management Inc., Class A		408,688		14,978,415
Brown & Brown Inc.		283,468		7,217,095
Glacier Bancorp Inc.		369,276		5,432,050
Leucadia National Corp.		363,038		8,636,674
M&T Bank Corp.		99,109		9,759,263
Markel Corp. *		39,038		16,919,850
WR Berkley Corp.		337,337		12,731,099

				85,508,250
Health Care - 8.1%
DENTSPLY International Inc.		215,177		8,523,161
Laboratory Corp. of America Holdings *		136,204		11,797,990
Techne Corp.		140,314		9,589,059

				29,910,210
Industrials - 19.6%
C.H. Robinson Worldwide Inc.		206,960		13,084,011
Copart Inc. *		504,136		14,872,012
Expeditors International of Washington Inc.		240,205		9,500,108
IDEX Corp.		175,615		8,171,366
Jacobs Engineering Group Inc. *		182,189		7,755,786
Ritchie Bros Auctioneers Inc.		412,237		8,611,631
Wabtec Corp.		121,973		10,677,516

				72,672,430
	Shares			Value (Note 2)

Information Technology - 4.1%
Amphenol Corp., Class A		107,591	$	66,961,138
MICROS Systems Inc. *		195,752		8,307,715

				15,268,853
Materials - 7.0%
Crown Holdings Inc. *		241,779		8,899,885
Ecolab Inc.		125,183		9,000,658
Valspar Corp.		125,518		7,832,323

				25,732,866

Total Common Stocks (Cost $263,047,742)				345,470,438
INVESTMENT COMPANIES - 7.0%
State Street Institutional U.S. Government Money Market Fund		26,049,776		26,049,776

Total Investment Companies (Cost $26,049,776)				26,049,776

TOTAL INVESTMENTS - 100.3% (Cost $289,097,518**)				371,520,214
NET OTHER ASSETS AND LIABILITIES - (0.3%)				(1,059,207	)

TOTAL NET ASSETS - 100.0%			$	370,461,007

*	Non-income producing.
**	Aggregate cost for Federal tax purposes was $289,340,679.
PLC	Public Limited Company.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Small Cap Fund Portfolio of Investments

		Shares		Value (Note 2)

COMMON STOCKS - 97.0%
Consumer Discretionary - 13.8%
Arbitron Inc.		7,040	$	328,627
Ascena Retail Group Inc. *		10,720		198,213
Cato Corp./The, Class A		9,840		269,911
CEC Entertainment Inc.		6,020		199,804
Choice Hotels International Inc.		2,020		67,912
Fred’s Inc., Class A		11,800		157,058
Helen of Troy Ltd. *		7,110		237,403
Matthews International Corp., Class A		6,240		200,304
Stage Stores Inc.		7,910		196,010

				1,855,242
Consumer Staples - 1.9%
Casey’s General Stores Inc.		3,080		163,548
Post Holdings Inc. *		2,800		95,900

				259,448
Energy - 3.9%
Bristow Group Inc.		2,400		128,784
Halcon Resources Corp. *		7,341		50,800
Penn Virginia Corp.		5,070		22,358
Scorpio Tankers Inc. *		18,200		129,402
SEACOR Holdings Inc.		2,290		191,902

				523,246
Financials - 19.6%
AMERISAFE Inc. *		5,370		146,332
Ares Capital Corp.		3,763		65,853
Assured Guaranty Ltd.		7,700		109,571
Campus Crest Communities Inc., REIT		11,400		139,764
DiamondRock Hospitality Co., REIT		12,529		112,761
First Busey Corp.		21,607		100,473
First Midwest Bancorp Inc.		16,230		203,200
First Niagara Financial Group Inc.		15,507		122,971
Flushing Financial Corp.		7,981		122,429
Hancock Holding Co.		3,500		111,090
International Bancshares Corp.		11,150		201,257
Mack-Cali Realty Corp., REIT		3,600		93,996
MB Financial Inc.		6,330		125,017
Northwest Bancshares Inc.		17,180		208,565
Platinum Underwriters Holdings Ltd.		3,660		168,360
Primerica Inc.		7,000		210,070
Summit Hotel Properties Inc., REIT		11,200		106,400
Webster Financial Corp.		11,080		227,694
Westamerica Bancorporation		1,170		49,830

				2,625,633
	Shares		Value (Note 2)

Health Care - 10.8%
Allscripts Healthcare Solutions Inc. *		5,400	$	50,868
Amsurg Corp. *		7,190		215,772
Charles River Laboratories International Inc. *		8,300		311,001
Corvel Corp. *		2,730		122,386
Haemonetics Corp. *		1,400		57,176
ICON PLC, ADR *		11,830		328,401
ICU Medical Inc. *		3,670		223,613
STERIS Corp.		4,000		138,920

				1,448,137
Industrials - 27.3%
Aerospace & Defense - 0.9%
Cubic Corp.		2,400		115,128

Air Freight & Logistics - 1.7%
Atlas Air Worldwide Holdings Inc. *		2,900		128,499
UTi Worldwide Inc.		7,800		104,520

				233,019
Commercial Services & Supplies - 6.2%
ACCO Brands Corp. *		25,840		189,665
G&K Services Inc., Class A		5,900		201,485
McGrath RentCorp		1,000		29,020
Standard Parking Corp. *		5,490		120,725
United Stationers Inc.		9,220		285,728

				826,623
Construction & Engineering - 0.3%
Sterling Construction Co. Inc. *		3,390		33,697

Electrical Equipment - 4.1%
Acuity Brands Inc.		1,810		122,591
Belden Inc.		9,430		424,256

				546,847
Industrial Conglomerates - 3.8%
Carlisle Cos. Inc.		8,750		514,150

Machinery - 5.7%
Albany International Corp., Class A		10,250		232,470
ESCO Technologies Inc.		5,790		216,604
Mueller Industries Inc.		6,300		315,189

				764,263
Marine - 1.8%
Kirby Corp. *		3,930		243,228

Road & Rail - 1.1%
Genesee & Wyoming Inc., Class A *		2,000		152,160

Trading Companies & Distributors - 1.7%
GATX Corp.		5,370		232,521

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Small Cap Fund Portfolio of Investments

	Shares	Value (Note 2)

COMMON STOCKS (continued)
Information Technology - 7.9%
Coherent Inc.	2,470	$	125,031
Diebold Inc.	5,370		164,376
Forrester Research Inc.	4,000		107,200
MAXIMUS Inc.	3,480		220,006
MTS Systems Corp.	3,730		189,969
Websense Inc. *	6,500		97,760
Zebra Technologies Corp., Class A *	4,000		157,120

			1,061,462
Materials - 7.6%
Aptargroup Inc.	3,720		177,518
Deltic Timber Corp.	2,480		175,138
Greif Inc., Class A	2,700		120,150
Innospec Inc.	4,600		158,654
Koppers Holdings Inc.	3,100		118,265
Sensient Technologies Corp.	2,800		99,568
Zep Inc.	11,740		169,526

			1,018,819
	Shares		Value (Note 2)

Utilities - 4.2%
Atmos Energy Corp.	4,250	$	149,260
New Jersey Resources Corp.	1,470		58,241
UNS Energy Corp.	3,140		133,199
Westar Energy Inc.	4,190		119,918
WGL Holdings Inc.	2,560		100,326

			560,944

Total Common Stocks (Cost $9,726,642)			13,014,567
INVESTMENT COMPANIES - 3.7%
State Street Institutional U.S. Government Money Market Fund	496,276		496,276

Total Investment Companies (Cost $496,276)			496,276

TOTAL INVESTMENTS - 100.7% (Cost $10,222,918**)			13,510,843
NET OTHER ASSETS AND LIABILITIES - (0.7%)			(88,445	)

TOTAL NET ASSETS - 100.0%		$	13,422,398

*	Non-income producing.
**	Aggregate cost for Federal tax purposes was $10,324,427.
ADR	American Depository Receipt.
PLC	Public Limited Company.
REIT	Real Estate Investment Trust.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

International Stock Fund Portfolio of Investments

		Shares	Value (Note 2)

COMMON STOCKS - 98.4%
Australia - 2.5%
James Hardie Industries PLC (A)		156,266	$	1,511,750
Orica Ltd. (A)		32,178		846,170

				2,357,920
Belgium - 3.5%
Anheuser-Busch InBev N.V. (A)		37,741		3,298,134

Brazil - 1.6%
Anhanguera Educacional Participacoes S.A. (A)		41,900		715,818
Cielo S.A. (A)		28,035		784,978

				1,500,796
Canada - 2.8%
MacDonald Dettwiler & Associates Ltd.		2,600		146,271
Potash Corp. of Saskatchewan Inc.		27,200		1,106,923
Rogers Communications Inc.		30,700		1,393,799

				2,646,993
Finland - 1.3%
Sampo (A)		37,795		1,222,154

France - 9.8%
BNP Paribas S.A. (A)		31,917		1,799,070
Cie Generale de Geophysique - Veritas (A) *		32,979		993,941
Rexel S.A. (A)		52,783		1,078,551
Sanofi S.A. (A)		32,571		3,088,878
Technip S.A. (A)		10,646		1,225,666
Valeo S.A. (A)		21,801		1,105,450

				9,291,556
Germany - 9.8%
Bayer AG (A)		22,801		2,165,241
Bayerische Motoren Werke AG (A)		14,718		1,419,433
Merck KGaA (A)		15,289		2,017,199
RWE AG (A)		29,001		1,197,240
SAP AG (A)		21,745		1,741,916
ThyssenKrupp AG (A)		35,281		828,972

				9,370,001
Indonesia - 0.8%
Bank Mandiri Persero Tbk PT, ADR		93,300		782,227

Ireland - 0.8%
Ryanair Holdings PLC, ADR		21,900		750,732

Italy - 2.9%
Atlantia SpA (A)		67,122		1,217,393
Eni SpA (A)		64,298		1,586,202

				2,803,595
Japan - 15.3%
Asics Corp. (A)		87,090		1,326,803
Canon Inc. (A)		27,900		1,094,298
	Shares		Value (Note 2)

Daikin Industries Ltd. (A)		33,300	$	1,144,203
Daito Trust Construction Co. Ltd. (A)		16,310		1,534,807
Don Quijote Co. Ltd. (A)		38,000		1,392,114
FANUC Corp. (A)		4,400		818,241
Komatsu Ltd. (A)		47,500		1,215,500
LIXIL Group Corp. (A)		66,000		1,469,749
Seven & I Holdings Co. Ltd. (A)		37,200		1,046,992
Softbank Corp. (A)		21,200		775,745
Sumitomo Mitsui Financial Group Inc. (A)		53,700		1,950,868
Yahoo! Japan Corp. (A)		2,521		815,970

				14,585,290
Mexico - 0.9%
Genomma Lab Internacional S.A.B. de C.V. *		416,700		856,204

Netherlands - 2.0%
ING Groep N.V. (A) *		196,350		1,877,635

New Zealand - 0.7%
Telecom Corp. of New Zealand Ltd. (A)		352,716		667,033

Philippines - 0.6%
BDO Unibank Inc. (A) *		301,150		535,027

Russia - 1.5%
Sberbank of Russia (A)		459,600		1,419,872

South Africa - 1.1%
Mediclinic International Ltd. (A)		158,599		1,026,517

South Korea - 2.5%
Hyundai Mobis (A)		4,232		1,147,831
Samsung Electronics Co. Ltd., GDR (A)		1,779		1,264,343

				2,412,174
Spain - 2.4%
Mediaset Espana Comunicacion S.A. (A)		177,783		1,224,209
Red Electrica Corp. S.A. (A)		22,173		1,095,514

				2,319,723
Sweden - 5.4%
Assa Abloy AB (A)		40,239		1,515,218
Getinge AB (A)		30,603		1,036,711
Sandvik AB (A)		87,345		1,403,855
Swedbank AB (A)		59,766		1,176,099

				5,131,883
Switzerland - 4.6%
Novartis AG (A)		52,425		3,319,106
Swatch Group AG/The (A)		1,965		1,011,257

				4,330,363
Thailand - 1.0%
Krung Thai Bank PCL		1,524,000		996,404

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

International Stock Fund Portfolio of Investments

	Shares	Value (Note 2)

COMMON STOCKS (continued)
Turkey - 1.6%
KOC Holding AS (A)	114,302	$	594,655
Turkcell Iletisim Hizmetleri AS (A) *	149,050		964,351

			1,559,006
United Kingdom - 23.0%
BG Group PLC (A)	47,335		793,726
BHP Billiton PLC (A)	77,044		2,707,288
British American Tobacco PLC (A)	37,033		1,876,463
Direct Line Insurance Group PLC (A) *	268,768		939,895
Informa PLC (A)	265,979		1,967,701
Petrofac Ltd. (A)	31,391		850,471
Prudential PLC (A)	133,057		1,856,582
Reed Elsevier PLC (A)	105,680		1,109,629
Rexam PLC (A)	295,403		2,075,835
Royal Dutch Shell PLC (A)	72,881		2,575,216
Signet Jewelers Ltd. (A)	11,682		616,058
Standard Chartered PLC (A)	64,810		1,642,847
Unilever PLC (A)	75,610		2,869,991

			21,881,702

Total Common Stocks (Cost $75,337,507)			93,622,941
INVESTMENT COMPANIES - 1.7%
State Street Institutional U.S. Government Money Market Fund	1,655,652		1,655,652

Total Investment Companies (Cost $1,655,652)			1,655,652

TOTAL INVESTMENTS - 100.1% (Cost $76,993,159**)			95,278,593
NET OTHER ASSETS AND LIABILITIES - (0.1%)			(96,488	)

TOTAL NET ASSETS - 100.0%		$	95,182,105

*	Non-income producing.
**	Aggregate cost for Federal tax purposes was $77,447,915.
(A)	Due to events that occurred between the close of the exchange on which this security is traded and that of the New York Stock Exchange, fair value was determined for this security using methods determined in good faith by or at the discretion of the Board of Trustees (see Note 2).
ADR	American Depositary Receipt.
GDR	Global Depositary Receipt.
PLC	Public Limited Company.

OTHER INFORMATION:	% of Net
Sector Concentration	Assets

Consumer Discretionary	14	%
Consumer Staples	10	%
Energy	8	%
Financials	19	%
Health Care	14	%
Industrials	12	%
Information Technology	6	%
Materials	9	%
Money Market Funds	2	%
Telecommunication Services	4	%
Utilities	2	%
Net Other Assets and Liabilities	–

	100	%

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Madison Target Retirement 2020 Fund Portfolio of Investments

	Shares		Value (Note 2)

INVESTMENT COMPANIES - 97.9%
Bond Funds - 52.0%
Baird Aggregate Bond Fund		369,017	$	4,018,593
DoubleLine Total Return Bond Fund Class I		216,058		2,447,935
Franklin Floating Rate Daily Access Fund Advisor Class		575,643		5,255,616
iShares Barclays 20+ Year Treasury Bond Fund ETF		5,751		696,906
iShares Barclays TIPS Bond Fund ETF		713		86,565
Metropolitan West High Yield Bond Fund Class I		63,929		666,136
Metropolitan West Total Return Bond Fund Class I		404,091		4,400,547
PIMCO Investment Grade Corporate Bond Fund Institutional Class		180,033		2,001,963
PIMCO Total Return Fund Institutional Class		196,584		2,209,609
Vanguard Total Bond Market ETF		91,350		7,676,141

				29,460,011
Foreign Bond Funds - 2.8%
TCW Emerging Markets Income Fund Class I		167,032		1,556,737

Foreign Stock Funds - 8.6%
iShares MSCI EAFE Index Fund ETF		5,024		285,464
IVA Worldwide Fund Class I		83,219		1,323,184
Market Vectors Agribusiness ETF		5,386		284,165
Vanguard FTSE All-World ex-US ETF		49,577		2,268,148
WisdomTree Japan Hedged Equity Fund ETF		19,392		715,177

				4,876,138
	Shares		Value (Note 2)

Money Market Funds - 0.8%
State Street Institutional U.S. Government Money Market Fund		447,082	$	447,082

Stock Funds - 33.7%
iShares Core S&P Mid-Cap ETF		19,762		2,009,795
iShares S&P 100 Index Fund ETF		41,765		2,701,360
iShares S&P Global Energy Sector Index Fund ETF		10,408		398,106
Schwab Fundamental U.S. Large Company Index Fund		360,026		3,866,676
SPDR S&P 500 ETF Trust		30,702		4,375,649
Vanguard Dividend Appreciation ETF		61,150		3,642,706
Vanguard Health Care ETF		12,887		923,611
Vanguard Information Technology ETF		16,570		1,145,153

				19,063,056

TOTAL INVESTMENTS - 97.9% (Cost $52,904,034**)				55,403,024
NET OTHER ASSETS AND LIABILITIES - 2.1%				1,204,266

TOTAL NET ASSETS - 100.0%			$	56,607,290

**	Aggregate cost for Federal tax purposes was $53,405,823.
ETF	Exchange Traded Fund.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Madison Target Retirement 2030 Fund Portfolio of Investments

	Shares		Value (Note 2)

INVESTMENT COMPANIES - 100.0%
Bond Funds - 35.6%
Baird Aggregate Bond Fund		339,027	$	3,691,999
DoubleLine Total Return Bond Fund Class I		217,762		2,467,239
Franklin Floating Rate Daily Access Fund Advisor Class		609,190		5,561,909
iShares Barclays 20+ Year Treasury Bond Fund ETF		6,862		831,537
iShares Barclays TIPS Bond Fund ETF		840		101,984
Metropolitan West High Yield Bond Fund Class I		46,448		483,993
Metropolitan West Total Return Bond Fund Class I		396,481		4,317,676
PIMCO Investment Grade Corporate Bond Fund Institutional Class		148,966		1,656,507
PIMCO Total Return Fund Institutional Class		160,021		1,798,641
Vanguard Total Bond Market ETF		39,541		3,322,630

				24,234,115
Foreign Bond Funds - 2.7%
TCW Emerging Markets Income Fund Class I		197,875		1,844,199

Foreign Stock Funds - 11.8%
iShares MSCI EAFE Index Fund ETF		5,952		338,193
IVA Worldwide Fund Class I		126,932		2,018,213
Market Vectors Agribusiness ETF		6,492		342,518
Vanguard FTSE All-World ex-US ETF		93,601		4,282,246
WisdomTree Japan Hedged Equity Fund ETF		27,688		1,021,133

				8,002,303
	Shares		Value (Note 2)

Money Market Funds - 1.4%
State Street Institutional U.S. Government Money Market Fund		938,288	$	938,288

Stock Funds - 48.5%
iShares Core S&P Mid-Cap ETF		34,606		3,519,430
iShares S&P 100 Index Fund ETF		81,641		5,280,540
iShares S&P Global Energy Sector Index Fund ETF		21,335		816,064
Schwab Fundamental U.S. Large Company Index Fund		651,338		6,995,374
SPDR S&P 500 ETF Trust		56,307		8,024,874
Vanguard Dividend Appreciation ETF		82,516		4,915,478
Vanguard Health Care ETF		20,439		1,464,863
Vanguard Information Technology ETF		28,210		1,949,593

				32,966,216

TOTAL INVESTMENTS - 100.0% (Cost $64,617,960**)				67,985,121
NET OTHER ASSETS AND LIABILITIES - 0.0%				24,346

TOTAL NET ASSETS - 100.0%			$	68,009,467

**	Aggregate cost for Federal tax purposes was $65,295,958.
ETF	Exchange Traded Fund.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Madison Target Retirement 2040 Fund Portfolio of Investments

	Shares		Value (Note 2)

INVESTMENT COMPANIES - 99.8%
Bond Funds - 25.4%
Baird Aggregate Bond Fund		181,074	$	1,971,892
DoubleLine Total Return Bond Fund Class I		134,557		1,524,527
Franklin Floating Rate Daily Access Fund Advisor Class		376,239		3,435,065
iShares Barclays 20+ Year Treasury Bond Fund ETF		4,957		600,689
iShares Barclays TIPS Bond Fund ETF		605		73,453
Metropolitan West Total Return Bond Fund Class I		219,530		2,390,684
PIMCO Investment Grade Corporate Bond Fund Institutional Class		70,097		779,481
PIMCO Total Return Fund Institutional Class		61,532		691,618
Vanguard Total Bond Market ETF		12,404		1,042,308

				12,509,717
Foreign Bond Funds - 1.9%
TCW Emerging Markets Income Fund Class I		104,262		971,725

Foreign Stock Funds - 15.3%
iShares MSCI EAFE Index Fund ETF		5,156		292,964
IVA Worldwide Fund Class I		122,882		1,953,817
Market Vectors Agribusiness ETF		5,597		295,298
Market Vectors Gold Miners ETF		5,314		246,516
Vanguard FTSE All-World ex-US ETF		83,149		3,804,067
WisdomTree Japan Hedged Equity Fund ETF		25,300		933,064

				7,525,726
	Shares		Value (Note 2)

Money Market Funds - 1.4%
State Street Institutional U.S. Government Money Market Fund		666,826	$	666,826

Stock Funds - 55.8%
iShares Core S&P Mid-Cap ETF		31,868		3,240,976
iShares S&P 100 Index Fund ETF		70,011		4,528,312
iShares S&P Global Energy Sector Index Fund ETF		19,525		746,831
Schwab Fundamental U.S. Large Company Index Fund		540,235		5,802,124
SPDR S&P 500 ETF Trust		46,672		6,651,693
Vanguard Dividend Appreciation ETF		62,557		3,726,521
Vanguard Health Care ETF		17,087		1,224,625
Vanguard Information Technology ETF		22,776		1,574,049

				27,495,131

TOTAL INVESTMENTS - 99.8% (Cost $46,606,039**)				49,169,125
NET OTHER ASSETS AND LIABILITIES - 0.2%				99,505

TOTAL NET ASSETS - 100.0%			$	49,268,630

**	Aggregate cost for Federal tax purposes was $47,149,568.
ETF	Exchange Traded Fund.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Madison Target Retirement 2050 Fund Portfolio of Investments

	Shares		Value (Note 2)

INVESTMENT COMPANIES - 99.8%
Bond Funds - 15.3%
Baird Aggregate Bond Fund		12,244	$	133,336
DoubleLine Total Return Bond Fund Class I		12,736		144,293
Franklin Floating Rate Daily Access Fund Advisor Class		39,757		362,978
iShares Barclays 20+ Year Treasury Bond Fund ETF		728		88,219
Metropolitan West Total Return Bond Fund Class I		17,891		194,831
PIMCO Investment Grade Corporate Bond Fund Institutional Class		4,065		45,205
Vanguard Total Bond Market ETF		1,491		125,289

				1,094,151
Foreign Bond Funds - 1.5%
TCW Emerging Markets Income Fund Class I		11,336		105,652

Foreign Stock Funds - 18.4%
iShares MSCI EAFE Index Fund ETF		744		42,274
IVA Worldwide Fund Class I		22,288		354,383
Market Vectors Agribusiness ETF		1,348		71,121
Market Vectors Gold Miners ETF		770		35,720
Vanguard FTSE All-World ex-U.S. ETF		12,075		552,431
WisdomTree Japan Hedged Equity Fund ETF		7,176		264,651

				1,320,580
	Shares		Value (Note 2)

Money Market Funds - 1.8%
State Street Institutional U.S. Government Money Market Fund		131,941	$	131,941

Stock Funds - 62.8%
iShares Core S&P Mid-Cap ETF		5,096		518,263
iShares Core S&P Small-Cap ETF		768		60,065
iShares S&P 100 Index Fund ETF		10,359		670,020
iShares S&P Global Energy Sector Index Fund ETF		3,700		141,525
Schwab Fundamental U.S. Large Company Index Fund		102,037		1,095,881
SPDR S&P 500 ETF Trust		6,723		958,162
Vanguard Dividend Appreciation ETF		10,840		645,739
Vanguard Health Care ETF		2,338		167,565
Vanguard Information Technology ETF		3,453		238,637

				4,495,857

TOTAL INVESTMENTS - 99.8% (Cost $6,831,788**)				7,148,181
NET OTHER ASSETS AND LIABILITIES - 0.2%				11,901

TOTAL NET ASSETS - 100.0%			$	7,160,082

**	Aggregate cost for Federal tax purposes was $6,904,344.
ETF	Exchange Traded Fund.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Statements of Assets and Liabilities as of December 31, 2012

	Conservative		Moderate		Aggressive		Money
	Allocation		Allocation		Allocation		Market
	Fund		Fund		Fund		Fund

Assets:
Investments in securities, at cost
Unaffiliated issuers	$118,362,775		$177,195,734		$68,291,152		$50,111,524
Affiliated issuers¹	104,001,413		174,129,144		59,390,755		–
Net unrealized appreciation
Unaffiliated issuers	2,763,309		5,871,645		2,351,251		–
Affiliated issuers¹	12,826,780		33,098,953		14,389,198		–

Total investments at value	237,954,277		390,295,476		144,422,356		50,111,524
Foreign currency (cost of $185,201)(Note 2)	–		–		–		–
Receivables:
Investments sold	120,911		4,870,131		976,622		–
Fund shares sold	135,945		463,231		290,729		82,196
Dividends and interest	2,648,259		4,844,792		1,920,871		193,595
Due from Adviser	–		–		–		13,379
Other assets	–		–		–		–

Total assets	240,859,392		400,473,630		147,610,578		50,400,694

Liabilities:
Payables:
Investments purchased	2,495,564		7,152,657		2,887,690		–
Fund shares repurchased	65,340		134,349		2,456		55,151
Auditor fees	12,471		21,081		7,991		2,841
Management fees	60,336		99,753		36,610		18,722
Distribution fees – Class II	9,058		7,315		412		303
Accrued expenses and other payables	16		2		–		–

Total liabilities	2,642,785		7,415,157		2,935,159		77,017

Net assets applicable to outstanding capital stock	$238,216,607		$393,058,473		$144,675,419		$50,323,677

Net assets consist of:
Paid-in capital	$227,033,525		$398,191,534		$143,020,596		$50,323,677
Accumulated undistributed net investment income	–		–		–		–
Accumulated net realized loss on investments sold and foreign currency related
transactions	(4,407,007	)	(44,103,659	)	(15,085,626	)	–
Net unrealized appreciation of investments (including appreciation of foreign
currency related transactions)	15,590,089		38,970,598		16,740,449		–

Net Assets	$238,216,607		$393,058,473		$144,675,419		$50,323,677

Class I Shares:
Net Assets	$195,525,680		$358,485,606		$142,754,683		$48,647,940
Shares of beneficial interest outstanding	18,705,307		35,475,778		14,634,543		48,647,940
Net Asset Value and redemption price per share	$10.45		$10.11		$9.75		$1.00

Class II Shares:
Net Assets	$42,690,927		$34,572,867		$1,920,736		$1,675,737
Shares of beneficial interest outstanding	4,092,439		3,429,909		197,521		1,675,737
Net Asset Value and redemption price per share	$10.43		$10.08		$9.72		$1.00

¹ See Note 10 for information on affiliated issuers.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Statements of Assets and Liabilities as of December 31, 2012

		High		Diversified		Large Cap		Large Cap
Bond		Income		Income		Value		Growth		Mid Cap		Small Cap		International
Fund		Fund		Fund		Fund		Fund		Fund		Fund		Stock Fund

$353,513,467		$63,119,017		$337,039,351		$419,444,600		$274,660,820		$289,097,518		$10,222,918		$76,993,159
–		–		–		–		–		–		–		–
33,283,501		3,103,784		55,546,546		81,872,571		71,304,093		82,422,696		3,287,925		18,285,434
–		–		–		–		–		–		–		–

386,796,968		66,222,801		392,585,897		501,317,171		345,964,913		371,520,214		13,510,843		95,278,593
–		–		–		–		–		–		–		185,567
–		–		–		4,137,872		2,024,186		1,757,905		–		–
611,992		13,836		86,739		114,253		97,313		123,156		191		35,551
3,047,855		1,051,342		1,749,928		515,769		147,851		119,606		6,424		58,226
–		–		–		–		–		–		–		–
–		–		–		–		4,285		–		–		133,211

390,456,815		67,287,979		394,422,564		506,085,065		348,238,548		373,520,881		13,517,458		95,691,148

–		–		–		3,398,326		–		2,063,735		77,673		239,999
450,252		139,143		227,471		1,933,656		845,518		690,065		4,098		154,160
22,894		5,146		21,994		25,231		19,257		18,910		685		5,409
182,280		42,669		235,203		257,479		241,733		284,209		12,297		96,027
10,465		1,420		7,407		1,246		6,187		2,955		307		3,823
–		–		–		–		–		–		–		9,625

665,891		188,378		492,075		5,615,938		1,112,695		3,059,874		95,060		509,043

$389,790,924		$67,099,601		$393,930,489		$500,469,127		$347,125,853		$370,461,007		$13,422,398		$95,182,105

$368,713,364		$72,302,752		$363,916,417		$491,526,158		$289,028,728		$349,634,957		$11,152,204		$111,826,657
215,795		206,043		215,755		210,348		51,752		22,758		–		14,030
(12,421,736	)	(8,512,978	)	(25,748,229	)	(73,139,950	)	(13,258,720	)	(61,619,404	)	(1,017,731	)	(34,944,499)
33,283,501		3,103,784		55,546,546		81,872,571		71,304,093		82,422,696		3,287,925		18,285,917

$389,790,924		$67,099,601		$393,930,489		$500,469,127		$347,125,853		$370,461,007		$13,422,398		$95,182,105

$340,335,203		$60,362,209		$359,022,419		$494,587,388		$318,024,367		$356,534,317		$11,936,476		$76,919,053
32,251,636		6,444,757		19,626,542		18,235,984		13,200,004		20,861,534		968,498		7,135,995
$10.55		$9.37		$18.29		$27.12		$24.09		$17.09		$12.32		$10.78

$49,455,721		$6,737,392		$34,908,070		$5,881,739		$29,101,486		$13,926,690		$1,485,922		$18,263,052
4,691,955		718,806		1,911,452		217,446		1,211,637		817,023		120,953		1,697,354
$10.54		$9.37		$18.26		$27.05		$24.02		$17.05		$12.29		$10.76

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Statements of Assets and Liabilities as of December 31, 2012

	Madison		Madison		Madison		Madison
	Target		Target		Target		Target
	Retirement		Retirement		Retirement		Retirement
	2020 Fund		2030 Fund		2040 Fund		2050 Fund

Assets:
Investments in securities, at cost
Unaffiliated issuers	$52,904,034		$64,617,960		$46,606,039		$6,831,788
Net unrealized appreciation
Unaffiliated issuers	2,498,990		3,367,161		2,563,086		316,393

Total investments at value	55,403,024		67,985,121		49,169,125		7,148,181
Cash	38,953		18,839		5,763		672
Receivables:
Investments sold	2,154,968		701,789		611,902		103,401
Fund shares sold	128,369		194,823		206,868		69,241
Dividends and interest	170,958		192,513		118,249		12,653

Total assets	57,896,272		69,093,085		50,111,907		7,334,148

Liabilities:
Payables:
Investments purchased	1,274,537		1,034,496		822,729		167,143
Fund shares repurchased	195		32,134		8,283		5,197
Management fees	11,873		14,155		10,220		1,438
Service agreement fees	2,377		2,833		2,045		288

Total liabilities	1,288,982		1,083,618		843,277		174,066

Net assets applicable to outstanding capital stock	$56,607,290		$68,009,467		$49,268,630		$7,160,082

Net assets consist of:
Paid-in capital	$54,484,227		$65,239,542		$47,180,500		$6,908,840
Accumulated undistributed net investment income	–		–		–		–
Accumulated net realized loss on investments sold and foreign currency related
transactions	(375,927	)	(597,236	)	(474,956	)	(65,151)
Net unrealized appreciation of investments (including appreciation of foreign
currency related transactions)	2,498,990		3,367,161		2,563,086		316,393

Net Assets	$56,607,290		$68,009,467		$49,268,630		$7,160,082

Class I Shares:
Net Assets	$56,607,290		$68,009,467		$49,268,630		$7,160,082
Shares of beneficial interest outstanding	6,810,862		8,462,795		6,476,739		670,081
Net Asset Value and redemption price per share	$8.31		$8.04		$7.61		$10.69

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Statements of Operations for the Period Ended December 31, 2012

	Conservative		Moderate	Aggressive	Money
	Allocation		Allocation	Allocation	Market
	Fund		Fund	Fund	Fund

Investment Income:
Interest	$503		$719	$395	$59,193
Dividends
Unaffiliated issuers	4,303,920		5,895,764	1,755,094	–
Affiliated issuers¹	2,944,763		4,454,779	1,231,850	–
Less: Foreign taxes withheld	–		–	–	–

Total investment income	7,249,186		10,351,262	2,987,339	59,193

Expenses:
Management fees	703,713		1,181,297	424,625	246,548
Audit fees	21,471		36,081	12,991	4,841
Trustees’ fees	11,516		19,458	6,913	2,941
Distribution fees – Class II	107,863		89,493	4,762	2,248
Other expenses	–		269	215	12

Total expenses before reimbursement/waiver	844,563		1,326,598	449,506	256,590
Less reimbursement/waiver²	–		–	–	(197,397)

Total expenses net of reimbursement/waiver	844,563		1,326,598	449,506	59,193

Net Investment Income	6,404,623		9,024,664	2,537,833	–
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain (loss) on investments (including net realized gain (loss) on foreign
currency related transactions)³
Unaffiliated issuers	(651,093	)	2,753,203	602,131	–
Affiliated issuers¹	3,265,237		3,497,666	2,891,351	–
Capital gain distributions received from underlying funds
Unaffiliated issuers	1,513,238		1,490,305	362,318	–
Affiliated issuers¹	1,827,008		3,216,468	1,324,017	–
Net change in unrealized appreciation (depreciation) on investments (including net
unrealized appreciation (depreciation) on foreign currency related transactions)⁴
Unaffiliated issuers	6,387,515		8,358,573	3,363,010	–
Affiliated issuers¹	1,232,500		10,811,706	3,985,407	–

Net Realized and Unrealized Gain on Investments	13,574,405		30,127,921	12,528,234	–

Net Increase in Net Assets from Operations	$19,979,028		$39,152,585	$15,066,067	$–

¹	See Note 10 for information on affiliated issuers.
²	Waiver includes management fees of $195,149, and distribution fees of $2,248, for the Money Market Fund.
³	Includes foreign capital gains taxes paid of $16,623 for the International Stock Fund.
⁴	Net of change in deferred foreign capital gains taxes of $9,625 for the International Stock Fund.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Statements of Operations for the Period Ended December 31, 2012

			High	Diversified		Large Cap
	Bond		Income	Income		Value
	Fund		Fund	Fund		Fund

Investment Income:
Interest	$15,310,482		$6,145,623	$6,638,082		$ 5,807
Dividends
Unaffiliated issuers	–		17,438	7,115,032		13,745,217
Affiliated issuers¹	–		–	–		–
Less: Foreign taxes withheld	–		–	(33,689	)	(94,811	)

Total investment income	15,310,482		6,163,061	13,719,425		13,656,213

Expenses:
Management fees	2,278,703		654,589	2,822,232		3,079,980
Audit fees	37,894		8,146	36,994		47,433
Trustees’ fees	20,960		4,544	19,947		25,119
Distribution fees – Class II	123,329		16,179	82,765		14,717
Service agreement fees⁴	–		–	–		–
Other expenses	6		42	3		–

Total expenses before reimbursement/waiver	2,460,892		683,500	2,961,941		3,167,249
Less reimbursement/waiver	–		–	–		–

Total expenses net of reimbursement/waiver	2,460,892		683,500	2,961,941		3,167,249

Net Investment Income	12,849,590		5,479,561	10,757,484		10,488,964
Net Realized and Unrealized Gain (Loss) on Investments
Net realized gain (loss) on investments (including net realized gain (loss) on foreign currency related transactions)²
Unaffiliated issuers	255,801		3,222,281	6,819,611		22,534,576
Affiliated issuers¹	–		–	–		–
Capital gain distributions received from underlying funds
Unaffiliated issuers	–		–	–		–
Affiliated issuers¹	–		–	–		–
Net change in unrealized appreciation (depreciation) on investments (including net unrealized appreciation (depreciation) on foreign currency related transactions)³
Unaffiliated issuers	(41,918	)	860,384	14,057,412		24,248,240
Affiliated issuers¹	–		–	–		–

Net Realized and Unrealized Gain on Investments	213,883		4,082,665	20,877,023		46,782,816

Net Increase in Net Assets from Operations	$13,063,473		$9,562,226	$31,634,507		$57,271,780

¹	See Note 10 for information on affiliated issuers.
²	Includes foreign capital gains taxes paid of $16,623 for the International Stock Fund.
³	Net of change in deferred foreign capital gains taxes of $9,625 for the International Stock Fund.
⁴	See Note 3 for information on service agreement fees.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Statements of Operations for the Period Ended December 31, 2012

							Madison		Madison		Madison		Madison
Large Cap							Target		Target		Target		Target
Growth		Mid Cap		Small Cap	International		Retirement		Retirement		Retirement		Retirement
Fund		Fund		Fund	Stock Fund		2020 Fund		2030 Fund		2040 Fund		2050 Fund

$3,592		$6,358		$101	$6,274		$151		$188		$143		$25
5,860,990		4,603,125		305,845	2,950,833		1,580,007		1,790,411		1,237,285		141,743
–		–		–	–		–		–		–		–
(28,963	)	(71,212	)	–	(246,069	)	–		–		–		–

5,835,619		4,538,271		305,946	2,711,038		1,580,158		1,790,599		1,237,428		141,768

2,973,834		3,354,279		143,011	1,103,516		120,883		142,264		104,554		11,023
34,257		33,910		1,185	8,409		–		–		–		–
18,537		18,589		646	4,520		–		–		–		–
73,275		34,711		3,615	42,259		–		–		–		–
–		–		–	–		24,176		28,453		20,911		2,205
2,103		–		67	232		539		553		482		15

3,102,006		3,441,489		148,524	1,158,936		–		–		–		–
–		–		–	–		–		–		–		–

3,102,006		3,441,489		148,524	1,158,936		145,598		171,270		125,947		13,243

2,733,613		1,096,782		157,422	1,552,102		1,434,560		1,619,329		1,111,481		128,525
5,568,234		12,645,399		585,925	2,784,165		(182,476	)	(112,211	)	(25,695	)	(12,307	)
–		–		–	–		–		–		–		–
							–		–		–		–
–		–		–	–		347,650		315,166		166,574		13,840
–		–		–	–		–		–		–		–
31,642,311		42,480,016		1,117,532	13,554,327		2,879,364		3,982,918		3,160,888		333,215
–		–		–	–		–		–		–		–

37,210,545		55,125,415		1,703,457	16,338,492		3,044,538		4,185,873		3,301,767		334,748

$39,944,158		$56,222,197		$1,860,879	$17,890,594		$4,479,098		$5,805,202		$4,413,248		$? 463,273

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Statements of Changes in Net Assets

	Conservative Allocation Fund				Moderate Allocation Fund

Year Ended December 31,	2012		2011		2012		2011

Net Assets at beginning of period	$227,634,129		$231,082,035		$382,606,027		$384,260,026
Increase (decrease) in net assets from operations:
Net investment income	6,404,623		6,421,140		9,024,664		7,973,809
Net realized gain on investment transactions	5,954,390		1,603,964		10,957,642		4,470,788
Net change in unrealized appreciation (depreciation) on investments transactions	7,620,015		(1,101,366	)	19,170,279		(4,681,805	)

Net increase in net assets from operations	19,979,028		6,923,738		39,152,585		7,762,792
Distributions to shareholders from:
Net investment income
Class I	(7,226,155	)	(6,348,062	)	(10,646,775	)	(9,241,042	)
Class II	(1,526,152	)	(1,388,479	)	(985,020	)	(885,425	)
Return of Capital
Class I	–		(127,373	)	–		–
Class II	–		(28,768	)	–		–

Total distributions	(8,752,307	)	(7,892,682	)	(11,631,795	)	(10,126,467	)

Capital Stock transactions:
Class I Shares
Shares sold	36,406,472		20,354,867		45,709,365		23,367,824
Issued to shareholders in reinvestment of distributions	7,226,139		6,475,435		10,646,773		9,241,042
Shares redeemed	(41,688,374	)	(37,440,903	)	(69,665,565	)	(36,466,538	)

Net increase (decrease) in net assets from capital stock transactions	1,944,237		(10,610,601	)	(13,309,427	)	(3,857,672	)

Class II Shares
Shares sold	1,950,081		9,767,995		1,099,583		6,691,106
Issued to shareholders in reinvestment of distributions	1,526,152		1,417,247		985,020		885,425
Shares redeemed	(6,064,713	)	(3,053,604	)	(5,843,520	)	(3,009,183	)

Net increase (decrease) in net assets from capital stock transactions	(2,588,480	)	8,131,638		(3,758,917	)	4,567,348

Total increase (decrease) from capital stock transactions	(644,243	)	(2,478,963	)	(17,068,344	)	709,676

Total increase (decrease) in net assets	10,582,478		(3,447,906	)	10,452,446		(1,653,999	)

Net Assets at end of period	$238,216,607		$227,634,129		$393,058,473		$382,606,027

Undistributed net investment income (loss) included in net assets	$–		$–		$–		$–
Capital Share transactions:
Class I Shares
Shares sold	3,483,197		1,989,887		4,586,565		2,426,221
Issued to shareholders in reinvestment of distributions	691,344		649,610		1,053,646		980,151
Shares redeemed	(3,985,882	)	(3,674,546	)	(6,964,923	)	(3,768,817	)

Net increase (decrease) from capital share transactions	188,659		(1,035,049	)	(1,324,712	)	(362,445	)

Class II Shares
Shares sold	187,427		955,023		112,305		685,655
Issued to shareholders in reinvestment of distributions	146,308		142,423		97,726		94,103
Shares redeemed	(582,367	)	(298,720	)	(592,373	)	(313,358	)

Net increase (decrease) from capital share transactions	(248,632	)	798,726		(382,342	)	466,400

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Statements of Changes in Net Assets

Aggressive Allocation Fund				Money Market Fund				Bond Fund				High Income Fund

2012		2011		2012		2011		2012		2011		2012		2011

$134,360,528		$127,694,004		$62,660,366		$70,211,054		$425,099,202		$465,248,826		$92,675,282		$99,838,101

2,537,833		1,663,434		–		–		12,849,590		15,963,320		5,479,561		6,540,601
5,179,817		3,126,456		–		–		255,801		1,004,732		3,222,281		1,733,903
7,348,417		(4,143,997	)	–		–		(41,918	)	11,605,808		860,384		(3,502,188	)

15,066,067		645,893		–		–		13,063,473		28,573,860		9,562,226		4,772,316
(3,193,957	)	(2,322,867	)	–		–		(11,250,243	)	(14,079,587	)	(5,116,320	)	(6,211,217	)
(39,884	)	(28,384	)	–		–		(1,526,409	)	(1,752,712	)	(542,703	)	(428,405	)
–		–		–		–		–		–		–		–
–		–		–		–		–		–		–		–

(3,233,841	)	(2,351,251	)	–		–		(12,776,652	)	(15,832,299	)	(5,659,023	)	(6,639,622	)

30,425,398		16,814,313		15,456,536		26,296,004		80,281,951		32,933,180		6,340,313		3,676,230
3,193,957		2,322,867		–		–		11,250,243		14,079,587		5,116,320		6,211,217
(35,113,393	)	(11,163,455	)	(28,490,349	)	(34,247,892	)	(126,901,735	)	(112,759,403	)	(41,331,439	)	(17,304,019	)

(1,494,038	)	7,973,725		(13,033,813	)	(7,951,888	)	(35,369,541	)	(65,746,636	)	(29,874,806	)	(7,416,572	)

103,181		467,480		2,213,981		2,272,356		3,009,622		12,844,910		356,009		1,915,219
39,884		28,384		–		–		1,526,409		1,752,712		542,703		428,405
(166,362	)	(97,707	)	(1,516,857	)	(1,871,156	)	(4,761,589	)	(1,742,169	)	(502,790	)	(222,564	)

(23,297	)	398,157		697,124		401,200		(225,558	)	12,855,453		395,922		2,121,060

(1,517,335	)	8,371,882		(12,336,689	)	(7,550,688	)	(35,595,099	)	(52,891,183	)	(29,478,884	)	(5,295,512	)

10,314,891		6,666,524		(12,336,689	)	(7,550,688	)	(35,308,278	)	(40,149,624	)	(25,575,681	)	(7,162,819	)

$144,675,419		$134,360,528		$50,323,677		$62,660,366		$389,790,924		$425,099,202		$67,099,601		$92,675,282

$ –		$ –		$–		$–		$215,795		$270,176		$206,043		$118,232
3,188,342		1,829,853		15,456,536		26,296,004		7,495,349		3,144,908		651,888		380,515
327,438		259,040		–		–		1,064,171		1,333,622		545,827		675,860
(3,674,003	)	(1,205,025	)	(28,490,349	)	(34,247,892	)	(11,809,745	)	(10,714,251	)	(4,170,438	)	(1,786,259	)

(158,223	)	883,868		(13,033,813	)	(7,951,888	)	(3,250,225	)	(6,235,721	)	(2,972,723	)	(729,884	)

10,752		49,960		2,213,981		2,272,356		279,678		1,232,926		36,572		197,713
4,102		3,173		–		–		144,622		166,154		57,879		46,641
(16,989	)	(10,546	)	(1,516,857	)	(1,871,156	)	(444,157	)	(163,213	)	(51,896	)	(23,060	)

(2,135	)	42,587		697,124		401,200		(19,857	)	1,235,867		42,555		221,294

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Statements of Changes in Net Assets

	Diversified Income Fund				Large Cap Value Fund

Year Ended December 31,	2012		2011		2012		2011

Net Assets at beginning of period	$403,211,434		$407,017,583		$491,674,493		$530,247,917
Increase (decrease) in net assets from operations:
Net investment income	10,757,484		11,868,731		10,488,964		10,296,797
Net realized gain on investments transactions	6,819,611		16,259,876		22,534,576		31,920,133
Net change in unrealized appreciation (depreciation) on investments transactions	14,057,412		2,343,286		24,248,240		(5,336,866	)

Net increase (decrease) in net assets from operations	31,634,507		30,471,893		57,271,780		36,880,064
Distributions to shareholders from:
Net investment income
Class I	(9,820,039	)	(11,046,222	)	(10,356,142	)	(10,095,971	)
Class II	(889,234	)	(837,747	)	(112,931	)	(109,873	)

Total distributions	(10,709,273	)	(11,883,969	)	(10,469,073	)	(10,205,844	)

Capital Stock transactions:
Class I Shares
Shares sold	33,291,125		8,647,928		69,507,711		13,848,340
Issued to shareholders in reinvestment of distributions	9,820,039		11,046,222		10,356,143		10,095,971
Shares redeemed	(76,259,090	)	(48,976,196	)	(117,526,447	)	(89,269,316	)

Net decrease in net assets from capital stock transactions	(33,147,926	)	(29,282,046	)	(37,662,593	)	(65,325,005	)

Class II Shares
Shares sold	5,148,640		8,977,582		224,114		544,221
Issued to shareholders in reinvestment of distributions	889,234		837,747		112,931		109,873
Shares redeemed	(3,096,127	)	(2,927,356	)	(682,525	)	(576,733	)

Net increase (decrease) in net assets from capital stock transactions	2,941,747		6,887,973		(345,480	)	77,361

Total net decrease from capital stock transactions	(30,206,179	)	(22,394,073	)	(38,008,073	)	(65,247,644	)

Total increase (decrease) in net assets	(9,280,945	)	(3,806,149	)	8,794,634		(38,573,424	)

Net Assets at end of period	$393,930,489		$403,211,434		$500,469,127		$491,674,493

Undistributed net investment income (loss) included in net assets	$215,755		$207,484		$210,348		$190,026
Capital Share transactions:
Class I Shares
Shares sold	1,813,514		502,323		2,587,667		559,931
Issued to shareholders in reinvestment of distributions	539,704		634,293		386,381		405,964
Shares redeemed	(4,167,601	)	(2,847,528	)	(4,353,429	)	(3,629,634	)

Net decrease from capital share transactions	(1,814,383	)	(1,710,912	)	(1,379,381	)	(2,663,739	)

Class II Shares
Shares sold	284,063		526,321		8,317		22,164
Issued to shareholders in reinvestment of distributions	48,943		48,142		4,222		4,426
Shares redeemed	(169,225	)	(170,150	)	(25,462	)	(23,662	)

Net increase (decrease) from capital share transactions	163,781		404,313		(12,923	)	2,928

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Statements of Changes in Net Assets

Large Cap Growth Fund				Mid Cap Fund				Small Cap Fund				International Stock Fund

2012		2011		2012		2011		2012		2011		2012		2011

$358,620,849		$395,446,443		$365,102,889		$397,169,596		$12,661,690		$13,097,057		$88,163,466		$105,304,241
2,733,613		872,256		1,096,782		602,185		157,422		50,950		1,552,102		1,855,913
5,568,234		39,422,276		12,645,399		36,438,566		585,925		357,045		2,784,165		3,479,732
31,642,311		(44,255,836	)	42,480,016		(19,534,163	)	1,117,532		(368,723	)	13,554,327		(12,765,450	)

39,944,158		(3,961,304	)	56,222,197		17,506,588		1,860,879		39,272		17,890,594		(7,429,805	)
(2,515,455	)	(861,866	)	(1,067,719	)	(687,090	)	(139,045	)	(45,846	)	(1,223,367	)	(1,510,650	)
(189,383	)	(31,319	)	(22,229	)	(4,200	)	(15,378	)	(3,723	)	(263,629	)	(291,401	)

(2,704,838	)	(893,185	)	(1,089,948	)	(691,290	)	(154,423	)	(49,569	)	(1,486,996	)	(1,802,051	)

51,759,146		11,740,628		46,160,581		14,847,888		567,964		1,567,954		6,139,330		3,327,511
2,515,455		861,866		1,067,719		687,090		139,045		45,846		1,223,367		1,510,650
(101,706,126	)	(51,986,645	)	(95,640,480	)	(65,250,198	)	(1,550,153	)	(2,049,990	)	(16,609,228	)	(16,569,485	)

(47,431,525	)	(39,384,151	)	(48,412,180	)	(49,715,220	)	(843,144	)	(436,190	)	(9,246,531	)	(11,731,324	)

1,039,287		8,340,118		205,290		1,744,989		28,404		290,607		867,658		4,073,516
189,383		31,319		22,229		4,200		15,378		3,723		263,629		291,401
(2,531,461	)	(958,391	)	(1,589,470	)	(915,974	)	(146,386	)	(283,210	)	(1,269,715	)	(542,512	)

(1,302,791	)	7,413,046		(1,361,951	)	833,215		(102,604	)	11,120		(138,428	)	3,822,405

(48,734,316	)	(31,971,105	)	(49,774,131	)	(48,882,005	)	(945,748	)	(425,070	)	(9,384,959	)	(7,908,919	)

(11,494,996	)	(36,825,594	)	5,358,118		(32,066,707	)	760,708		(435,367	)	7,018,639		(17,140,775	)

$347,125,853		$358,620,849		$370,461,007		$365,102,889		$13,422,398		$12,661,690		$95,182,105		$88,163,466

$51,752		$23,005		$22,758		$15,924		$–		$–		$14,030		$(78)
2,172,455		521,785		2,819,510		993,405		49,083		142,303		624,736		332,788
106,135		39,349		63,373		46,410		11,463		4,205		114,510		167,339
(4,235,335	)	(2,310,549	)	(5,878,665	)	(4,419,911	)	(133,951	)	(193,625	)	(1,660,974	)	(1,658,271	)

(1,956,745	)	(1,749,415	)	(2,995,782	)	(3,380,096	)	(73,405	)	(47,117	)	(921,728	)	(1,158,144	)

44,301		368,460		12,749		117,974		2,393		26,862		91,269		403,814
8,013		1,433		1,321		284		1,272		342		24,683		32,404
(106,446	)	(43,744	)	(98,269	)	(62,644	)	(12,565	)	(26,457	)	(126,337	)	(54,302	)

(54,132	)	326,149		(84,199	)	55,614		(8,900	)	747		(10,385	)	381,916

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Statements of Changes in Net Assets

	Madison Target				Madison Target
	Retirement 2020 Fund				Retirement 2030 Fund

Year Ended December 31,	2012		2011		2012		2011

Net Assets at beginning of period	$39,580,036		$27,647,785		$45,404,453		$31,278,843
Increase (decrease) in net assets from operations:
Net investment income	1,434,560		927,037		1,619,329		923,593
Net realized gain (loss) on investments	165,174		2,004,820		202,955		2,414,365
Net change in unrealized appreciation (depreciation) on investments	2,879,364		(2,269,004	)	3,982,918		(2,911,351	)

Net increase (decrease) in net assets from operations	4,479,098		662,853		5,805,202		426,607
Distributions to shareholders from:
Net investment income
Class I	(1,667,275	)	(1,096,421	)	(1,812,454	)	(1,091,758	)
Net realized gains
Class I	(178,482	)	(897,737	)	(440,797	)	(1,764,696	)
Return of Capital
Class I	–		–		–		–

Total distributions	(1,845,757	)	(1,994,158	)	(2,253,251	)	(2,856,454	)

Capital Stock transactions:
Class I Shares
Shares sold	26,778,150		15,901,069		29,952,292		15,550,888
Issued to shareholders in reinvestment of distributions	1,845,756		1,994,158		2,253,248		2,856,454
Shares redeemed	(14,229,993	)	(4,631,671	)	(13,152,477	)	(1,851,885	)

Net increase from capital stock transactions	14,393,913		13,263,556		19,053,063		16,555,457

Total increase in net assets	17,027,254		11,932,250		22,605,014		14,125,610

Net Assets at end of period	$56,607,290		$39,580,036		$68,009,467		$45,404,453

Undistributed net investment income included in net assets	$–		$–		$–		$–
Capital Share transactions:
Class I Shares
Shares sold	3,249,949		1,939,616		3,774,920		1,952,016
Issued to shareholders in reinvestment of distributions	222,629		255,016		281,135		381,214
Shares redeemed	(1,725,495	)	(560,216	)	(1,656,361	)	(228,251	)

Net increase from capital share transactions	1,747,083		1,634,416		2,399,694		2,104,979

The Madison Target Retirement 2050 Fund commenced operations on January 3, 2011.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Statements of Changes in Net Assets

Madison Target				Madison Target
Retirement 2040 Fund				Retirement 2050 Fund

2012		2011		2012		2011¹

$35,182,268		$26,146,753		$2,236,241		$–
1,111,481		642,632		128,525		27,410
140,879		2,303,584		1,533		(29,923	)
3,160,888		(2,809,726	)	333,215		(16,822	)

4,413,248		136,490		463,273		(19,335	)
(1,199,277	)	(767,165	)	(134,118	)	(31,450	)
(401,247	)	(1,885,854	)	(27,128	)	–
–		–		–		(1,099	)

(1,600,524	)	(2,653,019	)	(161,246	)	(32,549	)

21,643,373		10,698,786		5,538,045		2,473,782
1,600,523		2,653,019		161,246		32,549
(11,970,258	)	(1,799,761	)	(1,077,477	)	(218,206	)

11,273,638		11,552,044		4,621,814		2,288,125

14,086,362		9,035,515		4,923,841		2,236,241

$49,268,630		$35,182,268		$7,160,082		$2,236,241

$–		$–		$–		$–
2,875,883		1,399,765		528,566		248,588
210,569		375,570		15,091		3,338
(1,594,072	)	(230,919	)	(102,883	)	(22,619	)

1,492,380		1,544,416		440,774		229,307

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Financial Highlights for a Share of Beneficial Interest Outstanding

CONSERVATIVE ALLOCATION FUND

	Year Ended December 31,

	2012		2011		2010		2009		2008

CLASS I
Net Asset Value at beginning of period	$9.96		$10.01		$9.61		$8.48		$10.77
Income from Investment Operations:
Net investment income²	0.29		0.28		0.29		0.29		0.35
Net realized and unrealized gain (loss) on investments	0.60		0.03		0.52		1.12		(2.27	)

Total from investment operations	0.89		0.31		0.81		1.41		(1.92	)
Less Distributions:
Distributions from net investment income	(0.40	)	(0.35	)	(0.41	)	(0.28	)	(0.27	)
Distributions from capital gains	–		–		–		–		(0.10	)
Distributions from return of capital	–		(0.01	)	–		–		–

Total distributions	(0.40	)	(0.36	)	(0.41	)	(0.28	)	(0.37	)
Net increase (decrease) in net asset value	0.49		(0.05	)	0.40		1.13		(2.29	)
Net Asset Value at end of period	$10.45		$9.96		$10.01		$9.61		$8.48
Total Return³ (%)	8.98		3.14		8.37		16.76		(17.89	)
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$195,526		$184,431		$195,657		$176,322		$116,678
Ratios of expenses to average net assets:
Before management fee reduction (%)	0.31		0.31		0.31		0.31		0.31
After management fee reduction (%)	0.31		0.31		0.31		0.31		0.28
Ratio of net investment income to average net assets (%)	2.79		2.76		2.90		3.23		3.53
Portfolio Turnover⁶ (%)	44		36		36		47		71

							Inception to
CLASS II	2012		2011		2010		12/31/09¹

Net Asset Value at beginning of period	$9.95		$10.00		$9.61		$8.51
Income from Investment Operations:
Net investment income²	0.26		0.27		0.35		0.28
Net realized and unrealized gain (loss) on investments	0.61		0.02		0.43		0.99

Total from investment operations	0.87		0.29		0.78		1.27
Less Distributions:
Distributions from net investment income	(0.39	)	(0.33	)	(0.39	)	(0.17	)
Distributions from return of capital	–		(0.01	)	–		–

Net increase (decrease) in net asset value	0.48		(0.05	)	0.39		1.10
Net Asset Value at end of period	$10.43		$9.95		$10.00		$9.61
Total Return³ (%)	8.71		2.89		8.10		14.91	⁴
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$42,691		$43,203		$35,425		$12,829
Ratios of expenses to average net assets (%)	0.56		0.56		0.55		0.56	⁵
Ratio of net investment income to average net assets (%)	2.49		2.67		3.47		4.38	⁵
Portfolio Turnover⁶ (%)	44		36		36		47	⁴

¹		Commenced investment operations May 1, 2009
²		Based on average shares outstanding during the year.
³		These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
⁴		Not annualized.
⁵		Annualized.
⁶		Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Financial Highlights for a Share of Beneficial Interest Outstanding

MODERATE ALLOCATION FUND

	Year Ended December 31,

	2012		2011		2010		2009		2008

CLASS I
Net Asset Value at beginning of period	$9.42		$9.49		$8.87		$7.51		$11.21
Income from Investment Operations:
Net investment income²	0.23		0.20		0.20		0.18		0.21
Net realized and unrealized gain (loss) on investments	0.77		(0.01	)	0.71		1.37		(3.55	)

Total from investment operations	1.00		0.19		0.91		1.55		(3.34	)
Less Distributions:
Distributions from net investment income	(0.31	)	(0.26	)	(0.29	)	(0.19	)	(0.17	)
Distributions from capital gains	–		–		–		–		(0.19	)

Total distributions	(0.31	)	(0.26	)	(0.29	)	(0.19	)	(0.36	)
Net increase (decrease) in net asset value	0.69		(0.07	)	0.62		1.36		(3.70	)
Net Asset Value at end of period	$10.11		$9.42		$9.49		$8.87		$7.51
Total Return³ (%)	10.54		2.03		10.22		20.61		(30.23	)
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$358,486		$346,733		$352,545		$332,428		$243,761
Ratios of expenses to average net assets:
Before management fee reduction (%)	0.31		0.31		0.31		0.31		0.31
After management fee reduction (%)	0.31		0.31		0.31		0.31		0.28
Ratio of net investment income to average net assets (%)	2.32		2.07		2.24		2.29		2.20
Portfolio Turnover⁶ (%)	49		25		34		52		69

							Inception to
CLASS II	2012		2011		2010		12/31/09¹

Net Asset Value at beginning of period	$9.41		$9.48		$8.87		$7.56
Income from Investment Operations:
Net investment income²	0.20		0.18		0.25		0.19
Net realized and unrealized gain (loss) on investments	0.77		(0.01	)	0.63		1.24

Total from investment operations	0.97		0.17		0.88		1.43
Less Distributions:
Distributions from net investment income	(0.30	)	(0.24	)	(0.27	)	(0.12	)

Net increase (decrease) in net asset value	0.67		(0.07	)	0.61		1.31
Net Asset Value at end of period	$10.08		$9.41		$9.48		$8.87
Total Return³ (%)	10.26		1.78		9.94		18.82	⁴
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$34,573		$35,873		$31,715		$12,162
Ratios of expenses to average net assets (%)	0.56		0.56		0.56		0.56	⁵
Ratio of net investment income to average net assets (%)	2.01		1.86		2.76		3.33	⁵
Portfolio Turnover⁶ (%)	49		25		34		52	⁴

¹		Commenced investment operations May 1, 2009.
²		Based on average shares outstanding during the year.
³		These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
⁴		Not annualized.
⁵		Annualized.
⁶		Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Financial Highlights for a Share of Beneficial Interest Outstanding

AGGRESSIVE ALLOCATION FUND

	Year Ended December 31,

	2012		2011		2010		2009		2008

CLASS I
Net Asset Value at beginning of period	$8.96		$9.08		$8.30		$6.57		$11.61
Income from Investment Operations:
Net investment income²	0.17		0.12		0.11		0.10		0.09
Net realized and unrealized gain (loss) on investments	0.84		(0.08	)	0.81		1.74		(4.74	)

Total from investment operations	1.01		0.04		0.92		1.84		(4.65	)
Less Distributions:
Distributions from net investment income	(0.22	)	(0.16	)	(0.14	)	(0.11	)	(0.06	)
Distributions from capital gains	–		–		–		–		(0.33	)

Total distributions	(0.22	)	(0.16	)	(0.14	)	(0.11	)	(0.39	)
Net increase (decrease) in net asset value	0.79		(0.12	)	0.78		1.73		(5.04	)
Net Asset Value at end of period	$9.75		$8.96		$9.08		$8.30		$6.57
Total Return³ (%)	11.34		0.48		11.15		27.91		(41.09	)
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$142,755		$132,575		$126,270		$114,492		$69,616
Ratios of expenses to average net assets:
Before management fee reduction (%)	0.31		0.31		0.31		0.31		0.31
After management fee reduction (%)	0.31		0.31		0.31		0.31		0.28
Ratio of net investment income to average net assets (%)	1.80		1.26		1.27		1.44		0.94
Portfolio Turnover⁶ (%)	69		32		33		58		67

							Inception to
CLASS II	2012		2011		2010		12/31/09¹

Net Asset Value at beginning of period	$8.95		$9.07		$8.30		$6.69
Income from Investment Operations:
Net investment income²	0.15		0.10		0.17		0.15
Net realized and unrealized gain (loss) on investments	0.83		(0.08	)	0.73		1.54

Total from investment operations	0.98		0.02		0.90		1.69
Less Distributions:
Distributions from net investment income	(0.21	)	(0.14	)	(0.13	)	(0.08	)

Net increase (decrease) in net asset value	0.77		(0.12	)	0.77		1.61
Net Asset Value at end of period	$9.72		$8.95		$9.07		$8.30
Total Return³ (%)	11.06		0.23		10.87		25.09	⁴
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$1,921		$1,786		$1,424		$514
Ratios of expenses to average net assets (%)	0.56		0.56		0.56		0.56	⁵
Ratio of net investment income to average net assets (%)	1.55		1.05		1.99		2.86	⁵
Portfolio Turnover⁶ (%)	69		32		33		58	⁴

¹		Commenced investment operations May 1, 2009.
²		Based on average shares outstanding during the year.
³		These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
⁴		Not annualized.
⁵		Annualized.
⁶		Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Financial Highlights for a Share of Beneficial Interest Outstanding

MONEY MARKET FUND

	Year Ended December 31,
	2012		2011		2010		2009		2008

CLASS I
Net Asset Value at beginning of period	$1.00		$1.00		$1.00		$1.00		$1.00
Income from Investment Operations:
Net investment income²	–		–		–		0.00	⁴	0.02
Net realized and unrealized gain (loss) on investments	–		–		–		–		0.00	⁴

Total from investment operations	0.00		0.00		0.00		0.00		0.02
Less Distributions:
Distributions from net investment income	–		–		–		(0.00	)⁴	(0.02	)

Net increase in net asset value	0.00		0.00		0.00		0.00		0.00
Net Asset Value at end of period	$1.00		$1.00		$1.00		$1.00		$1.00
Total Return³ (%)	0.00		0.00		0.00		0.00		1.75
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$48,648		$61,682		$69,634		$92,463		$159,349
Ratios of expenses to average net assets:
Before waiver of expenses by Adviser (%)	0.46		0.47		0.47		0.47		0.47
After waiver of expenses by Adviser (%)	0.11	⁷	0.08	⁷	0.14	⁷	0.28	⁷	0.47
Ratio of net investment income to average net assets (%)	0.00		0.00		0.00		0.00		1.67

							Inception to
CLASS II	2012		2011		2010		12/31/09¹


Net Asset Value at beginning of period	$1.00		$1.00		$1.00		$1.00
Income from Investment Operations:
Net investment income²	–		–		–		–
Net realized and unrealized gain (loss) on investments	–		–		–		–

Total from investment operations	0.00		0.00		0.00		0.00
Less Distributions:
Distributions from net investment income	–		–		–		–

Net increase in net asset value	0.00		0.00		0.00		0.00
Net Asset Value at end of period	$1.00		$1.00		$1.00		$1.00
Total Return³ (%)	0.00		0.00		0.00		0.00	⁵
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$1,676		$979		$577		$185
Ratios of expenses to average net assets:
Before waiver of expenses by Adviser (%)	0.71		0.72		0.73		0.73	⁶
After waiver of expenses by Adviser (%)	0.12	⁷	0.07	⁷	0.16	⁷	0.20	^6,7
Ratio of net investment income to average net assets (%)	0.00		0.00		0.00		0.00	⁶

¹		Commenced investment operations May 1, 2009
²		Based on average shares outstanding during the year.
³		These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
⁴		Amounts represent less than $0.005 per share.
⁵		Not annualized.
⁶		Annualized.
⁷		Amount includes fees waived by the adviser (see Note 3).

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Financial Highlights for a Share of Beneficial Interest Outstanding

BOND FUND

	Year Ended December 31,

	2012		2011		2010		2009		2008

CLASS I
Net Asset Value at beginning of period	$10.57		$10.29		$10.14		$9.94		$10.19
Income from Investment Operations:
Net investment income²	0.34		0.38		0.40		0.43		0.50
Net realized and unrealized gain (loss) on investments	0.00		0.31		0.20		0.21		(0.21	)

Total from investment operations	0.34		0.69		0.60		0.64		0.29
Less Distributions:
Distributions from net investment income	(0.36	)	(0.41	)	(0.45	)	(0.44	)	(0.54	)

Net increase (decrease) in net asset value	(0.02	)	0.28		0.15		0.20		(0.25	)
Net Asset Value at end of period	$10.55		$10.57		$10.29		$10.14		$9.94
Total Return³ (%)	3.21		6.73		5.92		6.50		2.86
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$340,335		$375,325		$429,499		$541,789		$572,562
Ratios of expenses to average net assets (%)	0.56		0.57		0.56		0.57		0.56
Ratio of net investment income to average net assets (%)	3.13		3.62		3.76		4.28		4.84
Portfolio Turnover⁶ (%)	11		6		2		25		12

							Inception to
CLASS II	2012		2011		2010		12/31/09¹


Net Asset Value at beginning of period	$10.56		$10.28		$10.14		$9.85
Income from Investment Operations:
Net investment income²	0.31		0.36		0.37		0.27
Net realized and unrealized gain (loss) on investments	0.01		0.31		0.20		0.28

Total from investment operations	0.32		0.67		0.57		0.55
Less Distributions:
Distributions from net investment income	(0.34	)	(0.39	)	(0.43	)	(0.26	)

Net increase (decrease) in net asset value	(0.02	)	0.28		0.14		0.29
Net Asset Value at end of period	$10.54		$10.56		$10.28		$10.14
Total Return³ (%)	2.96		6.47		5.66		5.55	⁴
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$49,456		$49,774		$35,750		$9,719
Ratios of expenses to average net assets (%)	0.81		0.82		0.81		0.82	⁵
Ratio of net investment income to average net assets (%)	2.88		3.36		3.49		3.86	⁵
Portfolio Turnover⁶ (%)	11		6		2		25	⁴

¹		Commenced investment operations May 1, 2009.
²		Based on average shares outstanding during the year.
³		These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
⁴		Not annualized.
⁵		Annualized.
⁶		Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Financial Highlights for a Share of Beneficial Interest Outstanding

HIGH INCOME FUND

	Year Ended December 31,

	2012		2011		2010		2009		2008

CLASS I
Net Asset Value at beginning of period	$9.18		$9.42		$9.11		$7.34		$9.54
Income from Investment Operations:
Net investment income²	0.61		0.65		0.72		0.68		0.67
Net realized and unrealized gain (loss) on investments	0.42		(0.18	)	0.35		1.80		(2.07	)

Total from investment operations	1.03		0.47		1.07		2.48		(1.40	)
Less Distributions:
Distributions from net investment income	(0.84	)	(0.71	)	(0.76	)	(0.71	)	(0.80	)

Net increase (decrease) in net asset value	0.19		(0.24	)	0.31		1.77		(2.20	)
Net Asset Value at end of period	$9.37		$9.18		$9.42		$9.11		$7.34
Total Return³ (%)	11.23		5.01		11.73		34.29		(14.74	)
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$60,362		$86,462		$95,552		$107,722		$90,728
Ratios of expenses to average net assets (%)	0.77		0.77		0.77		0.77		0.76
Ratio of net investment income to average net assets (%)	6.31		6.76		7.54		7.94		7.42
Portfolio Turnover⁶ (%)	55		54		53		73		45

							Inception
							to
	2012		2011		2010		12/31/09¹

CLASS II
Net Asset Value at beginning of period	$9.19		$9.42		$9.11		$8.14
Income from Investment Operations:
Net investment income²	0.58		0.63		0.70		0.47
Net realized and unrealized gain (loss) on investments	0.42		(0.18	)	0.34		0.96

Total from investment operations	1.00		0.45		1.04		1.43
Less Distributions:
Distributions from net investment income	(0.82	)	(0.68	)	(0.73	)	(0.46	)

Net increase (decrease) in net asset value	0.18		(0.23	)	0.31		0.97
Net Asset Value at end of period	$9.37		$9.19		$9.42		$9.11
Total Return³ (%)	10.95		4.75		11.45		17.49	⁴
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$6,737		$6,213		$4,286		$1,148
Ratios of expenses to average net assets (%)	1.02		1.02		1.01		1.01	⁵
Ratio of net investment income to average net assets (%)	6.02		6.52		7.20		7.65	⁵
Portfolio Turnover⁶ (%)	55		54		53		73	⁴

¹ Commenced investment operations May 1, 2009.

² Based on average shares outstanding during the year.

³ These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.

⁴ Not annualized.

⁵ Annualized.

⁶ Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Financial Highlights for a Share of Beneficial Interest Outstanding

DIVERSIFIED INCOME FUND


	Year Ended December 31,

	2012		2011		2010		2009		2008

CLASS I
Net Asset Value at beginning of period	$17.39		$16.62		$15.37		$14.46		$17.62
Income from Investment Operations:
Net investment income²	0.49		0.51		0.56		0.60		0.72
Net realized and unrealized gain (loss) on investments	0.92		0.79		1.29		0.92		(3.05	)

Total from investment operations	1.41		1.30		1.85		1.52		(2.33	)
Less Distributions:
Distributions from net investment income	(0.51	)	(0.53	)	(0.60	)	(0.61	)	(0.81	)
Distributions from capital gains	–		–		–		–		(0.02	)

Total distributions	(0.51	)	(0.53	)	(0.60	)	(0.61	)	(0.83	)
Net increase (decrease) in net asset value	0.90		0.77		1.25		0.91		(3.16	)
Net Asset Value at end of period	$18.29		$17.39		$16.62		$15.37		$14.46
Total Return³ (%)	8.16		7.84		12.04		10.74		(13.25	)
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$359,022		$372,852		$384,709		$418,381		$438,047
Ratios of expenses to average net assets (%)	0.71		0.72		0.72		0.72		0.71
Ratio of net investment income to average net assets (%)	2.69		2.94		3.50		4.12		4.37
Portfolio Turnover⁶ (%)	17		19		23		26		14

							Inception
							to
	2012		2011		2010		12/31/09¹

CLASS II
Net Asset Value at beginning of period	$17.37		$16.61		$15.37		$13.74
Income from Investment Operations:
Net investment income²	0.44		0.46		0.52		0.35
Net realized and unrealized gain (loss) on investments	0.93		0.79		1.29		1.64

Total from investment operations	1.37		1.25		1.81		1.99
Less Distributions:
Distributions from net investment income	(0.48	)	(0.49	)	(0.57	)	(0.36	)

Net increase in net asset value	0.89		0.76		1.24		1.63
Net Asset Value at end of period	$18.26		$17.37		$16.61		$15.37
Total Return³ (%)	7.89		7.57		11.77		14.43	⁴
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$34,908		$30,360		$22,309		$6,261
Ratios of expenses to average net assets (%)	0.96		0.97		0.97		0.97	⁵
Ratio of net investment income to average net assets (%)	2.43		2.69		3.20		3.44	⁵
Portfolio Turnover⁶ (%)	17		19		23		26	⁴

¹	Commenced investment operations May 1, 2009
²	Based on average shares outstanding during the year.
³	These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
⁴	Not annualized.
⁵	Annualized.
⁶	Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Financial Highlights for a Share of Beneficial Interest Outstanding


LARGE CAP VALUE FUND

	Year Ended December 31,

	2012		2011		2010		2009		2008

CLASS I
Net Asset Value at beginning of period	$24.78		$23.56		$22.17		$19.42		$31.49
Income from Investment Operations:
Net investment income²	0.55		0.50		0.38		0.43		0.65
Net realized and unrealized gain (loss) on investments	2.37		1.24		1.46		2.76		(11.99	)

Total from investment operations	2.92		1.74		1.84		3.19		(11.34	)
Less Distributions:
Distributions from net investment income	(0.58	)	(0.52	)	(0.45	)	(0.44	)	(0.71	)
Distributions from capital gains	–		–		–		–		(0.02	)

Total distributions	(0.58	)	(0.52	)	(0.45	)	(0.44	)	(0.73	)
Net increase (decrease) in net asset value	2.34		1.22		1.39		2.75		(12.07	)
Net Asset Value at end of period	$27.12		$24.78		$23.56		$22.17		$19.42
Total Return³ (%)	11.82		7.38		8.29		16.79		(35.99	)
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$494,587		$485,978		$524,894		$630,764		$609,444
Ratios of expenses to average net assets (%)	0.61		0.62		0.62		0.62		0.61
Ratio of net investment income to average net assets (%)	2.05		2.03		1.72		2.23		2.42
Portfolio Turnover⁶ (%)	27		29		63		81		38

							Inception
							to
	2012		2011		2010		12/31/09¹

CLASS II
Net Asset Value at beginning of period	$24.73		$23.54		$22.17		$17.74
Income from Investment Operations:
Net investment income²	0.48		0.43		0.34		0.18
Net realized and unrealized gain (loss) on investments	2.37		1.25		1.44		4.45

Total from investment operations	2.85		1.68		1.78		4.63
Less Distributions:
Distributions from net investment income	(0.53	)	(0.49	)	(0.41	)	(0.20	)

Net increase in net asset value	2.32		1.19		1.37		4.43
Net Asset Value at end of period	$27.05		$24.73		$23.54		$22.17
Total Return³ (%)	11.55		7.11		8.02		26.09	⁴
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$5,882		$5,697		$5,354		$2,552
Ratios of expenses to average net assets (%)	0.86		0.87		0.87		0.87	⁵
Ratio of net investment income to average net assets (%)	1.80		1.78		1.51		1.28	⁵
Portfolio Turnover⁶ (%)	27		29		63		81	⁴

¹	Commenced investment operations May 1, 2009.
²	Based on average shares outstanding during the year.
³	These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
⁴	Not annualized.
⁵	Annualized.
⁶	Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Financial Highlights for a Share of Beneficial Interest Outstanding

LARGE CAP GROWTH FUND

	Year Ended December 31,

	2012		2011		2010		2009		2008

CLASS I
Net Asset Value at beginning of period	$21.84		$22.16		$19.87		$14.50		$23.36
Income from Investment Operations:
Net investment income²	0.18		0.05		0.10		0.12		0.12
Net realized and unrealized gain (loss) on investments	2.26		(0.31	)	2.31		5.37		(8.80	)

Total from investment operations	2.44		(0.26	)	2.41		5.49		(8.68	)
Less Distributions:
Distributions from net investment income	(0.19	)	(0.06	)	(0.12	)	(0.12	)	(0.14	)
Distributions from capital gains	–		–		–		–		(0.04	)

Total distributions	(0.19	)	(0.06	)	(0.12	)	(0.12	)	(0.18	)
Net increase (decrease) in net asset value	2.25		(0.32	)	2.29		5.37		(8.86	)
Net Asset Value at end of period	$24.09		$21.84		$22.16		$19.87		$14.50
Total Return³ (%)	11.20		(1.19	)	12.13		37.98		(37.20	)
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$318,024		$331,032		$374,644		$433,483		$352,473
Ratios of expenses to average net assets (%)	0.82		0.82		0.82		0.82		0.82
Ratio of net investment income to average net assets (%)	0.76		0.24		0.51		0.72		0.62
Portfolio Turnover⁸ (%)	64		85		78		89		123

							Inception
							to
	2012		2011		2010		12/31/09¹

CLASS II
Net Asset Value at beginning of period	$21.80		$22.14		$19.87		$15.78
Income from Investment Operations:
Net investment income²	0.12		(0.00	)⁷	0.06		0.05
Net realized and unrealized gain (loss) on investments	2.26		(0.32	)	2.30		4.09

Total from investment operations	2.38		(0.32	)	2.36		4.14
Less Distributions:
Distributions from net investment income	(0.16	)	(0.02	)	(0.09	)	(0.05	)

Net increase (decrease) in net asset value	2.22		(0.34	)	2.27		4.09
Net Asset Value at end of period	$24.02		$21.80		$22.14		$19.87
Total Return³ (%)	10.93		(1.43	)	11.85		26.21	⁴
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$29,101		$27,589		$20,802		$6,003
Ratios of expenses to average net assets (%)	1.07		1.07		1.07		1.07	⁵
Ratio of net investment income to average net assets (%)	0.51		–	⁶	0.29		0.36	⁵
Portfolio Turnover⁸ (%)	64		85		78		89	⁴

¹	Commenced investment operations May 1, 2009.
²	Based on average shares outstanding during the year.
³	These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
⁴	Not annualized.
⁵	Annualized.
⁶	Amount represents less than 0.01%.
⁷	Amount represents less than $0.005 per share.
⁸	Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Financial Highlights for a Share of Beneficial Interest Outstanding

MID CAP FUND

	Year Ended December 31,

	2012		2011		2010³		2009³		2008³

CLASS I
Net Asset Value at beginning of period	$14.75		$14.14		$11.82		$8.01		$15.31
Income from Investment Operations:
Net investment income²	0.05		0.02		0.04		0.00	⁵	0.00	⁵
Net realized and unrealized gain (loss) on investments	2.34		0.62		2.33		3.81		(7.13	)

Total from investment operations	2.39		0.64		2.37		3.81		(7.13	)
Less Distributions:
Distributions from net investment income	(0.05	)	(0.03	)	(0.05	)	(0.00	)⁵	(0.00	)⁵
Distributions from capital gains	–		–		–		–		(0.16	)

Total distributions	(0.05	)	(0.03	)	(0.05	)	(0.00	)	(0.16	)
Net increase (decrease) in net asset value	2.34		0.61		2.32		3.81		(7.29	)
Net Asset Value at end of period	$17.09		$14.75		$14.14		$11.82		$8.01
Total Return⁴ (%)	16.24		4.47		20.12		47.28		(46.89	)
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$356,534		$351,833		$385,219		$229,395		$166,465
Ratios of expenses to average net assets (%)	0.91		0.91		0.90		0.87		0.87
Ratio of net investment income to average net assets (%)	0.30		0.16		0.42		(0.05	)	0.09
Portfolio Turnover⁸ (%)	25		52		46		186		108

							Inception
							to
	2012		2011		2010³		12/31/09^1,3

CLASS II
Net Asset Value at beginning of period	$14.72		$14.13		$11.82		$9.36
Income from Investment Operations:
Net investment income²	0.01		(0.01	)	0.04		(0.00	)⁵
Net realized and unrealized gain (loss) on investments	2.35		0.60		2.30		2.45

Total from investment operations	2.36		0.59		2.34		2.45
Less Distributions:
Distributions from net investment income	(0.03	)	–		(0.03	)	–

Net increase in net asset value	2.33		0.59		2.31		2.45
Net Asset Value at end of period	$17.05		$14.72		$14.13		$11.82
Total Return⁴ (%)	15.95		4.22		19.82		26.13	⁶
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$13,927		$13,270		$11,951		$1,745
Ratios of expenses to average net assets (%)	1.16		1.17		1.16		1.12	⁷
Ratio of net investment income to average net assets (%)	0.05		(0.07	)	0.38		(0.14	)⁷
Portfolio Turnover⁸ (%)	25		52		46		186⁶

¹	Commenced investment operations May 1, 2009
²	Based on average shares outstanding during the year.
³	The financial highlights prior to May 1, 2010 are those of the Mid Cap Growth Fund, the accounting survivor of the reorganization of the Mid Cap Value and Mid Cap Growth Funds. The net asset values and other per share information of the Mid Cap Growth Fund have been restated by the conversion ratio of 2.6623 for Class I shares and 2.6678 for Class II shares to reflect those of the legal survivor of the reorganization, the Mid Cap Value Fund, which was renamed the Mid Cap Fund after the reorganization.
⁴	These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
⁵	Amounts represents less than $0.005 per share.
⁶	Not annualized.
⁷	Annualized.
⁸	Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Financial Highlights for a Share of Beneficial Interest Outstanding

SMALL CAP FUND

	Year Ended December 31,

	2012		2011		2010		2009		2008

CLASS I
Net Asset Value at beginning of period	$10.81		$10.75		$8.54		$6.53		$8.86
Income from Investment Operations:
Net investment income²	0.14		0.04		0.08		0.05		0.08
Net realized and unrealized gain (loss) on investments	1.52		0.06		2.20		2.00		(2.34	)

Total from investment operations	1.66		0.10		2.28		2.05		(2.26	)
Less Distributions:
Distributions from net investment income	(0.15	)	(0.04	)	(0.07	)	(0.04	)	(0.07	)
Distributions from capital gains	–		–		–		–		(0.00	)⁷

Total distributions	(0.15	)	(0.04	)	(0.07	)	(0.04	)	(0.07	)
Net increase (decrease) in net asset value	1.51		0.06		2.21		2.01		(2.33	)
Net Asset Value at end of period	$12.32		$10.81		$10.75		$8.54		$6.53
Total Return³ (%)	15.39		0.91		26.80		31.56		(25.54	)
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$11,936		$11,261		$11,710		$7,989		$5,986
Ratios of expenses to average net assets (%)	1.11		1.11		1.11		1.11		1.12
Ratio of net investment income to average net assets (%)	1.24		0.41		0.85		0.77		1.03
Portfolio Turnover⁶ (%)	15		22		33		21		28

							Inception to
	2012		2011		2010		12/31/09¹

CLASS II
Net Asset Value at beginning of period	$10.79		$10.74		$8.54		$6.50
Income from Investment Operations:
Net investment income²	0.11		0.02		0.06		0.02
Net realized and unrealized gain (loss) on investments	1.52		0.06		2.20		2.03

Total from investment operations	1.63		0.08		2.26		2.05
Less Distributions:
Distributions from net investment income	(0.13	)	(0.03	)	(0.06	)	(0.01	)

Net increase in net asset value	1.50		0.05		2.20		2.04
Net Asset Value at end of period	$12.29		$10.79		$10.74		$8.54
Total Return³ (%)	15.10		0.66		26.48		31.57	⁴
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$1,486		$1,401		$1,387		$616
Ratios of expenses to average net assets (%)	1.36		1.36		1.36		1.36	⁵
Ratio of net investment income to average net assets (%)	0.99		0.16		0.67		0.44	⁵
Portfolio Turnover⁶ (%)	15		22		33		21	⁴

¹	Commenced investment operations May 1, 2009.
²	Based on average shares outstanding during the year.
³	These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
⁴	Not annualized.
⁵	Annualized.
⁶	Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period
⁷	Amount represents less than $0.005 per share.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Financial Highlights for a Share of Beneficial Interest Outstanding

INTERNATIONAL STOCK FUND

	Year Ended December 31,

	2012		2011		2010		2009		2008

CLASS I
Net Asset Value at beginning of period	$9.03		$9.99		$9.53		$7.59		$13.40
Income from Investment Operations:
Net investment income²	0.17		0.19		0.14		0.17		0.26
Net realized and unrealized gain (loss) on investments	1.75		(0.96	)	0.53		1.95		(5.27	)

Total from investment operations	1.92		(0.77	)	0.67		2.12		(5.01	)
Less Distributions:
Distributions from net investment income	(0.17	)	(0.19	)	(0.21	)	(0.18	)	(0.26	)
Distributions from capital gains	–		–		–		–		(0.54	)

Total distributions	(0.17	)	(0.19	)	(0.21	)	(0.18	)	(0.80	)
Net increase (decrease) in net asset value	1.75		(0.96	)	0.46		1.94		(5.81	)
Net Asset Value at end of period	$10.78		$9.03		$9.99		$9.53		$7.59
Total Return³ (%)	21.31		(7.70	)	7.09		27.90		(38.62	)
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$76,919		$72,756		$92,063		$77,997		$72,768
Ratios of expenses to average net assets (%)	1.21		1.22		1.22		1.22		1.22
Ratio of net investment income to average net assets (%)	1.74		1.90		1.48		2.08		2.45
Portfolio Turnover⁶ (%)	42		38		79		87		43

							Inception
							to
	2012		2011		2010		12/31/09¹

CLASS II
Net Asset Value at beginning of period	$9.02		$9.99		$9.53		$7.32
Income from Investment Operations:
Net investment income²	0.14		0.16		0.09		0.04
Net realized and unrealized gain (loss) on investments	1.76		(0.96	)	0.56		2.33

Total from investment operations	1.90		(0.80	)	0.65		2.37
Less Distributions:
Distributions from net investment income	(0.16	)	(0.17	)	(0.19	)	(0.16	)

Net increase (decrease) in net asset value	1.74		(0.97	)	0.46		2.21
Net Asset Value at end of period	$10.76		$9.02		$9.99		$9.53
Total Return³ (%)	21.01		(7.91	)	6.83		32.30	⁴
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$18,263		$15,407		$13,241		$3,962
Ratios of expenses to average net assets (%)	1.46		1.47		1.47		1.48	⁵
Ratio of net investment income to average net assets (%)	1.45		1.58		1.00		0.57	⁵
Portfolio Turnover⁶ (%)	42		38		79		87	⁴

¹	Commenced investment operations May 1, 2009.
²	Based on average shares outstanding during the year.
³	These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
⁴	Not annualized.
⁵	Annualized.
⁶	Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Financial Highlights for a Share of Beneficial Interest Outstanding

MADISON TARGET RETIREMENT 2020 FUND

	Year Ended December 31,

	2012		2011		2010		2009		2008

CLASS I
Net Asset Value at beginning of period	$7.82		$8.06		$7.64		$6.04		$9.63
Income from Investment Operations:
Net investment income¹	0.24		0.22		0.20		0.15		0.22
Net realized and unrealized gain (loss) on investments	0.53		(0.04	)	0.49		1.59		(3.60	)

Total from investment operations	0.77		0.18		0.69		1.74		(3.38	)
Less Distributions:
Distributions from net investment income	(0.25	)	(0.23	)	(0.27	)	(0.14	)	(0.16	)
Distributions from capital gains	(0.03	)	(0.19	)	–		–		(0.05	)

Total distributions	(0.28	)	(0.42	)	(0.27	)	(0.14	)	(0.21	)
Net increase (decrease) in net asset value	0.49		(0.24	)	0.42		1.60		(3.59	)
Net Asset Value at end of period	$8.31		$7.82		$8.06		$7.64		$6.04
Total Return² (%)	9.98		2.11		9.01		28.93		(35.31	)
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$56,607		$39,580		$27,648		$19,300		$8,719
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser (%)	0.30		0.26		0.40		0.41		0.40
After reimbursement of expenses by Adviser (%)	0.30		0.24	³	0.20	³	0.34	³	0.40
Ratio of net investment income to average net assets (%)	2.96		2.70		2.61		2.24		2.80
Portfolio Turnover⁴ (%)	90		114		51		78		74

¹	Based on average shares outstanding during the year.
²	These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
³	Amount includes fees waived by the Adviser through a contractual management fee reduction from 0.40% to 0.20% effective October 1, 2009 to February 16, 2011. Effective February 17, 2011 to August 31, 2011, the fee was permanently reduced to 0.20%. Effective September 1, 2011, shareholders approved a new fee arrangement which includes an advisory fee of 0.25% and services agreement fee of 0.05%.
⁴	Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Financial Highlights for a Share of Beneficial Interest Outstanding

MADISON TARGET RETIREMENT 2030 FUND

	Year Ended December 31,

	2012		2011		2010		2009		2008

CLASS I
Net Asset Value at beginning of period	$7.49		$7.90		$7.41		$5.75		$9.54
Income from Investment Operations:
Net investment income¹	0.23		0.19		0.18		0.12		0.18
Net realized and unrealized gain (loss) on investments	0.60		(0.09	)	0.52		1.65		(3.82	)

Total from investment operations	0.83		0.10		0.70		1.77		(3.64	)
Less Distributions:
Distributions from net investment income	(0.22	)	(0.20	)	(0.21	)	(0.11	)	(0.11	)
Distributions from capital gains	(0.06	)	(0.31	)	–		–		(0.04	)

Total distributions	(0.28	)	(0.51	)	(0.21	)	(0.11	)	(0.15	)
Net increase (decrease) in net asset value	0.55		(0.41	)	0.49		1.66		(3.79	)
Net Asset Value at end of period	$8.04		$7.49		$7.90		$7.41		$5.75
Total Return² (%)	11.05		1.16		9.56		30.94		(38.35	)
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$68,009		$45,404		$31,279		$19,330		$8,010
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser (%)	0.30		0.26		0.40		0.41		0.40
After reimbursement of expenses by Adviser (%)	0.30		0.24	³	0.20	³	0.34	³	0.40
Ratio of net investment income to average net assets (%)	2.84		2.43		2.42		1.87		2.38
Portfolio Turnover⁴ (%)	86		108		43		78		52

¹	Based on average shares outstanding during the year.
²	These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
³	Amount includes fees waived by the Adviser through a contractual management fee reduction from 0.40% to 0.20% effective October 1, 2009 to February 16, 2011. Effective February 17, 2011 to August 31, 2011, the fee was permanently reduced to 0.20%. Effective September 1, 2011, shareholders approved a new fee arrangement which includes an advisory fee of 0.25% and services agreement fee of 0.05%.
⁴	Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Financial Highlights for a Share of Beneficial Interest Outstanding

MADISON TARGET RETIREMENT 2040 FUND

	Year Ended December 31,

	2012		2011		2010		2009		2008

CLASS I
Net Asset Value at beginning of period	$7.06		$7.60		$7.07		$5.43		$9.48
Income from Investment Operations:
Net investment income¹	0.20		0.16		0.15		0.08		0.14
Net realized and unrealized gain (loss) on investments	0.61		(0.12	)	0.55		1.63		(4.06	)

Total from investment operations	0.81		0.04		0.70		1.71		(3.92	)
Less Distributions:
Distributions from net investment income	(0.19	)	(0.17	)	(0.17	)	(0.07	)	(0.08	)
Distributions from capital gains	(0.07	)	(0.41	)	–		–		(0.05	)

Total distributions	(0.26	)	(0.58	)	(0.17	)	(0.07	)	(0.13	)
Net increase (decrease) in net asset value	0.55		(0.54	)	0.53		1.64		(4.05	)
Net Asset Value at end of period	$7.61		$7.06		$7.60		$7.07		$5.43
Total Return² (%)	11.42		0.47		9.97		31.64		(41.65	)
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$49,269		$35,182		$26,147		$16,656		$6,385
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser (%)	0.30		0.26		0.40		0.41		0.40
After reimbursement of expenses by Adviser (%)	0.30		0.24	³	0.20	³	0.34	³	0.40
Ratio of net investment income to average net assets (%)	2.65		2.11		2.14		1.22		1.99
Portfolio Turnover⁴ (%)	101		115		40		86		62

¹	Based on average shares outstanding during the year.
²	These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
³	Amount includes fees waived by the Adviser through a contractual management fee reduction from 0.40% to 0.20% effective October 1, 2009 to February 16, 2011. Effective February 17, 2011 to August 31, 2011, the fee was permanently reduced to 0.20%. Effective September 1, 2011, shareholders approved a new fee arrangement which includes an advisory fee of 0.25% and services agreement fee of 0.05%.
⁴	Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Financial Highlights for a Share of Beneficial Interest Outstanding

MADISON TARGET RETIREMENT 2050 FUND

	Year Ended
	December 31,		Inception to
	2012		12/31/11¹

CLASS I
Net Asset Value at beginning of period	$9.75		$10.00
Income from Investment Operations:
Net investment income²	0.30		0.26
Net realized and unrealized gain (loss) on investments	0.89		(0.36	)

Total from investment operations	1.19		(0.10	)
Less Distributions:
Distributions from net investment income	(0.21	)	(0.14	)
Distributions from return of capital	–		(0.01	)
Distributions from capital gains	(0.04	)	–

Total distributions	(0.25	)	(0.15	)
Net increase (decrease) in net asset value	0.94		(0.25	)
Net Asset Value at end of period	$10.69		$9.75
Total Return³ (%)	12.12		(1.03	)⁴
Ratios/Supplemental Data:
Net Assets at end of period (in 000’s)	$7,160		$2,236
Ratios of expenses to average net assets
Before reimbursement of expenses by Adviser (%)	0.30		0.26	⁵
After reimbursement of expenses by Adviser (%)	0.30		0.26	^5,6
Ratio of net investment income to average net assets (%)	2.90		2.61	⁵
Portfolio Turnover⁷ (%)	86		75	⁴

¹	Commenced investment operations January 3, 2011.
²	Based on average shares outstanding during the year.
³	These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
⁴	Not annualized.
⁵	Annualized.
⁶	Amount includes fees waived by the Adviser through a contractual management fee reduction from 0.40% to 0.20% effective October 1, 2009 to February 16, 2011. Effective February 17, 2011 to August 31, 2011, the fee was permanently reduced to 0.20%. Effective September 1, 2011, shareholders approved a new fee arrangement which includes an advisory fee of 0.25% and services agreement fee of 0.05%.
⁷	Portfolio Turnover is calculated at the fund level and represents the entire fiscal year or period.

See accompanying Notes to Financial Statements.

Ultra Series Fund | December 31, 2012

Notes to Financial Statements

1. ORGANIZATION

The Ultra Series Fund (the “Trust”), a Massachusetts business trust, is registered under the Investment Company Act of 1940 (the “1940 Act”), as amended, as a diversified, open-end management investment company. The Trust is a series fund with, at the end of the period covered by this report, 16 investment portfolios (individually, a “fund,” and collectively, the “funds”), each with different investment objectives and policies. The funds currently available at the end of the period were the Money Market Fund, Bond Fund, High Income Fund, Diversified Income Fund, Large Cap Value Fund, Large Cap Growth Fund, Mid Cap Fund, Small Cap Fund and International Stock Fund (collectively, the “Core Funds”), the Conservative Allocation Fund, Moderate Allocation Fund and Aggressive Allocation Fund (collectively, the “Target Allocation Funds”), and the Madison Target Retirement 2020 Fund, Madison Target Retirement 2030 Fund, Madison Target Retirement 2040 Fund, and Madison Target Retirement 2050 Fund, (collectively, the “Target Date Funds”).

The Declaration of Trust permits the Board of Trustees to issue an unlimited number of full and fractional shares of the Trust without par value. All funds, except for the Target Date Funds, offer Class I and II shares. The Target Date Funds only offer a single class of shares, Class I shares. Each class of shares represents an interest in the assets of the respective fund and has identical voting, dividend, liquidation and other rights, except that each class of shares bears its own distribution fees, if any, and its proportional share of fund level expenses, and has exclusive voting rights on matters pertaining to Rule 12b-1 under the 1940 Act as it relates to that class and other class specific matters. Shares are offered to separate accounts (the “Accounts”) of CMFG Life Insurance Company and to qualified pension and retirement plans of CMFG Life Insurance Company or it’s affiliates (“CUNA Mutual Group”). The Trust may, in the future, offer other share classes to separate accounts of insurance companies and to qualified pension and retirement plans that are not affiliated with CUNA Mutual Group. The Trust does not offer shares directly to the general public.

The Trust has entered into a Management Agreement with Madison Asset Management, LLC. (the “Investment Adviser” or “Madison”). The Investment Adviser, in turn, has entered into subadvisory agreements with certain subadvisers (“Subadvisers”) for the management of the investments of the High Income, Small Cap and International Stock Funds.

2. SIGNIFICANT ACCOUNTING POLICIES

The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reported period. Actual results could differ from those estimates. The following is a summary of significant accounting policies consistently followed by each fund in the preparation of its financial statements.

Portfolio Valuation: Equity securities, including American Depositary Receipts (“ADRs”), Global Depositary Receipts (“GDRs”) and exchange-traded funds (“ETFs”) listed on any U.S. or foreign stock exchange or quoted on the National Association of Securities Dealers Automated Quotation System (“NASDAQ”) are valued at the last quoted sale price or official closing price on that exchange or NASDAQ on the valuation day (provided that, for securities traded on NASDAQ, the funds utilize the NASDAQ Official Closing Price). If no sale occurs, (a) equities traded on a U.S. exchange or on NASDAQ are valued at the mean between the closing bid and closing asked prices and (b) equity securities traded on a foreign exchange are valued at the official bid price. Debt securities purchased with a remaining maturity of 61 days or more are valued on the basis of last available bid prices or current market quotations provided by dealers or pricing services approved by the Trust. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures based on valuation technology commonly

Ultra Series Fund | December 31, 2012

Notes to Financial Statements

employed in the market for such investments. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche.

Investments in shares of open-end mutual funds, including money market funds, are valued at their daily net asset value (“NAV”) which is calculated as of the close of regular trading on the New York Stock Exchange (usually 4:00 p.m. Eastern Standard Time) on each day on which the New York Stock Exchange is open for business. NAV per share is determined by dividing each fund’s total net assets by the number of shares of such fund outstanding at the time of calculation. Because the assets of each Target Allocation and each Target Date Fund consist primarily of shares of underlying funds, the NAV of each fund is determined based on the NAV’s of the underlying funds. Total net assets are determined by adding the total current value of portfolio securities, cash, receivables, and other assets and subtracting liabilities. Short-term instruments having maturities of 60 days or less and all securities in the Money Market Fund are valued on an amortized cost basis, which approximates market value.

Over-the-counter securities not listed or traded on NASDAQ are valued at the last sale price on the valuation day. If no sale occurs on the valuation day, an over-the-counter security is valued at the mean between the last bid and asked prices. Spot and forward foreign currency exchange contracts are valued based on quotations supplied by dealers in such contracts. Overnight repurchase agreements are valued at cost, and term repurchase agreements (i.e., those whose maturity exceeds seven days), swaps, caps, collars and floors, if any, are valued at the average of the closing bids obtained daily from at least one dealer.

Through the end of this reporting period, the value of all assets and liabilities expressed in foreign currencies was converted into U.S. dollar values using the then-current exchange rate at the close of regular trading on the New York Stock Exchange (usually 4:00 p.m. Eastern Standard Time).

All other securities for which either quotations are not readily available, no other sales have occurred, or in the Investment Adviser’s opinion, do not reflect the current market value, are appraised at their fair values as determined in good faith by The Trust’s Pricing Committee (the “Committee”) and under the general supervision of the Board of Trustees. When fair value pricing of securities is employed, the prices of securities used by the funds to calculate NAV may differ from market quotations or official closing prices. Because the Target Allocation and Target Date Funds primarily invest in underlying funds, government securities and short-term paper, it is not anticipated that the Investment Adviser will need to fair value any of the investments of these funds. However, an underlying fund may need to fair value one or more of its investments, which may, in turn, require a Target Allocation or Target Date Fund to do the same because of delays in obtaining the underlying Fund’s NAV.

A fund’s investments (or underlying fund) will be valued at fair value, if in the judgment of the Committee an event impacting the value of an investment occurred between the closing time of a security’s primary market or exchange (for example, a foreign exchange or market) and the time the fund’s share price is calculated as of the close of regular trading on the New York Stock Exchange (usually 4:00 p.m. Eastern Standard Time). Significant events may include, but are not limited to, the following: (1) significant fluctuations in domestic markets, foreign markets or foreign currencies; (2) occurrences not directly tied to the securities markets such as natural disasters, armed conflicts or significant government actions; and (3) major announcements affecting a single issuer or an entire market or market sector. In responding to a significant event, the Committee would determine the fair value of affected securities considering factors including, but not limited to: fundamental analytical data relating to the investment; the nature and duration of any restrictions on the disposition of the investment; and the forces influencing the market(s) in which the investment is purchased or sold. The Committee may

Ultra Series Fund | December 31, 2012

Notes to Financial Statements

rely on an independent fair valuation service to adjust the valuations of foreign equity securities based on specific market-movement parameters established by the Committee and approved by the Trust.

Security Transactions and Investment Income: Security transactions are accounted for on a trade date basis. Net realized gains or losses on sales are determined by the identified cost method. Interest income is recorded on an accrual basis. Dividend income is recorded on ex-dividend date. Amortization and accretion are recorded on the effective yield method.

Expenses: Expenses that are directly related to one fund are charged directly to that fund. Other operating expenses are prorated to the funds on the basis of relative net assets. Class-specific expenses are borne by that class.

Classes: Income and realized and unrealized gains/losses are allocated to the respective classes on the basis of relative net assets.

Repurchase Agreements: Each fund may engage in repurchase agreements. In a repurchase agreement, a security is purchased for a relatively short period (usually not more than 7 days) subject to the obligation to sell it back to the issuer at a fixed time and price plus accrued interest. The funds will enter into repurchase agreements only with member banks of the Federal Reserve System and with “primary dealers” in U.S. Government securities. As of December 31, 2012, none of the funds held open repurchase agreements.

The Trust has established a procedure providing that the securities serving as collateral for each repurchase agreement must be delivered to the Trust’s custodian either physically or in book-entry form and that the collateral must be marked to market daily to ensure that the repurchase agreement is fully collateralized at all times. In the event of bankruptcy or other default by a seller of a repurchase agreement, a fund could experience one of the following: delays in liquidating the underlying securities during the period in which the fund seeks to enforce its rights thereto, possible subnormal levels of income, declines in value of the underlying securities, or lack of access to income during this period and the expense of enforcing its rights.

In April 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-03 “Reconsideration of Effective Control of Repurchase Agreements”. ASU 2011-03 is an amendment to Topic 860 “Transfers and Servicing”. These amendments simplify the accounting for repurchase agreements by eliminating the requirement that the transferor demonstrate it has adequate collateral to fund substantially all the cost of purchasing replacement assets. As a result, more arrangements could be accounted for as secured borrowings rather than sales. The guidance applies to public and nonpublic companies and is effective for interim and annual reporting periods beginning on or after December 15, 2011. The guidance should be applied prospectively to transactions or modifications of existing transactions that occur on or after the effective date. The funds have adopted this guidance and have determined that the updated standards have no material impact on the funds’ financial statements.

Foreign Currency Transactions: The books and records are maintained in U.S. dollars. Foreign currency denominated transactions (i.e., market value of investment securities, assets and liabilities, purchases and sales of investment securities, and income and expenses) are translated into U.S. dollars at the current rate of exchange. The funds enter into contracts on the trade date to settle any securities transactions denominated in foreign currencies on behalf of the funds at the spot rate at settlement.

Each fund, except the Money Market Fund, which can only invest in U.S. dollar-denominated foreign money market securities, reports certain foreign currency-related transactions as components of realized gains or losses for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes. Only the

Ultra Series Fund | December 31, 2012

Notes to Financial Statements

International Stock Fund had net realized gains, and that amount of $196,482 is included in the Statements of Operations under the heading “Net realized gain (loss) on investments” for that fund.

The Funds do not isolate the portion of gains and losses on investments in securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of securities. Such amounts are categorized as gain or loss on investments for financial reporting purposes.

Forward Foreign Currency Exchange Contracts: Each fund, except the Money Market Fund, may purchase and sell forward foreign currency exchange contracts for defensive or hedging purposes. When entering into forward foreign currency exchange contracts, the funds agree to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. These contracts are valued daily. The funds’ net assets reflect unrealized gains or losses on the contracts as measured by the difference between the forward foreign currency exchange rates at the dates of entry into the contracts and the forward rates at the reporting date. The funds realize a gain or a loss at the time the forward foreign currency exchange contracts are settled or closed out with an offsetting contract. Realized and unrealized gains and losses are included in the Statements of Operations. As of December 31, 2012, none of the funds had open forward foreign currency exchange contracts.

If a fund enters into a forward foreign currency exchange contract to buy foreign currency for any purpose, the fund will be required to place cash or other liquid assets in a segregated account with the fund’s custodian in an amount equal to the value of the fund’s total assets committed to the consummation of the forward contract. If the value of the securities in the segregated account declines, additional cash or securities will be placed in the segregated account so that the value of the account will equal the amount of the fund’s commitment with respect to the contract.

Illiquid Securities: Each fund currently limits investments in illiquid securities to 15% of net assets at the time of purchase, except for Money Market which limits the investment in illiquid securities to 5% of net assets. An illiquid security is generally defined as any investment that may be difficult to sell within seven days for the price at which the fund values it. At December 31, 2012, investments in securities of the Bond and Diversified Income Funds include issues that are illiquid. The aggregate values of illiquid securities held by Bond and Diversified Income Funds were $16,177,927 and $9,439,256, respectively, which represent 4.2% and 2.4% of net assets, respectively. Pursuant to guidelines adopted by the Board of Trustees, certain unregistered securities are determined to be liquid and are not included within the percent limitations specified above. Information concerning the illiquid securities held at December 31, 2012, which includes cost and acquisition date, is as follows:

Security	Acquisition Date		Acquisition Cost

Bond Fund

American Association of Retired Persons		5/16/02		$	2,620,162
ERAC USA Finance LLC		12/16/04			4,762,254
Indianapolis Power & Light Co.		10/2/06			3,424,873
WM Wrigley Jr. Co.		6/21/10			3,169,571

				$	13,976,860

Diversified Income Fund
AbbVie Inc.		11/5/12		$	1,193,825
American Association of Retired Persons		5/16/02			2,096,129
ERAC USA Finance LLC		12/16/04			2,002,311
Indianapolis Power & Light Co.		10/2/06			1,545,915
WM Wrigley Jr. Co.		6/21/10			1,309,823

				$	8,148,003

Ultra Series Fund | December 31, 2012

Notes to Financial Statements

Delayed Delivery Securities: Each fund may purchase securities on a when-issued or delayed delivery basis. “When-issued” refers to securities whose terms are available and for which a market exists, but that have not been issued. For when-issued or delayed delivery transactions, no payment is made until delivery date, which is typically longer than the normal course of settlement, and often a month or more after the purchase. When a fund enters into an agreement to purchase securities on a when-issued or delayed delivery basis, the fund segregates cash or other liquid securities, of any type or maturity, equal in value to the fund’s commitment. Losses may arise due to changes in the market value of the underlying securities, if the counterparty does not perform under the contract, or if the issuer does not issue the securities due to political, economic or other factors. As of December 31, 2012, none of the funds had entered into such transactions.

Fair Value Measurements: Each fund has adopted the FASB guidance on fair value measurements. Fair value is defined as the price that each fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data “inputs” and minimize the use of unobservable “inputs” and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk (for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs used in the valuation technique). Inputs may be observable or unobservable.

Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:

• Level 1 – unadjusted quoted prices in active markets for identical investments

• Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rate volatilities, prepayment speeds, credit risk, benchmark yields, transactions, bids, offers, new issues, spreads and other relationships observed in the markets among comparable securities, underlying equity of the issuer; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data, etc.)

• Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The valuation techniques used by the Funds to measure fair value for the period ended December 31, 2012 maximized the use of observable inputs and minimized the use of unobservable inputs. The Funds utilized the following fair value techniques: multidimensional relational pricing model and option adjusted spread pricing; the Funds estimated the price that would have prevailed in a liquid market for an international equity security given information available at the time of evaluation. Through the period ended December 31, 2012, none of the Funds held securities deemed as a Level 3 and there were no transfers between classification levels.

Ultra Series Fund | December 31, 2012

Notes to Financial Statements

The following is a summary of the inputs used as of December 31, 2012 in valuing the funds’ investments carried at fair value (please see the Portfolio of Investments for each Fund for a listing of all securities within each category):

	Quoted Prices in			Significant Other			Significant
	Active Markets for			Observable			Unobservable
	Identical Investments			Inputs			Inputs			Value at
Fund	(Level 1)			(Level 2)			(Level 3)			12/31/12

Conservative Allocation		$	237,954,277		$	–		$	–		$	237,954,277
Moderate Allocation			390,295,476			–			–			390,295,476
Aggressive Allocation			144,422,356			–			–			144,422,356
Money Market¹			2,476,374			47,635,150			–			50,111,524
Bond
Asset Backed			–			3,476,244			–			3,476,244
Corporate Notes and Bonds			–			107,097,622			–			107,097,622
Mortgage Backed			–			63,257,219			–			63,257,219
U.S. Government and Agency Obligations			–			199,523,992			–			199,523,992
Investment Companies			13,441,891			–			–			13,441,891

			13,441,891			373,355,077			–			386,796,968
High Income
Corporate Notes and Bonds			–			63,087,653			–			63,087,653
Investment Companies			3,135,148			–			–			3,135,148

			3,135,148			63,087,653			–			66,222,801
Diversified Income
Common Stocks			216,084,799			–			–			216,084,799
Asset Backed			–			607,382			–			607,382
Corporate Notes and Bonds			–			63,221,207			–			63,221,207
Mortgage Backed			–			27,066,482			–			27,066,482
U.S. Government and Agency Obligations			–			71,599,662			–			71,599,662
Investment Companies			14,006,365			–			–			14,006,365

			230,091,164			162,494,733			–			392,585,897
Large Cap Value
Common Stocks			481,090,989			–			–			481,090,989
Investment Companies			20,226,182			–			–			20,226,182

			501,317,171			–			–			501,317,171
Large Cap Growth
Common Stocks			330,893,865			–			–			330,893,865
Investment Companies			15,071,048			–			–			15,071,048

			345,964,913			–			–			345,964,913
Mid Cap
Common Stocks			345,470,438			–			–			345,470,438
Investment Companies			26,049,776			–			–			26,049,776

			371,520,214			–			–			371,520,214
Small Cap
Common Stocks			13,014,567			–			–			13,014,567
Investment Companies			496,276			–			–			496,276

			13,510,843			–			–			13,510,843

¹	At December 31, 2012, all Level 2 securities held are short-term investments. See respective portfolio of investments.

Ultra Series Fund | December 31, 2012

Notes to Financial Statements

Quoted Prices in

Significant Other

Significant

Active Markets for

Observable

Unobservable

Identical Investments

Inputs

Value at

Fund

(Level 1)

(Level 2)

(Level 3)

12/31/12

International Stock

Common Stocks

Australia

–

2,357,920

–

2,357,920

Belgium

–

3,298,134

–

3,298,134

Brazil

–

1,500,796

–

1,500,796

Canada

–

2,646,993

–

2,646,993

Finland

–

1,222,154

–

1,222,154

France

–

9,291,556

–

9,291,556

Germany

–

9,370,001

–

9,370,001

Indonesia

782,227

–

782,227

Ireland

750,732

–

750,732

Italy

–

2,803,595

–

2,803,595

Japan

–

14,585,290

–

14,585,290

Mexico

–

856,204

–

856,204

Netherlands

–

1,877,635

–

1,877,635

New Zealand

–

667,033

–

667,033

Philippines

–

535,027

–

535,027

Russia

–

1,419,872

–

1,419,872

South Africa

–

1,026,517

–

1,026,517

South Korea

–

2,412,174

–

2,412,174

Spain

–

2,319,723

–

2,319,723

Sweden

–

5,131,883

–

5,131,883

Switzerland

–

4,330,363

–

4,330,363

Thailand

–

996,404

–

996,404

Turkey

–

1,559,006

–

1,559,006

United Kingdom

–

21,881,702

–

21,881,702

Investment Companies

1,655,652

–

1,655,652

3,188,611

92,089,982

–

95,278,593

Madison Target Retirement 2020

55,403,024

–

55,403,024

Madison Target Retirement 2030

67,985,121

–

67,985,121

Madison Target Retirement 2040

49,169,125

–

49,169,125

Madison Target Retirement 2050

7,148,181

–

7,148,181

New Accounting Pronouncements: In May 2011, the FASB issued ASU 2011-04, modifying Topic 820, “Fair Value Measurements and Disclosures.” At the same time, the International Accounting Standards Board (“IASB”) issued International Financial Reporting Standard (“IFRS”) 13, “Fair Value Measurement.” The objective by the FASB and IASB is convergence of their guidance on fair value measurements and disclosures. The effective date of the ASU is for interim and annual periods beginning after December 15, 2011. The funds have adopted the disclosures required by this update.

In December 2011, the IASB and the FASB issued ASU 2011-11 “Disclosures about Offsetting Assets and Liabilities.” These common disclosure requirements are intended to help investors and other financial statement users to better assess the effect or potential effect of offsetting arrangements on a portfolio’s financial position. They also improve transparency in the reporting of how companies mitigate credit risk, including disclosure of related collateral pledged or received. In addition, ASU 2011-11 facilitates comparison between these entities that prepare their financial statements on the basis of U.S. GAAP and those entities that prepare their financial statements on the basis of IFRS. ASU 2011-11 requires entities to disclose both gross and net information about both instruments and transactions eligible for offset in the financial position; and disclose

Ultra Series Fund | December 31, 2012

Notes to Financial Statements

instruments and transactions subject to an agreement similar to a master netting agreement. ASU 2011-11 is effective for fiscal years beginning on or after January 1, 2013 and interim periods within those annual periods. The funds are currently evaluating the implications of ASU 2011-11 and its impact on financial statements disclosures.

3. MANAGEMENT, SERVICES AND DISTRIBUTION AGREEMENTS

Management Agreement: For services under the Management Agreement, the Investment Adviser is entitled to receive a management fee, which is calculated daily and paid monthly, at an annual rate based upon the following percentages of average daily net assets: 0.45% for the Money Market Fund, 0.55% for the Bond Fund, 0.75% for the High Income Fund, 0.70% for the Diversified Income Fund, 0.60% for the Large Cap Value Fund, 0.80% for the Large Cap Growth Fund, 0.90% for the Mid Cap Fund, 1.10% for the Small Cap Fund, 1.20% for the International Stock Fund, 0.30% for each of the Target Allocation Funds and 0.25% for each of the Target Date Funds.

The Management Agreement requires the Investment Adviser to provide or arrange to provide overall management of the funds, including but not limited to, investment advisory services, custody, transfer agency, dividend disbursing, legal, accounting and administrative services. It does not include Trustee compensation or the fees paid to the Trust’s independent Registered Public Accountant.

The Investment Adviser is solely responsible for the payment of all fees to the Subadvisers. The Subadvisers for the funds are Shenkman Capital Management, Inc. for the High Income Fund, Wellington Management Company, LLP for the Small Cap Fund and Lazard Asset Management LLC for the International Stock Fund. The Investment Adviser manages the Money Market Fund, Bond Fund, Diversified Income Fund, Large Cap Growth Fund, Large Cap Value Fund, Mid Cap Fund, Target Allocation Funds and the Target Date Funds without the aid of a Subadviser.

The Investment Adviser may from time to time voluntarily agree to waive a portion of its fees or expenses related to the Funds. In that regard, the Investment Adviser waived a portion of management fees on the Money Market Class I Shares and Class II Shares for the purpose of maintaining a one-day yield of zero. The amount of the daily waiver is equal to the amount required to maintain a minimum daily distribution rate of zero. For the period ended December 31, 2012, the waivers totaled $192,101 for Class I Shares and $3,048 for Class II Shares and are reflected as fees waived by the Investment Advisor in the accompanying Statements of Operations. The Investment Adviser does not have the right to recoup these waived fees.

Services Agreement: Effective September 1, 2011, the Investment Adviser entered into a services agreement (“Services Agreement”) for the Target Date Funds. Under the Services Agreement, Madison provides either directly or through outsourced arrangements all operational and support services of the Target Date Funds not provided under the Management Agreement discussed above. Under this Services Agreement, Madison receives a fee of 0.05% (annualized) of the average daily net assets of each Target Date Fund. In exchange for the aforementioned fee, Madison is responsible for paying all of the funds’ fees and expenses, other than (i) the management fee (described above), (ii) fees related to the funds’ portfolio holdings (such as brokerage commissions, interest on loans, etc.), (iii) acquired fund fees, and (iv) extraordinary or non-recurring fees (such as fees and costs relating to any temporary line of credit the funds may maintain for emergency or extraordinary purposes). The direct expenses of the funds’ independent Trustees and independent auditors are paid out of this fee by the funds. Pursuant to the Services Agreement, Madison has also agreed, until April 30, 2013, to waive and/or reimburse investment advisory fees and/or its services fee to the extent necessary to limit each fund’s total operating expenses and underlying fees and expenses to 0.65% of average daily net assets of each Target Date Fund. In applying this waiver, Madison must utilize good faith estimates of the fees and expenses of the underlying funds. The Investment Adviser does not have the right to recoup these waived fees.

Ultra Series Fund | December 31, 2012

Notes to Financial Statements

Distribution Agreement: Mosaic Funds Distributor, LLC (“MFD”) serves as distributor of the funds. The Trust adopted a distribution and service plan with respect to the Trust’s Class II shares pursuant to Rule 12b-1 under the 1940 Act. Under the plan, the Trust will pay a service fee with regard to Class II shares at an annual rate of 0.25% of each fund’s daily net assets. MFD arranges to provide compensation to others that provide distribution and shareholder servicing services to the funds and their shareholders. Fees incurred by the Funds under the plan are detailed in the Statements of Operations.

The distributor may from time to time voluntarily agree to waive a portion of its fees or expenses related to the funds. In this regard, the distributor waived a portion of 12b-1 fees on the Money Market Class II shares for the purpose of maintaining a one-day yield of zero. For the period ended December 31, 2012, the waivers totaled $2,248 and are reflected as fees waived in the Statements of Operations. Neither MFD nor the Investment Adviser has the right to recoup these waived fees.

MFD changed its name to MFD Distributor, LLC on February 1, 2013, after the date of the period covered by this report.

Other Expenses: In addition to the management fee, the Trust, except for the Target Date Funds effective September 1, 2011, is responsible for fees of the disinterested trustees, brokerage commissions and other expenses incurred in connection with the acquisition or disposition of investments, costs of borrowing money, expenses for independent audits, any potential taxes owed and extraordinary expenses as approved by a majority of Independent Trustees. Effective September 1, 2011, the fees for the disinterested trustees and independent audits are paid out of the Services Agreement fee (noted above) for the Target Date Funds.

Certain officers and trustees of the Trust are also officers of the Investment Adviser. The funds do not compensate their officers or affiliated trustees. Unaffiliated trustees receive from the Trust an attendance fee for each Board or Committee meeting attended, with additional remuneration paid to Audit Committee and Nominating and Governance Committee Chairpersons.

4. DIVIDENDS FROM NET INCOME AND DISTRIBUTIONS OF CAPITAL GAINS

The Money Market Fund declares dividends from net investment income and net realized gains from investment transactions, if any, daily, and net realized gains from investment transactions, if any, annually, which are reinvested in additional full and fractional shares of the fund. The Bond Fund, High Income Fund, Diversified Income Fund, Large Cap Value Fund, Large Cap Growth Fund, Small Cap, Mid Cap Fund, International Stock Fund, Target Allocation Funds, and Target Date Funds declare dividends from net investment income and net realized gains from investment transactions, if any, annually, which are reinvested in additional full and fractional shares of the respective funds.

Income and capital gain distributions, if any, are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. Taxable distributions from income and realized capital gains of the funds may differ from book amounts earned during the period due to differences in the timing of capital gains recognition, and due to the reclassification of certain gains or losses from capital to income.

5. SECURITIES TRANSACTIONS

For the period ended December 31, 2012, aggregate cost of purchases and proceeds from sales of securities, other than short-term investments, were as follows:

U.S. Government Securities

Other Investment Securities

Fund

Purchases

Sales

Purchases

Sales

Conservative Allocation

–

102,995,930

100,886,745

Moderate Allocation

–

188,655,060

197,009,347

Aggressive Allocation

–

96,645,731

96,111,705

100

Ultra Series Fund | December 31, 2012

Notes to Financial Statements

	U.S. Government Securities						Other Investment Securities

Fund	Purchases			Sales			Purchases			Sales

Bond		$	41,368,402		$	53,662,524		$	1,077,073		$	19,886,369
High Income			–			–			44,855,707			73,808,062
Diversified Income			15,888,514			17,931,147			49,659,557			71,058,643
Large Cap Value			–			–			131,804,244			170,877,404
Large Cap Growth			–			–			228,393,097			282,078,764
Mid Cap			–			–			86,158,002			141,818,151
Small Cap			–			–			1,940,987			2,640,379
International Stock			–			–			37,706,972			45,867,961
Madison Target Retirement 2020			–			–			56,517,798			42,594,477
Madison Target Retirement 2030			–			–			67,570,170			48,312,962
Madison Target Retirement 2040			–			–			52,972,399			41,834,212
Madison Target Retirement 2050			–			–			8,296,496			3,760,697

6. FOREIGN SECURITIES

Each fund may invest in foreign securities; however, the Money Market Fund is limited to U.S. dollar-denominated foreign money market securities. Foreign securities include American Depositary Receipts (“ADRs”), European Depositary Receipts (“EDRs”), Global Depositary Receipts (“GDRs”), Swedish Depositary Receipts (“SDRs”) and foreign money market securities. Dollar-denominated securities that are part of the Merrill Lynch U.S. Domestic Master Index are not considered a foreign security.

Certain funds have reclaim receivable balances, in which the funds are due a reclaim on the taxes that have been paid to some foreign jurisdictions. The values of all reclaims are not significant for any of the Funds and are reflected in Other Assets on the Statements of Assets and Liabilities. These receivables are reviewed to ensure the current receivable balance is reflective of the amount deemed to be collectable.

7. SECURITIES LENDING

Each fund, except the Target Allocation, Money Market, Small Cap and Target Retirement Funds, entered into a Securities Lending Agreement (the “Agreement”) with State Street Bank and Trust Company (“State Street”). Under the terms of the Agreement, the funds may lend portfolio securities to qualified borrowers in order to earn additional income. The Agreement requires that loans are collateralized at all times by cash or other liquid assets at least equal to 102% of the value of the securities, which is determined on a daily basis. Amounts earned as interest on investments of cash collateral, net of rebates and fees, if any, are included in the Statements of Operations. The primary risk associated with securities lending is if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the funds could experience delays and costs in recovering securities loaned or in gaining access to the collateral.

At December 31, 2012, none of the funds had securities out on loan.

8. FEDERAL INCOME TAX INFORMATION

It is each fund’s policy to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986 applicable to regulated investment companies and to distribute all its taxable income to its shareholders. Accordingly, no provisions for federal income taxes are recorded in the accompanying financial statements.

The funds have not recorded any liabilities for material unrecognized tax benefits as of December 31, 2012. It is the funds’ policy to recognize accrued interest and penalties related to uncertain tax benefits in income taxes, as appropriate. Tax years

101

Ultra Series Fund | December 31, 2012

Notes to Financial Statements

that remain open to examination by major tax jurisdictions include tax years ended December 31, 2009 through December 31, 2012.

The tax character of distributions paid during the years ended December 31, 2012 and 2011 was as follows:

Ordinary Income

Long-Term Capital Gain

Return of Capital

Fund

2012

2011

2012

2011

2012

2011

Conservative Allocation

8,752,307

7,736,541

–

156,141

Moderate Allocation

11,631,795

10,126,467

–

Aggressive Allocation

3,233,841

2,351,251

–

Money Market

–

Bond

12,776,652

15,832,299

–

High Income

5,659,023

6,639,622

–

Diversified Income

10,709,273

11,883,969

–

Large Cap Value

10,469,073

10,205,844

–

Large Cap Growth

2,704,838

893,185

–

Mid Cap

1,089,948

691,290

–

Small Cap

154,423

49,569

–

International Stock

1,486,996

1,802,051

–

Madison Target Retirement 2020

1,701,151

1,042,918

144,606

951,240

–

Madison Target Retirement 2030

2,082,265

1,048,477

170,986

1,807,977

–

Madison Target Retirement 2040

1,497,374

746,609

103,150

1,906,410

–

Madison Target Retirement 2050

146,274

31,450

14,972

–

1,099

As of December 31, 2012, the components of distributable earnings on a tax basis were as follows:

Fund

Ordinary Income

Long-Term
Capital Gain

Fund

Ordinary Income

Long-Term
Capital Gain

Conservative Allocation

–

Large Cap Growth

51,752

–

Moderate Allocation

–

Mid Cap

22,758

–

Aggressive Allocation

–

Small Cap

–

Money Market

–

International Stock

42,221

–

Bond

252,849

–

Madison Target Retirement 2020

24,607

101,255

High Income

206,043

–

Madison Target Retirement 2030

–

80,762

Diversified Income

215,755

–

Madison Target Retirement 2040

9,458

59,115

Large Cap Value

210,348

–

Madison Target Retirement 2050

–

7,405

The Regulated Investment Company (“RIC”) Modernization Act of 2010 (the “Modernization Act”) modernized several of the federal income and excise tax provisions related to RICs. The Modernization Act contains simplification provisions which are aimed at preventing disqualification of a RIC for “inadvertent” failures of the asset diversification and/or qualifying income tests. These changes are effective for tax years ending after December 22, 2010. Additionally, the Modernization Act allows capital losses to be carried forward indefinitely, and retain the character of the original loss, exempts RICs from the preferential dividend rule, and repealed the 60-day designation requirement for certain types of pay-through income and gains. These changes are effective for tax years beginning after December 22, 2010. Previously, net capital losses were carried forward for up to eight years and treated as short-term losses. As a transition rule, the Modernization Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

For federal income tax purposes, the Funds listed below have capital loss carryovers as of December 31, 2012, which are available to offset future capital gains, if any, realized through the fiscal year listed:

102

Ultra Series Fund | December 31, 2012

Notes to Financial Statements

No Expiration-

Fund

2013

2014

2015

2016

2017

2018

Short Term

Conservative Allocation

–

2,386,143

–

Moderate Allocation

–

9,202,459

20,811,527

9,937,108

–

Aggressive Allocation

–

329,267

6,205,447

6,513,626

–

Money Market

–

Bond

1,445,891

816,322

228,563

–

9,584,651

346,309

–

High Income

–

3,871,343

4,641,635

–

Diversified Income

–

24,898,540

–

Large Cap Value

–

30,899,868

41,852,552

–

Large Cap Growth

–

11,561,675

–

Mid Cap

–

23,007,112

38,369,131

–

Small Cap

–

810,060

106,162

–

International Stock

–

751,246

8,819,661

21,825,302

1,915,037

1,197,463

Madison Target Retirement 2020

–

Madison Target Retirement 2030

–

Madison Target Retirement 2040

–

Madison Target Retirement 2050

–

Included in the net capital loss carryovers for Mid Cap Fund, Small Cap Fund and International Stock Fund is $23,007,112, $810,060 and $9,802,327, respectively, of capital loss carryovers subject to certain limitations upon availability, to offset future gains, if any, as the successor of a merger. These acquired losses are included in the total losses available noted above.

Certain specified losses incurred after October 31 and within the taxable year are deemed to arise on the first day of the funds’ next taxable year, if the funds so elect. For the year ended December 31, 2012, only the International Stock Fund elected to defer late-year ordinary losses of $9,369.

For the year ended December 31, 2012, capital losses utilized for each fund were as follows:

Fund

Amount Utilized

Fund

Amount Utilized

Conservative Allocation

3,557,105

Large Cap Growth

5,477,866

Moderate Allocation

7,141,391

Mid Cap

11,125,063

Aggressive Allocation

3,663,456

Small Cap

512,761

Money Market

–

International Stock

1,221,270

Bond

383,120

Madison Target Retirement 2020

–

High Income

2,842,301

Madison Target Retirement 2030

–

Diversified Income

6,859,551

Madison Target Retirement 2040

–

Large Cap Value

22,472,298

Madison Target Retirement 2050

5,446

The Bond Fund had a capital loss carryover expire unused in the current year in the amount of $73,579.

At December 31, 2012, the aggregate gross unrealized appreciation/depreciation and net unrealized appreciation (depreciation) for all securities as computed on a federal income tax basis for each fund were as follows:

Fund	Appreciation			Depreciation			Net

Conservative Allocation		$	13,643,579		$	74,354		$	13,569,225
Moderate Allocation			35,591,405			773,372			34,818,033
Aggressive Allocation			15,037,562			334,399			14,703,163
Bond			36,427,229			3,180,782			33,246,447
High Income			3,151,494			47,710			3,103,784

103

Ultra Series Fund | December 31, 2012

Notes to Financial Statements


Fund	Appreciation			Depreciation			Net

Diversified Income		$	57,528,149		$	2,831,292		$	54,696,857
Large Cap Value			87,081,732			5,596,691			81,485,041
Large Cap Growth			75,394,278			5,787,230			69,607,048
Mid Cap			83,394,951			1,215,416			82,179,535
Small Cap			3,388,162			201,746			3,186,416
International Stock			18,456,433			625,755			17,830,678
Madison Target Retirement 2020			2,087,072			89,871			1,997,201
Madison Target Retirement 2030			2,770,800			81,637			2,689,163
Madison Target Retirement 2040			2,100,822			81,265			2,019,557
Madison Target Retirement 2050			251,778			7,941			243,837

The differences between cost amounts for book purposes and tax purposes are primarily due to the tax deferral of losses.

Reclassification Adjustments: Paid-in capital, undistributed net investment income, and accumulated net realized gain (loss) have been adjusted in the Statements of Assets and Liabilities for permanent book-tax differences for all funds.

Differences primarily relate to the tax treatment of net operating losses, paydown gains and losses, foreign currency gains and losses, and distributions from real estate investment trusts and passive foreign investment companies.

To the extent these book and tax differences are permanent in nature, such amounts are reclassified at the end of the fiscal year among paid-in capital in excess of par value, undistributed net investment income (loss) and undistributed net realized gain (loss) on investments and foreign currency translations. Accordingly, at December 31, 2012 reclassifications were recorded as follows:

					Undistributed Net				Accumulated Net
Fund	Paid-in Capital				Investment Income (Loss)				Realized Gain (Loss)

Conservative Allocation		$	(237,932	)		$	2,347,684			$	(2,109,752	)
Moderate Allocation			(219,174	)			2,607,131				(2,387,957	)
Aggressive Allocation			(94,454	)			696,008				(601,554	)
Money Market			–				–				–
Bond			(73,579	)			(127,319	)			200,898
High Income			–				267,273				(267,273	)
Diversified Income			–				(39,940	)			39,940
Large Cap Value			–				431				(431	)
Large Cap Growth			–				(28	)			28
Mid Cap			–				–				–
Small Cap			(9,333	)			(2,999	)			12,332
International Stock			–				(50,998	)			50,998
Madison Target Retirement 2020			–				232,716				(232,716	)
Madison Target Retirement 2030			–				193,125				(193,125	)
Madison Target Retirement 2040			–				87,796				(87,796	)
Madison Target Retirement 2050			–				5,593				(5,593	)

9. CONCENTRATION OF RISK

Investing in certain financial instruments, including forward foreign currency contracts and futures contracts, involves certain risks. Risks associated with these instruments include potential for an illiquid secondary market for the instruments or inability of counterparties to perform under the terms of the contracts, changes in the value of foreign currency relative to the U.S. dollar and financial statement volatility resulting from an imperfect correlation between the movements in the prices of

104

Ultra Series Fund | December 31, 2012

Notes to Financial Statements

the instruments and the prices of the underlying securities and interest rates being hedged. The International Stock Fund may enter into these contracts primarily to protect these funds from adverse currency movements.

Investing in foreign securities involves certain risks not necessarily found in U.S. markets. These include, but are not limited to, risks associated with adverse changes in economic, political, regulatory and other conditions, changes in currency exchange rates, exchange control regulations, expropriation of assets or nationalization, imposition of withholding taxes on dividend or interest payments or capital gains, and possible difficulty in obtaining and enforcing judgments against foreign entities. Further, issuers of foreign securities are subject to different, and often less comprehensive, accounting, reporting and disclosure requirements than domestic issuers.

The High Income Fund invests in securities offering high current income which generally will include bonds in the below investment grade categories of recognized ratings agencies (so-called “junk bonds”). These securities generally involve more credit risk than securities in the higher rating categories. In addition, the trading market for high yield securities may be relatively less liquid than the market for higher-rated securities. The High Income Fund generally invests at least 80% of its assets in high yield securities.

The Target Allocation Funds and Target Date Funds are fund of funds, meaning that they invest primarily in the shares of other registered investment companies (the “underlying funds”), including exchange traded funds (“ETFs”). Thus, each fund’s investment performance and its ability to achieve its investment goal are directly related to the performance of the underlying funds in which it invests; and the underlying fund’s performance, in turn, depends on the particular securities in which that underlying fund invests and the expenses of that fund. Accordingly, these funds are subject to the risks of the underlying funds in direct proportion to the allocation of their respective assets among the underlying funds.

Additionally, the Target Allocation Funds and Target Date Funds are subject to asset allocation risk and manager risk. Manager risk (i.e., fund selection risk) is the risk that the fund(s) selected to fulfill a particular asset class underperforms its peers. Asset allocation risk is the risk that the allocation of the fund’s assets among the various asset classes and market segments will cause the fund to underperform other funds with a similar investment objective.

While investments in stocks and bonds have been keystones in wealth building and management, at times these investments have produced surprises. Those who enjoyed growth and income of their investments generally were rewarded for the risks they took by investing in the markets. Although the Investment Adviser seeks to appropriately address and manage the risks identified and disclosed to you in connection with the management of the securities in the funds, you should understand that the very nature of the securities markets includes the possibility that there may be additional risks of which we are not aware. We certainly seek to identify all applicable risks and then appropriately address the, take appropriate action to reasonably manage them and, of course, to make you aware of them so you can determine if they exceed your risk tolerance. Nevertheless, the often volatile nature of the securities markets and the global economy in which we work suggests that the risk of the unknown is something to consider in connection with an investment in securities. Unforeseen events could under certain circumstances produce a material loss of the value of some or all of the securities we manage for you in the funds.

105

Ultra Series Fund | December 31, 2012

Notes to Financial Statements

10. CAPITAL SHARES AND AFFILIATED OWNERSHIP

All capital shares outstanding at December 31, 2012, are owned by separate investment accounts and/or pension plans of CMFG Life Insurance Company.

The Target Allocation Funds invest in underlying funds, of which certain underlying funds (the “affiliated underlying funds”), may be deemed to be under common control because of the same Board of Trustees. The MEMBERS Mutual Funds audited financial statements for the fiscal year ended October 31, 2012 are available at no cost on the Securities and Exchange Commission’s website at www.sec.gov, by calling 1-202-551-8090 or by visiting the MEMBERS Mutual Funds’ website at www.membersfunds.com. The Madison Mosaic audited financial statements for the fiscal year ended December 31, 2012 are also available at www.sec.gov, by calling 1-800-368-3195 or visiting www.mosaicfunds.com. A summary of the transactions with each affiliated underlying fund as of December 31, 2012 follows:

	Balance of						Balance of
	Shares						Shares
	Held at		Gross		Gross		Held at		Value at			Realized				Distributions
Fund/Underlying Fund	12/31/11		Additions		Sales		12/31/12		12/31/12			Gain (Loss)				Received¹

Conservative Allocation Fund
Madison Investment Grade Corporate Bond Fund		1,205,357		72,578		–		1,277,935		$	14,913,498		$	–			$	301,664
Madison Mosaic Disciplined Equity Fund		881,454		219,625		120,196		980,883			13,124,209			174,024				835,359
Madison Mosaic Institutional Bond Fund		1,756,767		–		115,146		1,641,621			18,402,574			36,964				283,171
MEMBERS Bond Fund Class Y		3,695,022		4,516		1,795,295		1,904,243			20,127,845			1,424,739				762,875
MEMBERS Equity Income Fund Class Y		1,388,402		103,330		532,960		958,772			9,271,324			(182,640	)			1,085,560
MEMBERS High Income Fund Class Y		2,807,172		–		1,070,120		1,737,052			12,350,442			331,284				1,114,963
MEMBERS International Stock Fund Class Y		423,641		171,022		2,103		592,560			6,695,928			1,304				89,391
MEMBERS Large Cap Growth Fund Class Y		439,308		198,887		230,684		407,511			7,098,844			1,056,278				44,554
MEMBERS Large Cap Value Fund Class Y		1,003,905		280,051		207,558		1,076,398			14,843,529			423,284				254,234

Totals										$	116,828,193		$	3,265,237			$	4,771,771

Moderate Allocation Fund
Madison Mosaic Disciplined Equity Fund		2,379,388		–		159,199		2,220,189		$	29,706,124		$	341,252			$	1,890,802
Madison Mosaic Institutional Bond Fund		1,538,367		44,924		189,541		1,393,750			15,623,934			73,568				250,324
MEMBERS Bond Fund Class Y		3,954,926		29,811		1,579,121		2,405,616			25,427,362			1,011,824				951,296
MEMBERS Equity Income Fund Class Y		1,523,183		28,930		232,779		1,319,334			12,757,964			(46,007	)			1,296,471
MEMBERS High Income Fund Class Y		4,596,563		72,464		2,213,150		2,455,877			17,461,282			403,253				1,803,827
MEMBERS International Stock Fund Class Y		1,961,026		58,771		1,311,334		708,463			8,005,628			835,422				106,875
MEMBERS Large Cap Growth Fund Class Y		1,726,326		43,205		255,663		1,513,868			26,371,588			556,080				169,870
MEMBERS Large Cap Value Fund Class Y		2,645,715		102,076		390,985		2,356,806			32,500,352			(286,017	)			556,653
MEMBERS Mid Cap Fund Class Y²		1,421,439		861,972		20,132		2,263,279			17,812,004			15,054				–
MEMBERS Small Cap Fund Class Y		794,942		–		175,232		619,710			7,244,407			593,237				414,613
NorthRoad International Fund Class Y		–		1,378,003		–		1,378,003			14,317,452			–				230,517

Totals										$	207,228,097		$	3,497,666			$	7,671,248

¹	Distributions received include distributions from net investment income and from capital gains from the underlying funds.
²	Non-income producing.

106

Ultra Series Fund | December 31, 2012

Notes to Financial Statements


	Balance of						Balance of
	Shares						Shares
	Held at		Gross		Gross		Held at		Value at			Realized				Distributions
Fund/Underlying Fund	12/31/11		Additions		Sales		12/31/12		12/31/12			Gain (Loss)				Received¹

Aggressive Allocation Fund
Madison Mosaic Disciplined Equity Fund		1,318,039		29,040		110,774		1,236,305		$	16,541,758		$	185,548			$	1,052,886
MEMBERS Equity Income Fund Class Y		301,130		109,648		76,915		333,863			3,228,452			(11,284	)			331,850
MEMBERS High Income Fund Class Y		1,549,510		49,557		1,169,504		429,563			3,054,190			887,846				520,815
MEMBERS International Stock Fund Class Y		797,169		68,662		544,526		321,305			3,630,741			563,445				48,470
MEMBERS Large Cap Growth Fund Class Y		821,449		99,782		302,568		618,663			10,777,117			919,764				69,536
MEMBERS Large Cap Value Fund Class Y		1,238,799		45,113		103,068		1,180,844			16,283,838			(33,165	)			278,903
MEMBERS Mid Cap Fund Class Y²		903,562		646,128		4,885		1,544,805			12,157,615			6,069				–
MEMBERS Small Cap Fund Class Y		374,420		–		118,835		255,585			2,987,791			355,307				170,998
NorthRoad International Fund Class Y		–		595,750		103,118		492,632			5,118,451			17,821				82,409

Totals										$	73,779,953		$	2,891,351			$	2,555,867

¹		Distributions received include distributions from net investment income and from capital gains from the underlying funds.
²		Non-income producing.

11. SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events on the funds through the date the financial statements were available for issue.

The Trust is aware of litigation relating to attempts by certain fixed income security-holders of Lyondell Chemical company (LYO) to retrieve proceeds from the sale by equity security-holders of LYO shares occurring pursuant to its acquisition by merger in December 2007. The Midcap Fund received proceeds of approximately $1,574,400 from the sale of its LYO equity securities in December 2007. The Trust has not been named as a defendant in this litigation as of the date of this report.

No other events have taken place that meet the definition of a subsequent event that require adjustment to, or disclosure in the financial statements.

107

Ultra Series Fund | December 31, 2012

Report of Independent Registered Public Accounting Firm

To the Shareholders and Board of Trustees of Ultra Series Fund:

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Ultra Series Fund, comprising the Conservative Allocation Fund, Moderate Allocation Fund, Aggressive Allocation Fund, Money Market Fund, Bond Fund, High Income Fund, Diversified Income Fund, Large Cap Value Fund, Large Cap Growth Fund, Mid Cap Fund, Small Cap Fund, International Stock Fund, Madison Target Retirement 2020 Fund, Madison Target Retirement 2030 Fund, Madison Target Retirement 2040 Fund, and Madison Target Retirement 2050 Fund (collectively, the “Funds”) as of December 31, 2012, and the related statements of operations for the year then ended, and the statements of changes in net assets and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2012, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2012, the results of their operations for the year then ended, and the changes in their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.

/s/ DELOITTE & TOUCHE LLP

Milwaukee, WI
February 21, 2013

108

Ultra Series Fund | December 31, 2012

Other Information (unaudited)

BOARD APPROVAL OF ADVISORY AND SUBADVISORY CONTRACTS

The Board reviewed a variety of matters in connection with the Trust’s investment advisory contract with the Adviser and applicable subadvisers. The following description of the Board’s considerations summarizes the process:

With regard to the nature, extent and quality of the services to be provided by the Adviser and each subadviser, the Board reviewed the biographies and tenure of the personnel involved in Trust management and the experience of the Adviser (and applicable subadviser) and its affiliates as investment manager to other investment companies with similar investment strategies or to individual clients or institutions with similar investment strategies. They recognized the wide array of investment professionals employed by the respective firm or firms. Representatives of the Adviser and each subadviser discussed their firms’ ongoing investment philosophies and strategies intended to provide performance consistent with each Trust portfolio’s investment objectives under various market scenarios. The Trustees also noted their familiarity with the Adviser and its affiliates due to the Adviser’s history of providing advisory services to its proprietary investment company clients.

The Board also discussed the quality of services provided to the Trust portfolio by its transfer agent, fund administrator and custodian as well as the various administrative services provided directly by the Adviser. Such services included arranging for third party service providers to provide all necessary administration as well as supervising any subadvisers to Trust portfolios.

With regard to the investment performance of the Trusts and the investment adviser, the Board reviewed current performance information provided in the written Board materials. They discussed the reasons for both outperformance and underperformance compared with peer groups and applicable indices and benchmarks. They reviewed both long-term and short-term performance and considered the effect on long-term performance that may have been attributable to any previous investment advisers to any Trust portfolio. They also considered whether any relative underperformance was appropriate to the Adviser’s conservative investment philosophy. The Board performed this review in connection with the Adviser and each subadviser that manages a subadvised Fund portfolio.

A comprehensive discussion of performance and market conditions occurred during the course of the Board’s review. Representatives of the Adviser and each subadviser discussed with the Board the methodology for arriving at peer groups and indices used for performance comparisons.

With regard to the costs of the services to be provided and the profits to be realized by the investment adviser and its affiliates from the relationship with the Trust, the Board reviewed the expense ratios for a variety of other funds in each Trust portfolio’s peer group with similar investment objectives. Again, the Board reviewed these matters in connection with the Adviser and each subadviser that manages a subadvised Trust portfolio.

The Board noted that the Adviser or its affiliates, and, as applicable, each subaviser, provided investment management services to other investment company and/or non-investment company clients and considered the fees charged by the Adviser (and respective subadviser) to such portfolios and clients for purposes of determining whether the given advisory fee was disproportionately large under the so-called Gartenberg standard traditionally used by investment company boards in connection with contract renewal considerations. The Board took those fees into account and considered the differences in services and time required by the various types of funds and clients to which the Adviser (or subadviser, if applicable) provided services. The Board recognized that significant differences may exist between the services provided to one type of fund or client and those provided to others, such as those resulting from a greater frequency of shareholder redemptions in a mutual fund and the higher turnover of mutual fund assets. The Board gave such comparisons the weight that they merit in light of the similarities and differences between the services that the various portfolios require and were wary of “inapt

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Other Information (unaudited)

comparisons.” They considered that, if the services rendered by the Adviser (or subadviser, if applicable) to one type of fund or client differed significantly from others, then the comparison should not be used. In the case of non-investment company clients for which the Adviser (or subadviser, if applicable) may act as either investment adviser or subadviser, the Board noted that the fee may be lower than the fee charged to the Trust. The Board noted too the various administrative, operational, compliance, legal and corporate communication services required to be handled by the Adviser (or subadviser, if applicable) which are performed for investment company clients but are not performed for other institutional clients.

The Trustees reviewed each portfolio’s fee structure based on total fund expense ratio as well as by comparing fund advisory fees to other fund advisory fees. The Board noted the simple expense structure maintained by the Trust: (1) an advisory fee and a capped administrative “services” expense for the Target Retirement Date Funds; and (2) for the remaining series of Trust, a unitary fee with limited independent expenses for Trustee compensation and audit fees not covered by the unitary fee. The Board noted the total expense ratios paid by other funds with similar investment objectives, recognizing that such a comparison, while not dispositive, was an important consideration.

The Trustees sought to ensure that fees paid by the Trust were appropriate. The Board reviewed materials demonstrating that although the Adviser is compensated for a variety of the administrative services it provides or arranges to provide to the Target Retirement Date Funds of the Trust pursuant to its administrative services agreements with each of these series, such compensation does not always cover all costs due to the cap on administrative expenses. Administrative, operational, legal and compliance fees and costs in excess of the Services Agreement fees, in the case of the Target Retirement Date series of the Trust, or in excess of the unitary fee, in the case of the remaining series of the Trust, are paid by the Adviser from the investment advisory fees earned. In this regard, the Trustees noted that examination of each Trust portfolio’s total expense ratio compared to those of other investment companies was more meaningful than a simple comparison of basic “investment management only” fee schedules.

The Board recognized that to the extent a Trust portfolio invests in other mutual funds also managed by the Adviser (or its affiliates), the Adviser (or an affiliate) receives investment advisory fees from both the Trust portfolio and the underlying mutual fund. The Board was satisfied in this regard that the Adviser (or an affiliate) provides separate services to each respective Trust’s “fund of funds” portfolios and the underlying mutual funds in which each such portfolio invests in exchange for the fees received from them.

In reviewing costs and profits, the Board noted that for some smaller portfolios or Trust, the salaries of all portfolio management personnel, trading desk personnel, corporate accounting personnel and employees of the Adviser who serve as Trust officers, as well as facility costs (rent), could not be supported by fees received from such portfolios alone. However, the Board recognized that the Trust is profitable to the Adviser because such salaries and fixed costs are already paid in whole or in part from revenue generated by management of other client assets managed by the Adviser. The Trustees noted that total assets managed by the Adviser and its affiliates approximated $16 billion at the time of the meeting. As a result, although the fees paid by each Trust portfolio at its present size might not be sufficient to profitably support a stand-alone fund, each Trust portfolio is reasonably profitable to the Adviser as part of its larger, diversified organization. In sum, the Trustees recognized that each Trust portfolio is important to the Adviser and is managed with the attention given to the Adviser’s other clients.

With regard to the extent to which economies of scale would be realized as each Trust portfolio grows, the Trustees recognized that at their current sizes, it was premature to discuss any economies of scale not already factored into existing advisory and services agreements. In addition, the Trustees recognized that the Adviser was currently waiving fees with regard to the Money Market Fund portfolio of the Trust.

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Other Information (unaudited)

During the course of the review, counsel to the Independent Trustees confirmed that the Trust’s Independent Trustees met previously in executive session and reviewed the written contract renewal materials provided by the Adviser. He noted that the Independent Trustees had considered such materials in light of the aforementioned Gartenberg standards as well as criteria either set forth or discussed in the recent Supreme Court decision in Jones v. Harris regarding the investment company contract renewal process under Section 15(c) of the Investment Company Act of 1940, as amended. The Independent Trustees made a variety of additional inquiries regarding such written materials to the Adviser and the subadvisers and representatives of the Adviser and subadvisers, respectively, discussed each matter raised.

After further discussion, analysis and review of the totality of the information presented, including the information set forth above and the other information considered by the Board of Trustees, the Trustees, including the Independent Trustees, concluded that the respective Trusts’ advisory fees (including applicable subadvisory fees) are fair and reasonable for each respective portfolio and that renewal of their respective Advisory, Subadvisory and Services Agreements are in the best interests of each respective Trust portfolio and its shareholders.

In the course of their review of the contract renewal materials, the Board also reviewed and discussed with counsel the “Rule 12b-1” plans adopted by certain of the Trust’s portfolios. The Board directed its attention to written materials regarding these matters during the course of the Board’s consideration of the Rule 12b-1 plans. Finally, the Board also reviewed the Trust’s distribution agreements and the information provided in the written materials regarding the distributor as well as applicable Codes of Ethics.

Based on the above, the Board renewed the Trust’s contracts for another year.

FUND EXPENSES PAID BY SHAREHOLDERS

As a shareholder of the funds, you pay no transaction costs, but do incur ongoing costs which include management fees; disinterested trustee fees; brokerage commissions and other expenses incurred in connection with the acquisition or disposition of investments; costs of borrowing money; expenses for independent audits, taxes, and extraordinary expenses as approved by a majority of the disinterested trustees. The examples in the table that follows are intended to help you understand your ongoing costs (in dollars) of investing in the funds and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples below are based on an investment of $1,000 invested at the beginning of the period and held for the entire six month period ended December 31, 2012. Expenses paid during the period in the table below are equal to the fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half fiscal year period).

Actual Expenses
The table below provides information about actual account values using actual expenses and actual returns for the Funds. You may use the information in this table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table for the fund you own under the heading entitled “Actual” to estimate the expenses you paid on your account during this period.

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Other Information (unaudited)

	CLASS I									CLASS II

								Expenses							Expenses
	Beginning		Ending		Annual			Paid		Ending		Annual			Paid
	Account		Account		Expense			During		Account		Expense			During
Fund	Value		Value		Ratio			Period		Value		Ratio			Period

Conservative Allocation	$	1,000	$	1,048.00		0.31	%	$	1.60	$	1,046.70		0.56	%	$	2.88
Moderate Allocation		1,000		1,055.40		0.31	%		1.60		1,054.00		0.56	%		2.89
Aggressive Allocation		1,000		1,063.80		0.31	%		1.61		1,062.40		0.56	%		2.90
Money Market		1,000		1,000.00		0.14	%		0.70		1,000.00		0.14	%		0.70
Bond		1,000		1,013.80		0.57	%		2.89		1,012.50		0.81	%		4.10
High Income		1,000		1,055.40		0.77	%		3.98		1,054.10		1.02	%		5.27
Diversified Income		1,000		1,032.70		0.71	%		3.63		1,031.40		0.96	%		4.90
Large Cap Value		1,000		1,043.70		0.61	%		3.13		1,042.40		0.86	%		4.42
Large Cap Growth		1,000		1,042.00		0.81	%		4.16		1,040.70		1.06	%		5.44
Mid Cap		1,000		1,078.50		0.91	%		4.75		1,077.10		1.16	%		6.06
Small Cap		1,000		1,082.90		1.11	%		5.81		1,081.50		1.36	%		7.12
International Stock		1,000		1,145.80		1.21	%		6.53		1,144,40		1.46	%		7.87
Madison Target
Retirement 2020		1,000		1,053.80		0.30	%		1.55
Madison Target
Retirement 2030		1,000		1,060.70		0.30	%		1.55
Madison Target
Retirement 2040		1,000		1,062.10		0.30	%		1.56
Madison Target
Retirement 2050		1,000		1,066.50		0.30	%		1.56

Hypothetical Example for Comparison Purposes
The table also provides information about hypothetical account values and hypothetical expenses based on the funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the funds’ actual returns. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the funds and other funds. To do so, compare the 5% hypothetical example of the funds you own with the 5% hypothetical examples that appear in the shareholder reports of other similar funds.

	CLASS I									CLASS II

								Expenses							Expenses
	Beginning		Ending		Annual			Paid		Ending		Annual			Paid
	Account		Account		Expense			During		Account		Expense			During
Fund	Value		Value		Ratio			Period		Value		Ratio			Period

Conservative Allocation	$	1,000	$	1,023.58		0.31	%	$	1.58	$	1,022.32		0.56	%	$	2.85
Moderate Allocation		1,000		1,023.58		0.31	%		1.58		1,022.32		0.56	%		2.85
Aggressive Allocation		1,000		1,023.58		0.31	%		1.58		1,022.32		0.56	%		2.85
Money Market		1,000		1,024.43		0.14	%		0.71		1,024.43		0.14	%		0.71
Bond		1,000		1,022.27		0.57	%		2.90		1,021.06		0.81	%		4.12
High Income		1,000		1,021.27		0.77	%		3.91		1,020.01		1.02	%		5.18
Diversified Income		1,000		1,021.57		0.71	%		3.61		1,020.31		0.96	%		4.88
Large Cap Value		1,000		1,022.07		0.61	%		3.10		1,020.81		0.86	%		4.37
Large Cap Growth		1,000		1,021.06		0.81	%		4.12		1,019.81		1.06	%		5.38
Mid Cap		1,000		1,020.56		0.91	%		4.62		1,019.30		1.16	%		5.89
Small Cap		1,000		1,019.56		1.11	%		5.63		1,018.30		1.36	%		6.90
International Stock		1,000		1,019.05		1.21	%		6.14		1,017.80		1.46	%		7.41
Madison Target
Retirement 2020		1,000		1,023.63		0.30	%		1.53
Madison Target
Retirement 2030		1,000		1,023.63		0.30	%		1.53
Madison Target
Retirement 2040		1,000		1,023.63		0.30	%		1.53
Madison Target
Retirement 2050		1,000		1,047.00		0.30	%		3.07

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Other Information (unaudited)

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any separate account fees, charges, or expenses imposed by the variable annuity or variable life insurance contracts, or retirement and pension plans that use the funds. The information provided in the hypothetical example table is useful in comparing ongoing fund costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these fees, charges or expenses were included, your costs would have been higher.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available to shareholders at no cost on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. More information on the operation of the Public Reference Room may be obtained by calling 1-202-551-8090. Form N-Q and other information about the Trust are available on the EDGAR database on the SEC’s Internet site at http://www.sec.gov. Copies of this information may also be obtained, upon payment of a duplicating fee, by electronic request at the following email address: publicinfo@sec.gov, or by writing the SEC’s Public Reference Section, Washington, DC 20549-0102.

PROXY VOTING POLICIES, PROCEDURES AND RECORDS

A description of the policies and procedures used by the Trust to vote proxies related to portfolio securities is available to shareholders at no cost on the SEC’s website at www.sec.gov and is also located in the funds’ Statement of Additional Information. The proxy voting records for the Trust for the most recent twelve-month period ended December 31 are available to shareholders at no cost on the SEC’s website at www.sec.gov.

FORWARD-LOOKING STATEMENT DISCLOSURE

One of our most important responsibilities as investment company managers is to communicate with shareholders in an open and direct manner. Some of our comments in our letters to shareholders are based on current management expectations and are considered “forward-looking statements.” Actual future results, however, may prove to be different from our expectations. You can identify forward-looking statements by words such as “estimate,””may,””will,””expect,””believe,””plan” and other similar terms. We cannot promise future returns. Our opinions are a reflection of our best judgment at the time this report is compiled, and we disclaim any obligation to update or after forward-looking statements as a result of new information, future events, or otherwise.

TAX INFORMATION

Foreign Tax Credits: The International Stock Fund expects to make an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by the Fund to its shareholders. For the year ended December 31, 2012, the total amount of foreign taxes that is expected to pass through to shareholders and foreign source income for information reporting purposes will be $187,951 (all of which represents taxes withheld) and $2,950,833, respectively.

Corporate Dividends Received Deduction: Of the dividends paid by the Conservative Allocation, Moderate Allocation, Aggressive Allocation, Diversified Income, Large Cap Value, Large Cap Growth, Mid Cap, Small Cap, Madison Target Retirement 2020, Madison Target Retirement 2030, Madison Target Retirement 2040, and Madison Target Retirement 2050 Funds, 7.16%, 11.48%, 19.76%, 59.76%, 100%, 100%, 100%, 100%, 11.94%, 16.14%, 19.34%, 27.07%, respectively, qualify for the corporate dividends received deduction.

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Ultra Series Fund’s Trustees and Officers

The address of each trustee and officer of the Trust is 550 Science Drive, Madison, Wisconsin 53711, except for Mr. Mason for which it is 8777 N. Gainey Center Drive, #220, Scottsdale, Arizona 85258. The Statement of Additional Information, which includes additional information about the trustees and officers, is available at no cost on the SEC’s website at www.sec.gov or by calling CMFG Life Insurance Company at 1-800-798-5500.

Interested Trustees and Officers

Name and Year of Birth	Position(s) and Length of Time Served	Principal Occupation(s) During Past Five Years	Other Directorships/Trusteeships

Katherine L. Frank¹ 1960	Trustee and President, 2009 - Present	Madison Investment Holdings, Inc. (“MIH”) (affiliated investment advisory firm of Madison), Executive Director and Chief Operating Officer, 2010 - Present; Managing Director and Vice President, 1986 - 2010 Madison Asset Management, LLC (“Madison”), Executive Director and Chief Operating Officer, 2010 - Present; Vice President, 2004 - 2010 Madison Investment Advisors, LLC (“MIA”) (affiliated investment advisory firm of Madison), Executive Director and Chief Operating Officer, 2010 - Present; President, 1996 - 2010 Madison Mosaic Funds (12) (mutual funds), President, 1996 - Present; Madison Strategic Sector Premium Fund (closed end fund), President, 2005 - Present; Madison Covered Call and Equity Strategy Fund (closed end fund), President, 2013 - Present; Madison Funds (13) (mutual funds), President, 2009 - Present	Madison Mosaic Funds (all but Equity Trust), 1996 - Present; Madison Strategic Sector Premium Fund, 2005 - Present; Madison Funds (13), 2009 - Present

Frank E. Burgess 1942	Trustee, 2009 - Present	MIH, Founder; Chairman of the Board, 2012 - Present; Executive Director and President, 2010 - 2012; Managing Director and President, 1973 - 2010 Madison, Executive Director and President, 2010 - 2012; President, 2004 - 2010 MIA, Executive Director and President, 2010 - 2012 Madison Mosaic Funds (12), Vice President, 1996 - 2012; Madison Strategic Sector Premium Fund, Vice President, 2005 - 2012; Madison Funds (13), Vice President, 2009 - Present	N/A

¹ “Interested person” as defined in the Investment Company Act of 1940. Considered an interested Trustee because of the position held with the investment adviser of the Trust.

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Ultra Series Fund’s Trustees and Officers

Name and Year of Birth	Position(s) and Length of Time Served	Principal Occupation(s) During Past Five Years	Other Directorships/Trusteeships

Jay R. Sekelsky 1959	Vice President, 2009 - Present	MIH, Executive Director and Chief Investment Officer, 2010 - Present; Managing Director and Vice President, 1990 - 2010 Madison, Executive Director and Chief Investment Officer, 2010 - Present MIA, Executive Director and Chief Investment Officer, 2010 - Present; Vice President, 1996 - 2010 Madison Mosaic Funds (12), Vice President, 1996 - Present; Madison Strategic Sector Premium Fund, Vice President, 2005 - Present; Madison Covered Call and Equity Strategy Fund, Vice President, 2013 - Present; Madison Funds (13), Vice President, 2009 - Present	N/A

Paul Lefurgey 1964	Vice President, 2009 - Present	MIH, Managing Director and Head of Fixed Income Investments, 2005 - Present; Madison and MIA, Managing Director and Head of Fixed Income Investments, 2010 - Present MEMBERS Capital Advisors, Inc. (“MCA”) (investment advisory firm), Madison, WI, Vice President, 2003 - 2005 Madison Mosaic Funds (12), Vice President, 2009 - Present; Madison Strategic Sector Premium Fund, Vice President, 2010 - Present; Madison Covered Call and Equity Strategy Fund, Vice President, 2013 - Present; Madison Funds (13), Vice President, 2009 - Present	N/A

Greg D. Hoppe 1969	Treasurer, 2009 - Present	MIH and MIA, Vice President, 1999 - Present; Madison, Vice President, 2009 - Present Madison Mosaic Funds (12), Treasurer, 2009 - Present; Chief Financial Officer, 1999 - 2009 Madison Strategic Sector Premium Fund, Treasurer, 2009 - Present; Chief Financial Officer, 2005 - 2009 Madison Covered Call and Equity Strategy Fund, Vice President, 2008 - Present Madison Funds (13), Treasurer, 2009 - Present	N/A

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Ultra Series Fund’s Trustees and Officers

Name and Year of Birth	Position(s) and Length of Time Served	Principal Occupation(s) During Past Five Years	Other Directorships/Trusteeships

Holly S. Baggot 1960	Secretary, 1999 - Present; Assistant Treasurer, 1999 - 2007; 2009 - Present; Treasurer, 2008 - 2009	MIH and MIA, Vice President, 2010 - Present; Madison, Vice President, 2009 - Present; MFD Distributor, LLC (“MFD”) (an affiliated brokerage firm of Madison), Vice President, 2012 - Present MCA, Director-Mutual Funds, 2008-2009; Director-Mutual Fund Operations, 2006 - 2008; Operations Officer-Mutual Funds, 2005-2006; Senior Manager-Product & Fund Operations, 2001-2005 Madison Mosaic Funds (12), Secretary and Assistant Treasurer, 2009 - Present; Madison Strategic Sector Premium Fund, Secretary and Assistant Treasurer, 2010 - Present; Madison Covered Call and Equity Strategy Fund, Secretary and Assistant Treasurer, 2013 - Present; Madison Funds (13), Secretary, 1999 - Present and Treasurer, 2008-2009 and Assistant Treasurer, 1997-2007 and 2009 - Present	N/A

W. Richard Mason 1960	Chief Compliance Officer, Corporate Counsel and Assistant Secretary, 2009 - Present	MIH, MIA, Madison and Madison Scottsdale, LC (an affiliated investment advisory firm of Madison), Chief Compliance Officer and Corporate Counsel, 2009 - Present; General Counsel and Chief Compliance Officer, 1996 - 2009 MFD, Principal, 1998 - Present; Concord Asset Management, LLC (“Concord”) (an affiliated investment advisory firm of Madison), General Counsel, 1996 - 2009; NorthRoad Capital Management LLC (“NorthRoad”) (an affiliated investment advisory firm of Madison), Chief Compliance Officer and Corporate Counsel, 2011 - Present Madison Mosaic Funds (12), Chief Compliance Officer, Corporate Counsel and Assistant Secretary, 2009 - Present; Secretary, General Counsel and Chief Compliance Officer, 1992 - 2009 Madison Strategic Sector Premium Fund, Chief Compliance Officer, Corporate Counsel and Assistant Secretary, 2009 - Present; Secretary, General Counsel and Chief Compliance Officer, 2005 - 2009 Madison Covered Call and Equity Strategy Fund, Chief Compliance Officer, Corporate Counsel and Assistant Secretary, 2013 - Present Madison Funds (13), Chief Compliance Officer, Corporate Counsel and Assistant Secretary, 2009 - Present	N/A

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Ultra Series Fund’s Trustees and Officers

Name and Year of Birth	Position(s) and Length of Time Served	Principal Occupation(s) During Past Five Years	Other Directorships/Trusteeships

Pamela M. Krill 1966	General Counsel, Chief Legal Officer and Assistant Secretary, 2009 - Present	MIH, MIA, Madison, Madison Scottsdale, LC, MFD, and Concord, General Counsel and Chief Legal Officer, 2009 - Present NorthRoad, General Counsel & Chief Legal Officer, 2011 - Present Madison Mosaic Funds (12), General Counsel, Chief Legal Officer and Assistant Secretary, 2009 - Present; Madison Strategic Sector Premium Fund, General Counsel, Chief Legal Officer and Assistant Secretary, 2010 - Present; Madison Covered Call and Equity Strategy Fund, General Counsel, Chief Legal Officer and Assistant Secretary, 2013 - Present; Madison Funds (13), General Counsel, Chief Legal Officer and Assistant Secretary, 2009 - Present CUNA Mutual Insurance Society (insurance company with affiliated investment advisory, brokerage and mutual fund operations), Madison, WI, Managing Associate General Counsel-Securities & Investments, 2007 - 2009 Godfrey & Kahn, S.C. (law firm), Madison and Milwaukee, WI, Shareholder/Partner, Securities Practice Group, 1994-2007	N/A

Independent Trustees

Name and Year of Birth	Position(s) and Length of Time Served¹	Principal Occupation(s) During Past Five Years	Portfolios Overseen in Fund Complex²	Other Directorships/Trusteeships

Philip E. Blake 1943	Trustee, 2009 - Present	Retired Investor Lee Enterprises, Inc (news and advertising publisher), Madison, WI, Vice President, 1998 - 2001 Madison Newspapers, Inc., Madison, WI, President and Chief Executive Officer, 1993 - 2000	43	Edgewood College, 2003 - Present; Chairman of the Board, 2010 - Present; Nerites Corporation (technology company), 2004 - Present; Madison Mosaic Funds (12), 2001 - Present; Madison Strategic Sector Premium Fund, 2005 - Present; Madison Covered Call & Equity Strategy Fund, 2012 - Present; Madison Funds (13), 2009 - Present

¹ Independent Trustees serve in such capacity until the Trustee reaches the age of 76, unless retirement is waived by unanimous vote of the remaining Trustees on an annual basis.

² As of December 31, 2012, the fund complex consists of the Trust with 16 portfolios, the Madison Funds (formerly known as MEMBERS Mutual Funds) with 13 portfolios, the Madison Strategic Sector Premium Fund (a closed-end fund), the Madison Covered Call & Equity Strategy Fund (a closed-end fund) and the Madison Mosaic Equity, Income, Tax-Free and Government Money Market Trusts, which together have 12 portfolios, for a grand total of 43 separate portfolios in the fund complex. Not every Trustee is a member of the Board of Trustees of every fund in the fund complex, as noted above.

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Ultra Series Fund’s Trustees and Officers


Name and Year of Birth	Position(s) and Length of Time Served¹	Principal Occupation(s) During Past Five Years	Portfolios Overseen in Fund Complex²	Other Directorships/Trusteeships

James R Imhoff, Jr. 1944	Trustee, 2009 - Present	First Weber Group (real estate brokers), Madison, WI, Chief Executive Officer, 1996 - Present	43	Park Bank, 1978 - Present; Madison Mosaic Funds (12), 1996 - Present; Madison Strategic Sector Premium Fund, 2005 - Present; Madison Covered Call & Equity Strategy Fund, 2005 - Present; Madison Funds (13), 2009 - Present

Steven P. Riege 1954	Trustee, 2005 - Present	Ovation Leadership (management consulting), Milwaukee, WI, Owner/President, 2001 - Present; Robert W. Baird & Company (financial services), Milwaukee, WI, Senior Vice President- Marketing and Vice President-Human Resources, 1986 - 2001	29	Madison Funds (13), 2005 - Present

Richard E. Struthers 1952	Trustee, 2004 - Present	Clearwater Capital Management (investment advisory firm), Minneapolis, MN, Chair and Chief Executive Officer, 1998 - Present; Park Nicollet Health Services, Minneapolis, MN, Chairman, Finance and Investment Committee, 2006 - 2012; IAI Mutual Funds, Minneapolis, MN, President and Director, 1992 - 1997	29	Health Partners, 2013 - Present; Park Nicolet Health Services, 2001 - 2012; Madison Funds (12), 2004 - Present

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Ultra Series Fund’s Trustees and Officers

Name and Year of Birth	Position(s) and Length of Time Served¹	Principal Occupation(s) During Past Five Years	Portfolios Overseen in Fund Complex²	Other Directorships/Trusteeships

Richard E. Struthers 1952	Trustee, 2004 - Present	Clearwater Capital Management (investment advisory firm), Minneapolis, MN, Chair and Chief Executive Officer, 1998 - Present; Park Nicollet Health Services, Minneapolis, MN, Chairman, Finance and Investment Committee, 2006 - 2012; IAI Mutual Funds, Minneapolis, MN, President and Director, 1992 -1997	29	Health Partners, 2013 - Present; Park Nicolet Health Services, 2001 - 2012; Madison Funds (12), 2004 - Present

Lorence D. Wheeler 1938	Trustee, 2009 - Present	Retired investor; Credit Union Benefits Services, Inc. (a provider of retirement plans and related services for credit union employees nationwide), Madison, WI, President, 1986 - 1997	43	Grand Mountain Bank FSB and Grand Mountain Bancshares, Inc. 2003 - Present; Madison Mosaic Funds (12), 1996 - Present; Madison Strategic Sector Premium Fund, 2005 - Present; Madison Covered Call & Equity Strategy Fund, 2005 - Present; Madison Funds (13), 2009 - Present

¹ Independent Trustees serve in such capacity until the Trustee reaches the age of 76, unless retirement is waived by unanimous vote of the remaining Trustees on an annual basis.

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SEC File Number: 811-04815