Allied World Assurance Co Holdings, AG - FORM 8-K - EX-99.3

Attached files

file	filename
8-K - FORM 8-K - Allied World Assurance Co Holdings, AG	y87523e8vk.htm
EX-99.1 - EX-99.1 - Allied World Assurance Co Holdings, AG	y87523exv99w1.htm
EX-99.2 - EX-99.2 - Allied World Assurance Co Holdings, AG	y87523exv99w2.htm

Exhibit 99.3


		Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010


Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
U.S. Government Securities
912810FS2	UNITED STATES TREASURY		2.00		1/15/2026		4,000,000		3,786,896		4,804,901
9128276R8	UNITED STATES TREASURY		3.50		1/15/2011		10,000,000		12,669,215		12,645,489
912828CP3	UNITED STATES TREASURY		2.00		7/15/2014		11,000,000		11,195,093		13,752,098
912828FB1	UNITED STATES TREASURY		2.38		4/15/2011		10,000,000		11,143,967		11,122,712
912828GX2	UNITED STATES TREASURY		2.63		7/15/2017		19,400,000		22,405,148		23,521,871
912833JY7	UNITED STATES TREASURY		—		5/15/2012		600,000		560,656		597,546
912810DW5	UNITED STATES TREASURY		7.25		5/15/2016		310,000		362,786		406,590
912810EZ7	UNITED STATES TREASURY		6.63		2/15/2027		2,475,000		3,045,060		3,572,935
912810QK7	UNITED STATES TREASURY		3.88		8/15/2040		300,000		315,442		310,173
9128277L0	UNITED STATES TREASURY		4.88		2/15/2012		1,155,000		1,190,665		1,227,268
912828AJ9	UNITED STATES TREASURY		4.38		8/15/2012		500,000		511,179		537,555
912828AP5	UNITED STATES TREASURY		4.00		11/15/2012		2,465,000		2,579,015		2,653,203
912828BA7	UNITED STATES TREASURY		3.63		5/15/2013		7,565,000		7,957,266		8,185,935
912828BR0	UNITED STATES TREASURY		4.25		11/15/2013		335,000		349,385		372,326
912828CA6	UNITED STATES TREASURY		4.00		2/15/2014		990,000		1,057,430		1,097,217
912828CT5	UNITED STATES TREASURY		4.25		8/15/2014		2,740,000		2,823,560		3,090,254
912828DM9	UNITED STATES TREASURY		4.00		2/15/2015		1,500,000		1,621,070		1,686,960
912828DV9	UNITED STATES TREASURY		4.13		5/15/2015		500,000		545,075		566,815
912828EE6	UNITED STATES TREASURY		4.25		8/15/2015		1,000,000		1,098,408		1,143,200
912828EM8	UNITED STATES TREASURY		4.50		11/15/2010		1,700,000		1,699,962		1,708,976
912828EN6	UNITED STATES TREASURY		4.50		11/15/2015		250,000		287,277		290,260
912828EW6	UNITED STATES TREASURY		4.50		2/15/2016		1,000,000		1,113,244		1,160,560
912828FA3	UNITED STATES TREASURY		4.75		3/31/2011		1,090,000		1,111,096		1,114,427
912828FN5	UNITED STATES TREASURY		4.88		7/31/2011		4,500,000		4,612,450		4,671,720
912828FY1	UNITED STATES TREASURY		4.63		11/15/2016		5,235,000		5,512,307		6,150,968
912828GA2	UNITED STATES TREASURY		4.50		11/30/2011		1,050,000		1,090,321		1,100,978
912828GC8	UNITED STATES TREASURY		4.63		12/31/2011		500,000		515,952		527,215
912828GM6	UNITED STATES TREASURY		4.50		3/31/2012		1,025,000		1,073,843		1,089,134
912828HA1	UNITED STATES TREASURY		4.75		8/15/2017		4,000,000		4,210,896		4,749,840
912828HC7	UNITED STATES TREASURY		4.13		8/31/2012		1,000,000		1,053,072		1,071,210
912828HH6	UNITED STATES TREASURY		4.25		11/15/2017		1,000,000		1,099,097		1,157,050
912828HT0	UNITED STATES TREASURY		2.75		2/28/2013		5,000,000		5,148,382		5,272,200
912828HV5	UNITED STATES TREASURY		2.50		3/31/2013		22,600,000		23,208,256		23,725,252
912828HY9	UNITED STATES TREASURY		3.13		4/30/2013		1,200,000		1,245,674		1,280,340
912828JH4	UNITED STATES TREASURY		4.00		8/15/2018		7,600,000		7,819,247		8,643,099
912828JK7	UNITED STATES TREASURY		3.13		8/31/2013		1,525,000		1,584,433		1,635,440
912828JQ4	UNITED STATES TREASURY		2.75		10/31/2013		1,500,000		1,499,543		1,594,890
912828JZ4	UNITED STATES TREASURY		1.75		1/31/2014		6,000,000		5,978,500		6,198,240
912828KC3	UNITED STATES TREASURY		1.38		2/15/2012		44,225,000		44,646,510		44,862,283
912828KN9	UNITED STATES TREASURY		1.88		4/30/2014		750,000		746,662		777,930
912828KY5	UNITED STATES TREASURY		2.63		6/30/2014		36,495,000		36,731,441		38,859,145
912828LJ7	UNITED STATES TREASURY		3.63		8/15/2019		340,000		350,530		373,888
912828LL2	UNITED STATES TREASURY		3.00		8/31/2016		17,200,000		17,207,255		18,562,410
912828LQ1	UNITED STATES TREASURY		2.38		9/30/2014		1,700,000		1,699,969		1,794,554
912828LZ1	UNITED STATES TREASURY		2.13		11/30/2014		150,000,000		149,077,865		156,793,499
912828MA5	UNITED STATES TREASURY		2.75		11/30/2016		72,000,000		71,033,410		76,506,482
912828MG2	UNITED STATES TREASURY		1.38		1/15/2013		5,000,000		4,970,215		5,099,300
912828MJ6	UNITED STATES TREASURY		0.88		1/31/2012		5,250,000		5,255,060		5,288,220
912828MM9	UNITED STATES TREASURY		0.75		11/30/2011		27,600,000		27,602,225		27,736,897
912828MR8	UNITED STATES TREASURY		2.38		2/28/2015		31,000,000		31,049,664		32,701,897
912828MZ0	UNITED STATES TREASURY		2.50		4/30/2015		11,400,000		11,636,868		12,086,508
912828NB2	UNITED STATES TREASURY		1.00		4/30/2012		37,400,000		37,500,599		37,776,243
912828NC0	UNITED STATES TREASURY		1.38		5/15/2013		64,600,000		64,841,571		65,946,269
912828NE6	UNITED STATES TREASURY		0.75		5/31/2012		60,250,000		60,262,098		60,616,923
912828NH9	UNITED STATES TREASURY		1.13		6/15/2013		50,400,000		50,254,351		51,119,709
912828NN6	UNITED STATES TREASURY		1.00		7/15/2013		72,100,000		72,489,713		72,889,491
912828NQ9	UNITED STATES TREASURY		0.63		7/31/2012		53,900,000		54,052,724		54,124,228

Page 1


		Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010


Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
912828NU0	UNITED STATES TREASURY		0.75		8/15/2013		600,000		599,683		602,262
912795VE8	UNITED STATES TREASURY		—		9/30/2060		105,000,000		104,801,338		104,801,338

							991,820,000		1,001,890,619		1,033,756,322

U.S. Governement Agencies
30769PAA0	FARMER MAC		5.50		7/15/2011		15,900,000		15,889,391		16,503,483
31331S4Z3	FEDERAL FARM CREDIT BANK		4.50		8/8/2011		1,600,000		1,600,602		1,656,864
31331SH97	FEDERAL FARM CREDIT BANK		4.30		4/24/2012		1,000,000		1,000,878		1,059,140
31331ST29	FEDERAL FARM CREDIT BANK		4.40		4/25/2012		1,400,000		1,397,017		1,485,106
31331VPV2	FFCB		4.95		4/1/2016		2,975,000		2,960,552		3,469,415
3133XCZJ5	FHLB		4.55		8/26/2013		1,000,000		1,002,146		1,107,470
3133XUE41	FHLB		1.75		8/22/2012		5,000,000		4,995,742		5,117,250
3133XVEM9	FHLB		1.63		11/21/2012		3,000,000		2,995,483		3,066,960
3133XVNU1	FHLB		2.75		12/12/2014		74,500,000		74,873,031		78,449,241
3134A4QD9	FHLMC		5.13		7/15/2012		300,000		306,072		324,450
3136FMXJ8	FNMA		1.00		6/23/2015		12,000,000		11,965,921		12,013,440
3137EACE7	FHLMC		2.13		9/21/2012		11,500,000		11,489,288		11,858,340
3137EACH0	FHLMC		2.88		2/9/2015		3,500,000		3,571,582		3,723,230
31398AJ94	FNMA		1.75		5/7/2013		5,000,000		4,993,278		5,128,650
31398AYM8	FNMA		1.75		8/10/2012		3,700,000		3,698,320		3,787,579
31398AYY2	FNMA		3.00		9/16/2014		2,000,000		2,025,380		2,137,040
742651DG4	PRIVATE EXPORT FUNDING CORP		4.38		3/15/2019		20,000,000		19,909,226		22,342,799

							164,375,000		164,673,908		173,230,457

Non-U.S. Government Securities & Agencies
135087YN8	CANADA GOVERNMENT		3.50		6/1/2013		12,000,000		12,154,904		12,307,509
135087YS7	CANADA GOVERNMENT		3.00		6/1/2014		2,715,000		2,619,152		2,767,739
135087YU2	CANADA GOVERNMENT		2.00		12/1/2014		21,860,000		20,107,375		21,472,745
135087YW8	CANADA GOVERNMENT		1.00		9/1/2011		17,140,000		16,003,562		16,671,725
135087YX6	CANADA GOVERNMENT		2.00		9/1/2012		17,820,000		16,621,428		17,578,689
135087ZB3	CANADA GOVERNMENT		1.50		3/1/2012		4,000,000		3,910,721		3,909,991
135087ZC1	CANADA GOVERNMENT		2.50		6/1/2015		7,500,000		7,340,517		7,504,760
135087ZD9	CANADA GOVERNMENT		1.75		3/1/2013		24,000,000		23,274,385		23,548,942
038461AC3	AID-EGYPT		4.45		9/15/2015		25,000,000		26,143,067		28,225,990
46513EGV8	STATE OF ISRAEL		5.50		12/4/2023		13,165,000		14,012,070		15,973,226
D20658YB6	GOVERNMENT OF GERMANY		4.25		7/4/2014		19,060,000		29,446,366		28,916,557
G92444AB7	UNITED KINGDOM GILT		4.25		3/7/2011		1,750,000		3,413,855		2,802,324
G924507Q5	UNITED KINGDOM GILT		2.75		1/22/2015		575,000		905,034		949,215
G92450NU8	UNITED KINGDOM		5.00		9/7/2014		8,950,000		16,139,843		16,032,756
U45818RF7	INTER-AMERICAN DEV BK		1.00		3/24/2015		23,000,000		19,611,080		22,569,899
U45942EV4	INTERNATIONAL FINANCE CO		5.61		5/20/2011		5,500,000		5,515,312		5,664,450
V05973JU3	AFRICAN DEVELOPMENT BANK		0.50		2/27/2014		20,000,000		17,019,757		19,524,480
Y0338TDY5	ASIAN DEVELOPMENT BANK		1.00		12/10/2014		10,000,000		8,460,538		9,758,220
Y0338TGD8	ASIAN DEVELOPMENT BANK		1.00		5/22/2015		27,700,000		23,032,579		26,582,583
013051DA2	ALBERTA PROVINCE OF		2.75		12/1/2014		950,000		927,475		952,886
110709FD9	BRITISH COLUMBIA PROVINCE OF		5.75		1/9/2012		900,000		934,798		924,950
563469EU5	MANITOBA PROVINCE		5.25		12/3/2012		900,000		946,215		945,025
642866FT9	NEW BRUNSWICK PROVINCE OF		4.50		2/4/2015		900,000		942,910		960,528
683234WM6	ONTARIO PROVINCE		4.50		3/8/2015		900,000		940,594		960,885
748148RK1	QUEBEC PROVINCE OF		5.25		10/1/2013		850,000		904,947		910,112
803854JF6	SASKATCHEWAN PROVINCE		5.25		6/3/2014		900,000		957,687		979,064
W5194CEC3	KOMMUNINVEST		5.38		7/3/2012		50,000,000		53,192,511		54,023,499
500769BM5	KREDITANSTALT FUER WIDERAUFBAU		4.38		2/9/2016		900,000		926,102		956,640
D4085B7F2	KREDITANSTALT FUER WIDERAUFBAU		2.50		5/28/2013		42,000,000		42,304,359		43,887,058

							360,935,000		368,709,141		388,262,447

Agency MBS
31392JTP4	FNMA		4.00		10/25/2016		36,933		37,147		37,175
31393DL74	FNMA CMO		4.00		4/25/2030		373,269		380,395		379,622
31393EFX2	FNMA CMO		4.25		5/25/2022		814,493		828,397		830,936

Page 2


		Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010


Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
31393KLM5	FHLMC		4.00		7/15/2017		434,562		449,060		449,543
31393QVD1	FHLMC		4.00		6/15/2013		242,277		244,422		244,213
31393VPH8	FHLMC_2627		4.50		7/15/2017		31,560,900		32,484,995		32,475,535
31394EK49	FNMA_05-58		—		8/25/2035		6,601		—		58
31395RAR9	FHLMC		4.38		4/15/2015		638,926		650,053		650,382
31396A7E8	FHLMC_3035		—		9/15/2035		410,283		403,394		390,848
31396AFE9	FHLMC_3035		5.00		12/15/2026		1,280,668		1,284,352		1,284,958
31396VDA3	FNMA_07-41		—		5/25/2035		18,858		18,658		18,727
31396VV21	FNMA_07-41		—		5/25/2037		82,304		82,295		81,567
31396WCB0	FNMA_07-53		—		6/25/2037		10,151		10,030		10,098
31397F7E6	FHLMC		—		7/15/2036		49,223		49,196		48,944
31397FES7	FHLMC_3271		—		2/15/2037		164,461		162,732		163,685
31398MFS0	FNMA		4.00		11/25/2023		2,631,855		2,728,762		2,761,974
31398PQS1	FNMA		3.50		3/25/2028		3,023,564		3,075,208		3,118,485
31398R3Q6	FNMA_10-53		3.50		2/25/2028		4,622,252		4,743,630		4,781,349
31398VYJ9	FHLMC		4.25		8/15/2038		4,593,797		4,821,742		4,819,537
31398W2U7	FHLMC		4.50		1/15/2023		7,424,637		7,679,872		7,799,736
31398W5H3	FHLMC		4.50		11/15/2037		9,311,617		9,631,701		9,735,761
38373QGX3	GNMA		4.00		4/20/2033		437,796		454,259		459,673
38376TBF8	GNMA		4.50		1/16/2040		448,585		478,787		479,717
38376VDX2	GNMA		3.00		12/20/2038		5,141,910		5,233,426		5,341,262
BRSAR9VJ4	GNMA		—		10/1/2041		2,500,000		2,575,000		2,575,000
36206XC43	GNMA		7.00		5/15/2031		2,731		3,061		3,091
3620A8NA7	GNMA		5.00		9/15/2039		1,758,998		1,822,124		1,875,813
3620A9SW2	GNMA		4.50		9/15/2039		485,630		490,714		511,869
3620AC6T6	GNMA		5.00		10/15/2039		1,647,049		1,714,969		1,754,492
36212PPP1	GNMA		7.00		4/15/2031		11,472		12,858		12,985
36212U5G2	GNMA		7.00		5/15/2031		18,997		21,288		21,502
36213HGU7	GNMA		7.00		3/15/2031		1,724		1,932		1,951
36225DM43	GNMA		1.88		3/20/2035		12,208,543		12,496,454		12,556,718
36241KV39	GNMA		4.50		8/15/2038		10,042,495		10,482,632		10,591,418
36241KV47	GNMA		4.50		9/15/2038		7,355,352		7,678,065		7,757,396
36241KWA2	GNMA		4.50		10/15/2038		4,700,708		4,902,542		4,954,071
36295QK82	GNMA		5.00		8/15/2038		3,718,419		3,958,587		3,959,613
36296JCV5	GNMA		5.00		8/15/2039		1,904,987		1,965,586		2,029,256
36297FYL0	GNMA		4.50		10/15/2039		98,438		99,621		103,756
31371LZJ1	FNMA		4.00		1/1/2015		3,010,576		3,142,269		3,078,345
31371MFY8	FNMA		2.82		8/1/2035		8,699,462		9,037,434		9,154,392
31371NP25	FNMA		5.50		1/1/2038		5,078,275		5,405,189		5,394,540
31376KKK1	FNMA		4.50		1/1/2015		1,274,588		1,324,640		1,320,575
31379T6G4	FNMA		5.00		2/1/2014		26,508		27,981		28,125
31382NR20	FNMA		5.50		4/1/2029		879		943		935
31385RB58	FNMA		8.50		4/1/2030		1,524,207		1,696,347		1,699,490
31385XK48	FNMA		2.63		7/1/2033		256,900		266,443		270,002
31388XVV3	FNMA		3.05		8/1/2033		7,218,701		7,481,760		7,473,617
31389EU78	FNMA		6.50		12/1/2011		173,293		180,426		179,651
31389EVA0	FNMA		6.50		12/1/2016		2,276,341		2,462,830		2,461,248
31389EVB8	FNMA		6.50		12/1/2016		2,408,604		2,610,286		2,604,303
31389XHM8	FNMA		6.00		3/1/2012		194,863		209,242		210,918
31391PUF1	FNMA		5.00		12/1/2017		420,837		451,099		449,134
31391YV87	FNMA		6.00		1/1/2033		3,891		4,099		4,266
31400JL98	FNMA		2.50		4/1/2033		6,575,136		6,864,034		6,882,944
31400JM55	FNMA		5.50		5/1/2033		2,224		2,394		2,403
31400QJ87	FNMA		2.52		3/1/2033		28,183		28,965		29,479
31400UQV9	FNMA		5.50		4/1/2033		475,052		511,053		510,411
31402GP98	FNMA		5.00		7/1/2033		7,413		7,675		7,888
31402QXK2	FNMA		8.50		2/1/2031		800,240		882,159		884,265
31402YSV7	FNMA		2.91		9/1/2033		27,324		28,670		28,811

Page 3


		Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010


Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
31403CWU1	FNMA		2.61		9/1/2035		8,571,520		8,793,209		8,928,361
31403DC56	FNMA		4.50		12/1/2020		3,805,762		4,045,915		4,043,451
31403DC72	FNMA		4.50		11/1/2020		2,830,609		3,012,464		3,006,588
31403DJG5	FNMA		5.50		8/1/2034		28,346		30,377		30,379
31403KDB6	FNMA		2.33		12/1/2033		23,454		23,875		24,445
31404NBP0	FNMA		2.80		2/1/2035		329,873		343,345		345,337
31404SFP5	FNMA		5.50		4/1/2034		7,328		7,887		7,916
31405QNR5	FNMA		5.50		10/1/2034		1,781		1,916		1,923
31405UMM8	FNMA		2.89		10/1/2034		145,785		149,903		152,570
31405UTZ2	FNMA		2.88		11/1/2034		40,704		42,382		42,549
31406BB90	FNMA		2.87		1/1/2035		512,380		524,106		536,171
31406BEZ9	FNMA		2.85		12/1/2034		444,286		458,617		464,452
31406BJF8	FNMA		2.77		1/1/2035		528,637		545,915		552,882
31406BQQ6	FNMA		2.63		1/1/2035		614,610		633,979		642,473
31406DG67	FNMA		3.11		11/1/2034		1,074,425		1,115,864		1,122,116
31406MYP5	FNMA		2.36		3/1/2035		508,618		519,894		528,125
31406PD71	FNMA		2.69		5/1/2035		8,462,004		8,690,754		8,913,545
31406TLC3	FNMA		2.81		4/1/2035		985,998		1,027,958		1,038,964
31406TWR8	FNMA		2.12		1/1/2035		1,132,996		1,163,589		1,166,137
31406VHE9	FNMA		2.58		5/1/2035		554,306		572,702		581,175
31407CE29	FNMA		5.50		7/1/2035		1,124		1,209		1,214
31407FG53	FNMA		5.50		8/1/2035		2,969		3,194		3,206
31407FUW8	FNMA		2.60		8/1/2035		3,654,742		3,753,162		3,854,814
31407JXG2	FNMA		2.82		8/1/2035		1,361,077		1,420,482		1,432,006
31408AG53	FNMA		6.00		2/1/2036		65,404		68,896		70,841
31408GFA0	FNMA		6.00		12/1/2035		576,452		607,248		623,125
31409A5P0	FNMA		6.00		3/1/2036		216,355		227,903		234,341
31409AYE3	FNMA		6.00		3/1/2036		492,584		518,861		532,030
31409CRY3	FNMA		6.00		2/1/2036		370,609		390,254		401,420
31409GML7	FNMA		6.50		7/1/2036		2,038,160		2,225,979		2,229,476
31409UB38	FNMA		6.00		3/1/2036		73,995		77,946		79,634
31409VYW7	FNMA		6.00		4/1/2036		96,581		101,738		103,941
31410CJV5	FNMA		6.00		5/1/2036		28,679		30,210		30,975
31410GC84	FNMA		2.80		7/1/2035		2,510,025		2,583,542		2,648,011
31410GD83	FNMA		2.80		4/1/2034		89,222		93,283		93,963
31410GDF7	FNMA		2.02		6/1/2033		347,872		362,885		357,346
31410GDL4	FNMA		2.58		2/1/2035		1,631,381		1,689,614		1,711,278
31410GDN0	FNMA		2.59		6/1/2033		232,468		242,695		244,068
31410GDP5	FNMA		4.95		6/1/2035		5,982,636		6,318,236		6,307,286
31410GDS9	FNMA		2.66		2/1/2034		320,791		333,779		335,002
31410GDY6	FNMA		2.84		1/1/2035		189,523		195,848		198,113
31410KLD4	FNMA		5.50		5/1/2038		4,279,919		4,555,438		4,545,691
31410KMQ4	FNMA		5.50		6/1/2038		2,267,240		2,413,194		2,408,031
31410KNA8	FNMA		5.50		7/1/2038		1,049,133		1,116,671		1,114,281
31410KPC2	FNMA		5.50		7/1/2038		840,194		894,412		893,890
31410KS47	FNMA		5.50		12/1/2035		13,759		14,744		14,746
31410KX74	FNMA		5.50		9/1/2036		9,243,781		9,921,699		9,919,206
31410MMX5	FNMA		6.00		4/1/2036		484,570		510,453		524,854
31412ESY3	FNMA		6.00		1/1/2037		56,966		59,987		61,702
31412MYZ5	FNMA		5.50		6/1/2038		2,074,069		2,207,588		2,202,864
31412N6G6	FNMA		4.50		3/1/2039		103,074		103,982		108,277
31412N6J0	FNMA		4.50		3/1/2039		15,757,891		16,232,640		16,604,986
31412NUL8	FNMA		5.00		1/1/2039		2,004,984		2,122,513		2,131,617
31412NUP9	FNMA		5.00		1/1/2039		1,944,363		2,058,449		2,051,731
31412NUQ7	FNMA		5.00		1/1/2039		216,812		229,516		230,506
31412NUT1	FNMA		5.00		1/1/2039		130,791		138,433		137,780
31412NXB7	FNMA		5.00		1/1/2039		1,596,139		1,689,665		1,696,950
31412NXE1	FNMA		5.00		1/1/2039		2,603,646		2,765,713		2,764,499

Page 4


		Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010


Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
31412NZ33	FNMA		5.00		2/1/2039		99,258		102,411		106,085
31412NZW9	FNMA		4.50		2/1/2039		34,823		35,872		36,695
31412P5R8	FNMA		4.50		7/1/2039		45,010		46,366		47,429
31412PP88	FNMA		5.00		5/1/2039		308,036		317,388		327,684
31412PXF3	FNMA		4.50		6/1/2039		139,317		140,361		145,262
31412Q2V0	FNMA		4.50		1/1/2040		4,191,669		4,286,244		4,372,498
31412QE62	FNMA		4.50		8/1/2039		162,082		166,969		168,998
31412QE70	FNMA		5.00		8/1/2039		5,590,468		5,811,233		5,888,663
31412QHF9	FNMA		5.50		8/1/2039		1,094,072		1,164,674		1,163,225
31412QNE5	FNMA		4.50		9/1/2039		3,749,218		3,862,184		3,950,764
31412QSQ3	FNMA		4.50		11/1/2039		6,720,446		6,922,982		7,081,716
31412QUC1	FNMA		4.50		11/1/2039		133,434		137,457		139,191
31412QXZ7	FNMA		4.50		12/1/2039		861,771		881,212		898,947
31412RG76	FNMA		4.00		4/1/2025		9,625,705		9,814,295		10,080,327
31412RGG6	FNMA		5.00		4/1/2040		426,063		444,013		448,790
31412RH42	FNMA		5.00		4/1/2040		12,261,317		12,777,813		12,915,335
31412TM26	FNMA		5.50		6/1/2038		6,945,617		7,446,490		7,389,512
31412U7E4	FNMA		4.50		11/1/2039		236,620		243,755		246,717
31412UEQ9	FNMA		4.50		9/1/2039		490,759		505,552		517,140
31412UY53	FNMA		4.50		8/1/2039		349,944		353,812		368,756
31413CLH0	FNMA		6.00		7/1/2037		6,334,936		6,864,917		6,816,454
31413NY66	FNMA		6.00		11/1/2037		5,600,624		6,068,607		6,026,328
31413R2P0	FNMA		6.00		12/1/2037		6,421,343		6,976,055		6,955,174
31413TWV0	FNMA		5.50		1/1/2038		1,915,770		2,039,098		2,035,081
31414ANH1	FNMA		5.50		12/1/2037		2,382,052		2,535,397		2,530,402
31414CJS8	FNMA		5.50		3/1/2038		3,018,658		3,214,399		3,206,109
31414DWZ5	FNMA		5.50		6/1/2038		993,745		1,058,183		1,055,454
31414HZ67	FNMA		5.50		12/1/2037		953,542		1,014,926		1,012,927
31414NCH5	FNMA		6.00		12/1/2038		2,931,385		3,184,662		3,175,082
31414NH31	FNMA		5.00		2/1/2039		2,552,954		2,709,261		2,730,152
31414NH49	FNMA		5.00		2/1/2039		3,221,752		3,414,473		3,427,248
31415WA60	FNMA		4.50		1/1/2039		94,419		97,261		99,495
31415YXR5	FNMA		4.50		5/1/2039		124,203		125,297		130,472
31416CEZ5	FNMA		4.50		5/1/2039		6,447,445		6,437,222		6,772,883
31416JZM6	FNMA		5.00		2/1/2039		4,343,319		4,594,960		4,575,426
31416M5A8	FNMA		5.00		3/1/2039		9,442,330		9,969,885		9,979,683
31416MLA0	FNMA		4.50		3/1/2039		76,510		77,181		80,372
31416MVP6	FNMA		4.50		4/1/2039		96,620		97,471		101,497
31416N5T5	FNMA		4.50		4/1/2039		241,958		244,630		254,171
31416NRD6	FNMA		4.50		3/1/2039		46,743		47,149		49,103
31416PZR1	FNMA		5.00		5/1/2039		73,833		76,180		77,771
31416QJZ9	FNMA		5.00		5/1/2039		107,374		110,787		114,827
31416QTH8	FNMA		5.00		5/1/2039		93,839		96,823		98,845
31416QV51	FNMA		4.50		8/1/2039		42,369		42,686		44,177
31416RNK5	FNMA		4.50		7/1/2039		67,379		69,409		71,001
31416RUU5	FNMA		4.50		7/1/2039		395,720		407,648		416,993
31416S6B2	FNMA		4.50		7/1/2039		118,491		119,378		123,546
31416SD40	FNMA		4.50		7/1/2039		129,244		130,212		134,759
31416SED9	FNMA		5.00		7/1/2039		88,450		91,262		93,167
31416SFL0	FNMA		4.50		7/1/2039		63,319		63,725		66,021
31416SLA7	FNMA		4.50		6/1/2039		66,775		67,276		69,625
31416SLC3	FNMA		4.50		6/1/2039		142,143		143,208		148,209
31416T3D9	FNMA		4.50		7/1/2039		467,231		472,393		492,348
31416T7K9	FNMA		4.50		7/1/2039		66,993		67,495		69,851
31416TAG4	FNMA		4.50		7/1/2039		169,990		172,691		177,244
31416TAL3	FNMA		5.00		7/1/2039		100,349		103,540		107,314
31416TB65	FNMA		4.50		8/1/2039		235,556		242,658		245,607
31416TE39	FNMA		4.50		8/1/2039		68,017		68,526		70,919

Page 5


		Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010


Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
31416TE47	FNMA		4.50		8/1/2039		115,119		115,857		120,930
31416TEE5	FNMA		4.50		8/1/2039		174,342		176,762		181,781
31416TEF2	FNMA		4.50		8/1/2039		122,744		123,531		128,939
31416TEP0	FNMA		5.00		8/1/2039		99,155		102,308		104,444
31416TFQ7	FNMA		4.50		8/1/2039		63,528		64,004		66,239
31416TKG3	FNMA		5.00		6/1/2039		102,114		105,361		107,571
31416UDB9	FNMA		5.00		8/1/2039		32,783		33,825		34,531
31416WD66	FNMA		5.00		5/1/2040		738,892		770,021		778,304
31416WE57	FNMA		5.00		5/1/2040		12,698,720		13,233,734		13,376,069
31417J2B5	FNMA		5.00		9/1/2039		62,648		64,978		65,989
31417JFK1	FNMA		5.00		8/1/2039		181,157		188,538		193,731
31417JPT1	FNMA		4.50		10/1/2039		67,823		69,868		70,717
31417JSB7	FNMA		4.50		7/1/2039		37,501		37,741		39,101
31417JYM6	FNMA		4.50		9/1/2024		4,058,563		4,160,112		4,272,473
31417JYR5	FNMA		4.50		8/1/2039		105,100		106,491		109,585
31417JZ94	FNMA		4.50		9/1/2039		310,885		320,255		324,150
31417KAZ0	FNMA		4.50		7/1/2039		37,706		37,988		39,315
31417KL47	FNMA		4.50		8/1/2039		1,618,813		1,667,615		1,705,836
31417KS73	FNMA		5.00		9/1/2039		947,575		986,171		1,013,345
31417KXH5	FNMA		4.50		8/1/2039		3,604,194		3,712,844		3,797,944
31417LLX1	FNMA		5.00		7/1/2039		183,760		189,603		196,515
31417M2V4	FNMA		4.50		8/1/2039		104,632		107,782		110,257
31417M2W2	FNMA		4.50		8/1/2039		23,307		23,512		24,483
31417MAD5	FNMA		4.50		11/1/2039		233,857		236,443		246,429
31417MFB4	FNMA		4.50		8/1/2039		233,875		235,375		243,855
31417MFE8	FNMA		4.50		8/1/2039		315,557		319,045		332,521
31417MLH4	FNMA		5.00		10/1/2039		93,461		97,298		98,446
31417MPN7	FNMA		5.00		9/1/2039		107,673		111,678		113,416
31417MQT3	FNMA		5.00		10/1/2039		73,314		76,041		77,224
31417MSY0	FNMA		5.00		9/1/2039		944,527		983,014		1,010,086
31417MTC7	FNMA		4.50		9/1/2039		516,766		524,273		538,816
31417MTD5	FNMA		4.50		10/1/2039		667,421		672,934		695,899
31417MVC4	FNMA		4.50		10/1/2039		469,878		478,064		489,928
31417MVD2	FNMA		4.50		10/1/2039		671,307		676,852		699,951
31417MVJ9	FNMA		5.00		10/1/2039		890,881		920,329		938,400
31417MWB5	FNMA		5.00		8/1/2039		35,466		36,593		37,358
31417NB42	FNMA		4.50		10/1/2039		116,644		120,160		121,621
31417NB75	FNMA		5.00		10/1/2039		1,120,415		1,166,065		1,198,181
31417NCL3	FNMA		4.50		10/1/2024		6,276,542		6,650,755		6,686,061
31417NDN8	FNMA		4.50		11/1/2024		6,954,647		7,340,541		7,320,671
31417NKD2	FNMA		5.00		12/1/2039		327,179		340,519		349,888
31417NL41	FNMA		4.50		1/1/2040		258,061		263,886		269,073
31417NRJ2	FNMA		4.50		8/1/2039		44,671		45,006		46,578
31417NZV6	FNMA		4.50		9/1/2039		97,348		100,283		101,502
31417QR55	FNMA		4.50		1/1/2040		481,791		487,120		502,349
31417QTZ7	FNMA		4.50		10/1/2024		6,964,906		7,350,600		7,331,469
31417QU93	FNMA		4.50		10/1/2039		303,712		312,869		316,672
31417QUG7	FNMA		4.50		10/1/2039		998,530		1,009,570		1,052,208
31417SDJ6	FNMA		5.00		11/1/2039		124,601		129,683		131,247
31417SY95	FNMA		4.50		11/1/2039		45,684		47,061		47,633
31417SYT1	FNMA		4.50		11/1/2039		94,025		94,854		98,037
31417TB98	FNMA		4.50		1/1/2040		138,792		141,923		144,714
31417TKX5	FNMA		4.50		11/1/2039		24,602		25,157		25,651
31417TL97	FNMA		4.50		12/1/2039		433,309		438,100		456,603
31417TQE1	FNMA		4.50		1/1/2040		632,448		639,441		666,446
31417UBK0	FNMA		4.50		11/1/2039		618,605		625,442		651,860
31417UMZ5	FNMA		4.50		2/1/2040		298,522		305,261		311,260
31417UNB7	FNMA		4.50		11/1/2039		171,140		175,003		178,442

Page 6


		Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010


Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
31417UYN9	FNMA		4.50		4/1/2040		165,021		168,744		172,036
31417VJE4	FNMA		4.50		12/1/2039		126,003		128,846		131,379
31417VJS3	FNMA		4.50		12/1/2039		32,783		33,072		34,182
31417VKE2	FNMA		4.50		1/1/2040		129,972		132,905		135,518
31417VNP4	FNMA		4.50		2/1/2040		625,139		639,247		651,814
31417VQT3	FNMA		4.50		1/1/2040		1,927,732		1,971,219		2,031,361
31417VSU8	FNMA		4.50		1/1/2040		342,922		345,801		357,555
31417VXY4	FNMA		4.50		1/1/2040		61,876		62,421		64,516
31417VY64	FNMA		4.50		12/1/2039		243,463		248,958		253,851
31417W4W8	FNMA		4.50		2/1/2040		273,519		279,695		285,147
31417WSS1	FNMA		4.50		1/1/2040		294,626		295,976		307,198
31417WTE1	FNMA		4.50		1/1/2040		234,063		236,058		244,051
31417WTG6	FNMA		4.50		1/1/2040		195,290		196,170		203,624
31418MT93	FNMA		4.50		1/1/2040		1,930,890		1,951,638		2,012,354
31418MUK6	FNMA		4.50		12/1/2039		1,712,978		1,712,779		1,786,876
31418MUL4	FNMA		4.50		12/1/2039		855,367		862,902		892,268
31418NG95	FNMA		4.50		1/1/2040		168,191		171,986		175,340
31418NJ92	FNMA		4.50		2/1/2040		26,372		26,605		27,493
31418NKA7	FNMA		4.50		2/1/2040		25,127		25,349		26,195
31418NKU3	FNMA		4.50		2/1/2040		139,435		142,581		145,363
31418NMY3	FNMA		5.00		1/1/2040		111,477		116,019		117,423
31418NPF1	FNMA		4.50		2/1/2040		668,820		683,918		697,358
31418NPM6	FNMA		4.50		2/1/2040		189,001		193,267		197,066
31418NQJ2	FNMA		4.50		1/1/2040		51,473		51,927		53,662
31418NZT0	FNMA		4.50		3/1/2040		2,910,758		2,976,447		3,034,494
31418PD44	FNMA		4.50		1/1/2040		261,030		266,917		272,291
31418PJH9	FNMA		4.50		3/1/2040		140,814		143,993		148,428
31418PNY7	FNMA		5.00		2/1/2040		74,709		77,754		78,694
31418QP31	FNMA		4.50		4/1/2040		4,453,571		4,554,104		4,642,892
31418REP2	FNMA		4.50		3/1/2040		133,211		136,218		138,895
31418RR60	FNMA		5.00		5/1/2040		19,042,417		19,726,300		20,268,918
31418RSG7	FNMA		5.00		5/1/2040		7,647,055		7,927,563		8,054,948
31418RSJ1	FNMA		5.00		5/1/2040		7,894,250		8,201,337		8,315,330
31418RWX5	FNMA		4.50		3/1/2040		288,538		295,045		300,850
31418RXL0	FNMA		4.50		4/1/2040		692,057		707,674		721,477
31418TL39	FNMA		5.00		4/1/2040		1,462,645		1,510,937		1,540,662
31418TUF2	FNMA		5.00		5/1/2040		3,696,269		3,836,524		3,893,428
31418UWE0	FNMA		5.00		6/1/2040		21,389,140		22,092,165		22,530,037
31418UWX8	FNMA		5.00		7/1/2040		15,911,482		16,469,651		16,760,200
31418VUJ9	FNMA		5.00		7/1/2040		22,903,380		24,360,552		24,125,046
31418XF52	FNMA		4.50		9/1/2040		20,924,763		21,947,596		21,814,275
31419ANK9	FNMA		5.50		10/1/2039		5,000,000		5,320,276		5,311,398
31419B5A9	FNMA		5.00		9/1/2040		10,921,409		11,609,459		11,503,957
31421AAU7	FNMA		5.50		12/1/2038		4,744		5,092		5,047
31283K4C9	FHLMC GOLD		5.00		6/1/2020		10,504,610		11,282,434		11,232,752
31283K6U7	FHLMC GOLD		4.50		8/1/2015		2,187,240		2,317,551		2,318,095
31283KJU3	FHLMC GOLD		6.50		12/1/2014		737,802		798,489		803,282
31283KN87	FHLMC GOLD		5.00		9/1/2017		3,734		3,934		3,985
3128GNW87	FHLMC GOLD		5.00		11/1/2016		2,956		3,111		3,155
3128GNY77	FHLMC GOLD		5.00		11/1/2016		18,315		19,275		19,548
3128GP3U5	FHLMC GOLD		5.00		1/1/2017		4,772		5,023		5,093
3128GP3V3	FHLMC GOLD		5.00		1/1/2017		20,435		21,513		21,811
3128GP4U4	FHLMC GOLD		5.00		1/1/2017		4,436		4,670		4,735
3128GP7M9	FHLMC GOLD		5.00		1/1/2017		4,941		5,202		5,273
3128GPSA2	FHLMC GOLD		5.00		12/1/2016		4,655		4,899		4,968
3128GPVH3	FHLMC GOLD		5.00		12/1/2016		1,491		1,568		1,589
3128GQ3Q2	FHLMC GOLD		5.00		2/1/2017		7,472		7,867		7,975
3128GQ6E6	FHLMC GOLD		5.00		2/1/2017		6,301		6,633		6,725

Page 7


		Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010


Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
3128GQGA3	FHLMC GOLD		5.00		1/1/2017		13,724		14,448		14,648
3128GQJT9	FHLMC GOLD		5.00		1/1/2017		8,021		8,446		8,561
3128GQK26	FHLMC GOLD		5.00		1/1/2017		12,410		13,059		13,245
3128GQK34	FHLMC GOLD		5.00		1/1/2017		2,004		2,108		2,138
3128GQKB6	FHLMC GOLD		5.00		1/1/2017		5,390		5,668		5,753
3128GQP54	FHLMC GOLD		5.00		1/1/2017		7,123		7,498		7,602
3128GQQQ7	FHLMC GOLD		5.00		2/1/2017		7,795		8,198		8,320
3128GQQZ7	FHLMC GOLD		5.00		2/1/2017		25,966		27,334		27,715
3128GQSG7	FHLMC GOLD		5.00		2/1/2017		4,503		4,738		4,806
3128GQU58	FHLMC GOLD		5.00		2/1/2017		8,145		8,566		8,693
3128GQU90	FHLMC GOLD		5.00		2/1/2017		2,911		3,064		3,106
3128GQVB4	FHLMC GOLD		5.00		2/1/2017		5,095		5,364		5,438
3128GQW31	FHLMC GOLD		5.00		2/1/2017		12,604		13,272		13,452
3128GQW49	FHLMC GOLD		5.00		2/1/2017		20,400		21,480		21,774
3128GR3Y3	FHLMC GOLD		5.00		2/1/2017		19,779		20,826		21,111
3128GR6N4	FHLMC GOLD		5.00		4/1/2017		24,455		25,755		26,101
3128GRBH1	FHLMC GOLD		5.00		2/1/2017		7,417		7,810		7,916
3128GRBJ7	FHLMC GOLD		5.00		2/1/2017		2,147		2,260		2,291
3128GRFT1	FHLMC GOLD		5.00		3/1/2017		15,894		16,733		16,964
3128GRJD2	FHLMC GOLD		5.00		3/1/2017		5,739		6,040		6,125
3128GRK81	FHLMC GOLD		5.00		3/1/2017		6,721		7,074		7,173
3128GRLA5	FHLMC GOLD		5.00		3/1/2017		26,800		28,219		28,604
3128GRM71	FHLMC GOLD		5.00		3/1/2017		2,694		2,837		2,875
3128GRP94	FHLMC GOLD		5.00		3/1/2017		2,780		2,925		2,967
3128GRQA0	FHLMC GOLD		5.00		3/1/2017		7,775		8,188		8,298
3128GRSP5	FHLMC GOLD		5.00		3/1/2017		6,693		7,040		7,144
3128GRSY6	FHLMC GOLD		5.00		3/1/2017		13,194		13,888		14,083
3128GRUF4	FHLMC GOLD		5.00		3/1/2017		1,336		1,406		1,426
3128GRUT4	FHLMC GOLD		5.00		3/1/2017		8,169		8,591		8,719
3128GRWQ8	FHLMC GOLD		5.00		2/1/2017		545		573		580
3128GRYD5	FHLMC GOLD		5.00		4/1/2017		3,792		3,990		4,047
3128GS5Y9	FHLMC GOLD		5.00		4/1/2017		6,248		6,578		6,669
3128GSDJ3	FHLMC GOLD		5.00		4/1/2017		11,049		11,634		11,792
3128GSGB7	FHLMC GOLD		5.00		4/1/2017		15,307		16,117		16,338
3128GSGU5	FHLMC GOLD		5.00		4/1/2017		29,778		31,360		31,783
3128GSKE6	FHLMC GOLD		5.00		4/1/2017		31,019		32,663		33,107
3128GSKV8	FHLMC GOLD		5.00		4/1/2017		10,180		10,717		10,866
3128GSLX3	FHLMC GOLD		5.00		4/1/2017		8,468		8,915		9,038
3128GSLY1	FHLMC GOLD		5.00		4/1/2017		16,052		16,902		17,132
3128GSNL7	FHLMC GOLD		5.00		4/1/2017		8,000		8,419		8,539
3128GSQN0	FHLMC GOLD		5.00		4/1/2017		8,914		9,378		9,514
3128GSSN8	FHLMC GOLD		5.00		4/1/2017		23,766		25,033		25,366
3128GV2N9	FHLMC GOLD		5.00		10/1/2017		34,922		36,782		37,273
3128GV3C2	FHLMC GOLD		5.00		10/1/2017		17,330		18,243		18,497
3128GV3D0	FHLMC GOLD		5.00		10/1/2017		29,172		30,709		31,136
3128GV3Z1	FHLMC GOLD		5.00		10/1/2017		32,366		34,103		34,545
3128GV7G9	FHLMC GOLD		5.00		10/1/2017		7,029		7,400		7,503
3128GVBY5	FHLMC GOLD		5.00		8/1/2017		2,299		2,422		2,454
3128GVH94	FHLMC GOLD		5.00		9/1/2017		3,674		3,866		3,921
3128GVJA9	FHLMC GOLD		5.00		9/1/2017		14,964		15,751		15,971
3128GVJB7	FHLMC GOLD		5.00		9/1/2017		8,671		9,126		9,255
3128GVJQ4	FHLMC GOLD		5.00		9/1/2017		21,973		23,143		23,452
3128GVLF5	FHLMC GOLD		5.00		9/1/2017		10,416		10,962		11,117
3128GVLH1	FHLMC GOLD		5.00		9/1/2017		14,456		15,231		15,429
3128GVLJ7	FHLMC GOLD		5.00		9/1/2017		21,275		22,393		22,708
3128GVMM9	FHLMC GOLD		5.00		8/1/2017		5,147		5,421		5,493
3128GVNL0	FHLMC GOLD		5.00		9/1/2017		8,626		9,080		9,207
3128GVNM8	FHLMC GOLD		5.00		9/1/2017		11,580		12,191		12,359

Page 8


		Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010


Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
3128GVNN6	FHLMC GOLD		5.00		9/1/2017		17,963		18,912		19,580
3128GVNV8	FHLMC GOLD		5.00		9/1/2017		7,922		8,341		8,455
3128GVNX4	FHLMC GOLD		5.00		9/1/2017		86,633		91,264		92,465
3128GVPM6	FHLMC GOLD		5.00		9/1/2017		7,491		7,885		7,995
3128GVPN4	FHLMC GOLD		5.00		9/1/2017		6,086		6,406		6,495
3128GVPP9	FHLMC GOLD		5.00		9/1/2017		29,177		30,741		31,141
3128GVQH6	FHLMC GOLD		5.00		9/1/2017		30,333		31,956		32,375
3128GVRA0	FHLMC GOLD		5.00		9/1/2017		6,565		6,911		7,007
3128GVRC6	FHLMC GOLD		5.00		9/1/2017		13,902		14,642		14,838
3128GVRE2	FHLMC GOLD		5.00		9/1/2017		9,982		10,513		10,654
3128GVRS1	FHLMC GOLD		5.00		9/1/2017		5,568		5,862		5,943
3128GVRT9	FHLMC GOLD		5.00		9/1/2017		15,901		16,740		16,971
3128GVRY8	FHLMC GOLD		5.00		9/1/2017		74,207		78,165		79,202
3128GVT83	FHLMC GOLD		5.00		9/1/2017		32,367		34,091		34,546
3128GVTN0	FHLMC GOLD		5.00		9/1/2017		7,369		7,761		7,865
3128GVTW0	FHLMC GOLD		5.00		9/1/2017		21,883		23,056		23,356
3128GVUD0	FHLMC GOLD		5.00		9/1/2017		3,568		3,759		3,808
3128GVUE8	FHLMC GOLD		5.00		9/1/2017		19,632		20,684		20,953
3128GVUX6	FHLMC GOLD		5.00		10/1/2017		6,544		6,887		6,985
3128GVVE7	FHLMC GOLD		5.00		10/1/2017		44,633		46,981		47,637
3128GVVF4	FHLMC GOLD		5.00		10/1/2017		21,420		22,551		22,862
3128GVVJ6	FHLMC GOLD		5.00		10/1/2017		32,580		34,312		34,773
3128GVVY3	FHLMC GOLD		5.00		10/1/2017		19,583		20,636		20,900
3128GVW22	FHLMC GOLD		5.00		9/1/2017		6,733		7,094		7,186
3128GVW89	FHLMC GOLD		5.00		10/1/2017		11,089		11,673		11,835
3128GVZV5	FHLMC GOLD		5.00		10/1/2017		26,496		27,918		28,279
3128GW5Q7	FHLMC GOLD		5.00		11/1/2017		14,264		15,017		15,224
3128GW6G8	FHLMC GOLD		5.00		11/1/2017		7,408		7,800		7,907
3128GWAQ1	FHLMC GOLD		5.00		10/1/2017		5,488		5,777		5,857
3128GWAT5	FHLMC GOLD		5.00		10/1/2017		34,563		36,418		36,888
3128GWAU2	FHLMC GOLD		5.00		10/1/2017		35,092		36,944		37,454
3128GWB49	FHLMC GOLD		5.00		10/1/2017		4,015		4,230		4,285
3128GWB80	FHLMC GOLD		5.00		10/1/2017		22,276		23,447		23,776
3128GWBH0	FHLMC GOLD		5.00		10/1/2017		31,529		33,222		33,651
3128GWC89	FHLMC GOLD		5.00		10/1/2017		11,007		11,598		11,748
3128GWCL0	FHLMC GOLD		5.00		10/1/2017		19,704		20,747		21,030
3128GWCW6	FHLMC GOLD		5.00		10/1/2017		5,961		6,275		6,362
3128GWDP0	FHLMC GOLD		5.00		10/1/2017		14,276		15,030		15,237
3128GWEG9	FHLMC GOLD		5.00		10/1/2017		43,545		45,846		46,477
3128GWEK0	FHLMC GOLD		5.00		10/1/2017		11,597		12,207		12,377
3128GWEP9	FHLMC GOLD		5.00		10/1/2017		6,861		7,229		7,323
3128GWF86	FHLMC GOLD		5.00		10/1/2017		15,942		16,784		17,016
3128GWFN3	FHLMC GOLD		5.00		10/1/2017		12,474		13,131		13,313
3128GWHH4	FHLMC GOLD		5.00		10/1/2017		14,320		15,074		15,284
3128GWJG4	FHLMC GOLD		5.00		11/1/2017		33,306		35,087		35,546
3128GWK31	FHLMC GOLD		5.00		10/1/2017		19,334		20,355		20,636
3128GWK56	FHLMC GOLD		5.00		11/1/2017		20,742		21,839		22,139
3128GWMS4	FHLMC GOLD		5.00		11/1/2017		10,827		11,398		11,556
3128GWP85	FHLMC GOLD		5.00		11/1/2017		11,172		11,772		11,924
3128GWQ27	FHLMC GOLD		5.00		11/1/2017		20,365		21,441		21,736
3128GWQ92	FHLMC GOLD		5.00		11/1/2017		17,370		18,286		18,539
3128GWQN1	FHLMC GOLD		5.00		11/1/2017		17,801		18,737		18,999
3128GWQY7	FHLMC GOLD		5.00		11/1/2017		8,194		8,625		8,746
3128GWR42	FHLMC GOLD		5.00		11/1/2017		20,722		21,817		22,117
3128GWRF7	FHLMC GOLD		5.00		11/1/2017		15,145		15,959		16,163
3128GWV21	FHLMC GOLD		5.00		11/1/2017		31,828		33,535		33,971
3128GWVL9	FHLMC GOLD		5.00		11/1/2017		5,437		5,728		5,803
3128GWWM6	FHLMC GOLD		5.00		11/1/2017		4,101		4,322		4,376

Page 9


		Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010


Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
3128GWXD5	FHLMC GOLD		5.00		11/1/2017		13,212		13,909		14,101
3128GWXW3	FHLMC GOLD		5.00		11/1/2017		25,766		27,152		27,499
3128GWYS1	FHLMC GOLD		5.00		11/1/2017		6,629		6,980		7,075
3128GWZQ4	FHLMC GOLD		5.00		11/1/2017		15,206		16,008		16,229
3128GX3H7	FHLMC GOLD		5.00		12/1/2017		25,418		26,790		27,128
3128GX5V4	FHLMC		5.00		12/1/2017		29,838		31,450		31,846
3128GXAX4	FHLMC GOLD		5.00		11/1/2017		36,304		38,223		38,748
3128GXBC9	FHLMC GOLD		5.00		11/1/2017		7,694		8,099		8,212
3128GXEA0	FHLMC GOLD		5.00		12/1/2017		17,250		18,180		18,410
3128GXEK8	FHLMC GOLD		5.00		12/1/2017		8,612		9,076		9,191
3128GXFT8	FHLMC GOLD		5.00		12/1/2017		18,804		19,800		20,070
3128GXHA7	FHLMC GOLD		5.00		12/1/2017		27,971		29,471		29,854
3128GXHQ2	FHLMC GOLD		5.00		12/1/2017		31,890		33,599		34,037
3128GXN36	FHLMC GOLD		5.00		12/1/2017		33,312		35,110		35,555
3128GY2H6	FHLMC GOLD		5.00		2/1/2018		18,847		19,848		20,116
3128GYF66	FHLMC GOLD		5.00		1/1/2018		4,730		4,982		5,048
3128GYFK5	FHLMC GOLD		5.00		1/1/2018		740		779		790
3128GYG73	FHLMC GOLD		5.00		1/1/2018		26,163		27,546		27,924
3128GYKK9	FHLMC GOLD		5.00		1/1/2018		2,988		3,147		3,189
3128GYLX0	FHLMC GOLD		5.00		1/1/2018		3,120		3,286		3,330
3128GYNT7	FHLMC GOLD		5.00		2/1/2018		2,379		2,506		2,539
3128GYQC1	FHLMC GOLD		5.00		2/1/2018		21,020		22,137		22,435
3128GYS88	FHLMC GOLD		5.00		2/1/2018		2,230		2,351		2,381
3128GYTW4	FHLMC GOLD		5.00		2/1/2018		2,243		2,363		2,394
3128GYU44	FHLMC GOLD		5.00		2/1/2018		17,694		18,627		18,885
3128GYU51	FHLMC GOLD		5.00		2/1/2018		15,942		16,784		17,015
3128GYV35	FHLMC GOLD		5.00		2/1/2018		33,643		35,431		35,908
3128GYVB7	FHLMC GOLD		5.50		2/1/2018		68,252		73,762		73,493
3128GYVZ4	FHLMC GOLD		5.00		2/1/2018		22,578		23,776		24,098
3128GYZE7	FHLMC GOLD		5.00		2/1/2018		12,804		13,487		13,676
3128H22V4	FHLMC GOLD		5.00		4/1/2018		9,821		10,344		10,490
3128H25K5	FHLMC GOLD		5.00		4/1/2018		2,557		2,694		2,729
3128H26F5	FHLMC GOLD		5.00		3/1/2018		2,027		2,135		2,160
3128H26M0	FHLMC GOLD		5.50		3/1/2018		1,208,859		1,306,417		1,301,696
3128H26W8	FHLMC GOLD		5.50		2/1/2018		476,143		514,517		512,709
3128H27K3	FHLMC GOLD		5.00		4/1/2018		7,595		8,000		8,106
3128H2B69	FHLMC GOLD		5.00		2/1/2018		27,798		29,270		29,670
3128H2B77	FHLMC GOLD		5.00		2/1/2018		24,921		26,243		26,599
3128H2B85	FHLMC GOLD		5.00		2/1/2018		22,218		23,397		23,714
3128H2C84	FHLMC GOLD		5.00		2/1/2018		4,718		4,968		5,035
3128H2E41	FHLMC GOLD		5.00		3/1/2018		29,596		31,166		31,589
3128H2ED1	FHLMC GOLD		5.00		2/1/2018		58,925		62,042		62,940
3128H2EG4	FHLMC GOLD		5.00		2/1/2018		31,053		32,700		33,144
3128H2LV3	FHLMC GOLD		5.00		2/1/2018		29,936		31,523		31,951
3128H2LY7	FHLMC GOLD		5.00		3/1/2018		12,493		13,161		13,345
3128H2QV8	FHLMC GOLD		5.00		3/1/2018		31,796		33,477		33,936
3128H2T86	FHLMC GOLD		5.00		3/1/2018		4,568		4,812		4,880
3128H2TF0	FHLMC GOLD		5.00		3/1/2018		30,900		32,544		32,980
3128H2TJ2	FHLMC GOLD		5.00		3/1/2018		12,359		13,018		13,191
3128H2TW3	FHLMC GOLD		5.00		3/1/2018		25,558		26,919		27,279
3128H2VW0	FHLMC GOLD		5.00		3/1/2018		38,175		40,206		40,745
3128H2YM9	FHLMC GOLD		5.00		3/1/2018		10,432		10,984		11,134
3128H2YN7	FHLMC GOLD		5.00		3/1/2018		11,356		11,959		12,121
3128H2YS6	FHLMC GOLD		5.00		3/1/2018		12,390		13,048		13,224
3128H2ZJ5	FHLMC GOLD		5.00		3/1/2018		8,991		9,469		9,596
3128H2ZT3	FHLMC GOLD		5.00		4/1/2018		15,148		15,950		16,168
3128H2ZU0	FHLMC GOLD		5.00		4/1/2018		19,936		20,995		21,278
3128H32W0	FHLMC GOLD		5.00		4/1/2018		18,469		19,461		19,713

Page 10


		Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010


Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
3128H3C25	FHLMC GOLD		5.00		4/1/2018		3,600		3,792		3,842
3128H3CD1	FHLMC GOLD		5.00		4/1/2018		4,504		4,746		4,808
3128H3FG1	FHLMC GOLD		5.00		4/1/2018		18,978		19,990		20,255
3128H3KN0	FHLMC GOLD		5.00		4/1/2018		4,168		4,392		4,449
3128H3MN8	FHLMC GOLD		5.00		4/1/2018		34,085		35,899		36,379
3128H3N72	FHLMC GOLD		5.00		4/1/2018		10,226		10,770		10,914
3128H3RY9	FHLMC GOLD		5.00		5/1/2018		35,653		37,546		38,053
3128H3S36	FHLMC GOLD		5.00		4/1/2018		11,667		12,287		12,452
3128H3SZ5	FHLMC GOLD		5.00		5/1/2018		19,281		20,306		20,580
3128H3V65	FHLMC GOLD		5.00		5/1/2018		7,109		7,486		7,587
3128H3WF4	FHLMC GOLD		5.00		4/1/2018		13,605		14,328		14,521
3128H3XU0	FHLMC GOLD		5.00		5/1/2018		13,122		13,818		14,006
3128H45V7	FHLMC GOLD		5.00		6/1/2018		21,569		22,721		23,021
3128H4J59	FHLMC GOLD		5.00		6/1/2018		13,411		14,127		14,314
3128H4JG5	FHLMC GOLD		5.00		5/1/2018		15,162		15,970		16,182
3128H4JT7	FHLMC GOLD		5.00		6/1/2018		30,895		32,539		32,974
3128H5JX5	FHLMC GOLD		5.00		7/1/2018		23,824		25,095		25,428
3128H5RP3	FHLMC GOLD		5.00		7/1/2018		13,350		14,063		14,249
3128H5TK2	FHLMC GOLD		5.00		7/1/2018		36,931		38,902		39,417
3128H6BG8	FHLMC GOLD		5.00		7/1/2018		29,447		31,020		31,429
3128H6CZ5	FHLMC GOLD		5.00		7/1/2018		30,144		31,757		32,173
3128H6FR0	FHLMC GOLD		5.00		8/1/2018		20,078		21,151		21,429
3128H6FU3	FHLMC GOLD		5.00		8/1/2018		16,562		17,449		17,677
3128H6WU4	FHLMC GOLD		5.50		8/1/2018		305,634		330,864		329,598
3128H6XM1	FHLMC GOLD		5.00		8/1/2018		8,186		8,623		8,737
3128H6ZC1	FHLMC GOLD		5.50		7/1/2018		104,644		113,284		112,849
3128H77K2	FHLMC GOLD		5.50		10/1/2018		206,724		223,762		222,933
3128JLDM8	FHLMC		2.96		9/1/2033		2,839,208		2,976,276		2,980,394
3128JLEY1	FHLMC		2.95		9/1/2033		4,999,447		5,241,147		5,246,820
3128JLHB8	FHLMC		2.92		9/1/2033		171,321		177,370		179,586
3128JM6N2	FHLMC		2.74		2/1/2035		542,917		556,504		568,020
3128JM7E1	FHLMC		2.70		2/1/2035		430,428		441,546		450,384
3128JMW45	FHLMC		3.13		11/1/2034		232,900		243,837		244,520
3128JMY68	FHLMC		3.18		11/1/2034		310,495		322,265		325,876
3128JMZG5	FHLMC		3.23		11/1/2034		420,432		440,189		441,336
3128JNAL9	FHLMC		3.06		2/1/2035		451,189		473,167		473,740
3128JRP26	FHLMC		3.30		12/1/2033		2,353,072		2,485,668		2,463,756
3128K17K1	FHLMC GOLD		5.00		1/1/2036		6,239,063		6,600,837		6,593,317
3128KA4Z1	FHLMC GOLD		6.00		6/1/2036		96,503		101,298		103,975
3128KE5H2	FHLMC GOLD		6.50		9/1/2036		153,288		167,750		167,080
3128KVAR6	FHLMC GOLD		6.50		8/1/2037		211,829		231,888		231,000
3128KWBZ5	FHLMC GOLD		6.00		9/1/2037		19,975		21,962		21,878
3128KWFX6	FHLMC GOLD		6.00		9/1/2037		41,015		45,086		44,923
3128KWFY4	FHLMC GOLD		6.00		9/1/2037		59,989		65,943		65,704
3128KWT29	FHLMC GOLD		6.00		9/1/2037		34,435		37,855		37,716
3128KWTK9	FHLMC GOLD		6.00		9/1/2037		50,918		55,971		55,770
3128KWTP8	FHLMC GOLD		6.00		9/1/2037		43,061		47,338		47,164
3128KWTZ6	FHLMC GOLD		6.00		9/1/2037		34,701		38,149		38,008
3128KYXE4	FHLMC GOLD		6.00		4/1/2037		22,297		24,513		24,422
3128M4XA6	FHLMC GOLD		5.50		7/1/2037		4,159,045		4,465,296		4,443,638
3128M4ZG1	FHLMC GOLD		6.00		7/1/2037		4,189		4,605		4,588
3128M5R93	FHLMC GOLD		5.50		2/1/2038		1,255,795		1,334,086		1,331,125
3128M6UB2	FHLMC GOLD		6.00		7/1/2038		108,395		119,184		118,723
3128M7AZ9	FHLMC GOLD		6.00		12/1/2038		301,011		330,962		329,690
3128M7B88	FHLMC GOLD		5.50		2/1/2039		824,100		875,478		873,280
3128M7FG6	FHLMC GOLD		5.50		12/1/2038		3,811,020		4,048,613		4,038,447
3128M7HL3	FHLMC GOLD		5.00		3/1/2039		158,774		165,312		169,538
3128M7PN0	FHLMC GOLD		5.00		7/1/2039		1,363,769		1,404,365		1,448,555

Page 11


		Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010


Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
3128MMAC7	FHLMC GOLD		5.00		7/1/2019		906,831		971,993		969,690
3128MMLD3	FHLMC GOLD		4.50		9/1/2024		3,580,494		3,774,034		3,767,192
3128NCBF0	FHLMC		2.92		1/1/2035		476,426		492,871		499,423
3128NCBH6	FHLMC		2.65		1/1/2035		868,561		893,743		900,473
3128NCBW3	FHLMC		2.81		2/1/2035		557,414		571,346		584,376
3128NCDH4	FHLMC		2.77		2/1/2035		274,809		289,182		287,538
3128PR7G8	FHLMC GOLD		4.37		8/1/2025		1,992,090		2,073,475		2,082,074
3128PRVD8	FHLMC GOLD		4.00		6/1/2025		2,466,728		2,560,126		2,583,232
3128PRWK1	FHLMC GOLD		4.00		7/1/2025		1,727,294		1,782,640		1,805,317
3128PRWU9	FHLMC GOLD		4.00		7/1/2025		5,381,734		5,585,550		5,635,914
3128PRZ85	FHLMC GOLD		4.00		7/1/2025		1,712,937		1,767,760		1,790,311
3128PSBA4	FHLMC GOLD		4.00		8/1/2025		4,481,927		4,665,012		4,684,377
3128QLPD7	FHLMC		2.63		6/1/2035		26,231,524		27,142,430		27,556,303
3128S4E52	FHLMC		2.83		10/1/2035		8,576,525		8,952,289		9,028,105
312929CM2	FHLMC GOLD		6.00		1/1/2039		10,658		11,717		11,674
31292KJH1	FHLMC GOLD		6.00		7/1/2037		2,295		2,523		2,514
31292KX93	FHLMC GOLD		4.50		9/1/2039		5,654,863		5,706,917		5,887,277
312930LH1	FHLMC GOLD		6.00		1/1/2039		37,446		41,166		41,013
312930LQ1	FHLMC GOLD		6.00		1/1/2039		44,190		48,587		48,400
312930RC6	FHLMC GOLD		6.00		1/1/2039		28,762		31,203		30,854
312930RV4	FHLMC GOLD		6.00		1/1/2039		13,826		15,202		15,143
312930TB6	FHLMC GOLD		6.00		1/1/2039		13,296		14,419		14,263
312931D62	FHLMC GOLD		4.00		2/1/2039		4,394,007		4,450,301		4,512,869
312931TJ7	FHLMC GOLD		5.00		3/1/2039		3,798,972		4,016,872		3,993,290
3129326W1	FHLMC GOLD		5.00		5/1/2039		37,108		38,283		39,006
312932CX2	FHLMC GOLD		4.50		4/1/2039		3,649,836		3,783,044		3,813,769
312932XE1	FHLMC GOLD		5.00		5/1/2039		42,300		43,639		44,464
312932ZE9	FHLMC GOLD		5.00		5/1/2039		101,353		104,562		108,225
312933E83	FHLMC GOLD		5.00		5/1/2039		35,217		36,333		37,605
312933F41	FHLMC GOLD		4.50		6/1/2039		5,146,980		5,333,090		5,358,521
312933F66	FHLMC GOLD		5.00		6/1/2039		37,452		38,638		39,368
3129345K4	FHLMC GOLD		5.00		8/1/2039		190,351		196,021		202,185
312934JJ2	FHLMC GOLD		5.00		7/1/2039		77,815		80,278		81,795
312934MM1	FHLMC GOLD		5.00		7/1/2039		77,975		80,444		81,964
312934PJ5	FHLMC GOLD		5.00		8/1/2039		102,000		105,230		108,915
312934R38	FHLMC GOLD		5.00		8/1/2039		86,729		89,475		92,608
312934WP3	FHLMC GOLD		5.00		8/1/2039		75,514		77,764		80,209
312934Z47	FHLMC GOLD		5.00		8/1/2039		61,567		63,517		64,716
3129353B3	FHLMC GOLD		4.50		9/1/2039		759,879		766,287		791,110
3129356Q7	FHLMC GOLD		4.50		9/1/2039		192,026		193,646		199,919
312935AT6	FHLMC GOLD		5.00		8/1/2039		206,210		212,355		219,030
312935BW8	FHLMC GOLD		5.00		8/1/2039		94,972		98,885		99,830
312935JT7	FHLMC GOLD		4.50		9/1/2039		284,338		287,152		296,024
312935KN8	FHLMC GOLD		5.00		9/1/2039		123,169		126,839		130,826
312935KY4	FHLMC GOLD		4.50		9/1/2039		283,326		286,130		294,970
312935LV9	FHLMC GOLD		4.50		9/1/2039		193,341		195,254		201,287
312935MQ9	FHLMC GOLD		4.50		9/1/2039		949,809		960,560		998,999
312935MV8	FHLMC GOLD		4.50		9/1/2039		1,924,131		1,943,913		2,003,213
312935S75	FHLMC GOLD		5.00		9/1/2039		447,323		465,757		477,650
3129365C7	FHLMC GOLD		5.00		11/1/2039		1,574,371		1,637,246		1,672,250
312936AM9	FHLMC GOLD		5.00		9/1/2039		122,018		126,887		129,604
312936AP2	FHLMC GOLD		5.00		9/1/2039		90,386		94,112		95,010
312936GU5	FHLMC GOLD		5.00		10/1/2039		159,113		165,675		169,900
312936LH8	FHLMC GOLD		5.00		10/1/2039		376,163		391,756		395,404
312936LM7	FHLMC GOLD		5.00		10/1/2039		673,839		700,399		715,732
3129383Y7	FHLMC GOLD		5.00		1/1/2040		158,897		165,244		168,776
3129385D1	FHLMC GOLD		5.00		1/1/2040		105,027		109,209		111,294
312938GP2	FHLMC GOLD		5.00		12/1/2039		529,540		550,692		562,461

Page 12


		Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010


Cusip	Security Description	Coupon		Maturity		Par			Book Value $			Market Value $
312938XT5	FHLMC GOLD		5.00		1/1/2040		717,903			746,504			760,292
3129394R9	FHLMC GOLD		5.00		4/1/2040		4,408,216			4,557,947			4,633,696
312939RM5	FHLMC GOLD		5.00		3/1/2040		4,702,836			4,862,580			4,943,386
312939T43	FHLMC GOLD		5.00		3/1/2040		2,269,810			2,346,821			2,385,911
312939U82	FHLMC GOLD		5.00		3/1/2040		7,779,016			8,043,234			8,176,913
312939WP2	FHLMC GOLD		5.00		3/1/2040		2,679,649			2,770,681			2,816,713
312939XT3	FHLMC GOLD		5.00		3/1/2040		3,255,529			3,366,047			3,422,050
312940A82	FHLMC GOLD		5.00		4/1/2040		2,601,866			2,690,215			2,734,951
312940DF3	FHLMC GOLD		5.00		4/1/2040		4,813,453			4,976,800			5,059,661
312940E54	FHLMC GOLD		5.00		4/1/2040		4,433,010			4,583,857			4,659,759
312940GK9	FHLMC GOLD		5.00		4/1/2040		1,297,936			1,341,995			1,364,325
31294KDZ5	FHLMC GOLD		5.00		9/1/2016		1,905			2,004			2,033
31294KFJ9	FHLMC GOLD		5.00		11/1/2016		3,592			3,780			3,828
31294KHD0	FHLMC GOLD		5.00		2/1/2017		7,631			8,034			8,144
31294KHL2	FHLMC GOLD		5.00		3/1/2017		15,027			15,822			16,038
31294KJT3	FHLMC GOLD		5.00		5/1/2017		4,830			5,086			5,155
31294KKU8	FHLMC GOLD		5.00		9/1/2017		8,089			8,523			8,633
31294MAK7	FHLMC GOLD		4.00		8/1/2025		5,942,268			6,185,010			6,210,683
312962CQ4	FHLMC GOLD		5.00		8/1/2018		11,457			12,075			12,228
312962CT8	FHLMC GOLD		5.00		8/1/2018		2,029			2,137			2,166
312962KD4	FHLMC GOLD		5.50		10/1/2018		125,852			136,224			135,720
312962KT9	FHLMC GOLD		5.00		10/1/2018		19,904			20,973			21,244
312962MD2	FHLMC GOLD		5.00		11/1/2018		35,310			37,206			37,687
312962Q63	FHLMC GOLD		5.50		10/1/2018		22,170			23,999			23,909
312962UW1	FHLMC GOLD		5.50		11/1/2018		1,665,019			1,802,104			1,795,568
312963VY4	FHLMC GOLD		5.50		12/1/2018		255,890			276,994			275,954
312963WH0	FHLMC GOLD		5.50		12/1/2018		28,929			31,316			31,198
312963ZG9	FHLMC GOLD		5.50		11/1/2018		108,383			117,336			116,881
3129642B4	FHLMC GOLD		5.50		3/1/2019		326,753			353,658			352,570
312964KG3	FHLMC GOLD		5.00		2/1/2019		6,645			7,007			7,092
312964WX3	FHLMC GOLD		5.50		10/1/2018		491,648			532,238			530,196
312965QA7	FHLMC GOLD		5.50		11/1/2018		264,859			286,738			285,626
312966WU4	FHLMC GOLD		5.50		5/1/2019		1,543,172			1,670,612			1,665,101
312968QL7	FHLMC GOLD		5.50		12/1/2018		2,465,052			2,664,579			2,654,361
3129696M5	FHLMC GOLD		4.00		11/1/2014		3,034,445			3,193,886			3,212,771
312969VY1	FHLMC GOLD		4.50		10/1/2014		4,974,845			5,272,787			5,282,850
3129714D3	FHLMC GOLD		4.00		3/1/2015		4,133,247			4,348,688			4,362,578
31342A6F1	FHLMC		2.57		9/1/2033		1,050,493			1,096,453			1,103,522
31349UCW6	FHLMC		2.51		10/1/2034		493,837			513,438			516,032
31349UEJ3	FHLMC		2.65		11/1/2034		887,280			928,209			923,300
31349ULB2	FHLMC		2.62		2/1/2035		894,251			929,542			939,245
31349ULF3	FHLMC		2.48		2/1/2035		533,407			547,494			557,586
31349UMF2	FHLMC		2.63		3/1/2035		6,713,139			6,922,878			7,050,381
31393M5X5	FHLMC CMO		5.00		12/15/2016		111,773			231			396
01N0406A1	GNMA		4.00		10/1/2040		63,000,000			65,105,117			65,155,781
01N0406B9	GNMA		4.00		11/1/2040		2,000,000			2,061,563			2,062,188
01F0324A9	FNMA		3.50		10/1/2025		27,000,000			27,748,125			27,860,625
01F0324A9	FNMA		3.50		10/1/2025		(27,000,000	)		(27,798,203	)		(27,860,625	)
01F0324B7	FNMA		3.50		11/1/2025		80,000,000			82,312,969			82,296,875
01F0324B7	FNMA		3.50		11/1/2025		(34,000,000	)		(34,869,414	)		(34,976,172	)
01F0324C5	FNMA		3.50		12/1/2025		25,000,000			25,557,813			25,637,695
01F0326A7	FNMA		3.50		10/1/2040		7,000,000			7,061,250			7,052,500
01F0406A0	FNMA		4.00		10/1/2039		17,000,000			17,454,531			17,478,125
01F0406A0	FNMA		4.00		10/1/2039		(17,000,000	)		(17,502,188	)		(17,478,125	)
01F0426A6	FNMA		4.50		10/1/2037		115,000,000			119,388,594			119,779,688
01F0426A6	FNMA		4.50		10/1/2037		(74,000,000	)		(77,324,219	)		(77,075,625	)
01F0506A9	FNMA TBA		5.00		10/1/2034		15,000,000			15,778,125			15,789,844
01F0506A9	FNMA TBA		5.00		10/1/2034		(15,000,000	)		(15,826,172	)		(15,789,844	)

Page 13


		Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010


Cusip	Security Description	Coupon		Maturity		Par			Book Value $			Market Value $
01F0526A5	FNMA TBA		5.50		10/1/2034		118,000,000			125,583,906			125,393,438
01F0526A5	FNMA TBA		5.50		10/1/2034		(57,000,000	)		(60,653,750	)		(60,571,406	)
01F0606A8	FNMA TBA		6.00		10/1/2032		3,000,000			3,223,594			3,221,719
01F0606A8	FNMA TBA		6.00		10/1/2032		(3,000,000	)		(3,225,469	)		(3,221,719	)
01F0606B6	FNMA TBA		6.00		11/1/2034		3,000,000			3,220,781			3,217,266
01F0626A4	FNMA TBA		6.50		10/1/2034		10,000,000			10,853,516			10,909,375
02R0506A4	FHLMC TBA		5.00		10/1/2034		34,000,000			35,726,563			35,718,594
02R0506A4	FHLMC TBA		5.00		10/1/2034		(34,000,000	)		(35,814,219	)		(35,718,594	)

							1,059,221,727			1,103,687,408			1,112,192,244

Non Agency RMBS
000780ET9	AMAC		5.00		4/25/2018		823,740			803,048			845,157
04271AAB7	ARRMF		0.35		9/16/2056		686,665			664,970			673,344
059469AA4	BOAA		5.90		10/25/2036		40,392			40,392			40,341
05948X6X4	BANK OF AMERICA MTG SEC		4.75		6/25/2019		6,364,551			6,397,685			6,606,468
05951KAX1	BAFC		5.88		10/25/2036		521,514			337,272			355,918
07384MWF5	BSARM		3.07		8/25/2033		135,066			123,042			129,091
126380AB0	CSMC		5.50		11/25/2036		2,282,817			1,854,212			1,917,567
126384AJ5	CSMC		5.00		3/25/2037		1,267,334			1,160,068			1,154,123
12638PBU2	CSMC		5.00		4/25/2037		1,256,795			1,035,361			1,060,559
12669E5B8	CWHL		5.00		11/25/2018		974,667			1,000,912			1,010,037
12669EYQ3	COUNTRYWIDE HOME LOANS TR		3.32		8/25/2033		97,076			73,311			80,641
16162WLM9	CHASE		5.50		10/25/2035		14,399,939			13,711,013			14,428,883
161630AC2	CHASE		3.15		2/25/2037		14,186,466			14,151,766			14,151,851
161630AG3	CHASE		2.89		2/25/2037		25,233,353			23,628,947			24,034,769
161630AN8	CHASE		3.15		2/25/2037		3,978,834			3,906,468			3,997,893
161630AQ1	CHASE		2.90		2/25/2037		3,200,707			2,939,250			2,977,938
1729733P2	CMSI		5.00		10/25/2035		14,678,640			14,232,588			14,864,618
22882MAA6	CRGT		0.48		9/18/2034		58,529			52,674			58,207
38741QAC0	GRAN		1.02		7/20/2043		94,757			88,475			88,687
38741SAF9	GRAN		0.43		9/20/2044		39,459			36,174			36,914
449670EQ7	IMC HOME EQUITY LOAN TRUST		6.84		8/20/2029		189,794			185,737			187,177
46070MAA7	IMT		0.83		7/7/2034		15,205			15,205			15,106
46630GAA3	JPMMT		3.01		7/25/2035		8,283,980			7,753,280			7,832,254
46630GAD7	JPMMT		3.31		7/25/2035		3,058,269			2,839,557			2,878,382
46630GAN5	JPMMT_07-A1		2.97		7/25/2035		2,169,812			2,045,071			2,103,632
46630GAS4	JPMMT		3.28		7/25/2035		8,389,742			7,834,128			7,887,280
525170BL9	LABS		5.00		12/25/2033		13,434,182			13,326,157			13,639,893
55265K5Q8	MASTR		4.75		1/25/2034		992,421			994,327			1,017,621
576433QQ2	MARM_04-8		1.95		9/25/2034		1,246,386			910,659			920,930
58403GAB1	MEDL		0.34		2/27/2039		372,847			360,848			361,081
589929W53	MLMI		2.80		7/25/2033		215,604			217,839			214,189
76110H2P3	RES ASSET SEC		3.38		3/25/2035		1,807,754			1,094,652			1,132,034
76110HHG7	RFMSI_03-Q16		5.00		8/25/2018		8,097,904			7,845,084			8,387,485
863579KY3	SARM		2.82		2/25/2035		2,745,774			1,934,020			1,959,521
86359BGD7	STRUCTURED ASSET SEC CORP		4.12		2/25/2034		141,260			115,445			125,586
86359BVE8	STRUCTURED ASSET SEC CORP		2.53		6/25/2034		10,294,559			9,289,377			9,419,521
88522AAC5	THORNBURG MORTGAGE SECURITIES		0.38		7/25/2036		9,521,957			9,107,081			9,459,293
92922F4M7	WASHINGTON MUTUAL		0.55		10/25/2045		1,305,053			729,630			1,056,441
92922F4P0	WAMU		1.04		10/25/2045		6,426,613			5,148,271			5,583,441
92922FB49	WASHINGTON MUTUAL		0.62		11/25/2034		416,565			228,037			333,459
92922FZF8	WAMU_04-A12		0.70		10/25/2044		7,702,503			4,346,789			6,192,566
949781AA6	WFMBS		2.85		2/25/2035		3,924,425			3,656,424			3,649,716
94982BAG5	WFMBS		2.89		6/25/2035		5,588,854			5,231,280			5,285,211

							186,662,763			171,446,525			178,154,825

Non Agency RMBS — Non investment grade strategy
751153AA5	RALI_06-Q010		0.42		1/25/2037		4,482,783			2,612,822			2,555,187
92922FR67	WASHINGTON MUTUAL		0.53		7/25/2045		604,859			482,210			484,976
86361HAA2	SAMI_06-AR7		0.47		8/25/2036		10,607,963			6,321,648			6,618,393

Page 14


		Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010


Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
008684AA0	AHMA		0.45		12/25/2046		11,363,794		4,668,098		6,131,187
02660BAA0	AHMA_07-1		1.07		2/25/2047		9,662,015		4,720,901		4,874,970
02660UAE0	AHMA_06-3		1.33		10/25/2046		11,292,067		4,845,545		6,170,663
05954DAG1	BAFC		5.72		7/20/2047		7,069,548		4,326,087		4,923,792
07384MWF5	BSARM		3.07		8/25/2033		27,013		24,608		25,818
073868AA9	BALTA_06-6		0.42		11/25/2036		18,151,678		6,960,611		8,248,395
07401AAA5	BSMF		0.46		9/25/2046		10,382,182		5,044,656		5,734,847
07401YAQ8	BEAR STEARNS MORTGAGE FUNDING		0.47		6/25/2037		22,960,538		12,214,936		13,085,899
12566XAK4	CMA_07-A7		0.66		7/25/2037		7,836,635		4,642,432		4,637,172
12667GNS8	COUNTRYWIDE ALTERNATIVE LOAN T		1.70		7/20/2035		1,039,668		452,737		624,040
12668BPY3	CWALT		5.50		4/25/2036		14,638,317		9,246,769		10,537,685
126694A32	COUNTRYWIDE HOME LOANS		0.47		3/20/2046		2,010,916		921,991		1,065,785
126694M96	COUNTRYWIDE HOME LOANS		0.46		4/25/2046		7,689,197		3,321,753		4,446,417
12669EYQ3	COUNTRYWIDE HOME LOANS TR		3.32		8/25/2033		32,359		24,437		26,880
22541NQ77	CSFB_03-AR9		2.63		3/25/2033		82,456		47,614		72,894
22541QUJ9	CS FIRST BOSTON MORTGAGE SECUR		2.43		10/25/2033		166,413		84,751		150,146
22942KCD0	CSMC		6.00		8/25/2036		15,801,905		9,419,594		10,343,769
232434AE0	CWALT_06-OC8		0.51		11/25/2036		25,540,207		3,905,323		3,366,710
23245GAD3	CWALT_06-OC9		0.51		12/25/2046		6,336,460		1,231,013		970,619
23245QAA7	CWALT		0.45		3/20/2047		12,954,567		6,032,011		7,072,857
25151AAG6	DBALT		0.54		8/25/2036		31,024,259		5,505,487		5,897,091
32052DAG6	FHAMS_06-FA8		6.00		2/25/2037		7,486,234		5,505,809		5,855,058
40431HAJ6	HALO		0.56		12/25/2036		5,781,542		1,369,922		1,956,416
41161VAC4	HVMLT		0.46		9/19/2036		5,819,993		3,256,968		3,327,756
41162CAC5	HVMLT_06-10		0.44		11/19/2036		8,605,406		4,906,761		5,121,564
41162DAF6	HVMLT_06-12		0.45		12/19/2036		7,553,265		4,137,648		4,890,739
41162NAC1	HVMLT		0.41		1/25/2047		5,019,571		2,458,877		2,809,931
45660NQ24	INDX		2.99		8/25/2034		432,113		254,059		280,489
45668WAC1	INX		0.51		2/25/2037		5,000,000		589,620		520,400
52520MBY8	LMT_05-2		1.01		12/25/2035		3,998,922		2,418,458		2,751,498
525221HA8	LXS		0.52		2/25/2046		4,767,324		2,022,348		2,515,198
52524GAA0	LXS_07-7N		0.48		6/25/2047		12,124,501		7,105,599		7,591,150
52524HAJ9	LXS		1.12		3/25/2047		2,764,795		1,485,610		1,666,038
52524PAG7	LXS_07-16N		0.42		5/25/2037		12,458,227		8,113,565		8,090,746
52524VAQ2	LXS_07-15N		1.16		8/25/2047		8,318,369		4,357,112		4,954,504
55027WAA0	LUM_07-2		0.49		5/25/2037		5,156,128		2,889,555		2,851,545
55027XAA8	LUM_06-5		0.45		7/25/2036		7,554,100		3,607,846		4,139,269
57643LLC8	MABS		5.65		11/25/2035		10,000,000		4,034,580		5,470,500
59024KAX1	MLA_07-AF1		5.33		6/25/2037		4,426,460		2,425,699		2,274,342
74958XAB0	RFMSI		5.63		4/25/2037		6,878,318		4,549,041		4,838,003
75115YAA7	RALI_07-Q01		0.41		2/25/2037		1,757,276		799,033		1,028,006
76110H2P3	RES ASSET SEC		3.38		3/25/2035		364,290		220,589		228,122
761118FG8	RALI		3.45		8/25/2035		4,302,541		2,456,888		2,809,344
761118QM3	RALI		1.37		1/25/2046		4,644,818		2,490,688		2,537,660
863579J90	SARM		5.18		12/25/2035		9,945,000		3,220,953		3,383,567
86359A5B5	SASC		2.66		11/25/2033		401,961		295,759		358,188
86359AH71	SASC		2.56		7/25/2033		613,562		473,533		573,515
86359BGD7	STRUCTURED ASSET SEC CORP		4.12		2/25/2034		35,315		28,861		31,396
86359LQM4	SAMI_06-AR1		2.52		3/25/2046		4,184,246		2,139,482		2,406,276
86364RAA7	SAMI_07-AR6		1.89		8/25/2047		16,293,313		6,618,242		9,815,418
92922F7P7	WASHINGTON MUTUAL		0.53		12/25/2045		9,106,235		5,422,667		7,284,988
92922FJ25	WASHINGTON MUTUAL		0.49		4/25/2045		1,877,408		1,491,237		1,546,384
92922FR75	WASHINGTON MUTUAL		0.55		7/25/2045		6,119,425		4,683,096		4,955,381
92925DAB6	WAMU		1.18		12/25/2046		3,885,981		1,845,022		2,633,296
92927BAA0	WAMU_07-OA6		1.18		7/25/2047		22,766,424		11,205,223		14,593,278
93363RAA4	EAST PACES FERRY LLC		1.25		10/25/2046		9,197,566		4,841,937		5,748,295
93936RAA2	WAL		1.21		5/25/2047		9,104,010		4,471,624		5,472,603
94981QAA6	WFMBS		2.95		10/25/2035		596,154		492,155		592,124

							461,098,591		215,744,106		245,969,176

Page 15


		Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010


Cusip	Security Description	Coupon		Maturity	Par		Book Value $		Market Value $
CMBS
05947UDP0	BAFU		5.46	4/11/2037		383,698		391,666		392,672
05950EAE8	BACM		5.93	5/10/2045		5,865,000		6,447,242		6,433,109
07383FXJ2	BEAR STEARNS COMMERCIAL MORTGA		5.19	5/11/2039		4,000,000		4,126,546		4,329,270
07383FXN3	BSCMS		4.68	8/13/2039		4,000,000		4,022,991		4,302,006
07388LAE0	BEAR STEARNS		5.54	9/11/2041		7,500,000		8,179,498		8,199,809
17310MAE0	CITIGROUP		5.43	10/15/2049		1,000,000		1,070,142		1,081,188
17310MBQ2	CGCMT		5.50	10/15/2049		493,869		451,928		465,950
22540VGE6	CSFB		5.43	9/15/2034		36,711,975		37,481,658		37,666,255
22545BAA9	CSMC		5.25	3/15/2039		816,309		821,455		822,431
36158YDC0	GECMC		5.56	6/10/2038		71,712		72,123		72,141
36158YFT1	GECCMC_02-2		5.35	8/11/2036		24,929,000		26,173,736		26,333,909
361849ZS4	GMACC		4.65	4/10/2040		270,715		274,184		275,437
361849ZT2	GMACC		5.02	4/10/2040		4,000,000		4,092,500		4,342,978
36228CVQ3	GSMS		4.61	7/10/2039		500,000		506,448		509,295
38376GDL1	GOV NATL MTGE ASSOC		3.10	12/16/2050		10,892,173		10,870,196		11,393,041
396789JS9	GCCFC		4.57	8/10/2042		500,000		505,856		514,476
52108HMU5	LBUBS COMM MTG TR		4.85	9/15/2031		88,000,000		92,088,915		93,245,513
52108HRB2	LBUBS		3.85	5/15/2027		443,135		452,260		457,624
52108MAF0	LBUBS		5.20	11/15/2030		1,450,000		1,536,434		1,585,401
61745M5G4	MSC		4.89	6/12/2047		500,000		528,044		543,950
61745ML27	MSC		4.69	6/13/2041		1,312,131		1,315,458		1,315,505
61745ML43	MSC		5.27	6/13/2041		4,000,000		4,076,305		4,360,646
61750HAE6	MSC		5.33	11/12/2041		4,250,000		4,444,510		4,552,762
79548CAB2	SBM7		6.59	12/18/2033		61,408		61,289		61,334
396789FH7	GCCFC		0.88	1/5/2036		15,295,014		17,696		25,084

						217,246,137		210,009,080		213,281,783

Corporate Securities — Financials
06050BAA9	BANK OF AMERICA CORP — GTD		3.13	6/15/2012		6,000,000		5,998,504		6,264,660
17313YAJ0	CITIGROUP FUNDING INC — GTD		2.25	12/10/2012		5,000,000		5,001,150		5,175,450
17313YAL5	CITIGROUP FUNDING INC — GTD		1.88	10/22/2012		37,000,000		37,037,877		37,961,260
17313YAN1	CITIGROUP FUNDING INC — GTD		1.88	11/15/2012		59,300,000		59,230,198		60,855,440
36186CBF9	GMAC LLC		2.20	12/19/2012		5,000,000		4,994,951		5,171,200
36967HAD9	GENERAL ELECTRIC CAPITAL CORPO		3.00	12/9/2011		2,750,000		2,754,112		2,834,507
481247AA2	JPMORGAN CHASE & CO-GTD		3.13	12/1/2011		1,000,000		999,752		1,031,620
61757UAH3	MORGAN STANLEY-GTD		1.95	6/20/2012		1,250,000		1,249,727		1,280,575
846042AA7	SOVEREIGN BANK — GTD		2.75	1/17/2012		2,000,000		1,999,193		2,059,920
90345AAA0	US CENTRAL CREDIT UNION — (LT)		1.25	10/19/2011		27,200,000		27,192,477		27,450,511
90345AAC6	US CENTRAL CREDIT UNION — (LT)		1.90	10/19/2012		15,500,000		15,493,163		15,905,480
91160HAA5	US BANCORP — (LT) GTD		2.25	3/13/2012		4,100,000		4,099,758		4,206,600
008252AL2	AFFILIATED MANAGERS GROUP INC.		3.95	8/15/2038		1,950,000		1,924,194		1,974,375
02580ECN1	AMERICAN EXPRESS BANK FSB		5.50	4/16/2013		1,500,000		1,492,592		1,635,681
0258M0BX6	AMERICAN EXPRESS CREDIT CO		0.44	12/2/2010		73,000		73,000		73,008
0258M0DA4	AMERICAN EXPRESS CREDIT CO		2.75	9/15/2015		4,000,000		3,976,854		4,027,839
02666QF32	AMERICAN HONDA FINANCE		2.38	3/18/2013		2,150,000		2,149,292		2,201,088
02666QXM0	AMERICAN HONDA FINANCE		5.13	12/15/2010		1,250,000		1,247,257		1,260,273
060505DA9	BANK OF AMERICA CORP		5.42	3/15/2017		26,900,000		27,012,182		27,864,332
060505DK7	BANK OF AMERICA CORP		5.38	9/11/2012		2,625,000		2,628,849		2,791,657
06051GDY2	BANK OF AMERICA		7.38	5/15/2014		5,500,000		6,035,466		6,324,063
06406HBQ1	BANK OF NEW YORK CO		2.95	6/18/2015		4,000,000		3,995,117		4,220,079
073928X73	BEAR STEARNS CO INC		6.95	8/10/2012		16,625,000		17,320,842		18,399,742
12572QAD7	CME GROUP INC		5.75	2/15/2014		2,000,000		2,004,850		2,251,768
14912L4F5	CATERPILLAR FINL SERV		6.13	2/17/2014		3,300,000		3,299,737		3,791,466
172967EU1	CITIGROUP INC		6.50	8/19/2013		4,000,000		4,186,156		4,419,884
172967EY3	CITIGROUP INC		6.38	8/12/2014		29,875,000		31,336,704		33,147,100
172967EZ0	CITIGROUP INC		5.50	10/15/2014		10,650,000		11,188,242		11,537,735

Page 16


		Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010


Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
172967FD8	CITIGROUP INC		4.75		5/19/2015		750,000		775,567		793,200
172967FE6	CITIGROUP INC		6.00		12/13/2013		2,000,000		2,033,001		2,195,108
244217BK0	JOHN DEERE CAPITAL CORPORATION		5.10		1/15/2013		4,000,000		3,925,769		4,356,748
24422EQV4	JOHN DEERE CAPITAL CORPORATION		5.75		9/10/2018		9,000,000		9,828,987		10,654,966
26441YAS6	DUKE REALTY LP		7.38		2/15/2015		725,000		721,678		822,859
302508BA3	FMR CORP.		4.75		3/1/2013		2,500,000		2,627,696		2,607,701
354613AE1	FRANKLIN RESOURCES INC.		2.00		5/20/2013		3,975,000		3,975,710		4,063,450
36962G3T9	GE CAPITAL CORP		4.80		5/1/2013		2,000,000		2,103,936		2,156,524
36962G4C5	GE CAPITAL CORP		5.90		5/13/2014		2,000,000		1,998,331		2,261,125
36962G4G6	GE CAPITAL CORP		3.75		11/14/2014		850,000		847,178		898,874
36962G4H4	GE CAPITAL CORP		2.80		1/8/2013		2,000,000		1,998,029		2,055,941
36962G4L5	GE CAPITAL CORP		3.50		6/29/2015		8,000,000		8,280,842		8,352,236
36962GYY4	GENERAL ELEC CAP CO		6.00		6/15/2012		16,300,000		15,920,244		17,565,289
38141EA33	GOLDMAN SACHS GROUP INC		6.00		5/1/2014		5,350,000		5,746,442		5,972,435
38141EA74	GOLDMAN SACHS GROUP INC		3.70		8/1/2015		4,400,000		4,399,777		4,505,729
38141GDB7	GOLDMAN SACHS GROUP INC		5.25		4/1/2013		1,500,000		1,538,904		1,620,573
40429CCR1	HSBC FINANCE CORP		5.25		4/15/2015		2,805,000		2,948,223		3,098,592
40429CFQ0	HSBC FINANCE CORP		5.70		6/1/2011		33,260,000		33,330,348		34,317,649
46623EJD2	JPMORGAN CHASE & CO		1.65		9/30/2013		3,000,000		2,999,640		3,009,584
46625HAJ9	JP MORGAN CHASE & CO		6.75		2/1/2011		22,930,000		23,034,208		23,387,814
46625HGT1	JPMORGAN CHASE & CO		5.38		10/1/2012		3,250,000		3,462,856		3,512,114
46625HHB9	JPMORGAN CHASE & CO		4.75		5/1/2013		26,895,000		26,883,827		29,108,191
46625HHN3	JPMORGAN CHASE & CO		4.65		6/1/2014		3,000,000		3,159,635		3,265,301
46625HHP8	JPMORGAN CHASE & CO		3.70		1/20/2015		3,000,000		3,006,514		3,167,366
53117CAG7	LIBERTY PROPERTY TR		6.38		8/15/2012		2,500,000		2,652,265		2,688,073
592179JG1	METLIFE INC		5.13		4/10/2013		4,000,000		3,888,090		4,348,534
6174467N3	MORGAN STANLEY		4.00		7/24/2015		9,000,000		8,969,975		9,165,755
617446V71	MORGAN STANLEY		6.25		8/28/2017		20,500,000		21,158,399		22,367,550
61746SBR9	MORGAN STANLEY		5.38		10/15/2015		20,000,000		20,660,947		21,356,989
61747YCF0	MORGAN STANLEY		6.00		5/13/2014		5,500,000		5,816,253		6,035,739
61747YCK9	MORGAN STANLEY		4.20		11/20/2014		2,150,000		2,128,502		2,234,363
63866EBL3	NATIONWIDE LIFE GLOBAL FUNDING		5.45		10/2/2012		600,000		602,892		624,042
64953BAP3	NY LIFE GLOBAL FUND		4.65		5/9/2013		4,000,000		3,937,992		4,348,552
665859AK0	NORTHERN TRUST COMPANY THE		4.63		5/1/2014		1,000,000		1,018,200		1,092,888
693476BE2	PNC FUNDING CORP		5.40		6/10/2014		2,000,000		2,168,543		2,223,472
693476BH5	PNC FUNDING CORP		3.63		2/8/2015		24,725,000		24,703,232		25,782,588
699490AA6	BANQUE NATIONALE DE PARIBAS/NY		6.95		7/22/2013		500,000		528,117		559,370
857477AE3	STATE STREET CORPORATION		4.30		5/30/2014		1,750,000		1,748,767		1,899,278
87244EAC6	TIAA GLOBAL MARKETS		5.13		10/10/2012		3,000,000		3,124,314		3,242,545
90331HKP7	U.S. BANK NATIONAL ASSOCIATION		4.95		10/30/2014		2,750,000		2,771,776		3,051,591
91159HGR5	US BANCORP		4.20		5/15/2014		3,700,000		3,737,967		4,006,023
91159HGY0	US BANCORP		1.38		9/13/2013		3,000,000		2,996,193		3,018,602
92933DAA8	WEA FINANCE LLC		7.50		6/2/2014		1,580,000		1,796,725		1,835,412
92933WAA6	WEA FINANCE LLC/WT FINANCE AUS		5.75		9/2/2015		3,000,000		2,975,367		3,348,578
92976WBJ4	WACHOVIA CORPORATION		5.50		5/1/2013		5,000,000		5,257,632		5,512,833
929903DT6	WACHOVIA CORPORATION		5.75		6/15/2017		27,025,000		27,869,601		30,598,936
949746NJ6	WELLS FARGO & COMPANY		5.30		8/26/2011		6,000,000		6,003,919		6,251,785
949746NY3	WELLS FARGO & COMPANY		4.38		1/31/2013		1,500,000		1,567,775		1,611,249
94974BEP1	WELLS FARGO & COMPANY		0.95		1/24/2011		1,177,000		1,176,648		1,178,907
94974BET3	WELLS FARGO & COMPANY		3.75		10/1/2014		1,750,000		1,750,060		1,858,207
94974BEU0	WELLS FARGO & COMPANY		3.63		4/15/2015		250,000		262,047		264,428
00279VCA1	ABBEY NATIONAL TREASURY SERVIC		3.88		11/10/2014		3,750,000		3,749,280		3,849,651
05565QBH0	BP CAPITAL MARKETS PLC		3.88		3/10/2015		22,675,000		21,388,726		23,513,879
05565QBL1	BP CAPITAL MARKETS PLC		3.63		5/8/2014		9,000,000		8,990,080		9,290,308
064149B97	BANK OF NOVA SCOTIA		2.38		12/17/2013		5,000,000		4,983,895		5,166,780
064149C39	BANK OF NOVA SCOTIA		1.45		7/26/2013		71,600,000		71,749,996		72,359,674
064255AB8	BANK OF TOKYO-MITSUBISHI UFJ L		3.85		1/22/2015		18,500,000		18,493,383		19,882,487
06739FGP0	BARCLAYS BANK PLC		2.50		1/23/2013		12,000,000		11,843,178		12,301,652

Page 17


		Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010


Cusip	Security Description	Coupon		Maturity	Par		Book Value $		Market Value $
06739GBB4	BARCLAYS BANK PLC		3.90	4/7/2015		3,250,000		3,400,368		3,436,164
10778XAA4	BRFKREDIT AS		2.05	4/15/2013		29,700,000		29,672,229		30,538,653
136069DF5	CANADIAN IMPERIAL BK COMRC		2.00	2/4/2013		21,200,000		21,553,532		21,729,578
136069DM0	CANADIAN IMPERIAL BK COMRC		2.60	7/2/2015		10,500,000		10,618,244		10,910,550
2027A0EM7	COMMONWEALTH BANK OF AUSTRALIA		3.50	3/19/2015		3,000,000		2,988,697		3,135,179
204279AA1	CIE FIN FONC		2.13	4/22/2013		12,700,000		12,828,792		12,923,012
20428AAA7	CIE FIN FONC		1.63	7/23/2012		23,375,000		23,389,536		23,592,388
22546QAA5	CREDIT SUISSE GROUP		5.50	5/1/2014		3,000,000		3,255,989		3,336,073
2254C0TC1	CREDIT SUISSE NEW YORK NY		5.00	5/15/2013		26,500,000		28,373,863		28,775,344
249575AM3	DEPFA ACS BANK		5.50	6/28/2011		2,800,000		2,851,979		2,868,040
2515A0Q30	DEUTSCHE BK LDN		3.88	8/18/2014		9,500,000		9,613,458		10,096,164
2515A0U76	DEUTSCHE BK LDN		3.45	3/30/2015		2,500,000		2,608,778		2,618,978
40411EAB4	BANK OF SCOTLAND PLC		5.25	2/21/2017		2,000,000		1,783,956		2,173,260
44328MAB0	HSBC BANK PLC		3.50	6/28/2015		13,950,000		13,939,109		14,614,842
44914PAR8	HYPOTHEKENBANK IN ESSEN AG		5.00	1/20/2012		2,500,000		2,546,804		2,619,925
53947MAB2	LLOYDS TSB BANK PLC		5.80	1/13/2020		11,000,000		10,975,791		11,383,625
6325C0AZ4	NATIONAL AUSTRALIA BANK LIMITE		2.50	1/8/2013		3,710,000		3,717,559		3,772,383
65557CAA1	NORDEA BANK AB		3.70	11/13/2014		31,250,000		31,212,101		32,858,870
78010XAD3	ROYAL BANK OF SCOTLAND PLC THE		3.40	8/23/2013		3,825,000		3,823,002		3,900,015
865622AD6	SUMITOMO MITSUI BANKING CORPOR		2.15	7/22/2013		30,400,000		30,389,171		30,991,261
86959LAA1	SVENSKA HANDELSBANKEN AB		4.88	6/10/2014		4,000,000		3,991,720		4,344,200
90261XGF3	UBS AG STAMFORD BRANCH		2.25	8/12/2013		2,325,000		2,322,111		2,338,456
90466GAB8	UNICREDITO LUXEM FIN		5.58	1/13/2017		16,750,000		16,750,000		16,163,750
96008YAB1	WESTFIELD CAPITAL CORP LTD		5.13	11/15/2014		9,650,000		10,265,197		10,505,989
961214BH5	WESTPAC BANKING		4.20	2/27/2015		5,000,000		4,995,825		5,367,708
961214BJ1	WESTPAC BANKING		2.25	11/19/2012		5,000,000		5,006,632		5,086,032
06738CAF6	BARCLAYS BANK PLC		7.38	6/29/2049		16,777,000		12,110,630		16,860,885
00448MAA9	ACHMEA HYPOTHEEKBANK N.V. — LT		3.20	11/3/2014		34,000,000		33,985,899		36,090,661
20272BAF1	COMMONWEALTH BANK AUSTRALIA, G		3.63	6/25/2014		50,000,000		50,646,076		54,136,502
20272BAK0	COMMONWEALTH BANK OF AUSTRALIA		2.90	9/17/2014		7,500,000		7,608,499		7,921,575
45324QAB2	ING BANK NV — (LT) GTD		2.63	2/9/2012		26,700,000		27,089,236		27,391,531
52205VAA3	LEASEPLAN CORPORATION NV — GTD		3.00	5/7/2012		700,000		699,897		724,507
62914AAB8	NIBC BANK NV — GTD		2.80	12/2/2014		8,600,000		8,584,189		8,972,553
78011CAG1	ROYAL BK OF STLAND GRP PLC — (		1.50	3/30/2012		5,000,000		4,998,398		5,048,450

						1,185,132,000		1,192,537,537		1,243,964,503

Corporate Securities - Industrial
06846NAA2	BILL BARRETT		5.00	3/15/2028		1,850,000		1,842,411		1,877,750
159864AB3	CHARLES RIVER LABS INTL INC.		2.25	6/15/2013		2,450,000		2,340,915		2,397,938
436440AA9	HOLOGIC, INC.		2.00	12/15/2037		2,370,000		2,109,727		2,192,250
451055AB3	ICONIX BRAND GROUP INC		1.88	6/30/2012		2,360,000		2,259,488		2,283,831
457985AH2	INTEGRA LIFESCIENCES HLDGS COR		2.38	6/1/2012		1,800,000		1,739,315		1,734,750
470355AC2	JAMES RIVER COAL CO		4.50	12/1/2015		2,050,000		1,912,331		2,062,813
496902AD9	KINROSS GOLD CORP		1.75	3/15/2028		2,150,000		2,108,774		2,190,313
535919AF1	LIONS GATE ENTER		2.94	10/15/2024		1,600,000		1,561,504		1,578,000
66987EAA5	NOVAGOLD		5.50	5/1/2015		1,160,000		1,182,196		1,310,800
82934HAD3	SINO FOREST CORP		4.25	12/15/2016		1,750,000		1,695,710		1,822,188
896356AA0	TRINIDAD DRILING LTD		7.75	7/31/2012		1,420,000		1,394,402		1,411,902
00206RAR3	AT&T INC		5.80	2/15/2019		22,000,000		23,717,813		26,139,351
00209AAG1	NEW CINGULAR WIRELESS SERVICES		8.13	5/1/2012		13,425,000		14,192,313		14,928,685
002824AS9	ABBOTT LABORATORIES		5.60	5/15/2011		1,200,000		1,205,422		1,238,961
00846UAF8	AGILENT TECHNOLOGIES INC.		2.50	7/15/2013		7,000,000		6,987,877		7,124,852
020039DB6	ALLTEL CORPORATION		7.00	7/1/2012		29,225,000		29,613,218		32,135,986
035229CE1	ANHEUSER-BUSCH		7.50	3/15/2012		1,600,000		1,588,509		1,745,739
03523TAL2	ANHEUSER-BUSCH INBEV WORLDWIDE		3.00	10/15/2012		2,500,000		2,554,562		2,591,499
03523TAM0	ANHEUSER-BUSCH INBEV WORLDWIDE		4.13	1/15/2015		10,000,000		10,326,853		10,728,652
053611AC3	AVERY DENNISON CORP		4.88	1/15/2013		1,500,000		1,458,023		1,603,268

Page 18


		Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010


Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
054303AS1	AVON PRODUCTS INC		5.13		1/15/2011		1,700,000		1,694,963		1,722,865
071813AZ2	BAXTER INTERNATIONAL INC		4.00		3/1/2014		6,400,000		6,460,286		6,957,848
097014AK0	BOEING CAPITAL CORPORATION		3.25		10/27/2014		250,000		249,546		267,226
097023AV7	BOEING CO		5.00		3/15/2014		1,500,000		1,495,251		1,679,952
097023AY1	BOEING CO		3.50		2/15/2015		1,250,000		1,246,840		1,352,134
10138MAH8	BOTTLING GROUP LLC		6.95		3/15/2014		3,000,000		3,310,575		3,556,451
126650AV2	CVS CAREMARK CORP		4.88		9/15/2014		12,160,000		11,998,093		13,517,788
134429AM1	CAMPBELL SOUP COMPANY		6.75		2/15/2011		1,550,000		1,559,333		1,585,960
166751AK3	CHEVRONTEXACO CORPORATION		3.45		3/3/2012		3,000,000		2,999,931		3,121,858
189054AC3	CLOROX COMPANY THE		6.13		2/1/2011		1,000,000		999,156		1,018,260
191216AL4	COCA-COLA COMPANY THE		3.63		3/15/2014		18,825,000		18,764,530		20,246,759
191219BU7	COCA-COLA ENTERPRISES INC.		3.75		3/1/2012		13,700,000		13,687,669		14,252,699
20030NAB7	COMCAST CORPORATION		6.50		1/15/2015		5,000,000		5,659,926		5,857,423
20030NAE1	COMCAST CORPORATION		5.30		1/15/2014		2,000,000		2,040,175		2,230,715
20030NAL5	COMCAST CORPORATION		5.90		3/15/2016		7,500,000		7,883,764		8,697,731
20825CAS3	CONOCOPHILLIPS		4.75		2/1/2014		25,000,000		24,951,241		27,778,965
20825CAT1	CONOCOPHILLIPS		4.60		1/15/2015		5,000,000		4,996,912		5,590,771
224044BF3	COX COMMUNICATIONS INC.		4.63		6/1/2013		1,225,000		1,267,652		1,319,985
244199BC8	DEERE & COMPANY		4.38		10/16/2019		15,400,000		15,322,761		16,978,811
24702RAH4	DELL INC		3.38		6/15/2012		14,600,000		14,594,238		15,190,388
24702RAK7	DELL INC		1.40		9/10/2013		5,200,000		5,194,185		5,225,373
24702RAL5	DELL INC		2.30		9/10/2015		4,650,000		4,648,942		4,676,148
25459HAV7	DIRECTV HOLDINGS LLC		3.13		2/15/2016		12,125,000		12,117,277		12,241,973
25468PBX3	WALT DISNEY		6.38		3/1/2012		2,000,000		2,143,594		2,160,956
260003AD0	DOVER CORP		6.50		2/15/2011		1,000,000		1,003,303		1,022,485
26138EAK5	DR PEPPER SNAPPLE GROUP INC		1.70		12/21/2011		2,500,000		2,506,093		2,523,394
263534BS7	EI DUPONT DE NEMOURS & CO		5.00		1/15/2013		2,250,000		2,413,787		2,450,952
26882PBD3	ERAC USA FINANCE COMPANY		5.80		10/15/2012		2,122,000		2,277,839		2,294,366
293791AN9	ENTERPRISE PROD OPER LP		5.60		10/15/2014		22,000,000		21,587,889		24,622,979
294429AH8	EQUIFAX INC		4.45		12/1/2014		2,000,000		2,009,403		2,126,497
29444UAG1	EQUINIX, INC.		3.00		10/15/2014		1,040,000		1,013,615		1,151,228
31428XAQ9	FEDERAL EXPRESS CORP		7.38		1/15/2014		1,000,000		1,053,313		1,167,464
369550AK4	GENERAL DYNAMICS CORPORATION		4.25		5/15/2013		1,250,000		1,202,735		1,353,499
369604AY9	GENERAL ELEC CAP CO		5.00		2/1/2013		500,000		531,758		543,333
370334BG8	GENERAL MILLS INC.		5.25		8/15/2013		9,075,000		9,274,287		10,112,068
377372AC1	GLAXOSK CAP INC		4.85		5/15/2013		10,000,000		10,766,131		10,996,468
406216AX9	HALLIBURTON COMPANY		6.15		9/15/2019		2,500,000		2,721,145		2,969,995
41283DAA1	HARLEY-DAVIDSON FUNDING CORPOR		5.25		12/15/2012		2,500,000		2,575,248		2,600,000
42809HAA5	AMERADA HESS CORPORATION		7.00		2/15/2014		1,000,000		998,157		1,162,974
428236AQ6	HEWLETT-PACKARD COMPANY		4.50		3/1/2013		4,000,000		4,262,324		4,339,384
428236AU7	HEWLETT-PACKARD COMPANY		4.25		2/24/2012		17,550,000		17,546,258		18,407,634
440452AD2	HORMEL FOODS CORP		6.63		6/1/2011		1,500,000		1,522,701		1,557,957
44107TAE6	HOST MARRIOTT LP		2.63		4/15/2027		1,600,000		1,546,585		1,560,000
452308AH2	ILLINOIS TOOL WORKS INC.		5.15		4/1/2014		5,000,000		5,218,430		5,642,055
459200BA8	IBM CORP		4.75		11/29/2012		20,000		19,946		21,677
459200GN5	IBM CORP		6.50		10/15/2013		20,810,000		22,450,599		24,165,732
459200GR6	IBM CORP		2.10		5/6/2013		3,900,000		3,897,633		4,020,825
459284AA3	INTERNATIONAL CCE INC		2.13		9/15/2015		3,000,000		2,989,058		3,010,647
50075NAX2	KRAFT FOODS INC.		6.75		2/19/2014		9,680,000		10,937,200		11,235,581
532457BD9	ELI LILLY AND COMPANY		3.55		3/6/2012		15,175,000		15,167,407		15,750,136
565849AG1	MARATHON OIL CORP		6.50		2/15/2014		2,000,000		2,096,379		2,286,446
579780AD9	MCCORMICK & CO INC		5.20		12/15/2015		1,500,000		1,457,670		1,713,300
582839AD8	MEAD JOHNSON NUTRITION CO		3.50		11/1/2014		2,000,000		2,000,318		2,110,666
58405UAF9	MEDCO HEALTH SOLUTIONS INC.		2.75		9/15/2015		2,225,000		2,224,272		2,261,239
585055AP1	MEDTRONIC INC		4.50		3/15/2014		2,750,000		2,832,008		3,027,718
589331AP2	MERCK & CO INC		4.00		6/30/2015		7,000,000		7,084,585		7,654,385
589331AR8	MERCK & CO INC		1.88		6/30/2011		750,000		750,144		758,579
594918AB0	MICROSOFT CORPORATION		2.95		6/1/2014		16,500,000		16,488,096		17,545,324

Page 19


		Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010


Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
62875UAF2	NBC UNIVERSAL		3.65		4/30/2015		20,000,000		20,196,811		21,025,446
62875UAM7	NBC UNIVERSAL		2.10		4/1/2014		3,500,000		3,499,545		3,519,940
652482BG4	NEWS AMERICA INC		5.30		12/15/2014		10,000,000		9,945,620		11,290,247
654742AA3	NISSAN MOTOR ACCEPT CO		3.25		1/30/2013		2,500,000		2,536,413		2,574,000
66989HAA6	NOVARTIS CAPITAL CORP		4.13		2/10/2014		17,775,000		17,762,296		19,450,819
68389XAD7	ORACLE CORPORATION		4.95		4/15/2013		6,675,000		6,972,501		7,362,606
69373UAB3	PACCAR INC		6.38		2/15/2012		4,000,000		3,998,017		4,284,928
70336TAA2	PATRIOT COAL CORP		3.25		5/31/2013		2,540,000		2,247,852		2,279,650
713448BK3	PEPSICO INC		3.75		3/1/2014		21,350,000		21,318,132		23,070,596
717081CZ4	PFIZER INC.		4.45		3/15/2012		23,925,000		23,908,284		25,194,046
717081DA8	PFIZER INC.		5.35		3/15/2015		7,750,000		8,274,018		8,930,293
718172AB5	PHILIP MORRIS INTERNATIONAL IN		4.88		5/16/2013		25,875,000		25,950,686		28,437,328
74005PAJ3	PRAXAIR INC.		6.38		4/1/2012		1,000,000		1,009,292		1,082,523
74369LAF0	PROTEIN DESIGN LABS, INC.		2.00		2/15/2012		1,875,000		1,791,320		1,816,406
771196AQ5	ROCHE HOLDINGS INC		5.00		3/1/2014		5,000,000		5,220,631		5,591,451
78387GAP8	AT&T INC		5.10		9/15/2014		4,000,000		3,870,709		4,497,006
792228AD0	ST. MARY LAND & EXPLOR CO		3.50		4/1/2027		500,000		499,328		521,775
828807BZ9	SIMON PROPERTY GROUP L.P.		6.13		5/30/2018		4,000,000		2,766,401		4,613,702
828807CB1	SIMON PROPERTY GROUP L.P.		6.75		5/15/2014		17,675,000		18,361,272		20,507,089
832110AK6	SMITH INTERNATIONAL INC.		8.63		3/15/2014		2,000,000		1,995,141		2,419,406
833034AC5	SNAP-ON INCORPORATED		6.25		8/15/2011		1,400,000		1,419,336		1,459,878
855030AJ1	STAPLES INC.		9.75		1/15/2014		2,000,000		2,035,280		2,452,859
88732JAK4	TIME WARNER CABLE INC		6.20		7/1/2013		2,500,000		2,743,096		2,812,398
88732JAR9	TIME WARNER CABLE INC		7.50		4/1/2014		1,500,000		1,701,064		1,764,780
904764AJ6	UNILEVER CAPITAL CORP		3.65		2/15/2014		24,000,000		23,978,091		25,789,433
907818CV8	UNION PACIFIC CO		4.88		1/15/2015		1,150,000		1,156,802		1,273,758
91913YAQ3	VALERO ENERGY CORPORATION		4.50		2/1/2015		325,000		324,240		341,564
92343VAN4	VERIZON COMMUNICATIONS INC.		5.25		4/15/2013		4,000,000		3,932,037		4,399,598
92344SAJ9	CELLCO PARTNERSHIP/VERIZON WIR		7.38		11/15/2013		4,550,000		4,817,501		5,371,381
92344SAP5	CELLCO PARTNERSHIP/VERIZON WIR		5.55		2/1/2014		6,150,000		6,122,848		6,950,482
92344SAT7	CELLCO PARTNERSHIP/VERIZON WIR		3.75		5/20/2011		8,275,000		8,272,920		8,441,895
931142CN1	WAL-MART STORES INC		3.00		2/3/2014		4,000,000		3,987,438		4,242,960
931142CQ4	WAL-MART STORES INC		3.20		5/15/2014		29,800,000		29,797,035		32,026,451
98235TAA5	WRIGHT MEDICAL GRP INC.		2.63		12/1/2014		1,450,000		1,301,571		1,288,688
982526AF2	WM. WRIGLEY JR. COMPANY		2.45		6/28/2012		2,000,000		1,999,424		2,017,772
983024AA8	WYETH		5.50		3/15/2013		5,000,000		5,270,949		5,539,177
984121BS1	XEROX CREDIT CORPORATION		5.50		5/15/2012		1,550,000		1,635,607		1,650,832
034863AA8	ANGLO AMERICAN CAPITAL PLC		9.38		4/8/2014		6,980,000		7,764,037		8,566,077
034863AC4	ANGLO AMERICAN CAPITAL PLC		2.15		9/27/2013		1,800,000		1,798,493		1,817,699
055451AG3	BHP BILLITON FINANCE (USA) LTD		5.50		4/1/2014		3,000,000		2,992,751		3,373,882
067316AA7	BACARDI LTD		7.45		4/1/2014		12,100,000		12,091,916		14,282,819
22303QAJ9	COVIDIEN INTERNATIONAL FINANCE		1.88		6/15/2013		5,000,000		4,994,505		5,084,124
22303QAK6	COVIDIEN INTERNATIONAL FINANCE		2.80		6/15/2015		18,800,000		18,807,027		19,404,203
25243YAK5	DIAGEO CAPITAL PLC		5.13		1/30/2012		3,919,000		4,111,684		4,134,886
25243YAL3	DIAGEO CAPITAL PLC		5.20		1/30/2013		1,000,000		1,081,791		1,092,599
25244SAD3	DIAGEO FINANCE BV		5.50		4/1/2013		4,500,000		4,894,736		4,972,752
44920UAB4	HYUNDAI CAP SVC		6.00		5/5/2015		2,000,000		2,002,064		2,182,780
75405UAE6	RAS LAFFAN LNG 3		4.50		9/30/2012		825,000		824,877		868,015
758202AF2	REED ELSEVIER PLC		7.75		1/15/2014		16,325,000		16,301,065		19,053,823
767201AE6	RIO TINTO FINANCE USA LIMITED		5.88		7/15/2013		2,500,000		2,706,216		2,785,185
77509NAD5	ROGERS CABLE INC.		7.88		5/1/2012		9,675,000		9,969,886		10,683,446
77509NAH6	ROGERS CABLE INC.		6.25		6/15/2013		625,000		686,242		701,802
77509NAK9	ROGERS COMMUN INC.		5.50		3/15/2014		10,000,000		10,889,612		11,223,688
822582AF9	SHELL INTL FINAN		4.00		3/21/2014		1,000,000		1,019,327		1,080,418
822582AG7	SHELL INTL FINAN		1.30		9/22/2011		1,250,000		1,249,975		1,260,718
822582AQ5	SHELL INTL FINAN		3.10		6/28/2015		19,500,000		19,487,196		20,502,239
85771SAB2	STATOIL ASA		3.88		4/15/2014		16,000,000		15,994,998		17,305,319
87938WAJ2	TLEFONICA EMISNS		4.95		1/15/2015		37,130,000		39,289,382		40,632,099

Page 20


		Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010


Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
88166CAA6	TEVA PHARMACEUTICAL FINANCE II		3.00		6/15/2015		13,875,000		13,858,705		14,448,870
893526CC5	TRANSCANADA PIPELINES LIMITED		8.63		5/15/2012		11,675,000		12,325,754		13,077,418
92857WAP5	VODAFONE GROUP PLC		5.63		2/27/2017		25,000,000		26,885,077		28,769,810
980888AC5	WOOLWORTHS LTD		2.55		9/22/2015		2,750,000		2,746,798		2,783,532

							959,961,000		976,898,143		1,046,876,914

Corporate Securities — Utilities
037735CQ8	APPALACHIAN POWER COMPANY		3.40		5/24/2015		1,075,000		1,072,257		1,106,247
209111DZ3	CONSOLIDATED EDISON CO OF NY		5.63		7/1/2012		550,000		540,600		591,234
209111EA7	CONSOLIDATED EDISON CO OF NY		4.88		2/1/2013		3,000,000		3,216,829		3,242,730
22282EAA0	COVANTA HOLDING CORP		1.00		2/1/2027		2,530,000		2,393,979		2,444,613
264399EQ5	DUKE ENERGY CORP		6.30		2/1/2014		11,150,000		11,135,456		12,715,668
291011AT1	EMERSON ELECTRIC CO		4.50		5/1/2013		1,000,000		978,613		1,087,946
29364GAE3	ENTERGY CORPORATION		3.63		9/15/2015		1,675,000		1,673,720		1,693,623
302570AV8	FPL GROUP CAPITAL INC		5.63		9/1/2011		1,000,000		990,805		1,043,992
340711AR1	FL GAS TSMN CO		4.00		7/15/2015		700,000		699,878		731,649
373334FN6	GEORGIA POWER COMPANY		5.13		11/15/2012		1,250,000		1,247,402		1,357,376
373334JM4	GEORGIA POWER COMPANY		6.00		11/1/2013		1,000,000		1,119,297		1,132,151
391164AD2	GREAT PLAINS ENERGY INCORPORAT		2.75		8/15/2013		3,000,000		2,998,678		3,013,106
45138LAK9	IDAHO POWER COMPANY		4.75		11/15/2012		1,750,000		1,712,949		1,880,743
461070AH7	INTERSTATE POWER & LIGHT CO		3.30		6/15/2015		3,000,000		2,991,322		3,124,950
494550BE5	KINDER MORGAN ENERGY PARTNERS		5.30		9/15/2020		1,375,000		1,374,464		1,471,822
559080AA4	MAGELLAN MIDSTREAM PARTNERS LP		6.45		6/1/2014		15,550,000		15,129,550		17,642,291
595620AD7	MIDAMERICAN ENERGY HOLDINGS CO		4.65		10/1/2014		25,800,000		25,945,016		28,489,786
67021CAB3	NSTAR ELEC CO		4.88		4/15/2014		5,000,000		5,244,403		5,501,470
69331CAE8	PG&E CORPORATION		5.75		4/1/2014		10,000,000		9,961,000		11,197,038
694308GP6	PACIFIC GAS AND ELECTRIC CO		6.25		12/1/2013		13,000,000		12,936,172		14,819,774
695114BU1	PACIFICORP		6.90		11/15/2011		1,000,000		1,005,523		1,065,921
737679CW8	POTOMAC ELECTRIC POWER COMPANY		4.95		11/15/2013		1,200,000		1,106,107		1,333,572
743263AM7	PROGRESS ENERGY INC.		6.05		3/15/2014		10,000,000		10,157,464		11,371,031
744448BU4	PUBLIC SERVICE COLORADO		7.88		10/1/2012		8,770,000		9,295,117		9,908,890
74451PAA1	PUB SERV NC INC		6.63		2/15/2011		1,550,000		1,561,943		1,581,636
74456QAW6	PUBLIC SERVICE ELECTRIC & GAS		2.70		5/1/2015		1,075,000		1,073,212		1,118,376
779382AN0	ROWAN CO		5.00		9/1/2017		1,625,000		1,617,021		1,681,350
842434CA8	SOUTHERN CALIFORNIA GAS CO		4.80		10/1/2012		700,000		685,322		752,221
842587CE5	SOUTHERN COMPANY		4.15		5/15/2014		13,675,000		13,684,751		14,757,229
84755TAB3	SPECTRA ENERGY CAPITAL LLC		5.90		9/15/2013		2,650,000		2,864,958		2,909,849
96950FAB0	WILLIAMS PRTNRS		3.80		2/15/2015		5,000,000		5,012,616		5,240,178
15135UAB5	CENOVUS ENERGY INC		4.50		9/15/2014		1,350,000		1,349,010		1,484,257
268317AA2	ELECTRICITE DE FRANCE		5.50		1/26/2014		19,900,000		19,845,207		22,447,554
29268BAA9	ENEL FINANCE INTERNATIONAL SA		5.70		1/15/2013		15,000,000		15,011,521		16,168,415
29268BAE1	ENEL FINANCE INTERNATIONAL SA		5.13		10/7/2019		28,000,000		27,886,321		29,565,917
65504LAB3	NOBLE HOLDING INTERNATIONAL CA		3.45		8/1/2015		825,000		825,000		857,426
893526DH3	TRANSCANADA PIPELINES LIMITED		3.40		6/1/2015		4,250,000		4,249,221		4,508,069
89352HAA7	TRANS-CANADA PIPELINES		4.00		6/15/2013		5,300,000		5,295,378		5,673,210
94707VAA8	WEATHERFORD INTL INC		5.13		9/15/2020		1,650,000		1,647,726		1,689,708
500635AB3	KOREA GAS CORP		6.00		7/15/2014		675,000		670,575		749,162

							227,600,000		228,206,379		249,152,177

Asset Backed Securities — Credit Cards
05522RAR9	BACCT		4.72		5/15/2013		3,500,000		3,529,214		3,531,167
05522RBS6	BACCT		0.84		4/15/2013		1,701,000		1,702,865		1,701,851
126802BM8	CABMT_10-IA		2.29		9/17/2018		2,000,000		1,999,184		2,002,180
161571CH5	CHAIT		5.12		10/15/2014		15,600,000		16,805,769		16,951,428
17305ECU7	CCCIT		4.75		10/22/2012		500,000		504,781		500,910
17305EER2	CCCIT		2.25		12/23/2014		10,000,000		10,101,628		10,288,200
G0501WAD8	ARRAN		0.34		12/15/2012		240,000		238,237		239,160

							33,541,000		34,881,678		35,214,896

Page 21


		Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010


Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
Asset Backed Securities — Auto Receivables
06052FAC4	BAAT_09-2		2.13		9/15/2013		50,000,000		49,999,725		50,616,650
06052MAC9	BAAT		1.31		7/15/2014		2,300,000		2,299,944		2,318,630
09657MAC2	BMWLT_10-1		1.39		4/25/2014		1,350,000		1,349,977		1,363,797
14313CAC0	CARMX_10-1		1.56		7/15/2014		1,500,000		1,499,837		1,517,145
14313EAC6	CARMX_10-2		1.41		2/16/2015		10,000,000		9,999,835		10,104,200
34529GAF2	FORDO_09-D		2.17		10/15/2013		32,000,000		31,997,936		32,463,283
34529HAC7	FORDO		1.51		1/15/2014		2,650,000		2,649,698		2,665,635
43812BAG8	HAROT_10-1		1.25		10/21/2013		2,500,000		2,499,731		2,510,400
43812WAC1	HONDA AUTO RECIEVABLES OWNER T		2.31		5/15/2013		1,750,000		1,771,927		1,776,188
44923YAC1	HART_10-B		0.97		4/15/2015		2,150,000		2,149,638		2,140,970
587682AC9	MBART_10-A		1.42		8/15/2014		1,050,000		1,049,834		1,063,225

							107,250,000		107,268,082		108,540,123

Asset Backed Securities — Student Loans
00432CAZ4	AGSL_03-1		1.74		12/26/2035		4,100,000		3,705,685		3,741,250
00432CBB6	AGSL_03-1		1.58		12/26/2035		3,600,000		3,217,158		3,249,000
00432CBP5	AGSL_03-1		—		12/27/2032		5,350,000		4,711,828		4,721,375
194262CD1	COLLE_04-1		0.66		4/25/2021		20,500,000		20,309,678		20,397,500
28140VAB9	EFCT_04-1		0.45		12/15/2022		5,362,994		5,301,845		5,294,347
429827AB4	HEF_10-401		1.79		1/1/2044		2,100,000		1,743,952		1,827,000
429827AE8	HIGHER EDUCATION FUNDING HEF_0		1.31		1/1/2044		2,100,000		1,741,194		1,827,000
429827AF5	HEF_10-401		1.79		1/1/2044		2,100,000		1,738,540		1,785,000
429827AJ7	HIGHER EDUCATION FUNDING HEF_0		1.77		1/1/2044		2,100,000		1,739,860		1,827,000
429827AK4	HIGHER EDUCATION FUNDING HEF_0		1.76		1/1/2044		2,300,000		1,913,310		2,001,000
429827AN8	HEF_04-1		—		1/1/2044		2,100,000		1,737,290		1,722,000
429827AQ1	HEF_04-1		1.30		1/1/2044		2,950,000		2,430,353		2,419,000
71722TAF1	PHEAA_04-1		1.78		4/25/2044		2,000,000		1,818,895		1,850,000
71722TAG9	PHEAA_04-1		0.05		4/25/2044		6,000,000		5,469,504		5,430,000
78442GHW9	SLMA		1.73		12/15/2016		22,350,000		22,305,814		22,306,903
78442GHZ2	SLMA		1.71		12/15/2016		16,900,000		16,900,000		16,867,412
78442GJA5	SLM STUDENT LOAN TR 2003-10A		1.78		12/15/2016		3,000,000		3,000,000		2,994,215
78442GJD9	SLM STUDENT LOAN TR 2003-10A		1.71		12/15/2016		54,650,000		54,232,191		54,544,618
78442GQR0	SLMA		1.25		1/25/2028		425,000		414,993		417,387
78443DAA0	SLMA		0.32		9/15/2022		291,836		283,946		285,390
86386MAD6	STUDENT LOAN CON		—		3/1/2042		14,300,000		13,110,736		13,050,023
86386MAE4	STUDENT LOAN CON		0.10		3/1/2042		14,400,000		13,204,908		13,141,397
86386MAK0	STUDENT LOAN CON		1.77		7/1/2042		12,400,000		11,334,169		11,316,624
86386MAM6	STUDENT LOAN CON		—		7/1/2042		10,100,000		9,299,817		9,217,573
86386MAR5	STUDENT LOAN CON		1.85		7/1/2042		9,100,000		8,303,606		8,304,633
86386MAS3	STUDENT LOAN CON		1.36		7/1/2042		9,000,000		8,208,148		8,213,679
86386MAT1	SLCC_02-2		—		7/1/2042		11,000,000		10,031,036		10,038,941
86386MAU8	STUDENT LOAN CON		0.02		7/1/2042		8,900,000		8,113,071		8,122,416
90342NAW7	CNH		0.65		9/1/2019		33,614,562		33,558,661		33,622,294

							283,094,392		269,880,189		270,534,976

Asset Backed Securities — CLOs
00083VAA9	ACASC_07-1		0.75		4/20/2021		6,750,000		5,946,278		5,883,307
04010HAB8	ARES CLO FUNDS ARES		0.53		9/18/2017		9,862,007		9,000,803		9,120,069
04010HAC6	ARES_05-10A		0.53		9/18/2017		24,580,000		22,621,114		22,668,241
04011XAB2	ARES		0.58		2/24/2018		21,390,634		19,396,714		19,936,734
04011XAC0	ARES		0.58		2/24/2018		22,849,087		20,658,519		21,167,302
042423AA1	ARMST		1.02		8/1/2016		6,728,053		6,480,579		6,476,888
16208NAA3	CHAT		0.70		8/3/2019		29,707,265		27,078,954		27,659,692
30250GAA6	SSGN_10-S1		0.81		2/25/2048		8,346,911		8,353,814		8,378,212
363206AF0	GALE		0.76		4/19/2021		10,000,000		8,778,305		9,016,200
482474AA1	KKR FINANCIAL CLO LTD KKR_05-1		0.77		4/26/2017		1,000,000		912,211		925,000
48248CAA2	KKR FINANCIAL CLO LTD KKR_07-1		0.73		5/15/2021		12,619,306		11,601,065		11,231,183
51506DAA1	LANDM_04-1A		0.64		12/15/2016		25,648,414		24,191,721		23,702,443

Page 22


		Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010


Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
69510WAA5	PCDO		0.76		1/26/2020		7,651,489		6,976,311		7,077,941
BRS6DUE27	STANFIELD VEYRON		0.75		7/15/2018		25,000,000		23,959,119		23,142,500

							212,133,165		195,955,504		196,385,711

Asset Backed Securities — Other
12612AAC6	CNH_09-C		1.85		12/16/2013		1,400,000		1,399,984		1,416,641
12612BAC4	CNH_10-A		1.54		7/15/2014		1,900,000		1,899,769		1,922,876
12621UAC1	CNH_10-B		1.03		11/17/2014		5,000,000		4,999,013		5,017,100
12621UAD9	CNH_10-B		1.74		1/17/2017		4,750,000		4,748,918		4,787,905
15200MAA5	CNP		4.19		2/1/2020		3,156,442		3,396,372		3,474,012
15200NAA3	CNP		1.83		2/15/2016		2,277,836		2,277,817		2,314,920
15200NAB1	CNP		3.46		8/15/2019		2,400,000		2,493,436		2,573,064
29365KAA1	ETI		2.12		2/1/2016		1,302,317		1,302,274		1,331,841
36829KAC2	GESET		1.92		7/15/2016		4,000,000		3,999,714		4,030,080
477874AC5	JDOT_09		2.59		10/15/2013		2,661,221		2,689,724		2,693,502
47787AAD9	JDOT_10-A		1.32		5/15/2014		1,450,000		1,449,825		1,463,920
493897AB8	KDRE		0.35		12/10/2043		133,959		127,943		126,693
525221FY8	LXS		0.46		1/25/2036		88,158		85,246		82,105
542388AD5	LBART_06-A		5.50		5/15/2013		10,680,440		10,739,715		10,698,121
57164TAA6	MVCOT		0.96		12/20/2024		79,167		77,665		78,386
57164XAA7	MVCOT 2009-2A		4.81		7/20/2031		7,663,733		7,663,622		7,953,422
693401AE1	PERF		4.47		12/25/2014		2,900,000		3,090,211		3,115,731
75953MAD2	CENTERPOINT ENERGY TRANSITION		5.63		9/15/2015		6,036,683		6,479,780		6,557,407
826502AA4	SRFC		5.27		3/20/2019		612,753		627,939		634,193
82651AAA5	SRFC		5.37		9/20/2019		1,571,573		1,613,540		1,631,732
82651CAA1	SRFC		9.79		12/22/2025		594,733		610,104		606,016
82651KAA3	SRFC		4.52		8/20/2026		3,117,628		3,117,362		3,127,574

							63,776,643		64,889,972		65,637,240

State and Municipal
04057PFH6	ARIZONA SCH FACS BRD CTFS PART		5.00		9/1/2019		1,775,000		1,698,444		1,906,528
040654MP7	ARIZONA ST TRANSN BRD		5.00		7/1/2020		500,000		482,054		557,410
040654NY7	ARIZONA ST TRANSN BRD		5.00		7/1/2021		1,500,000		1,425,689		1,671,735
040688GV9	ARIZONA WTR INFRASTRUCTURE FIN		5.00		10/1/2021		1,000,000		954,527		1,148,820
058508AN2	BALL ST UNIV IND		5.00		7/1/2018		1,900,000		1,878,813		2,120,647
071365ZL7	BATTLE CREEK MICH		5.00		5/1/2011		2,025,000		2,043,033		2,070,745
126775RR8	CABARRUS CNTY N C		5.00		2/1/2018		500,000		499,391		599,800
13063A4V3	STATE OF CALIFORNIA		5.75		4/1/2031		1,250,000		1,294,147		1,378,875
144470AR2	CARRIER CREEK MICH DRAIN DIST		5.00		6/1/2022		1,000,000		923,875		1,096,740
162419AF2	CHATTANOOGA TENN INDL DEV BRD		5.00		10/1/2011		2,000,000		2,000,000		2,000,260
165573QR0	CHESTER CNTY PA		5.00		8/15/2022		1,000,000		954,887		1,103,840
181059BM7	CLARK CNTY NEV SCH DIST FOR IS		5.00		6/15/2017		1,500,000		1,496,034		1,715,010
184126UY4	CLAYTON CNTY & CLAYTON CNTY GA		5.00		5/1/2020		2,000,000		1,900,866		2,200,400
189194CL5	CLOVERDALE IND MULTI-SCH BLDG		5.00		7/15/2019		1,365,000		1,325,760		1,498,361
196632HT3	COLORADO SPRINGS COLO UTILS		5.00		11/15/2022		1,000,000		1,181,108		1,177,890
196632HU0	COLORADO SPRINGS COLO UTILS		5.00		11/15/2023		1,250,000		1,462,039		1,460,325
196632HV8	COLORADO SPRINGS UTILS REV		5.00		11/15/2024		1,500,000		1,741,677		1,739,490
199491RW3	COLUMBUS OHIO		5.50		7/1/2012		500,000		514,809		544,215
207758AY9	CONNECTICUT ST SPL TAX OBLIG R		5.00		7/1/2019		650,000		622,317		739,869
2131838D1	COOK CNTY ILL		5.00		11/15/2019		1,000,000		958,788		1,110,180
230822PL6	CUMBERLAND VALLEY PA SCH DIST		5.00		11/15/2020		1,300,000		1,240,335		1,448,330
231266DM6	CURATORS UNIV MO SYS FACS REV		5.00		11/1/2021		2,000,000		1,855,925		2,271,660
235308KE2	DALLAS TEX INDPT SCH DIST		5.00		8/15/2021		1,605,000		1,524,931		1,822,269
249164HG2	DENVER COLO CITY & CNTY		5.00		8/1/2021		2,000,000		1,906,106		2,286,760
2491817F9	DENVER COLO CITY & CNTY ARPT R		5.00		11/15/2010		3,000,000		2,999,497		3,016,080
250119BY9	DES MOINES IOWA MET WASTEWATER		5.00		6/1/2019		1,045,000		1,010,369		1,166,178
251255C94	DETROIT MICH WTR SUPPLY SYS		5.50		7/1/2033		2,000,000		2,035,793		2,097,780
294223LN0	EPHRATA PA AREA SCH DIST		5.00		3/1/2019		500,000		481,395		549,880
346604FJ5	FORSYTH CNTY GA SCH DIST		5.00		2/1/2020		1,430,000		1,375,113		1,594,808
3494602Z7	FORT WORTH TEX INDPT SCH DIST		5.00		2/15/2026		1,000,000		1,132,770		1,134,360

Page 23


		Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010


Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
365653GZ1	GARFIELD CNTY COLO SCH DIST NO		5.00		12/1/2020		1,610,000		1,545,008		1,854,140
385244HG6	GRAND BLANC MICH CMNTY SCHS		5.00		5/1/2020		1,000,000		964,965		1,098,560
406036EP4	HALL CNTY NEB SCH DIST NO 2 GR		5.00		12/15/2019		1,080,000		1,050,004		1,226,502
4140033N1	HARRIS CNTY TEX		—		8/15/2011		2,000,000		1,934,823		1,991,720
41981VBQ0	HAWAII ST HSG & CMNTY DEV CORP		4.40		1/1/2033		190,000		158,723		196,386
468312DN0	JACKSON MICH PUB SCHS		5.00		5/1/2020		1,000,000		959,198		1,078,870
48542KHX0	KANSAS ST DEV FIN AUTH REV		5.00		11/1/2020		2,000,000		1,904,806		2,253,300
48542KNH8	KANSAS ST DEV FIN AUTH REV		5.00		6/1/2012		500,000		509,730		535,065
49151EXA6	KENTUCKY ST PRP & BLDG COM		5.00		10/1/2017		565,000		561,969		660,163
49474EWA7	KING CNTY WASH		4.00		1/1/2011		3,000,000		3,004,257		3,028,260
508205GV7	LAKE COOK KANE AND MCHENRY CNT		5.00		12/1/2016		2,385,000		2,417,796		2,830,828
567505GY2	MARICOPA CNTY ARIZ UN HIGH SCH		5.13		7/1/2016		1,125,000		1,152,229		1,331,224
5741924V9	MARYLAND ST		5.00		11/1/2017		5,000,000		5,849,268		6,065,450
575579RS8	MASSACHUSETTS BAY TRANSN AUTH		5.00		7/1/2020		35,000		35,201		43,070
575579SL2	MASSACHUSETTS BAY TRANSN AUTH		5.00		7/1/2020		1,575,000		1,505,795		1,848,452
57582PDK3	MASSACHUSETTS ST		0.77		11/1/2018		2,000,000		1,496,686		1,796,560
57583PDB2	MASSACHUSETTS ST FED HWY		5.75		6/15/2011		3,250,000		3,263,500		3,285,198
586158KZ9	MEMPHIS TENN ELEC SYS REV		5.00		12/1/2014		2,000,000		2,019,637		2,264,760
602248AR7	MILWAUKEE CNTY WIS ARPT REV		6.00		12/1/2017		1,675,000		1,675,135		1,687,211
603827EJ1	MINN & ST PAUL MET ARPTS REV		5.25		1/1/2026		2,000,000		2,010,002		2,025,080
615401JW7	MOON AREA SCH DIST PA		5.00		11/15/2018		1,360,000		1,344,297		1,547,789
625574HL5	MULTNOMAH CNTY ORE SCH DIST NO		5.00		6/15/2018		500,000		491,339		593,525
644682UL8	NEW HAMPSHIRE ST		5.00		6/1/2017		1,730,000		1,723,414		2,071,640
64468TRZ2	NEW HAMPSHIRE ST HSG FIN AUTH		5.88		7/1/2021		60,000		53,501		60,055
64983QWY1	NEW YORK ST DORM AUTH REVS NON		5.00		8/1/2018		2,000,000		1,980,872		2,306,740
650013T21	NEW YORK ST TWY AUTH		5.00		4/1/2019		2,000,000		1,939,402		2,283,260
650034X89	NEW YORK ST URBAN DEV CORP		5.50		3/15/2017		2,050,000		2,109,171		2,484,313
656491KZ9	NORRISTOWN PA AREA SCH DIST		5.00		9/1/2021		1,000,000		1,023,227		1,105,270
658256E32	NORTH CAROLINA ST		5.00		5/1/2017		5,000,000		5,847,100		6,020,800
662835QT7	NORTH TEX MUN WTR DIST TEX		5.00		6/1/2025		1,050,000		1,180,600		1,176,830
663903CA8	NORTHEAST OHIO REGL SWR DIST W		5.00		11/15/2016		1,900,000		1,939,099		2,264,439
677520SW9	OHIO ST		5.00		11/1/2020		2,000,000		1,908,429		2,246,480
677632HM6	OHIO ST UNIV		5.00		6/1/2011		2,000,000		2,017,877		2,062,160
680616PF0	OLENTANGY LOC SCH DIST OHIO		5.00		12/1/2017		2,000,000		2,005,874		2,322,780
681793T88	OMAHA PUB PWR DIST NEB ELEC RE		5.00		2/1/2018		2,000,000		1,971,116		2,245,440
709223YW5	PA ST TPK COMM		5.00		12/1/2023		4,500,000		5,114,065		5,121,045
742633PD6	PRIOR LAKE MINN INDPT SCH DIST		5.00		2/1/2020		1,195,000		1,166,318		1,322,841
759136LA0	REGIONAL TRANSN DIST COLO		5.00		11/1/2017		1,550,000		1,550,014		1,784,314
780427KA7	ROYAL OAK CITY MICH SCH DIST		5.00		5/1/2019		2,000,000		1,924,141		2,235,760
7832434J4	RUTHERFORD CNTY TENN		5.00		6/1/2018		1,430,000		1,431,409		1,712,396
795560AR2	SALT LAKE & SANDY UTAH		5.00		7/1/2020		1,820,000		1,731,985		1,990,916
802072KA5	SANTA FE N M GROSS RCPTS TAX		5.00		6/1/2019		2,000,000		1,927,048		2,175,900
806640PN2	SCHERTZ-CIBOLO-UNVL CITY TEX I		5.00		2/1/2020		2,025,000		1,932,017		2,289,647
837562KS5	SOUTH DAKOTA ST UNIV		5.00		4/1/2020		1,545,000		1,462,157		1,651,389
88283LCS3	TEXAS TRANSN COMMN ST HWY FD		5.00		4/1/2022		2,000,000		1,889,191		2,257,800
914119HX3	UNIVERSITY CINCINNATI OHIO		5.00		6/1/2018		2,015,000		1,948,893		2,217,326
914437PF9	UNIVERSITY MASS BLDG AUTH		5.00		11/1/2019		1,530,000		1,462,173		1,689,105
915506KJ7	UPPER ARLINGTON OHIO CITY SCH		5.00		12/1/2021		1,250,000		1,183,046		1,369,775
927749GJ4	VIRGINIA BEACH VA		5.00		10/1/2019		790,000		771,873		939,587
927749GP0	VIRGINIA BEACH VA		5.00		10/1/2019		945,000		923,317		1,074,153
92817LEM1	VIRGINIA ST RES AUTH CLEAN WTR		5.00		10/1/2010		2,000,000		2,000,000		2,000,260
938234MJ7	WASHINGTON CNTY ORE		5.00		6/1/2020		1,035,000		992,525		1,178,109
93974A7Q1	WASHINGTON STATE		5.00		1/1/2020		2,000,000		1,918,516		2,249,480
967338KS2	WICHITA KANS		5.00		10/1/2010		2,000,000		2,000,000		2,000,240
971567KU5	WILMINGTON DEL		5.00		6/1/2017		1,000,000		998,994		1,191,510
13063BFQ0	CALIFORNIA ST		5.75		3/1/2017		17,000,000		17,580,895		18,598,510
419791YH5	HAWAII ST		3.38		2/1/2016		2,575,000		2,587,181		2,689,588
4521518T3	ILLINOIS ST		3.32		1/1/2013		12,000,000		12,133,297		12,184,080

Page 24


		Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010


Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
4521518V8	ILLINOIS ST		4.42		1/1/2015		12,620,000		12,645,621		13,152,060
63968AQF5	NEBRASKA PUB PWR DIST		4.85		1/1/2014		6,500,000		6,500,000		6,963,775
650035TC2	NEW YORK ST URBAN DEV CORP REV		2.48		12/15/2013		4,250,000		4,337,896		4,375,630
83714RBA0	SOUTH CAROLINA STUDENT LN		0.39		12/2/2019		15,000,000		14,619,454		14,674,500
864784BK8	SUFFOLK CNTY N Y WTR AUTH WTRW		5.50		6/1/2035		500,000		485,527		520,450
98458PAB1	YALE UNIVERSITY		2.90		10/15/2014		1,400,000		1,397,616		1,482,223
606072KP0	MISSOURI HIGHER ED LN		1.27		11/26/2032		14,099,559		14,089,889		14,134,069

							222,309,559		223,179,600		240,347,998


Total Fixed Income Securities							6,736,156,977		6,529,857,872		6,801,501,793


Equities
00163T109	AMB PROP CORP		—				87,000		2,254,532		2,302,890
018802108	ALLIANT ENERGY CORP		—				56,500		1,898,060		2,053,775
024835100	AMER CMPS COMM		—				86,000		2,380,065		2,617,840
03761U106	APOLLO INVSTMNT		—				221,500		2,441,075		2,265,945
03836W103	PHILADELPHIA SUBURBAN CORPORAT		—				112,300		2,066,447		2,290,920
053484101	AVALONBAY COMMUNITIES INC		—				27,000		2,780,386		2,806,110
098536105	BONAVISTA ENERGY TRUST		—				2,100		49,162		48,905
126132109	CNOOC LTD.		—				12,700		2,127,678		2,467,610
15135U109	CENOVUS ENERGY INC		—				86,700		2,414,717		2,494,359
15189T107	CENTERPOINT ENERGY INC.		1.50				156,100		2,328,616		2,453,892
16941M109	CHINA MOBILE HONG KONG LIMITED		—				48,600		2,452,207		2,484,918
17133Q106	CHUNGHWA TELECOM CO. LTD.		—				102,900		2,080,758		2,307,018
188021083	ALLIANT ENERGY CORP		—				10,000		351,387		363,500
22576C101	CRESCENT POINT ENERGY CORP		—				85,100		3,188,979		3,134,233
253868103	DIGITAL REALTY		—				17,000		947,961		1,048,900
264411505	DUKE REALTY CORP		—				192,000		2,231,638		2,225,280
29250X103	ENBRIDGE ENERGY MANAGEMENT L.L		—				26,443		1,306,930		1,458,860
30161N101	EXELON CORPORATION		—				60,300		2,571,810		2,567,574
351858105	FRANCO NEVADA CORP		—				73,400		2,126,199		2,316,087
478160104	JOHNSON & JOHNSON		1.66				36,200		2,268,108		2,242,952
49455U100	KINDER MORGAN MANAGEMENT LLC		—				31,086		1,797,140		1,872,932
595017104	MICROCHIP TECHNOLOGY INC		—				81,900		2,403,504		2,575,755
638620104	NATIONWIDE HLTH PROPERTIES INC		—				66,800		2,375,258		2,583,156
646025106	NEW JERSEY RESOURCES		1.72				54,300		2,019,067		2,129,646
649445103	NEW YORK COMMUNITY BANCORP INC		—				140,000		2,322,391		2,275,000
654445303	NINTENDO CO LTD		—				69,400		2,525,803		2,166,182
655844108	NORFOLK SOUTHERN CORPORATION		0.32				41,100		2,318,436		2,445,861
664397106	NORTHEAST UTILITIES		—				57,200		1,574,466		1,691,404
67019E107	NSTAR		1.98				46,400		1,688,948		1,825,840
69331C108	PG&E CORPORATION		—				53,800		2,313,586		2,443,596
718172109	PHILIP MORRIS INTERNATIONAL IN		—				45,900		2,274,512		2,571,318
718252604	PHILIPPINE LONG DISTANCE TEL C		—				44,200		2,446,983		2,645,812
743263105	PROGRESS ENERGY INC		—				41,800		1,672,451		1,856,756
754907103	RAYONIER INC.		1.08				49,700		2,308,702		2,490,964
780287108	ROYAL GOLD INC		—				47,600		2,298,598		2,372,384
80105N105	SANOFI AVENTIS		—				78,800		2,320,482		2,620,100
847560109	SPECTRA ENERGY CORP		—				110,200		2,411,284		2,485,010
872375100	TECO ENERGY INC.		—				150,500		2,445,726		2,606,660
89151E109	TOTAL SA		—				45,100		2,380,555		2,327,160
904784709	UNILEVER N.V.		1.19				78,000		2,273,425		2,330,640
911312106	UNITED PARCEL SERV INC		—				35,000		2,248,854		2,334,150
962166104	WEYERHAEUSER COMPANY		2.40				120,634		2,543,811		1,901,192
98156Q108	WORLD WRESTLING ENTERTAINMENT		—				165,500		2,757,746		2,302,105
98389B100	XCEL ENERGY INC		—				100,400		2,170,732		2,306,188
G5299G106	KNIGHTSBRIDGE TANKERS LTD		—				93,500		1,683,876		1,767,150
Q3944W187	FOSTERS GROUP LTD		—				449,000		2,224,974		2,664,982

Page 25


		Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010


Cusip	Security Description	Coupon		Maturity	Par		Book Value $		Market Value $
S62435862	SINGAPORE AIRPORT TERMINAL SER		—			741,000		1,507,564		1,605,542
SB01CGS48	BONAVISTA ENERGY TRUST		—			83,600		1,971,062		1,942,028
SB01DC129	ARC ENERGY TRUST		—			108,900		2,236,256		2,180,178
SB01DF023	CDN OIL SAND		—			77,200		2,171,220		1,910,700
SB0D6P437	MAPLETREE LG TR		—			2,257,000		1,403,267		1,492,827
SB296MJ50	LIPPO MAPLETREE INDONESIA RETA		—			2,627,900		908,912		998,936
SB3KH7113	GENERAL MARITIME CORP		—			350,000		1,688,859		1,718,500
SB67C8W83	CRESCENT POINT ENERGY CORP		—			900		35,000		33,259
SBOTLGM70	GZI REAL ESTATE INVESTMENT TRU		—			4,768,000		2,064,752		2,389,159
Y0205X103	ASCENDAS REAL ESTATE INVESTMEN		—			1,411,700		1,994,422		2,350,419
91912F201	VALE CAPITAL II		—			13,000		958,435		1,144,520
G16962204	BUNGE LTD		—			26,700		2,282,325		2,376,300
313400657	FHLMC		1.50			150,500		43,645		54,180

						16,414,063		117,333,739		121,740,059

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Attached files

Allied World Assurance Co Holdings, AG Reports

Also read

Allied World Assurance Co Holdings, AG - FORM 8-K - EX-99.3 - November 4, 2010

Attached files

Allied World Assurance Co Holdings, AG Reports

Also read