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	y93281e8vk.htm
EX-99.2 - EX-99.2 - Allied World Assurance Co Holdings, AG	y93281exv99w2.htm
EX-99.1 - EX-99.1 - Allied World Assurance Co Holdings, AG	y93281exv99w1.htm

Exhibit 99.3


		Allied World Assurance Company Holdings, AG Securities Listing as at September 30, 2011


Cusip		Security Description	Coupon		Maturity		Par		Book Value $		Market Value $

U.S. Government Securities
	9127953U3	UNITED STATES TREASURY		0.00		9/30/2061		755,000		754,999		754,999
	9127953G4	UNITED STATES TREASURY		0.00		9/30/2061		116,000,000		115,919,536		115,919,536
	9127953S8	UNITED STATES TREASURY		0.00		9/30/2061		17,500,000		17,482,324		17,482,324
	9127953W9	UNITED STATES TREASURY		0.00		9/30/2061		2,000,000		1,997,628		1,997,628
	9127954B4	UNITED STATES TREASURY		0.00		9/30/2061		260,000,000		259,776,907		259,776,907
	9127955D9	UNITED STATES TREASURY		0.00		9/30/2061		800,000		799,847		799,847
	9127955F4	UNITED STATES TREASURY		0.00		9/30/2061		11,000,000		10,998,075		10,998,075
	912795Z46	UNITED STATES TREASURY		0.00		9/30/2061		858,000		857,883		857,883
	912810DW5	UNITED STATES TREASURY		7.25		5/15/2016		310,000		354,204		400,201
	912810EZ7	UNITED STATES TREASURY		6.63		2/15/2027		2,475,000		3,021,079		3,781,429
	9128277L0	UNITED STATES TREASURY		4.88		2/15/2012		1,155,000		1,164,787		1,175,305
	912828AJ9	UNITED STATES TREASURY		4.38		8/15/2012		500,000		505,287		518,145
	912828AP5	UNITED STATES TREASURY		4.00		11/15/2012		2,465,000		2,525,720		2,569,590
	912828BA7	UNITED STATES TREASURY		3.63		5/15/2013		1,500,000		1,548,517		1,581,135
	912828BR0	UNITED STATES TREASURY		4.25		11/15/2013		335,000		344,913		362,818
	912828CA6	UNITED STATES TREASURY		4.00		2/15/2014		990,000		1,037,870		1,074,952
	912828CT5	UNITED STATES TREASURY		4.25		8/15/2014		1,440,000		1,531,763		1,597,262
	912828DM9	UNITED STATES TREASURY		4.00		2/15/2015		1,500,000		1,594,172		1,672,845
	912828DV9	UNITED STATES TREASURY		4.13		5/15/2015		500,000		535,683		563,045
	912828EE6	UNITED STATES TREASURY		4.25		8/15/2015		1,000,000		1,079,022		1,136,800
	912828EW6	UNITED STATES TREASURY		4.50		2/15/2016		1,000,000		1,093,181		1,158,720
	912828FY1	UNITED STATES TREASURY		4.63		11/15/2016		5,235,000		5,470,691		6,182,640
	912828GA2	UNITED STATES TREASURY		4.50		11/30/2011		1,050,000		1,055,703		1,057,382
	912828GC8	UNITED STATES TREASURY		4.63		12/31/2011		500,000		503,188		505,510
	912828GM6	UNITED STATES TREASURY		4.50		3/31/2012		950,000		965,143		970,444
	912828GX2	UNITED STATES TREASURY		2.63		7/15/2017		8,800,000		10,397,993		11,289,206
	912828HC7	UNITED STATES TREASURY		4.13		8/31/2012		1,000,000		1,025,524		1,035,780
	912828HH6	UNITED STATES TREASURY		4.25		11/15/2017		1,000,000		1,086,302		1,179,120
	912828HT0	UNITED STATES TREASURY		2.75		2/28/2013		800,000		814,015		828,312
	912828HV5	UNITED STATES TREASURY		2.50		3/31/2013		17,150,000		17,429,294		17,726,240
	912828HY9	UNITED STATES TREASURY		3.13		4/30/2013		1,200,000		1,228,214		1,254,372
	912828JK7	UNITED STATES TREASURY		3.13		8/31/2013		1,025,000		1,050,031		1,080,483
	912828JQ4	UNITED STATES TREASURY		2.75		10/31/2013		1,500,000		1,499,749		1,575,825
	912828JZ4	UNITED STATES TREASURY		1.75		1/31/2014		1,000,000		997,374		1,032,390
	912828KC3	UNITED STATES TREASURY		1.38		2/15/2012		6,905,000		6,924,378		6,937,868
	912828KN9	UNITED STATES TREASURY		1.88		4/30/2014		750,000		747,570		778,508
	912828KY5	UNITED STATES TREASURY		2.63		6/30/2014		495,000		498,027		524,883
	912828LC2	UNITED STATES TREASURY		2.63		7/31/2014		31,000,000		32,250,949		32,918,279
	912828LQ1	UNITED STATES TREASURY		2.38		9/30/2014		1,700,000		1,699,976		1,798,158
	912828MG2	UNITED STATES TREASURY		1.38		1/15/2013		5,000,000		4,983,098		5,073,800
	912828MM9	UNITED STATES TREASURY		0.75		11/30/2011		13,100,000		13,100,000		13,114,411
	912828MR8	UNITED STATES TREASURY		2.38		2/28/2015		100,000		99,947		106,153
	912828NB2	UNITED STATES TREASURY		1.00		4/30/2012		13,050,000		13,061,934		13,115,771
	912828NC0	UNITED STATES TREASURY		1.38		5/15/2013		64,600,000		64,750,345		65,751,171
	912828NE6	UNITED STATES TREASURY		0.75		5/31/2012		53,700,000		53,700,285		53,912,113
	912828NH9	UNITED STATES TREASURY		1.13		6/15/2013		45,000,000		44,916,028		45,652,502
	912828NU0	UNITED STATES TREASURY		0.75		8/15/2013		100,000		99,965		100,877
	912828NV8	UNITED STATES TREASURY		1.25		8/31/2015		200,000		204,982		204,566
	912828PD6	UNITED STATES TREASURY		0.38		10/31/2012		6,000,000		6,000,466		6,012,300
	912828PS3	UNITED STATES TREASURY		2.00		1/31/2016		19,000,000		18,895,707		19,973,750
	912828PU8	UNITED STATES TREASURY		0.50		11/15/2013		16,055,000		15,941,699		16,116,811
	912828PW4	UNITED STATES TREASURY		0.63		12/31/2012		20,000,000		20,010,848		20,105,400
	912828QE3	UNITED STATES TREASURY		0.63		4/30/2013		12,900,000		12,924,844		12,979,335
	912828QF0	UNITED STATES TREASURY		2.00		4/30/2016		23,500,000		23,600,706		24,711,658
	912828QH6	UNITED STATES TREASURY		1.25		2/15/2014		1,000,000		1,000,851		1,020,850
	912828QJ2	UNITED STATES TREASURY		2.13		2/29/2016		14,475,000		14,432,424		15,303,839
	912828QL7	UNITED STATES TREASURY		0.75		3/31/2013		15,000,000		15,036,135		15,118,951
	912828QQ6	UNITED STATES TREASURY		2.38		5/31/2018		5,000,000		5,022,915		5,321,600
	912828QX1	UNITED STATES TREASURY		1.50		7/31/2016		2,175,000		2,175,884		2,233,399
	912828RA0	UNITED STATES TREASURY		0.38		6/30/2013		1,000,000		999,899		1,002,160
	912828RJ1	UNITED STATES TREASURY		1.00		9/30/2016		42,400,000		42,414,641		42,459,784

								879,498,000		883,941,120		894,246,046


		Allied World Assurance Company Holdings, AG Securities Listing as at September 30, 2011


Cusip		Security Description	Coupon		Maturity		Par			Book Value $			Market Value $

U.S. Government Agencies
	3133XVEM9	FHLB		1.63		11/21/2012		3,000,000			2,997,575			3,043,590
	3133XVNU1	FHLB		2.75		12/12/2014		74,500,000			74,787,795			79,142,841
	3135G0BA0	FNMA		2.38		4/11/2016		2,000,000			2,108,602			2,107,740
	3135G0BR3	FNMA		0.50		8/9/2013		4,750,000			4,765,793			4,757,553
	3135G0BY8	FNMA		0.88		8/28/2014		5,000,000			5,050,574			5,032,351
	3135G0CL5	FNMA		0.20		5/17/2013		50,000,000			49,974,898			49,994,835
	3135G0CM3	FNMA		1.25		9/28/2016		20,250,000			20,288,369			20,217,397
	3137EACE7	FHLMC		2.13		9/21/2012		11,500,000			11,494,662			11,709,875
	3137EACW7	FHLMC		2.00		8/25/2016		2,500,000			2,583,878			2,587,900
	31398A4M1	FNMA		1.63		10/26/2015		21,500,000			21,705,140			22,020,946
	31398A6F4	FNMA		0.38		12/28/2012		3,000,000			2,990,278			3,000,450
	31398AJ94	FNMA		1.75		5/7/2013		5,000,000			4,995,826			5,109,450

								203,000,000			203,743,390			208,724,927

Non U.S. Government Securities & Agencies
	013051DA2	ALBERTA PROVINCE OF		2.75		12/1/2014		950,000			928,487			951,607
	038461AC3	AID-EGYPT		4.45		9/15/2015		25,000,000			25,927,739			28,219,624
	135087YN8	CANADA GOVERNMENT		3.50		6/1/2013		7,850,000			7,838,919			7,858,709
	135087YS7	CANADA GOVERNMENT		3.00		6/1/2014		2,015,000			1,936,362			2,035,406
	135087YU2	CANADA GOVERNMENT		2.00		12/1/2014		9,860,000			9,214,988			9,728,641
	135087YX6	CANADA GOVERNMENT		2.00		9/1/2012		4,320,000			4,021,807			4,187,952
	135087ZC1	CANADA GOVERNMENT		2.50		6/1/2015		2,500,000			2,442,842			2,513,167
	135087ZD9	CANADA GOVERNMENT		1.75		3/1/2013		7,600,000			7,408,891			7,383,898
	135087ZF4	CANADA GOVERNMENT		3.00		12/1/2015		1,100,000			1,125,675			1,129,613
	135087ZG2	CANADA GOVERNMENT		2.50		9/1/2013		1,700,000			1,678,951			1,681,488
	135087ZK3	CANADA GOVERNMENT		1.50		12/1/2012		450,000			436,805			435,054
	135087ZN7	CANADA GOVERNMENT		2.00		3/1/2014		400,000			409,522			393,490
	135087ZP2	CANADA GOVERNMENT		2.00		8/1/2013		1,250,000			1,288,178			1,224,041
	135087ZQ0	CANADA GOVERNMENT		2.75		9/1/2016		1,550,000			1,657,964			1,583,602
	135087ZR8	CANADA GOVERNMENT		2.25		8/1/2014		3,000,000			3,188,378			2,977,338
	13509PCY7	CANADA HOUSING TRUST		3.80		6/15/2021		32,000,000			35,395,623			33,909,091
	500769BM5	KREDITANSTALT FUER WIDERAUFBAU		4.38		2/9/2016		900,000			918,621			950,011
	563469EU5	MANITOBA PROVINCE		5.25		12/3/2012		900,000			919,605			905,866
	642866FT9	NEW BRUNSWICK PROVINCE OF		4.50		2/4/2015		900,000			930,813			948,728
	683234WM6	ONTARIO PROVINCE		4.50		3/8/2015		900,000			929,289			949,611
	748148RK1	QUEBEC PROVINCE OF		5.25		10/1/2013		850,000			884,030			881,591
	803854JF6	SASKATCHEWAN PROVINCE		5.25		6/3/2014		900,000			938,073			953,552
	D20658J64	DEUTSCHE BUNDESREPUBLIK		3.50		1/4/2016		19,300,000			28,495,093			28,586,057
	D4085B7F2	KREDITANSTALT FUER WIDERAUFBAU		2.50		5/28/2013		42,000,000			42,191,787			43,404,058
	G924507Q5	UNITED KINGDOM GILT		2.75		1/22/2015		6,950,000			11,551,483			11,463,321
	G92450NU8	UNITED KINGDOM GILT		5.00		9/7/2014		7,300,000			13,004,315			12,749,082
	Q0819ACW8	AUSTRALIA COMMONWEALTH OF		5.75		5/15/2021		12,500,000			14,060,218			13,598,339
	Q2694KDZ4	AUST (GOV OF)		5.25		3/15/2019		4,000,000			4,295,290			4,178,820

								198,945,000			224,019,747			225,781,756

Agency MBS
	01F0304A3	FNMA		3.00		10/1/2026		(92,000,000	)		(94,889,590	)		(94,774,375	)
	01F0304A3	FNMA		3.00		10/1/2026		152,000,000			156,807,813			156,583,750
	01F0304B1	FNMA		3.00		11/1/2026		158,000,000			161,909,883			162,135,156
	01F0326A7	FNMA		3.50		10/1/2040		(16,000,000	)		(16,189,063	)		(16,432,500	)
	01F0326A7	FNMA		3.50		10/1/2040		39,000,000			39,834,297			40,054,219
	01F0406A0	FNMA		4.00		10/1/2039		(91,000,000	)		(95,629,531	)		(95,350,938	)
	01F0406A0	FNMA		4.00		10/1/2039		147,000,000			153,054,844			154,028,438
	01F0406B8	FNMA		4.00		11/1/2040		(29,000,000	)		(30,063,594	)		(30,300,469	)
	01F0406B8	FNMA		4.00		11/1/2040		29,000,000			30,088,438			30,300,469
	01N0406A1	GNMA		4.00		10/1/2040		13,000,000			13,820,625			13,898,828
	02R0304A8	FHLMC GOLD		3.00		10/18/2011		29,000,000			29,892,656			29,829,219
	02R0324A4	FHLMC GOLD		3.50		10/1/2026		31,000,000			32,424,063			32,293,281
	02R0406A5	FHLMC GOLD		4.00		10/1/2040		(7,000,000	)		(7,347,813	)		(7,324,297	)
	02R0406B3	FHLMC GOLD		4.00		11/1/2041		(43,000,000	)		(44,495,313	)		(44,856,055	)
	02R0406B3	FHLMC GOLD		4.00		11/1/2041		43,000,000			44,539,805			44,856,055
	02R0526A0	FHLMC TBA		5.50		10/1/2034		(1,000,000	)		(1,089,531	)		(1,081,563	)
	31283K4C9	FHLMC GOLD		5.00		6/1/2020		7,547,267			8,078,011			8,139,568
	31283K6U7	FHLMC GOLD		4.50		8/1/2015		1,421,096			1,489,696			1,519,944
	31283KJU3	FHLMC GOLD		6.50		12/1/2014		422,013			449,292			458,147
	31283KN87	FHLMC GOLD		5.00		9/1/2017		2,512			2,632			2,716
	3128GNW87	FHLMC GOLD		5.00		11/1/2016		2,527			2,642			2,715


		Allied World Assurance Company Holdings, AG Securities Listing as at September 30, 2011


Cusip		Security Description	Coupon		Maturity		Par		Book Value $		Market Value $

	3128GNY77	FHLMC GOLD		5.00		11/1/2016		14,043		14,678		15,089
	3128GP3U5	FHLMC GOLD		5.00		1/1/2017		2,848		2,978		3,060
	3128GP3V3	FHLMC GOLD		5.00		1/1/2017		12,363		12,928		13,283
	3128GP4U4	FHLMC GOLD		5.00		1/1/2017		3,839		4,016		4,125
	3128GP7M9	FHLMC GOLD		5.00		1/1/2017		1,938		2,027		2,095
	3128GPSA2	FHLMC GOLD		5.00		12/1/2016		2,922		3,059		3,140
	3128GPVH3	FHLMC GOLD		5.00		12/1/2016		1,121		1,171		1,201
	3128GQ3Q2	FHLMC GOLD		5.00		2/1/2017		5,061		5,294		5,473
	3128GQ6E6	FHLMC GOLD		5.00		2/1/2017		3,805		3,981		4,115
	3128GQGA3	FHLMC GOLD		5.00		1/1/2017		5,835		6,102		6,310
	3128GQJT9	FHLMC GOLD		5.00		1/1/2017		5,027		5,257		5,402
	3128GQK26	FHLMC GOLD		5.00		1/1/2017		9,292		9,714		9,984
	3128GQK34	FHLMC GOLD		5.00		1/1/2017		1,676		1,752		1,801
	3128GQKB6	FHLMC GOLD		5.00		1/1/2017		3,613		3,773		3,882
	3128GQP54	FHLMC GOLD		5.00		1/1/2017		6,053		6,330		6,545
	3128GQQQ7	FHLMC GOLD		5.00		2/1/2017		6,104		6,377		6,559
	3128GQQZ7	FHLMC GOLD		5.00		2/1/2017		15,645		16,361		16,810
	3128GQSG7	FHLMC GOLD		5.00		2/1/2017		3,043		3,180		3,290
	3128GQU58	FHLMC GOLD		5.00		2/1/2017		5,343		5,582		5,740
	3128GQU90	FHLMC GOLD		5.00		2/1/2017		2,282		2,386		2,467
	3128GQVB4	FHLMC GOLD		5.00		2/1/2017		3,469		3,628		3,727
	3128GQW31	FHLMC GOLD		5.00		2/1/2017		8,449		8,843		9,067
	3128GQW49	FHLMC GOLD		5.00		2/1/2017		14,384		15,054		15,554
	3128GR3Y3	FHLMC GOLD		5.00		2/1/2017		13,133		13,744		14,111
	3128GR6N4	FHLMC GOLD		5.00		4/1/2017		19,512		20,429		21,099
	3128GRBH1	FHLMC GOLD		5.00		2/1/2017		4,982		5,211		5,387
	3128GRBJ7	FHLMC GOLD		5.00		2/1/2017		1,836		1,920		1,985
	3128GRFT1	FHLMC GOLD		5.00		3/1/2017		9,910		10,365		10,647
	3128GRJD2	FHLMC GOLD		5.00		3/1/2017		2,774		2,899		2,980
	3128GRK81	FHLMC GOLD		5.00		3/1/2017		4,312		4,509		4,663
	3128GRLA5	FHLMC GOLD		5.00		3/1/2017		20,086		21,014		21,720
	3128GRM71	FHLMC GOLD		5.00		3/1/2017		2,316		2,424		2,504
	3128GRP94	FHLMC GOLD		5.00		3/1/2017		1,514		1,582		1,627
	3128GRQA0	FHLMC GOLD		5.00		3/1/2017		5,157		5,398		5,576
	3128GRSP5	FHLMC GOLD		5.00		3/1/2017		5,334		5,574		5,731
	3128GRSY6	FHLMC GOLD		5.00		3/1/2017		9,259		9,682		10,012
	3128GRUF4	FHLMC GOLD		5.00		3/1/2017		1,150		1,204		1,244
	3128GRUT4	FHLMC GOLD		5.00		3/1/2017		6,417		6,703		6,895
	3128GRWQ8	FHLMC GOLD		5.00		2/1/2017		466		487		501
	3128GRYD5	FHLMC GOLD		5.00		4/1/2017		3,065		3,204		3,315
	3128GS5Y9	FHLMC GOLD		5.00		4/1/2017		5,361		5,610		5,797
	3128GSDJ3	FHLMC GOLD		5.00		4/1/2017		8,049		8,424		8,703
	3128GSGB7	FHLMC GOLD		5.00		4/1/2017		12,749		13,346		13,786
	3128GSGU5	FHLMC GOLD		5.00		4/1/2017		21,186		22,188		22,910
	3128GSKE6	FHLMC GOLD		5.00		4/1/2017		17,898		18,732		19,354
	3128GSKV8	FHLMC GOLD		5.00		4/1/2017		6,106		6,389		6,602
	3128GSLX3	FHLMC GOLD		5.00		4/1/2017		4,952		5,178		5,355
	3128GSLY1	FHLMC GOLD		5.00		4/1/2017		12,048		12,612		13,028
	3128GSNL7	FHLMC GOLD		5.00		4/1/2017		6,690		6,998		7,234
	3128GSQN0	FHLMC GOLD		5.00		4/1/2017		7,523		7,864		8,083
	3128GSSN8	FHLMC GOLD		5.00		4/1/2017		15,394		16,126		16,646
	3128GV2N9	FHLMC GOLD		5.00		10/1/2017		27,223		28,512		29,437
	3128GV3C2	FHLMC GOLD		5.00		10/1/2017		12,661		13,248		13,691
	3128GV3D0	FHLMC GOLD		5.00		10/1/2017		22,837		23,898		24,695
	3128GV3Z1	FHLMC GOLD		5.00		10/1/2017		25,938		27,189		28,048
	3128GV7G9	FHLMC GOLD		5.00		10/1/2017		4,947		5,176		5,349
	3128GVBY5	FHLMC GOLD		5.00		8/1/2017		1,649		1,728		1,770
	3128GVH94	FHLMC GOLD		5.00		9/1/2017		2,960		3,096		3,200
	3128GVJA9	FHLMC GOLD		5.00		9/1/2017		10,774		11,274		11,650
	3128GVJB7	FHLMC GOLD		5.00		9/1/2017		6,561		6,865		7,095
	3128GVJQ4	FHLMC GOLD		5.00		9/1/2017		15,933		16,689		17,229
	3128GVLF5	FHLMC GOLD		5.00		9/1/2017		6,546		6,846		7,034
	3128GVLH1	FHLMC GOLD		5.00		9/1/2017		9,489		9,944		10,261
	3128GVLJ7	FHLMC GOLD		5.00		9/1/2017		14,409		15,074		15,581
	3128GVMM9	FHLMC GOLD		5.00		8/1/2017		1,987		2,080		2,149
	3128GVNL0	FHLMC GOLD		5.00		9/1/2017		6,127		6,411		6,626
	3128GVNM8	FHLMC GOLD		5.00		9/1/2017		8,590		8,989		9,289


		Allied World Assurance Company Holdings, AG Securities Listing as at September 30, 2011


Cusip		Security Description	Coupon		Maturity		Par		Book Value $		Market Value $

	3128GVNN6	FHLMC GOLD		5.00		9/1/2017		12,443		13,020		13,508
	3128GVNV8	FHLMC GOLD		5.00		9/1/2017		4,673		4,890		5,053
	3128GVNX4	FHLMC GOLD		5.00		9/1/2017		63,070		66,061		68,201
	3128GVPM6	FHLMC GOLD		5.00		9/1/2017		5,769		6,037		6,238
	3128GVPN4	FHLMC GOLD		5.00		9/1/2017		5,087		5,322		5,500
	3128GVPP9	FHLMC GOLD		5.00		9/1/2017		22,950		24,056		24,817
	3128GVQH6	FHLMC GOLD		5.00		9/1/2017		17,749		18,597		19,193
	3128GVRA0	FHLMC GOLD		5.00		9/1/2017		4,842		5,065		5,236
	3128GVRC6	FHLMC GOLD		5.00		9/1/2017		9,220		9,655		9,970
	3128GVRE2	FHLMC GOLD		5.00		9/1/2017		7,211		7,552		7,797
	3128GVRS1	FHLMC GOLD		5.00		9/1/2017		4,597		4,809		4,970
	3128GVRT9	FHLMC GOLD		5.00		9/1/2017		11,585		12,123		12,527
	3128GVRY8	FHLMC GOLD		5.00		9/1/2017		56,734		59,424		61,349
	3128GVT83	FHLMC GOLD		5.00		9/1/2017		22,373		23,432		24,193
	3128GVTN0	FHLMC GOLD		5.00		9/1/2017		6,288		6,583		6,799
	3128GVTW0	FHLMC GOLD		5.00		9/1/2017		13,120		13,750		14,188
	3128GVUD0	FHLMC GOLD		5.00		9/1/2017		1,995		2,091		2,157
	3128GVUE8	FHLMC GOLD		5.00		9/1/2017		11,150		11,686		12,058
	3128GVUX6	FHLMC GOLD		5.00		10/1/2017		5,220		5,461		5,645
	3128GVVE7	FHLMC GOLD		5.00		10/1/2017		30,276		31,681		32,739
	3128GVVF4	FHLMC GOLD		5.00		10/1/2017		13,247		13,863		14,325
	3128GVVJ6	FHLMC GOLD		5.00		10/1/2017		23,228		24,326		25,117
	3128GVVY3	FHLMC GOLD		5.00		10/1/2017		12,803		13,420		13,741
	3128GVW22	FHLMC GOLD		5.00		9/1/2017		4,223		4,426		4,566
	3128GVW89	FHLMC GOLD		5.00		10/1/2017		8,253		8,635		8,924
	3128GVZV5	FHLMC GOLD		5.00		10/1/2017		18,283		19,151		19,770
	3128GW5Q7	FHLMC GOLD		5.00		11/1/2017		10,931		11,442		11,820
	3128GW6G8	FHLMC GOLD		5.00		11/1/2017		5,239		5,482		5,666
	3128GWAQ1	FHLMC GOLD		5.00		10/1/2017		3,814		3,990		4,098
	3128GWAT5	FHLMC GOLD		5.00		10/1/2017		24,331		25,497		26,113
	3128GWAU2	FHLMC GOLD		5.00		10/1/2017		25,897		27,101		28,004
	3128GWB49	FHLMC GOLD		5.00		10/1/2017		2,665		2,794		2,882
	3128GWB80	FHLMC GOLD		5.00		10/1/2017		14,587		15,266		15,774
	3128GWBH0	FHLMC GOLD		5.00		10/1/2017		21,694		22,741		23,459
	3128GWC89	FHLMC GOLD		5.00		10/1/2017		7,808		8,182		8,443
	3128GWCL0	FHLMC GOLD		5.00		10/1/2017		12,991		13,599		14,048
	3128GWCW6	FHLMC GOLD		5.00		10/1/2017		4,872		5,099		5,269
	3128GWDP0	FHLMC GOLD		5.00		10/1/2017		10,645		11,140		11,511
	3128GWEG9	FHLMC GOLD		5.00		10/1/2017		32,216		33,717		34,837
	3128GWEK0	FHLMC GOLD		5.00		10/1/2017		8,481		8,875		9,171
	3128GWEP9	FHLMC GOLD		5.00		10/1/2017		4,538		4,757		4,908
	3128GWF86	FHLMC GOLD		5.00		10/1/2017		10,742		11,239		11,616
	3128GWFN3	FHLMC GOLD		5.00		10/1/2017		10,316		10,795		11,155
	3128GWHH4	FHLMC GOLD		5.00		10/1/2017		9,257		9,687		10,010
	3128GWJG4	FHLMC GOLD		5.00		11/1/2017		24,267		25,433		26,045
	3128GWK31	FHLMC GOLD		5.00		10/1/2017		13,035		13,640		14,096
	3128GWK56	FHLMC GOLD		5.00		11/1/2017		14,068		14,722		15,213
	3128GWMS4	FHLMC GOLD		5.00		11/1/2017		6,502		6,805		7,031
	3128GWP85	FHLMC GOLD		5.00		11/1/2017		8,355		8,759		9,035
	3128GWQ27	FHLMC GOLD		5.00		11/1/2017		15,779		16,518		17,063
	3128GWQ92	FHLMC GOLD		5.00		11/1/2017		12,169		12,734		13,159
	3128GWQN1	FHLMC GOLD		5.00		11/1/2017		11,956		12,511		12,929
	3128GWQY7	FHLMC GOLD		5.00		11/1/2017		6,588		6,894		7,124
	3128GWR42	FHLMC GOLD		5.00		11/1/2017		15,312		16,025		16,557
	3128GWRF7	FHLMC GOLD		5.00		11/1/2017		9,489		9,949		10,184
	3128GWV21	FHLMC GOLD		5.00		11/1/2017		20,322		21,303		21,975
	3128GWVL9	FHLMC GOLD		5.00		11/1/2017		3,393		3,555		3,669
	3128GWWM6	FHLMC GOLD		5.00		11/1/2017		2,444		2,563		2,623
	3128GWXD5	FHLMC GOLD		5.00		11/1/2017		8,478		8,874		9,167
	3128GWXW3	FHLMC GOLD		5.00		11/1/2017		16,134		16,919		17,316
	3128GWYS1	FHLMC GOLD		5.00		11/1/2017		3,584		3,751		3,876
	3128GWZQ4	FHLMC GOLD		5.00		11/1/2017		9,811		10,267		10,609
	3128GX3H7	FHLMC GOLD		5.00		12/1/2017		15,980		16,764		17,150
	3128GX5V4	FHLMC		5.00		12/1/2017		19,590		20,551		21,025
	3128GXAX4	FHLMC GOLD		5.00		11/1/2017		27,595		28,885		29,840
	3128GXBC9	FHLMC GOLD		5.00		11/1/2017		4,984		5,216		5,389
	3128GXEA0	FHLMC GOLD		5.00		12/1/2017		12,076		12,666		12,961


		Allied World Assurance Company Holdings, AG Securities Listing as at September 30, 2011


Cusip		Security Description	Coupon		Maturity		Par		Book Value $		Market Value $

	3128GXEK8	FHLMC GOLD		5.00		12/1/2017		5,703		5,981		6,120
	3128GXFT8	FHLMC GOLD		5.00		12/1/2017		15,620		16,350		16,891
	3128GXHA7	FHLMC GOLD		5.00		12/1/2017		20,143		21,108		21,781
	3128GXHQ2	FHLMC GOLD		5.00		12/1/2017		22,369		23,439		24,189
	3128GXN36	FHLMC GOLD		5.00		12/1/2017		20,409		21,413		22,069
	3128GY2H6	FHLMC GOLD		5.00		2/1/2018		14,332		15,009		15,497
	3128GYF66	FHLMC GOLD		5.00		1/1/2018		3,492		3,660		3,776
	3128GYG73	FHLMC GOLD		5.00		1/1/2018		18,364		19,224		19,858
	3128GYKK9	FHLMC GOLD		5.00		1/1/2018		2,518		2,637		2,722
	3128GYLX0	FHLMC GOLD		5.00		1/1/2018		1,556		1,629		1,683
	3128GYNT7	FHLMC GOLD		5.00		2/1/2018		2,105		2,205		2,276
	3128GYQC1	FHLMC GOLD		5.00		2/1/2018		15,970		16,727		17,270
	3128GYS88	FHLMC GOLD		5.00		2/1/2018		1,915		2,009		2,071
	3128GYTW4	FHLMC GOLD		5.00		2/1/2018		1,924		2,016		2,081
	3128GYU44	FHLMC GOLD		5.00		2/1/2018		13,551		14,186		14,653
	3128GYU51	FHLMC GOLD		5.00		2/1/2018		12,420		13,004		13,430
	3128GYV35	FHLMC GOLD		5.00		2/1/2018		24,246		25,388		26,218
	3128GYVB7	FHLMC GOLD		5.50		2/1/2018		49,084		52,671		53,073
	3128GYVZ4	FHLMC GOLD		5.00		2/1/2018		16,188		16,947		17,393
	3128GYZE7	FHLMC GOLD		5.00		2/1/2018		8,956		9,386		9,637
	3128H22V4	FHLMC GOLD		5.00		4/1/2018		7,518		7,876		8,089
	3128H25K5	FHLMC GOLD		5.00		4/1/2018		2,274		2,383		2,459
	3128H26F5	FHLMC GOLD		5.00		3/1/2018		396		415		424
	3128H26M0	FHLMC GOLD		5.50		3/1/2018		931,720		999,974		1,007,454
	3128H26W8	FHLMC GOLD		5.50		2/1/2018		396,004		424,925		428,193
	3128H27K3	FHLMC GOLD		5.00		4/1/2018		5,099		5,345		5,514
	3128H2B69	FHLMC GOLD		5.00		2/1/2018		19,793		20,723		21,404
	3128H2B77	FHLMC GOLD		5.00		2/1/2018		19,052		19,952		20,602
	3128H2B85	FHLMC GOLD		5.00		2/1/2018		15,292		16,010		16,536
	3128H2C84	FHLMC GOLD		5.00		2/1/2018		4,091		4,284		4,424
	3128H2E41	FHLMC GOLD		5.00		3/1/2018		22,512		23,578		24,343
	3128H2ED1	FHLMC GOLD		5.00		2/1/2018		40,024		41,906		43,064
	3128H2EG4	FHLMC GOLD		5.00		2/1/2018		22,262		23,315		24,073
	3128H2LV3	FHLMC GOLD		5.00		2/1/2018		20,925		21,907		22,627
	3128H2LY7	FHLMC GOLD		5.00		3/1/2018		9,649		10,107		10,382
	3128H2QV8	FHLMC GOLD		5.00		3/1/2018		23,243		24,336		25,134
	3128H2T86	FHLMC GOLD		5.00		3/1/2018		2,761		2,892		2,971
	3128H2TF0	FHLMC GOLD		5.00		3/1/2018		21,698		22,724		23,463
	3128H2TJ2	FHLMC GOLD		5.00		3/1/2018		6,731		7,050		7,278
	3128H2TW3	FHLMC GOLD		5.00		3/1/2018		17,989		18,842		19,452
	3128H2VW0	FHLMC GOLD		5.00		3/1/2018		27,951		29,279		30,224
	3128H2YM9	FHLMC GOLD		5.00		3/1/2018		6,303		6,599		6,815
	3128H2YN7	FHLMC GOLD		5.00		3/1/2018		8,203		8,593		8,870
	3128H2YS6	FHLMC GOLD		5.00		3/1/2018		8,891		9,313		9,614
	3128H2ZJ5	FHLMC GOLD		5.00		3/1/2018		7,247		7,592		7,837
	3128H2ZT3	FHLMC GOLD		5.00		4/1/2018		9,165		9,598		9,910
	3128H2ZU0	FHLMC GOLD		5.00		4/1/2018		15,571		16,312		16,837
	3128H32W0	FHLMC GOLD		5.00		4/1/2018		14,305		15,001		15,468
	3128H3C25	FHLMC GOLD		5.00		4/1/2018		2,724		2,854		2,945
	3128H3CD1	FHLMC GOLD		5.00		4/1/2018		4,006		4,199		4,332
	3128H3FG1	FHLMC GOLD		5.00		4/1/2018		14,350		15,033		15,517
	3128H3KN0	FHLMC GOLD		5.00		4/1/2018		1,748		1,832		1,890
	3128H3MN8	FHLMC GOLD		5.00		4/1/2018		23,998		25,139		25,951
	3128H3N72	FHLMC GOLD		5.00		4/1/2018		6,732		7,051		7,280
	3128H3RY9	FHLMC GOLD		5.00		5/1/2018		25,718		26,943		27,810
	3128H3S36	FHLMC GOLD		5.00		4/1/2018		9,076		9,506		9,814
	3128H3SZ5	FHLMC GOLD		5.00		5/1/2018		13,097		13,719		14,162
	3128H3V65	FHLMC GOLD		5.00		5/1/2018		5,176		5,423		5,598
	3128H3WF4	FHLMC GOLD		5.00		4/1/2018		10,870		11,386		11,754
	3128H3XU0	FHLMC GOLD		5.00		5/1/2018		9,612		10,068		10,394
	3128H45V7	FHLMC GOLD		5.00		6/1/2018		14,122		14,798		15,271
	3128H4J59	FHLMC GOLD		5.00		6/1/2018		10,513		11,017		11,369
	3128H4JG5	FHLMC GOLD		5.00		5/1/2018		10,737		11,248		11,611
	3128H4JT7	FHLMC GOLD		5.00		6/1/2018		24,686		25,866		26,694
	3128H5JX5	FHLMC GOLD		5.00		7/1/2018		18,297		19,172		19,785
	3128H5RP3	FHLMC GOLD		5.00		7/1/2018		10,090		10,573		10,911
	3128H5TK2	FHLMC GOLD		5.00		7/1/2018		27,715		29,041		29,970


		Allied World Assurance Company Holdings, AG Securities Listing as at September 30, 2011


Cusip		Security Description	Coupon		Maturity		Par		Book Value $		Market Value $

	3128H6BG8	FHLMC GOLD		5.00		7/1/2018		22,183		23,246		23,988
	3128H6CZ5	FHLMC GOLD		5.00		7/1/2018		22,551		23,635		24,385
	3128H6FR0	FHLMC GOLD		5.00		8/1/2018		15,153		15,881		16,386
	3128H6FU3	FHLMC GOLD		5.00		8/1/2018		12,274		12,866		13,273
	3128H6WU4	FHLMC GOLD		5.50		8/1/2018		232,121		249,445		251,654
	3128H6XM1	FHLMC GOLD		5.00		8/1/2018		5,690		5,963		6,153
	3128H6ZC1	FHLMC GOLD		5.50		7/1/2018		79,457		85,350		86,143
	3128H77K2	FHLMC GOLD		5.50		10/1/2018		182,997		196,765		198,397
	3128JLDM8	FHLMC		2.58		9/1/2033		232,327		243,426		243,730
	3128JLEY1	FHLMC		2.67		9/1/2033		417,696		437,675		445,043
	3128JLHB8	FHLMC		2.71		9/1/2033		64,236		66,480		67,845
	3128JMW45	FHLMC		2.97		11/1/2034		92,743		97,041		98,246
	3128JMY68	FHLMC		2.71		11/1/2034		121,057		125,586		129,182
	3128JMZG5	FHLMC		2.86		11/1/2034		163,107		170,676		171,615
	3128JNAL9	FHLMC		2.65		2/1/2035		177,215		185,748		187,859
	3128JRP26	FHLMC		2.52		12/1/2033		1,809,715		1,910,531		1,896,617
	3128K17K1	FHLMC GOLD		5.00		1/1/2036		4,813,892		5,094,855		5,186,247
	3128KA4Z1	FHLMC GOLD		6.00		6/1/2036		80,624		84,619		88,729
	3128KE5H2	FHLMC GOLD		6.50		9/1/2036		151,015		165,335		169,216
	3128KVAR6	FHLMC GOLD		6.50		8/1/2037		155,011		169,745		172,423
	3128KWBZ5	FHLMC GOLD		6.00		9/1/2037		14,389		15,817		16,064
	3128KWFX6	FHLMC GOLD		6.00		9/1/2037		32,566		35,799		36,357
	3128KWFY4	FHLMC GOLD		6.00		9/1/2037		46,162		50,743		51,536
	3128KWT29	FHLMC GOLD		6.00		9/1/2037		29,282		32,187		32,691
	3128KWTK9	FHLMC GOLD		6.00		9/1/2037		44,191		48,574		49,335
	3128KWTP8	FHLMC GOLD		6.00		9/1/2037		38,294		42,094		42,752
	3128KWTZ6	FHLMC GOLD		6.00		9/1/2037		29,248		32,151		32,653
	3128KYXE4	FHLMC GOLD		6.00		4/1/2037		19,263		21,175		21,506
	3128M4XA6	FHLMC GOLD		5.50		7/1/2037		3,252,464		3,490,501		3,558,896
	3128M4ZG1	FHLMC GOLD		6.00		7/1/2037		3,475		3,820		3,880
	3128M5R93	FHLMC GOLD		5.50		2/1/2038		814,641		864,187		882,639
	3128M6UB2	FHLMC GOLD		6.00		7/1/2038		89,055		97,897		99,422
	3128M7AZ9	FHLMC GOLD		6.00		12/1/2038		241,631		265,628		269,761
	3128M7B88	FHLMC GOLD		5.50		2/1/2039		519,206		550,758		562,162
	3128M7FG6	FHLMC GOLD		5.50		12/1/2038		2,544,037		2,698,865		2,754,517
	3128M7PN0	FHLMC GOLD		5.00		7/1/2039		1,149,164		1,183,207		1,250,244
	3128M8VG6	FHLMC GOLD		4.00		6/1/2041		10,533,799		11,042,730		11,087,528
	3128MCUW3	FHLMC GOLD		4.00		12/1/2025		10,362,322		10,577,857		10,914,223
	3128MMAC7	FHLMC GOLD		5.00		7/1/2019		632,049		674,629		681,652
	3128MMLD3	FHLMC GOLD		4.50		9/1/2024		2,497,791		2,630,415		2,654,871
	3128MMM67	FHLMC GOLD		3.50		3/1/2026		967,248		967,517		1,009,556
	3128NCBH6	FHLMC		2.11		1/1/2035		252,943		260,201		259,945
	3128PR7G8	FHLMC GOLD		4.00		8/1/2025		1,886,050		1,960,748		1,986,502
	3128PRVD8	FHLMC GOLD		4.00		6/1/2025		1,972,449		2,045,481		2,077,502
	3128PRWU9	FHLMC GOLD		4.00		7/1/2025		4,308,931		4,468,781		4,538,427
	3128PRZ85	FHLMC GOLD		4.00		7/1/2025		1,449,914		1,495,428		1,527,137
	3128PSBA4	FHLMC GOLD		4.00		8/1/2025		3,680,127		3,826,359		3,876,132
	3128PUGE6	FHLMC GOLD		3.50		2/1/2026		976,221		976,492		1,018,618
	3128PUQT2	FHLMC GOLD		3.50		4/1/2026		978,499		978,771		1,021,231
	3128PURZ7	FHLMC GOLD		3.50		4/1/2026		978,928		979,200		1,021,746
	3128PUVC3	FHLMC GOLD		3.50		4/1/2026		975,679		975,951		1,018,288
	3128PUVP4	FHLMC GOLD		3.50		4/1/2026		965,685		965,954		1,007,924
	3128PUW73	FHLMC GOLD		3.50		5/1/2026		977,292		977,563		1,020,039
	3128PUXF4	FHLMC GOLD		3.50		4/1/2026		963,568		963,837		1,005,715
	3128PVBD1	FHLMC GOLD		4.00		5/1/2026		5,937,732		6,105,713		6,256,304
	3128PVCG3	FHLMC GOLD		4.00		5/1/2026		5,530,342		5,686,816		5,827,057
	312929CM2	FHLMC GOLD		6.00		1/1/2039		9,150		10,058		10,215
	31292K7B7	FHLMC GOLD		5.00		10/1/2040		9,895,587		10,497,479		10,636,272
	31292KJH1	FHLMC GOLD		6.00		7/1/2037		1,820		2,001		2,032
	312930LH1	FHLMC GOLD		6.00		1/1/2039		30,636		33,673		34,203
	312930LQ1	FHLMC GOLD		6.00		1/1/2039		37,967		41,736		42,387
	312930RC6	FHLMC GOLD		6.00		1/1/2039		23,160		25,119		25,856
	312930RV4	FHLMC GOLD		6.00		1/1/2039		11,929		13,114		13,318
	312930TB6	FHLMC GOLD		6.00		1/1/2039		12,167		13,195		13,583
	312931D62	FHLMC GOLD		4.00		2/1/2039		3,131,935		3,172,320		3,279,407
	312931TJ7	FHLMC GOLD		5.00		3/1/2039		3,186,108		3,369,844		3,422,103
	312932CX2	FHLMC GOLD		4.50		4/1/2039		3,326,620		3,447,864		3,547,431


		Allied World Assurance Company Holdings, AG Securities Listing as at September 30, 2011


Cusip		Security Description	Coupon		Maturity		Par		Book Value $		Market Value $

	312932ZE9	FHLMC GOLD		5.00		5/1/2039		88,471		91,249		96,502
	3129334R2	FHLMC GOLD		4.00		7/1/2039		25,598		26,808		26,803
	312933F41	FHLMC GOLD		4.50		6/1/2039		4,598,067		4,765,225		4,870,272
	3129345K4	FHLMC GOLD		5.00		8/1/2039		175,128		180,311		190,532
	312934CX8	FHLMC GOLD		4.00		7/1/2039		1,845,561		1,932,807		1,932,462
	312934ML3	FHLMC GOLD		4.00		7/1/2039		65,083		68,158		68,147
	312934PJ5	FHLMC GOLD		5.00		8/1/2039		93,505		96,439		101,993
	312934R38	FHLMC GOLD		5.00		8/1/2039		77,237		79,661		84,248
	312934SQ6	FHLMC GOLD		4.00		8/1/2039		133,094		139,385		139,361
	3129353B3	FHLMC GOLD		4.50		9/1/2039		696,077		701,866		737,285
	3129356Q7	FHLMC GOLD		4.50		9/1/2039		181,289		182,797		192,022
	312935AT6	FHLMC GOLD		5.00		8/1/2039		166,361		171,285		180,993
	312935KY4	FHLMC GOLD		4.50		9/1/2039		265,243		267,835		280,945
	312935LV9	FHLMC GOLD		4.50		9/1/2039		181,686		183,462		192,442
	312935MQ9	FHLMC GOLD		4.50		9/1/2039		875,107		884,883		940,577
	312935MV8	FHLMC GOLD		4.50		9/1/2039		1,782,642		1,800,764		1,888,175
	312936LH8	FHLMC GOLD		5.00		10/1/2039		335,934		349,752		360,817
	312936LM7	FHLMC GOLD		5.00		10/1/2039		587,509		610,530		639,186
	3129385D1	FHLMC GOLD		5.00		1/1/2040		92,591		96,270		100,330
	3129414L8	FHLMC GOLD		4.00		8/1/2040		108,219		106,527		113,908
	312941TK3	FHLMC GOLD		4.00		8/1/2040		2,305,734		2,414,593		2,426,939
	312942ER2	FHLMC GOLD		5.00		9/1/2040		2,832,079		3,004,572		3,047,556
	312942F83	FHLMC GOLD		4.00		9/1/2040		3,076,570		3,222,033		3,238,296
	312942KC8	FHLMC GOLD		4.00		9/1/2040		296,739		292,101		312,338
	312942WW1	FHLMC GOLD		4.00		10/1/2040		68,069		67,005		71,647
	312943EE9	FHLMC GOLD		5.00		10/1/2040		7,251,346		7,692,551		7,794,109
	312943HE6	FHLMC GOLD		4.00		11/1/2040		336,848		331,582		354,555
	312943HT3	FHLMC GOLD		4.00		11/1/2040		13,474,756		13,889,555		14,166,239
	312943L50	FHLMC GOLD		4.00		11/1/2040		92,832		91,380		97,712
	312943LY7	FHLMC GOLD		4.00		11/1/2040		858,086		898,667		903,193
	312944BJ9	FHLMC GOLD		4.00		12/1/2040		4,005,216		4,065,701		4,214,506
	312944BN0	FHLMC GOLD		4.00		12/1/2040		2,022,634		2,053,201		2,118,844
	312944CD1	FHLMC GOLD		4.00		12/1/2040		229,490		225,902		241,554
	312944CS8	FHLMC GOLD		4.00		12/1/2040		206,921		203,686		217,798
	312944GA3	FHLMC GOLD		4.00		12/1/2040		171,936		169,248		180,974
	312944H61	FHLMC GOLD		4.00		12/1/2040		460,640		453,438		484,854
	312944KV2	FHLMC GOLD		4.00		12/1/2040		127,200		125,212		133,887
	312944LH2	FHLMC GOLD		4.00		12/1/2040		721,811		710,526		759,754
	312944PE5	FHLMC GOLD		4.00		12/1/2040		4,245,156		4,178,786		4,468,310
	312944SX0	FHLMC GOLD		4.00		12/1/2040		244,695		240,869		257,558
	312945DN5	FHLMC GOLD		3.50		1/1/2041		6,256,781		5,990,953		6,430,845
	31294KDZ5	FHLMC GOLD		5.00		9/1/2016		1,522		1,590		1,631
	31294KFJ9	FHLMC GOLD		5.00		11/1/2016		2,334		2,440		2,501
	31294KHD0	FHLMC GOLD		5.00		2/1/2017		5,458		5,709		5,857
	31294KHL2	FHLMC GOLD		5.00		3/1/2017		10,321		10,800		11,161
	31294KJT3	FHLMC GOLD		5.00		5/1/2017		3,298		3,452		3,543
	31294KKU8	FHLMC GOLD		5.00		9/1/2017		5,512		5,776		5,915
	31294MAK7	FHLMC GOLD		4.00		8/1/2025		4,548,999		4,730,153		4,791,280
	312962CQ4	FHLMC GOLD		5.00		8/1/2018		9,118		9,572		9,859
	312962CT8	FHLMC GOLD		5.00		8/1/2018		1,388		1,454		1,492
	312962KD4	FHLMC GOLD		5.50		10/1/2018		101,725		109,424		110,285
	312962KT9	FHLMC GOLD		5.00		10/1/2018		16,126		16,909		17,438
	312962MD2	FHLMC GOLD		5.00		11/1/2018		26,682		27,977		28,853
	312962Q63	FHLMC GOLD		5.50		10/1/2018		15,682		16,863		17,002
	312962UW1	FHLMC GOLD		5.50		11/1/2018		1,233,627		1,327,643		1,337,436
	312963VY4	FHLMC GOLD		5.50		12/1/2018		231,286		248,841		250,749
	312963WH0	FHLMC GOLD		5.50		12/1/2018		18,406		19,807		19,955
	312963ZG9	FHLMC GOLD		5.50		11/1/2018		68,440		73,597		74,200
	3129642B4	FHLMC GOLD		5.50		3/1/2019		133,017		143,055		144,385
	312964KG3	FHLMC GOLD		5.00		2/1/2019		4,510		4,737		4,877
	312964WX3	FHLMC GOLD		5.50		10/1/2018		387,401		416,571		420,001
	312965QA7	FHLMC GOLD		5.50		11/1/2018		232,794		250,294		252,384
	312966WU4	FHLMC GOLD		5.50		5/1/2019		1,374,193		1,478,893		1,491,636
	312968QL7	FHLMC GOLD		5.50		12/1/2018		1,788,465		1,921,905		1,933,839
	3129696M5	FHLMC GOLD		4.00		11/1/2014		1,790,680		1,863,084		1,903,553
	312969VY1	FHLMC GOLD		4.50		10/1/2014		3,031,604		3,170,416		3,242,576
	3129714D3	FHLMC GOLD		4.00		3/1/2015		2,362,604		2,459,484		2,508,681


		Allied World Assurance Company Holdings, AG Securities Listing as at September 30, 2011


Cusip		Security Description	Coupon		Maturity		Par		Book Value $		Market Value $

	3132GDC67	FHLMC GOLD		4.00		4/1/2041		5,841,044		5,822,359		6,119,663
	31342A6F1	FHLMC		2.41		9/1/2033		405,818		423,359		422,907
	31349UCW6	FHLMC		2.35		10/1/2034		177,135		184,077		183,759
	31349UEJ3	FHLMC		2.50		11/1/2034		344,144		359,811		361,391
	31349ULB2	FHLMC		2.49		2/1/2035		339,888		353,132		356,995
	31349UMF2	FHLMC		2.50		3/1/2035		573,329		591,013		602,376
	31371LHQ5	FNMA		4.00		12/1/2013		120,651		125,255		124,084
	31371LNH8	FNMA		4.00		4/1/2014		28,018		29,104		29,145
	31371LZJ1	FNMA		4.00		1/1/2015		1,911,552		1,980,327		1,988,492
	31371M5M5	FNMA		5.50		1/1/2037		350,169		375,219		380,529
	31371MG92	FNMA		4.00		9/1/2015		86,817		90,324		90,813
	31371NCJ2	FNMA		5.50		4/1/2037		10,776		11,547		11,710
	31371NP25	FNMA		5.50		1/1/2038		1,999,293		2,124,831		2,172,609
	31376KKK1	FNMA		4.50		1/1/2015		728,252		751,728		757,761
	31379T6G4	FNMA		5.00		2/1/2014		14,563		15,145		15,666
	3137A6BR2	FHLMC_K010		0.73		10/15/2028		2,848,679		2,852,932		2,848,109
	3137A83K2	FHR_3820D DA		4.00		11/15/2035		22,534,082		23,238,231		24,216,252
	3137AEV77	FHLMC		2.70		5/25/2018		8,300,000		8,381,464		8,329,880
	31381QFF8	FNMA		3.75		3/1/2018		8,500,000		8,672,577		9,102,820
	31382NR20	FNMA		5.50		4/1/2029		403		431		438
	31385RB58	FNMA		8.50		4/1/2030		1,170,026		1,299,579		1,345,530
	31385XK48	FNMA		2.45		7/1/2033		233,756		242,366		245,243
	31388XVV3	FNMA		2.59		8/1/2033		6,434,419		6,667,041		6,631,774
	31389EU78	FNMA		6.50		12/1/2011		5,063		5,095		5,084
	31389EVA0	FNMA		6.50		12/1/2016		1,534,126		1,643,825		1,679,945
	31389EVB8	FNMA		6.50		12/1/2016		1,692,332		1,814,937		1,853,188
	31389XHM8	FNMA		6.00		3/1/2012		43,441		44,475		47,194
	3138A1BA8	FNMA		4.00		1/1/2041		3,972,300		4,009,662		4,166,457
	3138A1HR5	FNMA		4.00		12/1/2040		1,717,439		1,746,210		1,802,459
	3138A2CK3	FNMA		4.00		12/1/2025		4,364,197		4,550,058		4,605,099
	3138A2FJ3	FNMA		4.00		12/1/2025		254,474		265,310		268,521
	3138A2HF9	FNMA		4.00		1/1/2041		986,974		996,290		1,036,450
	3138A2PD5	FNMA		3.50		1/1/2026		9,493,938		9,445,661		9,929,417
	3138A2ZZ5	FNMA		4.00		7/1/2041		997,020		1,006,404		1,045,752
	3138A3DJ3	FNMA		4.00		3/1/2026		294,964		307,520		311,338
	3138A3VB0	FNMA		4.00		1/1/2041		4,157,734		4,075,331		4,370,055
	3138A5RN4	FNMA		4.00		2/1/2026		88,673		92,451		93,595
	3138A6E97	FNMA		4.00		2/1/2041		995,946		1,005,329		1,044,625
	3138A6LJ7	FNMA		4.00		2/1/2026		20,636,570		21,514,785		21,782,092
	3138A6RH5	FNMA		4.00		1/1/2041		33,258		33,571		34,883
	3138A7G69	FNMA		4.00		2/1/2026		120,108		125,218		126,775
	3138A7HY7	FNMA		3.50		2/1/2041		1,860,295		1,786,209		1,912,329
	3138A7QK7	FNMA		3.50		2/1/2041		1,388,399		1,410,294		1,427,313
	3138A8A48	FNMA		4.00		2/1/2041		950,374		959,334		996,826
	3138A9CZ5	FNMA		4.00		3/1/2041		4,262,551		4,178,081		4,473,564
	3138AA4M0	FNMA		4.50		3/1/2041		5,073,562		5,257,545		5,435,889
	3138AAKX8	FNMA		4.00		4/1/2041		216,975		212,673		227,580
	3138AAYW5	FNMA		4.00		3/1/2041		5,811,375		5,800,013		6,095,421
	3138AB2D0	FNMA		4.00		2/1/2041		154,007		150,954		161,534
	3138ADER2	FNMA		4.00		4/1/2041		401,117		404,891		420,723
	3138AEZG1	FNMA		4.00		7/1/2041		945,929		954,839		992,163
	3138AFH86	FNMA		4.00		5/1/2041		593,203		598,785		622,197
	3138AFKH2	FNMA		4.00		5/1/2026		105,205		109,680		111,045
	3138AFXZ8	FNMA		4.00		5/1/2026		268,444		279,886		283,345
	3138AG6Q6	FNMA		4.00		6/1/2026		375,411		391,374		396,250
	3138AGQB7	FNMA		4.00		4/1/2026		329,052		343,068		347,318
	3138AGQQ4	FNMA		4.00		5/1/2026		102,662		107,034		108,361
	3138AKEL9	FNMA		4.00		5/1/2026		168,755		175,948		178,123
	3138ANCX9	FNMA		4.00		8/1/2041		26,138,882		27,381,589		27,514,542
	3138EGFB5	FNMA		4.00		4/1/2041		24,548,180		24,752,789		25,744,343
	3138EGH72	FNMA		4.00		3/1/2026		1,712,353		1,785,249		1,806,874
	3138EGHV9	FNMA		4.00		1/1/2026		237,779		247,904		250,904
	3138EGHW7	FNMA		5.00		4/1/2041		967,873		1,032,214		1,047,179
	3138EGKX1	FNMA		6.00		1/1/2040		10,105,412		11,098,594		11,093,865
	3138NJAE8	FNMA		3.63		12/1/2020		2,283,578		2,218,363		2,410,614
	3138NJAF5	FNMA		3.38		11/1/2020		4,366,633		4,169,433		4,541,168
	3138NJAK4	FNMA		3.66		10/1/2020		3,077,134		2,949,792		3,208,589


		Allied World Assurance Company Holdings, AG Securities Listing as at September 30, 2011


Cusip		Security Description	Coupon		Maturity		Par		Book Value $		Market Value $

	31391YV87	FNMA		6.00		1/1/2033		2,569		2,705		2,843
	31393DL74	FNMA CMO		4.00		4/25/2030		253,661		257,163		257,879
	31393EFX2	FNMA CMO		4.25		5/25/2022		397,280		400,995		403,557
	31393KLM5	FHLMC		4.00		7/15/2017		176,132		179,290		178,423
	31393VPH8	FHLMC-2627		4.50		7/15/2017		9,531,338		9,619,121		9,609,590
	31395RAR9	FHLMC		4.38		4/15/2015		128,988		129,438		129,466
	31396A7E8	FHLMC-3035		0.00		9/15/2035		85,930		85,290		85,423
	31397QS66	FNMA		3.50		7/25/2024		2,928,786		2,994,073		3,075,079
	31398MFS0	FNMA		4.00		11/25/2023		1,815,426		1,864,012		1,893,671
	31398PQS1	FNMA		3.50		3/25/2028		2,502,050		2,529,602		2,563,691
	31398R3Q6	FNMA-10-53		3.50		2/25/2028		3,748,595		3,818,012		3,879,009
	31398S2F9	FNR-10-152		0.73		5/25/2039		1,904,922		1,906,587		1,906,484
	31398VYJ9	FHLMC		4.25		8/15/2038		3,418,918		3,561,201		3,601,078
	31398W5H3	FHLMC		4.50		11/15/2037		3,659,252		3,774,522		3,830,468
	31400JM55	FNMA		5.50		5/1/2033		1,950		2,098		2,150
	31400QJ87	FNMA		2.35		3/1/2033		25,136		25,827		26,436
	31402GP98	FNMA		5.00		7/1/2033		6,328		6,548		6,906
	31402QXK2	FNMA		8.50		2/1/2031		671,276		739,428		765,255
	31402YSV7	FNMA		2.63		9/1/2033		26,387		27,673		27,933
	31403DC56	FNMA		4.50		12/1/2020		2,626,194		2,783,849		2,815,534
	31403DC72	FNMA		4.50		11/1/2020		1,999,818		2,121,662		2,142,805
	31403DJG5	FNMA		5.50		8/1/2034		23,033		24,672		25,124
	31403KDB6	FNMA		2.32		12/1/2033		11,047		11,243		11,320
	31404NBP0	FNMA		2.38		2/1/2035		128,446		133,628		136,360
	31404SFP5	FNMA		5.50		4/1/2034		6,329		6,808		6,978
	31405QNR5	FNMA		5.50		10/1/2034		1,312		1,412		1,447
	31405UMM8	FNMA		2.51		10/1/2034		131,347		135,008		139,210
	31405UTZ2	FNMA		2.53		11/1/2034		33,381		34,741		35,048
	31406BB90	FNMA		2.37		1/1/2035		200,164		204,692		212,388
	31406BEZ9	FNMA		2.35		12/1/2034		176,880		182,517		187,417
	31406BJF8	FNMA		2.35		1/1/2035		192,611		198,831		202,700
	31406BQQ6	FNMA		2.33		1/1/2035		249,126		256,886		263,965
	31406DG67	FNMA		2.61		11/1/2034		918,409		953,393		972,419
	31406MYP5	FNMA		2.15		3/1/2035		402,728		411,549		417,524
	31406TLC3	FNMA		2.69		4/1/2035		388,932		405,286		412,123
	31406TWR8	FNMA		1.84		1/1/2035		889,474		913,167		913,788
	31406VHE9	FNMA		2.43		5/1/2035		209,776		216,649		222,182
	31407CE29	FNMA		5.50		7/1/2035		1,104		1,187		1,217
	31407FG53	FNMA		5.50		8/1/2035		2,493		2,681		2,749
	31407FUW8	FNMA		2.35		8/1/2035		3,300,136		3,387,939		3,421,882
	31408AG53	FNMA		6.00		2/1/2036		49,271		51,896		54,653
	31408GFA0	FNMA		6.00		12/1/2035		458,714		483,150		506,281
	31409A5P0	FNMA		6.00		3/1/2036		155,648		163,941		172,651
	31409AYE3	FNMA		6.00		3/1/2036		401,823		423,233		442,531
	31409CRY3	FNMA		6.00		2/1/2036		292,229		307,754		324,151
	31409GML7	FNMA		6.50		7/1/2036		1,529,750		1,671,645		1,702,648
	31409UB38	FNMA		6.00		3/1/2036		57,194		60,241		62,857
	31409VYW7	FNMA		6.00		4/1/2036		79,525		83,762		88,212
	31410CJV5	FNMA		6.00		5/1/2036		23,692		24,953		26,092
	31410FUS2	FNMA		5.50		12/1/2036		118,163		126,614		128,408
	31410FVW2	FNMA		5.50		2/1/2037		8,069		8,646		8,768
	31410GD83	FNMA		2.51		4/1/2034		76,060		79,493		80,584
	31410GDF7	FNMA		1.83		6/1/2033		299,100		311,868		313,155
	31410GDL4	FNMA		2.44		2/1/2035		1,316,539		1,362,950		1,410,498
	31410GDN0	FNMA		2.45		6/1/2033		208,829		217,905		219,054
	31410GDP5	FNMA		4.92		6/1/2035		3,375,579		3,562,815		3,602,526
	31410GDY6	FNMA		2.36		1/1/2035		69,120		71,397		72,602
	31410KEM2	FNMA		5.50		4/1/2038		7,547,572		8,082,326		8,201,862
	31410KGQ1	FNMA		6.00		5/1/2038		7,891,011		8,552,594		8,659,274
	31410KJY1	FNMA		6.00		5/1/2038		129,518		142,714		142,187
	31410KLD4	FNMA		5.50		5/1/2038		1,679,401		1,784,815		1,823,824
	31410KMQ4	FNMA		5.50		6/1/2038		896,104		952,261		973,167
	31410KNA8	FNMA		5.50		7/1/2038		405,569		431,038		440,446
	31410KS47	FNMA		5.50		12/1/2035		11,508		12,328		12,552
	31410KX74	FNMA		5.50		9/1/2036		6,782,750		7,280,578		7,392,242
	31410LBU5	FNMA		4.00		9/1/2025		3,381,621		3,533,125		3,567,211
	31410MMX5	FNMA		6.00		4/1/2036		417,666		439,924		463,291


		Allied World Assurance Company Holdings, AG Securities Listing as at September 30, 2011


Cusip		Security Description	Coupon		Maturity		Par		Book Value $		Market Value $

	31410QR86	FNMA		5.50		11/1/2036		283,835		304,128		308,444
	31411A5M3	FNMA		5.50		12/1/2036		16,637,199		17,826,390		18,079,668
	31411A7C3	FNMA		5.50		12/1/2036		4,226,174		4,528,462		4,592,590
	31411E2F3	FNMA		5.50		1/1/2037		36,461		39,069		39,623
	31411EFN2	FNMA		5.50		12/1/2036		594,339		636,793		645,869
	31411KLN1	FNMA		5.50		3/1/2037		429,532		460,225		466,768
	31411NUT2	FNMA		5.50		2/1/2037		686,703		735,801		746,233
	31411URL7	FNMA		5.50		4/1/2037		688,457		737,648		748,138
	31411VMN6	FNMA		5.50		3/1/2037		23,274,699		24,968,713		25,292,354
	31412ACH5	FNMA		5.50		4/1/2037		340,701		365,069		370,236
	31412DXY9	FNMA		5.50		1/1/2037		85,491		91,598		92,903
	31412ESY3	FNMA		6.00		1/1/2037		42,669		44,938		47,330
	31412MYZ5	FNMA		5.50		6/1/2038		825,009		876,702		895,957
	31412N6G6	FNMA		4.50		3/1/2039		88,173		88,940		94,773
	31412NXE1	FNMA		5.00		1/1/2039		2,197,515		2,333,615		2,374,986
	31412NZ33	FNMA		5.00		2/1/2039		81,471		84,041		89,149
	31412P5R8	FNMA		4.50		7/1/2039		43,988		45,300		47,418
	31412PBJ9	FNMA		4.50		3/1/2024		35,403,771		37,319,804		37,698,795
	31412PP88	FNMA		5.00		5/1/2039		257,231		264,992		280,748
	31412PRN3	FNMA		4.00		5/1/2024		7,791,001		8,139,704		8,218,587
	31412PXF3	FNMA		4.50		6/1/2039		127,917		128,860		135,879
	31412Q2V0	FNMA		4.50		1/1/2040		3,803,649		3,888,555		4,042,746
	31412QE62	FNMA		4.50		8/1/2039		145,602		149,942		154,664
	31412QE70	FNMA		5.00		8/1/2039		4,865,317		5,056,164		5,239,217
	31412QHF9	FNMA		5.50		8/1/2039		810,695		861,693		883,211
	31412QKA6	FNMA		4.00		9/1/2024		79,834		83,222		84,215
	31412RG76	FNMA		4.00		4/1/2025		8,307,449		8,464,823		8,833,507
	31412RGG6	FNMA		5.00		4/1/2040		418,836		436,349		451,287
	31412RH42	FNMA		5.00		4/1/2040		10,861,234		11,315,384		11,695,919
	31412TKJ1	FNMA		6.00		11/1/2038		7,036,860		7,626,540		7,728,569
	31412TM26	FNMA		5.50		6/1/2038		5,444,632		5,838,312		5,917,117
	31412UEQ9	FNMA		4.50		9/1/2039		460,447		474,176		496,351
	31412URR3	FNMA		4.00		7/1/2024		8,606,768		8,993,600		9,079,125
	31412UY53	FNMA		4.50		8/1/2039		317,601		321,067		342,367
	31412V4G0	FNMA		5.50		7/1/2037		402,808		431,652		437,727
	31413BTW1	FNMA		5.50		6/1/2037		6,479,207		6,950,860		7,040,881
	31413CLH0	FNMA		6.00		7/1/2037		4,785,565		5,186,257		5,259,958
	31413ES55	FNMA		5.50		8/1/2037		16,375		17,544		17,794
	31413NY66	FNMA		6.00		11/1/2037		4,044,924		4,383,927		4,445,898
	31413R2P0	FNMA		6.00		12/1/2037		5,423,055		5,892,895		6,015,446
	31413TK68	FNMA		5.50		12/1/2037		366,867		393,135		398,670
	31413TWV0	FNMA		5.50		1/1/2038		675,684		718,163		734,258
	31413UUD9	FNMA		5.50		1/1/2038		148,576		159,220		161,456
	31414ANH1	FNMA		5.50		12/1/2037		907,716		964,700		986,404
	31414GWU9	FNMA		5.50		2/1/2038		592,161		634,551		643,085
	31414HZ67	FNMA		5.50		12/1/2037		351,553		373,628		382,029
	31414NCH5	FNMA		6.00		12/1/2038		2,159,868		2,346,460		2,395,803
	31414NH31	FNMA		5.00		2/1/2039		2,177,215		2,310,042		2,382,393
	31414NH49	FNMA		5.00		2/1/2039		2,665,067		2,824,257		2,908,723
	31415QTY2	FNMA		6.00		7/1/2038		2,500,563		2,710,143		2,746,364
	31415SRP9	FNMA		5.50		11/1/2038		533,189		571,364		579,042
	31415WA60	FNMA		4.50		1/1/2039		82,420		84,879		88,847
	31415YLZ0	FNMA		4.00		7/1/2024		2,184,940		2,277,553		2,304,854
	31416AQ29	FNMA		4.00		7/1/2024		306,947		319,992		323,792
	31416BS82	FNMA		4.50		8/1/2038		15,378,888		15,625,989		16,352,255
	31416JZM6	FNMA		5.00		2/1/2039		3,529,863		3,734,979		3,801,133
	31416M5A8	FNMA		5.00		3/1/2039		5,593,240		5,906,937		6,048,676
	31416MLA0	FNMA		4.50		3/1/2039		55,992		56,480		60,183
	31416MVP6	FNMA		4.50		4/1/2039		88,808		89,581		95,455
	31416N5T5	FNMA		4.50		4/1/2039		214,218		216,559		230,253
	31416NHE5	FNMA		5.00		8/1/2040		1,139,776		1,211,699		1,228,086
	31416NRD6	FNMA		4.50		3/1/2039		35,051		35,356		37,674
	31416QJZ9	FNMA		5.00		5/1/2039		97,618		100,696		106,818
	31416QMS1	FNMA		4.00		6/1/2024		1,141,973		1,190,457		1,204,647
	31416QV51	FNMA		4.50		8/1/2039		39,099		39,386		41,532
	31416RNK5	FNMA		4.50		7/1/2039		64,156		66,069		69,159
	31416S6B2	FNMA		4.50		7/1/2039		111,707		112,530		118,659


		Allied World Assurance Company Holdings, AG Securities Listing as at September 30, 2011


Cusip		Security Description	Coupon		Maturity		Par		Book Value $		Market Value $

	31416SD40	FNMA		4.50		7/1/2039		113,153		113,988		120,196
	31416SED9	FNMA		5.00		7/1/2039		78,508		80,983		84,542
	31416SLC3	FNMA		4.50		6/1/2039		128,468		129,417		136,464
	31416T3D9	FNMA		4.50		7/1/2039		420,666		425,261		453,468
	31416T7K9	FNMA		4.50		7/1/2039		59,480		59,918		64,118
	31416TAG4	FNMA		4.50		7/1/2039		159,759		162,266		169,702
	31416TAL3	FNMA		5.00		7/1/2039		88,304		91,087		96,626
	31416TB65	FNMA		4.50		8/1/2039		229,821		236,673		244,125
	31416TE47	FNMA		4.50		8/1/2039		111,760		112,467		120,125
	31416TEE5	FNMA		4.50		8/1/2039		159,331		161,516		169,248
	31416TEF2	FNMA		4.50		8/1/2039		110,291		110,988		118,546
	31416TKG3	FNMA		5.00		6/1/2039		95,865		98,885		103,232
	31416W7J5	FNMA		3.50		11/1/2040		4,349,375		4,173,294		4,471,030
	31416WD66	FNMA		5.00		5/1/2040		677,296		705,618		729,773
	31416WE57	FNMA		5.00		5/1/2040		11,265,895		11,736,977		12,131,679
	31416WFG2	FNMA		4.00		5/1/2025		30,088		31,367		31,749
	31416XJ92	FNMA		4.00		1/1/2041		587,261		575,629		615,876
	31417J2B5	FNMA		5.00		9/1/2039		55,921		57,985		60,218
	31417JSB7	FNMA		4.50		7/1/2039		36,777		37,009		39,065
	31417KAZ0	FNMA		4.50		7/1/2039		34,782		35,039		36,947
	31417KXH5	FNMA		4.50		8/1/2039		3,300,768		3,399,168		3,558,153
	31417LLX1	FNMA		5.00		7/1/2039		153,797		158,647		168,290
	31417M2V4	FNMA		4.50		8/1/2039		90,016		92,704		97,035
	31417M2W2	FNMA		4.50		8/1/2039		20,992		21,175		22,564
	31417MFB4	FNMA		4.50		8/1/2039		214,963		216,323		228,342
	31417MPN7	FNMA		5.00		9/1/2039		99,080		102,735		106,694
	31417MQT3	FNMA		5.00		10/1/2039		65,186		67,592		70,196
	31417MTC7	FNMA		4.50		9/1/2039		483,021		489,949		520,685
	31417MVC4	FNMA		4.50		10/1/2039		434,828		442,314		468,734
	31417NB42	FNMA		4.50		10/1/2039		106,627		109,807		114,942
	31417NCL3	FNMA		4.50		10/1/2024		5,532,592		5,850,724		5,989,844
	31417NDN8	FNMA		4.50		11/1/2024		6,102,485		6,429,284		6,498,781
	31417NL41	FNMA		4.50		1/1/2040		235,581		240,840		250,243
	31417NZV6	FNMA		4.50		9/1/2039		94,912		97,742		100,819
	31417QS62	FNMA		4.00		10/1/2024		22,555		23,514		23,793
	31417QTZ7	FNMA		4.50		10/1/2024		6,130,160		6,459,304		6,528,253
	31417QU93	FNMA		4.50		10/1/2039		262,503		270,334		282,973
	31417QUG7	FNMA		4.50		10/1/2039		952,484		962,880		1,026,756
	31417SY95	FNMA		4.50		11/1/2039		42,815		44,092		45,479
	31417SYT1	FNMA		4.50		11/1/2039		88,485		89,256		95,108
	31417TB98	FNMA		4.50		1/1/2040		134,388		137,388		142,753
	31417TKX5	FNMA		4.50		11/1/2039		22,788		23,296		24,206
	31417TL97	FNMA		4.50		12/1/2039		405,388		409,816		436,999
	31417TQE1	FNMA		4.50		1/1/2040		599,018		605,561		645,728
	31417UNB7	FNMA		4.50		11/1/2039		163,272		166,914		173,434
	31417UXN0	FNMA		4.00		2/1/2025		144,249		150,376		152,212
	31417VJE4	FNMA		4.50		12/1/2039		123,678		126,438		131,376
	31417VJS3	FNMA		4.50		12/1/2039		28,694		28,944		30,480
	31417VKE2	FNMA		4.50		1/1/2040		122,645		125,383		130,278
	31417VQT3	FNMA		4.50		1/1/2040		1,795,232		1,835,331		1,935,219
	31417VY64	FNMA		4.50		12/1/2039		227,470		232,547		241,628
	31417VYY3	FNMA		4.00		2/1/2025		321,103		334,760		338,828
	31417Y3H8	FNMA		4.00		7/1/2026		1,523,053		1,588,001		1,607,597
	31417YX51	FNMA		4.00		4/1/2041		504,555		494,562		529,217
	31418MC91	FNMA		6.00		11/1/2038		763,217		841,363		837,871
	31418MT93	FNMA		4.50		1/1/2040		1,711,789		1,729,973		1,817,983
	31418MUL4	FNMA		4.50		12/1/2039		785,906		792,756		835,308
	31418PCP8	FNMA		5.00		9/1/2040		285,493		303,517		307,613
	31418PD44	FNMA		4.50		1/1/2040		246,901		252,418		266,153
	31418RHE4	FNMA		4.00		4/1/2025		536,533		559,327		566,150
	31418SJB6	FNMA		4.00		4/1/2025		40,461		42,181		42,695
	31418UCZ5	FNMA		4.00		5/1/2025		296,734		309,310		313,114
	31418UVY7	FNMA		4.00		6/1/2025		396,087		412,918		417,950
	31418W6Y1	FNMA		5.00		9/1/2040		533,546		567,154		574,885
	31418W7J3	FNMA		5.00		9/1/2040		420,208		446,682		452,765
	31418XF52	FNMA		4.50		9/1/2040		12,515,525		13,117,487		13,295,880
	31419A4N4	FNMA		3.50		2/1/2041		8,031,630		7,724,371		8,256,279


		Allied World Assurance Company Holdings, AG Securities Listing as at September 30, 2011


Cusip		Security Description	Coupon		Maturity		Par		Book Value $		Market Value $

	31419ADT1	FNMA		4.00		7/1/2040		15,157,850		15,233,650		15,893,640
	31419ANK9	FNMA		5.50		10/1/2039		2,135,149		2,271,398		2,318,766
	31419BBT1	FNMA		4.00		2/1/2041		6,888,336		6,696,485		7,223,985
	31419CZF3	FNMA		3.50		9/1/2040		926,409		903,584		952,321
	31419DJY8	FNMA		4.00		8/1/2025		7,585,296		7,908,003		8,004,001
	31419DTQ4	FNMA		5.00		9/1/2040		700,179		744,390		754,428
	31419DV99	FNMA		4.00		10/1/2040		17,178,895		17,450,710		18,083,001
	31419E6N4	FNMA		4.00		3/1/2041		1,951,098		1,912,428		2,046,463
	31419ENB1	FNMA		5.00		9/1/2040		1,503,430		1,598,273		1,623,500
	31419EU80	FNMA		5.00		9/1/2040		271,782		288,965		292,840
	31419EXR5	FNMA		3.50		9/1/2040		3,758,389		3,606,133		3,863,513
	31419FCP9	FNMA		4.00		6/1/2026		3,329,564		3,471,152		3,514,386
	31419FSH0	FNMA		4.00		12/1/2025		119,928		125,032		126,548
	31419FVS2	FNMA		3.50		10/1/2040		8,655,560		8,791,904		8,897,661
	31419GB94	FNMA		4.00		10/1/2040		23,631,958		24,459,915		24,783,477
	31419GBX1	FNMA		3.50		10/1/2040		344,433		349,870		354,067
	31419GXN9	FNMA		4.00		10/1/2040		10,673,390		10,380,418		11,193,474
	31419HC67	FNMA		4.00		2/1/2041		2,525,990		2,549,791		2,649,454
	31419HKM3	FNMA		3.50		10/1/2040		1,853,652		1,882,912		1,905,500
	31419HKN1	FNMA		4.00		10/1/2040		512,882		517,707		537,873
	31419JET1	FNMA		3.50		11/1/2025		10,319,845		10,585,119		10,791,978
	31419JN79	FNMA		3.50		11/1/2040		257,374		261,449		264,573
	31419JZ43	FNMA		3.50		12/1/2040		3,888,973		3,950,600		3,997,749
	31419KVG7	FNMA		3.50		11/1/2040		1,611,600		1,636,937		1,656,678
	31419L5A7	FNMA		4.00		11/1/2040		1,588,681		1,613,821		1,672,292
	31421AAU7	FNMA		5.50		12/1/2038		4,679		5,020		5,085
	36206XC43	GNMA		7.00		5/15/2031		954		1,067		1,112
	3620A9SW2	GNMA		4.50		9/15/2039		461,683		466,427		503,391
	3620AQ7C1	GNMA		5.00		4/15/2040		10,191,366		10,844,914		11,201,102
	3620ARAE1	GNMA		5.00		4/15/2040		1,809,352		1,924,952		1,988,618
	36212PPP1	GNMA		7.00		4/15/2031		11,186		12,517		13,046
	36212U5G2	GNMA		7.00		5/15/2031		15,981		17,885		18,638
	36213HGU7	GNMA		7.00		3/15/2031		1,675		1,874		1,953
	36225DM43	GNMA		1.75		3/20/2035		10,786,379		11,039,309		11,193,612
	36241KV39	GNMA		4.50		8/15/2038		8,339,978		8,702,484		9,101,251
	36241KV47	GNMA		4.50		9/15/2038		6,303,678		6,577,754		6,874,619
	36241KWA2	GNMA		4.50		10/15/2038		3,780,809		3,941,699		4,123,248
	36295QK82	GNMA		5.00		8/15/2038		2,764,370		2,942,737		3,036,869
	36297FYL0	GNMA		4.50		10/15/2039		92,461		93,553		100,814
	38373QGX3	GNMA		4.00		4/20/2033		359,490		372,722		388,170
	38376TBF8	GNMA		4.50		1/16/2040		356,591		377,877		390,517
	38376VDX2	GNMA		3.00		12/20/2038		4,353,168		4,422,643		4,539,135
	62888VAB4	NCUA GUARANTEED NOTES		1.84		10/7/2020		1,519,334		1,519,219		1,538,447

								1,303,971,945		1,348,460,470		1,374,564,237


Non Agency RMBS
	04271AAB7	ARRMF		0.41		9/16/2056		492,565		485,050		487,147
	05948X6X4	BANK OF AMERICA MTG SEC		4.75		6/25/2019		3,994,962		4,014,352		4,093,797
	07384MWF5	BSARM		2.79		8/25/2033		123,069		119,547		106,225
126380AB0		CSMC		5.50		11/25/2036		2,099,872		1,711,818		1,745,519
126384AJ5		CSMC		5.00		3/25/2037		564,967		529,301		542,928
	12638PBU2	CSMC		5.00		4/25/2037		759,316		628,367		695,048
	12669E5B8	CWHL		5.00		11/25/2018		624,703		639,986		642,276
	12669EYQ3	COUNTRYWIDE HOME LOANS TR		2.87		8/25/2033		94,230		75,374		70,792
	16162WLM9	CHASE		5.50		10/25/2035		10,314,287		9,821,361		9,698,834
161630AC2		CHASE		2.82		2/25/2037		11,743,933		11,715,345		11,312,696
161630AG3		CHASE		2.75		2/25/2037		21,110,175		19,779,255		19,284,145
161630AN8		CHASE		2.77		2/25/2037		3,233,863		3,175,537		2,956,171
161630AQ1		CHASE		2.76		2/25/2037		2,725,014		2,506,604		2,308,086
	1729733P2	CMSI		5.00		10/25/2035		9,867,687		9,573,342		9,591,589
	38741QAC0	GRAN		0.75		7/20/2043		72,763		68,977		69,397
	38741SAF9	GRAN		0.63		9/20/2044		29,411		27,416		28,007
449670EQ7		IMC HOME EQUITY LOAN TRUST		6.84		8/20/2029		136,999		134,179		133,786
	46070MAA7	IMT		0.79		7/7/2034		5,540		5,540		5,514
	46630GAA3	JPMMT		2.81		7/25/2035		6,934,156		6,496,996		6,188,318
	46630GAD7	JPMMT		2.86		7/25/2035		2,396,311		2,228,338		2,042,256
	46630GAN5	JPMMT_07-A1		2.78		7/25/2035		1,787,771		1,687,573		1,653,116


		Allied World Assurance Company Holdings, AG Securities Listing as at September 30, 2011


Cusip		Security Description	Coupon		Maturity		Par		Book Value $		Market Value $

	46630GAS4	JPMMT		2.86		7/25/2035		7,069,745		6,609,003		6,395,645
525170BL9		LABS		5.00		12/25/2033		10,152,337		10,071,364		10,386,348
	55265K5Q8	MASTR		4.75		1/25/2034		207,133		206,792		207,053
576433QQ2		MARM_04-8		1.69		9/25/2034		1,219,598		913,468		860,353
	58403GAB1	MEDL		0.36		2/27/2039		244,738		238,704		238,130
	589929W53	MLMI		2.59		7/25/2033		172,636		174,404		156,819
	71419GAQ3	PERMM		1.65		7/15/2042		11,100,000		11,100,000		11,088,378
	76110H2P3	RES ASSET SEC		2.87		3/25/2035		1,770,236		1,109,049		849,607
	76110HHG7	RFMSI_03-Q16		5.00		8/25/2018		6,225,759		6,047,857		6,321,138
863579KY3		SARM		2.51		2/25/2035		2,479,933		1,756,264		1,747,088
	86359BGD7	STRUCTURED ASSET SEC CORP		2.58		2/25/2034		128,420		111,353		108,598
	86359BVE8	STRUCTURED ASSET SEC CORP		2.54		6/25/2034		9,526,919		8,601,306		9,336,381
	92922F4M7	WASHINGTON MUTUAL		0.52		10/25/2045		1,183,203		678,863		928,815
	92922F4P0	WAMU		1.01		10/25/2045		5,826,574		4,712,454		4,632,360
	92922FB49	WASHINGTON MUTUAL		0.59		11/25/2034		373,841		204,051		286,972
	92922FZF8	WAMU_04-A12		0.62		10/25/2044		6,890,195		3,872,541		5,237,375
949781AA6		WFMBS		2.73		2/25/2035		3,380,018		3,151,620		3,033,566
	94982BAG5	WFMBS		2.73		6/25/2035		4,810,937		4,505,809		4,399,169

								151,873,815		139,489,159		139,869,442


Non Agency RMBS — High Yield Mandate
	02660BAA0	AHMA_07-1		0.94		2/25/2047		8,894,286		4,376,545		4,017,193
	02660UAE0	AHMA_06-3		1.18		10/25/2046		10,575,531		4,576,680		5,236,051
	05949QAH8	BANC OF AMERICA FUNDING CORPOR		6.25		3/25/2036		1,250,000		1,178,444		1,167,350
	05954DAG1	BAFC		5.57		7/20/2047		6,230,043		3,817,357		3,956,389
	07384MWF5	BSARM		2.79		8/25/2033		24,614		15,058		21,245
073868AA9		BALTA_06-6		0.38		11/25/2036		15,004,324		5,825,855		5,504,036
	07401AAA5	BSMF		0.42		9/25/2046		9,668,367		4,752,257		5,127,686
	07401YAQ8	BEAR STEARNS MORTGAGE FUNDING		0.44		6/25/2037		13,587,506		7,743,682		7,778,711
	12566VAE2	CMALT_07-A4		5.75		4/25/2037		4,423,976		3,199,712		3,076,654
	12566XAK4	CMA_07-A7		0.63		7/25/2037		6,943,856		4,135,306		3,857,173
	12667GNS8	COUNTRYWIDE ALTERNATIVE LOAN T		1.55		7/20/2035		953,356		422,782		531,976
	12668BCG6	CWALT		6.00		2/25/2036		752,299		547,416		513,722
	12668BPY3	CWALT		5.50		4/25/2036		14,092,986		8,957,315		9,532,918
	126694A32	COUNTRYWIDE HOME LOANS		0.44		3/20/2046		1,903,436		883,967		1,064,592
	12669EYQ3	COUNTRYWIDE HOME LOANS TR		2.87		8/25/2033		31,410		19,662		23,597
	22541QUJ9	CS FIRST BOSTON MORTGAGE SECUR		2.25		10/25/2033		161,108		84,077		138,542
	22942KCD0	CSMC		6.00		8/25/2036		14,074,388		8,492,332		9,362,002
232434AE0		CWALT_06-OC8		0.48		11/25/2036		24,009,549		3,913,180		3,836,006
	23245GAD3	CWALT_06-OC9		0.48		12/25/2046		5,852,849		1,162,617		681,681
	23245QAA7	CWALT		0.42		3/20/2047		12,297,523		5,783,043		6,131,397
	23332QAC7	DSLA		0.43		11/19/2037		1,547,199		1,087,076		942,059
	25151AAG6	DBALT		0.51		8/25/2036		28,252,518		5,183,242		4,874,407
	32052DAG6	FHAMS_06-FA8		6.00		2/25/2037		6,150,868		4,534,211		4,172,134
	40431HAJ6	HALO		0.53		12/25/2036		5,064,662		1,209,720		1,253,924
	41161VAC4	HVMLT		0.43		9/19/2036		5,152,992		2,943,142		2,941,895
	41162DAF6	HVMLT_06-12		0.42		12/19/2036		6,827,465		3,800,604		4,437,853
	45660NQ24	INDX		2.61		8/25/2034		401,854		238,105		273,541
456687AC6		INDX_07-FL4		0.41		7/25/2037		3,093,915		2,281,537		2,056,804
	45668WAC1	INX		0.48		2/25/2037		5,000,000		711,782		799,600
466306AA5		JPALT_08-R2		6.00		11/25/2036		4,399,629		3,343,323		3,368,400
	52520MBY8	LMT_05-2		0.98		12/25/2035		3,923,596		2,385,380		2,286,946
525221HA8		LXS		0.49		2/25/2046		4,245,685		1,837,434		2,117,030
	52524GAA0	LXS_07-7N		0.45		6/25/2047		10,860,865		6,414,229		6,242,825
	52524HAJ9	LXS		1.00		3/25/2047		2,509,722		1,435,232		1,447,859
	52524PAG7	LXS_07-16N		0.39		5/25/2037		10,329,719		7,253,076		6,449,360
	52524VAQ2	LXS_07-15N		1.13		8/25/2047		7,487,702		3,995,102		3,782,038
	55027WAA0	LUM_07-2		0.46		5/25/2037		4,529,592		2,564,855		2,711,888
	55027XAA8	LUM_06-5		0.42		7/25/2036		6,876,952		3,349,629		3,476,712
	57643LLC8	MABS		5.65		11/25/2035		10,000,000		4,428,002		5,478,500
	59024KAX1	MLA_07-AF1		4.98		6/25/2037		3,948,736		2,167,363		1,804,494
	61748HJV4	MORGAN STANLEY MTG LOAN TRUST		5.00		8/25/2035		832,879		823,379		811,466
	61748HVE8	MORGAN STANLEY MTG LOAN TRUST		5.25		2/25/2021		1,128,997		1,066,193		1,054,043
	74958XAB0	RFMSI		5.62		4/25/2037		5,356,500		3,565,884		3,569,036
	76110H2P3	RES ASSET SEC		2.87		3/25/2035		356,730		183,932		171,209
761118FG8		RALI		3.21		8/25/2035		3,907,286		2,282,416		2,278,225
761118QM3		RALI		1.24		1/25/2046		4,202,431		2,274,035		2,613,019


		Allied World Assurance Company Holdings, AG Securities Listing as at September 30, 2011


Cusip		Security Description	Coupon		Maturity		Par		Book Value $		Market Value $

	863579J90	SARM		2.52		12/25/2035		9,746,927		3,391,321		3,441,465
	86359A5B5	SASC		2.51		11/25/2033		380,280		280,976		353,238
	86359AH71	SASC		2.45		7/25/2033		590,538		457,361		514,707
	86359BGD7	STRUCTURED ASSET SEC CORP		2.58		2/25/2034		32,105		20,344		27,150
	86359DUR6	LXS05-5N		0.53		11/25/2035		1,057,716		857,921		733,541
	86359LQM4	SAMI_06-AR1		2.40		3/25/2046		3,903,838		2,014,345		2,358,152
	86361HAA2	SAMI_06-AR7		0.43		8/25/2036		9,584,750		5,826,663		5,477,867
	86361WAA9	SAMI_06-AR8		0.43		3/25/2036		1,562,193		1,060,970		814,825
	92922F7P7	WASHINGTON MUTUAL		0.50		12/25/2045		8,027,379		4,761,746		6,163,422
	92922FJ25	WASHINGTON MUTUAL		0.46		4/25/2045		1,672,291		1,349,005		1,298,609
	92922FR75	WASHINGTON MUTUAL		0.52		7/25/2045		5,482,788		4,205,756		4,320,437
	92925DAB6	WAMU		1.05		12/25/2046		3,580,018		1,714,688		2,341,690
	92927BAA0	WAMU_07-OA6		1.05		7/25/2047		11,849,023		6,182,209		7,025,286
	93363RAA4	EAST PACES FERRY LLC		1.12		10/25/2046		8,449,031		4,487,376		5,223,867
	93936RAA2	WAL		1.08		5/25/2047		8,446,216		4,184,079		4,947,962
	94981QAA6	WFMBS		2.76		10/25/2035		508,996		422,502		508,996

								371,993,990		182,463,432		188,525,399


CMBS
055236AA1		BAMLL_11-07C1		5.38		11/15/2016		6,300,000		6,783,778		6,760,215
055360AC5		BC_10-1		4.23		2/22/2041		3,000,000		3,047,944		3,059,490
	05950EAE8	BACM		5.92		5/10/2045		8,615,000		9,403,904		9,441,049
059512AB9		BACM_07-3		5.80		6/10/2049		571,158		586,087		578,813
059512AQ6		BANC OF AMERICA COMMERCIAL MOR		0.40		6/10/2049		571,158		557,041		555,594
	05956VAC8	BAMLL_11-STRP		2.15		8/17/2038		8,800,000		8,758,770		8,696,512
	07383FXJ2	BEAR STEARNS COMMERCIAL MORTGA		5.19		5/11/2039		4,000,000		4,092,681		4,202,744
	07383FXN3	BSCMS		4.68		8/13/2039		4,000,000		4,015,864		4,178,072
	07387BCH4	BSCMS		5.13		10/12/2042		3,047,090		3,056,953		3,041,185
	07388LAE0	BEAR STEARNS		5.54		9/11/2041		7,500,000		8,082,545		8,230,913
	07388NAE6	BEAR STEARNS COMMERCIAL MORTGA		5.54		10/12/2041		6,500,000		7,166,219		7,121,680
	07388PAE1	BSCMS		5.20		12/11/2038		19,480,000		21,055,058		21,058,679
	12513YAC4	CD		5.21		12/11/2049		5,350,000		5,449,090		5,385,856
	12527EAB4	CFCRE_11-C1		3.76		4/15/2044		3,000,000		3,040,975		3,044,040
	12622DAA2	COMM_10-C1		3.16		7/10/2046		9,823,982		10,074,268		9,909,431
	12622QAA3	COMM_11-THL		3.38		6/9/2028		7,800,000		7,761,374		7,728,942
	17310MAE0	CITIGROUP		5.43		10/15/2049		2,026,000		2,177,675		2,204,087
	17310MBQ2	CGCMT		5.68		10/15/2049		439,602		409,073		413,432
	17313KAD3	CGCMT		6.27		12/10/2049		6,150,000		6,445,786		6,373,491
	20046GAC2	COMM_06-FL12		0.33		12/15/2020		1,940,124		1,926,539		1,881,920
200476AA7		COMM_07-FL14		0.32		6/15/2022		505,811		501,875		484,607
	22545BAA9	CSMC		5.25		3/15/2039		157,975		157,991		157,864
	22545RAB2	CSMC		0.40		10/15/2021		3,175,139		3,148,597		2,937,552
	23305XAB7	DBUBS_11-LC2A		3.39		7/24/2044		8,500,000		8,545,096		8,584,193
	3137A7NU0	FHLMC		4.08		11/25/2020		22,400,000		22,504,444		24,282,496
	3137A8PP7	FHLMC		4.19		12/25/2020		5,600,000		5,565,725		6,195,392
	36158YFT1	GECCMC_02-2		5.35		8/11/2036		24,929,000		25,404,095		25,393,377
361849YU0		GMACC		5.64		5/10/2040		1,550,000		1,637,439		1,649,529
361849ZS4		GMACC		4.65		4/10/2040		54,533		54,934		55,124
361849ZT2		GMACC		5.02		4/10/2040		4,000,000		4,056,340		4,209,568
	36228CVQ3	GSMS		4.61		7/10/2039		500,000		504,091		504,161
	36228CZW6	GSMS		1.53		3/6/2020		5,350,000		5,285,344		5,189,500
	36249KAC4	GSMS_10-C1		4.59		8/10/2043		6,000,000		6,442,667		6,217,950
	36828QKN5	GECMC		4.35		6/10/2048		1,339,051		1,342,605		1,337,941
	38376GDL1	GOV NATL MTGE ASSOC		3.10		12/16/2050		10,695,581		10,675,137		11,151,779
	38376GXU9	GNMA		3.71		12/16/2050		2,500,000		2,567,191		2,661,725
	38376GZ29	GNMA		2.16		11/16/2036		5,179,163		5,230,298		5,283,161
396789JS9		GCCFC		4.57		8/10/2042		500,000		504,433		503,561
	46625YSF1	JPMCC_05-LDP3		4.96		8/15/2042		4,002,727		4,110,495		4,088,744
	46629GAE8	JPMCC		5.55		5/12/2045		9,000,000		9,818,200		9,656,091
	46629PAM0	JPMCC		5.30		5/15/2047		2,000,000		2,033,708		2,006,914
	46630EAC4	JPMCC		5.43		12/12/2043		6,000,000		6,515,902		6,391,014
	50179MAE1	LBUBS		5.37		9/15/2039		1,500,000		1,637,173		1,622,034
	52108HMU5	LBUBS COMM MTG TR		4.85		9/15/2031		28,000,000		28,591,712		28,590,492
	52108HRB2	LBUBS		3.85		5/15/2027		332,537		336,500		337,158
	52108MAF0	LBUBS		5.20		11/15/2030		1,450,000		1,523,067		1,579,108
617458AC8		MORGAN STANLEY CAPITAL I		3.88		9/15/2047		3,500,000		3,529,850		3,612,455
	61745M5G4	MSC		4.89		6/12/2047		500,000		523,438		543,000


		Allied World Assurance Company Holdings, AG Securities Listing as at September 30, 2011


Cusip		Security Description	Coupon		Maturity		Par		Book Value $		Market Value $

	61745ML43	MSC		5.27		6/13/2041		4,000,000		4,053,506		4,288,116
	61750CAF4	MSC_06-HQ9		5.73		7/12/2044		2,550,000		2,808,743		2,775,739
	61750HAE6	MSC		5.33		11/12/2041		4,250,000		4,415,333		4,567,356
	61758FAA0	MSRR 09 GG10 A4B		5.98		8/12/2045		5,000,000		5,427,106		5,453,035
	62474NAA4	MSC_05-RR6		0.44		5/24/2043		734,363		726,853		690,301
	62888XAB0	NCUA_10-C1		2.90		10/29/2020		250,000		249,464		261,997
	62888XAC8	NCUA_10-C1		2.65		10/29/2020		10,246,618		10,229,503		10,632,300
751153AA5		RALI_06-Q010		0.39		1/25/2037		3,991,344		2,362,686		2,269,997
	90348HAA2	B NATIONALE CDA		1.13		7/15/2024		867,714		861,940		808,597
	92922FR67	WASHINGTON MUTUAL		0.50		7/25/2045		549,862		440,621		409,867
	92935VAC2	WFRBS_11-C3		3.24		3/15/2044		7,000,000		7,065,121		7,005,810
929766UK7		WBCMT_04-C14		5.09		8/15/2041		8,800,000		9,451,406		9,337,574
	929766X24	WBCMT_05-C19		4.66		5/15/2044		4,200,000		4,363,406		4,255,314
	92976VAF5	WBCMT		5.92		5/15/2043		6,000,000		6,592,257		6,632,472
	92977RAD8	WACHOVIA BANK COMMERCIAL MORTG		6.01		6/15/2045		6,000,000		6,569,297		6,511,932
	92978YAB6	WBCMT		5.93		6/15/2049		5,656,718		5,895,877		5,710,632

								338,232,249		348,153,087		350,703,673


Corporate Securities — Financials
	00084DAB6	ABN AMRO BANK NV		2.02		1/30/2014		4,500,000		4,500,000		4,287,240
	00448MAA9	ACHMEA HYPOTHEEKBANK N.V. — LT		3.20		11/3/2014		36,000,000		36,055,642		38,030,397
	02005NAB6	ALLY FINANCIAL INC		8.30		2/12/2015		3,375,000		3,713,987		3,273,750
	02580ECC5	AMERICAN EXPRESS BANK FSB		6.00		9/13/2017		3,000,000		3,308,740		3,382,498
025816AX7		AMERICAN EXPRESS COMPANY		6.15		8/28/2017		16,600,000		18,849,625		18,881,664
025816BB4		AMERICAN EXPRESS COMPANY		8.13		5/20/2019		4,300,000		5,286,860		5,431,395
	0258M0DA4	AMERICAN EXPRESS CREDIT CO		2.75		9/15/2015		15,000,000		15,033,876		15,055,940
	05252ABH3	ANZ MELBOURNE		0.99		1/10/2014		2,675,000		2,675,000		2,661,277
	05531FAG8	BB&T CORPORATION		3.20		3/15/2016		6,950,000		7,011,390		7,094,939
	05533UAA6	BBVA BANCOMER SA DE CV		4.50		3/10/2016		2,500,000		2,483,923		2,325,000
	05565AAA1	BNP PARIBAS		5.19		6/29/2049		3,300,000		3,240,651		2,310,000
	05565QBH0	BP CAPITAL MARKETS PLC		3.88		3/10/2015		22,675,000		21,650,944		24,004,475
	05565QBL1	BP CAPITAL MARKETS PLC		3.63		5/8/2014		5,000,000		4,992,703		5,247,492
	05565QBN7	BP CAPITAL MARKETS PLC		3.13		10/1/2015		4,000,000		3,963,896		4,140,955
	05567LU54	BNP PARIBAS		3.60		2/23/2016		2,500,000		2,497,691		2,425,663
	05571AAB1	GROUPE BPCE		2.38		10/4/2013		5,310,000		5,335,863		5,119,821
	05572FAA1	BNP PARIBAS COVERED BONDS SA		2.20		11/2/2015		10,400,000		10,396,738		10,073,440
	05947KAK6	BANCO BRADESCO S.A.		2.39		5/16/2014		700,000		700,000		679,917
	06051GDY2	BANK OF AMERICA		7.38		5/15/2014		8,150,000		8,759,964		8,382,992
	06051GEA3	BANK OF AMERICA		6.50		8/1/2016		19,000,000		20,961,160		19,036,844
	06051GEB1	BANK OF AMERICA		4.50		4/1/2015		3,000,000		3,033,400		2,837,234
	06051GED7	BANK OF AMERICA		3.70		9/1/2015		12,100,000		12,179,933		11,121,055
	06051GEL9	BANK OF AMERICA		1.80		7/11/2014		1,000,000		999,982		890,040
063679JJ4		BANK OF MONTREAL		2.63		1/25/2016		9,600,000		9,594,568		10,014,048
	064149B97	BANK OF NOVA SCOTIA		2.38		12/17/2013		5,000,000		4,988,780		5,127,289
	064149C39	BANK OF NOVA SCOTIA		1.45		7/26/2013		8,400,000		8,392,813		8,485,848
	06415CAA7	BANK OF NOVA SCOTIA		2.15		8/3/2016		11,800,000		11,794,623		12,025,970
064255AB8		BANK OF TOKYO-MITSUBISHI UFJ L		3.85		1/22/2015		8,000,000		7,997,762		8,471,362
	06675EAA8	BANQUE PSA FINANCE		3.38		4/4/2014		4,850,000		4,845,830		4,630,842
	06739FGP0	BARCLAYS BANK PLC		2.50		1/23/2013		5,000,000		4,963,932		4,996,422
	06739GAE9	BARCLAYS BANK PLC		6.05		12/4/2017		8,500,000		8,620,018		7,761,394
	06739GBB4	BARCLAYS BANK PLC		3.90		4/7/2015		3,250,000		3,368,691		3,187,216
073902PR3		BEAR STEARNS CO INC		6.40		10/2/2017		14,600,000		16,660,233		16,247,878
073902RU4		BEAR STEARNS CO INC		7.25		2/1/2018		11,000,000		12,826,104		12,928,818
	10778XAA4	BRFKREDIT AS		2.05		4/15/2013		29,700,000		29,682,996		30,177,280
	12479BAA0	COMMONWEALTH BANK OF AUSTRALIA		6.02		9/30/2061		3,760,000		3,782,743		3,271,200
125577BA3		CIT GROUP INC		5.25		4/1/2014		4,300,000		4,348,480		4,063,500
125581FX1		CIT GROUP INC		7.00		5/1/2017		750,000		730,313		727,500
	12800UAK6	CAISSE CENTRALE		2.55		3/24/2016		6,700,000		6,686,208		6,942,808
136069DM0		CANADIAN IMPERIAL BK COMRC		2.60		7/2/2015		10,500,000		10,594,503		10,942,260
136069DT5		CANADIAN IMPERIAL BK COMRC		2.75		1/27/2016		600,000		614,299		628,512
136069EC1		CANADIAN IMPERIAL BK COMRC		0.90		9/19/2014		17,800,000		17,778,148		17,743,396
140420MV9		CAPITAL ONE BANK		8.80		7/15/2019		9,000,000		11,197,367		10,591,994
	14912L4Q1	CATERPILLAR FINL SERV		1.55		12/20/2013		4,000,000		3,996,697		4,043,356
172967EU1		CITIGROUP INC		6.50		8/19/2013		4,000,000		4,124,400		4,212,611
172967EY3		CITIGROUP INC		6.38		8/12/2014		29,875,000		30,983,881		31,964,702
172967EZ0		CITIGROUP INC		5.50		10/15/2014		19,150,000		20,468,729		19,951,082
172967FD8		CITIGROUP INC		4.75		5/19/2015		750,000		770,451		767,542


		Allied World Assurance Company Holdings, AG Securities Listing as at September 30, 2011


Cusip		Security Description	Coupon		Maturity		Par		Book Value $		Market Value $

172967FE6		CITIGROUP INC		6.00		12/13/2013		2,000,000		2,023,274		2,100,344
173094AA1		CITIGROUP INC		8.30		12/21/2077		4,463,000		4,636,179		4,351,425
	17313YAL5	CITIGROUP FUNDING INC — GTD		1.88		10/22/2012		27,000,000		27,014,333		27,425,519
	20272BAF1	COMMONWEALTH BANK AUSTRALIA, G		3.63		6/25/2014		40,000,000		40,384,388		42,837,201
	20272BAK0	COMMONWEALTH BANK OF AUSTRALIA		2.90		9/17/2014		3,500,000		3,538,322		3,694,320
204279AA1		CIE FIN FONC		2.13		4/22/2013		11,000,000		11,087,630		10,985,920
	22546QAA5	CREDIT SUISSE GROUP		5.50		5/1/2014		3,000,000		3,187,278		3,175,572
	22546QAE7	CREDIT SUISSE FIRST BOSTON		3.50		3/23/2015		10,000,000		10,383,283		9,983,753
	2254C0TC1	CREDIT SUISSE NEW YORK NY		5.00		5/15/2013		4,500,000		4,682,448		4,644,614
226566AK3		CRICKET COMMUNICATIONS INC.		7.75		5/15/2016		500,000		502,000		501,250
	24422ERD3	JOHN DEERE CAPITAL CORPORATION		0.40		7/15/2013		3,100,000		3,101,134		3,091,134
	2515A0Q30	DEUTSCHE BK LDN		3.88		8/18/2014		3,750,000		3,757,021		3,826,998
	2515A0U76	DEUTSCHE BK LDN		3.45		3/30/2015		1,750,000		1,809,919		1,738,612
	25214GAA1	DEXIA CREDIT LOCAL/NEW YORK		2.00		3/5/2013		22,000,000		22,185,087		21,341,319
254709AE8		DISCOVER FINANCL		10.25		7/15/2019		5,200,000		6,854,909		6,277,367
	25600WAA8	DNB NOR BLGKRDIT		2.10		10/14/2015		1,900,000		1,886,977		1,919,494
	25600WAB6	DNB NOR BLGKRDIT		2.90		3/29/2016		15,800,000		15,782,834		16,424,416
	26441YAS6	DUKE REALTY LP		7.38		2/15/2015		4,466,000		4,914,011		4,914,615
	26483EAE0	DUN & BRADSTREET CORPORATION T		2.88		11/15/2015		1,500,000		1,495,553		1,533,721
294429AH8		EQUIFAX INC		4.45		12/1/2014		2,000,000		2,007,292		2,122,794
302154AU3		EXPORT-IMPORT BANK OF KOREA		5.88		1/14/2015		10,600,000		11,543,263		11,265,680
302508BA3		FMR CORP.		4.75		3/1/2013		2,500,000		2,575,830		2,598,932
	31737UAH1	FINANCE FOR DANISH INDUSTRY IN		2.00		6/12/2013		4,900,000		4,991,967		4,986,436
354613AE1		FRANKLIN RESOURCES INC.		2.00		5/20/2013		3,975,000		3,975,445		4,029,301
	36830GAA2	GE CAPITAL TRUST		6.38		11/15/2067		2,860,000		2,939,438		2,731,300
	36962G3M4	GENERAL ELEC CAP CO		6.38		11/15/2067		3,150,000		3,244,509		3,008,250
	36962G3T9	GE CAPITAL CORP		4.80		5/1/2013		6,500,000		6,779,293		6,812,924
	36962G4C5	GE CAPITAL CORP		5.90		5/13/2014		700,000		763,188		765,992
	36962G4G6	GE CAPITAL CORP		3.75		11/14/2014		850,000		847,823		888,890
	36962G4H4	GENERAL ELEC CAP CO		2.80		1/8/2013		2,000,000		1,998,883		2,033,704
	36962G4L5	GE CAPITAL CORP		3.50		6/29/2015		8,000,000		8,224,655		8,240,689
	36962GK86	GE CAPITAL CORP		4.75		9/15/2014		4,000,000		4,222,021		4,287,546
	36962GU51	GE CAPITAL CORP		0.45		1/8/2016		8,500,000		8,063,378		7,914,945
	38141EA33	GOLDMAN SACHS GROUP INC		6.00		5/1/2014		5,350,000		5,641,098		5,674,294
	38141EA74	GOLDMAN SACHS GROUP INC		3.70		8/1/2015		6,650,000		6,676,482		6,556,277
	38141GDB7	GOLDMAN SACHS GROUP INC		5.25		4/1/2013		1,500,000		1,523,820		1,546,816
	38141GEG5	GOLDMAN SACHS GROUP INC		0.81		3/22/2016		19,300,000		18,174,499		16,551,488
	40411EAB4	BANK OF SCOTLAND PLC		5.25		2/21/2017		6,405,000		6,381,629		6,886,336
	40414LAB5	HEALTH CARE PROPERTY INVESTORS		2.70		2/1/2014		8,875,000		8,868,242		8,732,025
	4042Q1AE7	HSBC BANK USA		4.88		8/24/2020		16,250,000		15,737,725		15,346,448
	44328MAB0	HSBC BANK PLC		3.50		6/28/2015		8,450,000		8,444,706		8,643,406
	44328MAH7	HSBC BANK PLC		1.05		1/17/2014		7,500,000		7,500,000		7,567,650
	44328MAJ3	HSBC BANK PLC		2.00		1/19/2014		2,000,000		1,998,611		1,985,581
	44328MAL8	HSBC BANK PLC		3.10		5/24/2016		4,000,000		4,024,385		3,974,231
	44914PAR8	HYPOTHEKENBANK IN ESSEN AG		5.00		1/20/2012		2,500,000		2,511,006		2,524,551
449786AH5		ING BANK INTERNATIONALE NEDERL		2.50		1/14/2016		12,000,000		11,798,290		12,109,440
449786AK8		ING BANK INTERNATIONALE NEDERL		1.40		3/15/2013		8,000,000		8,000,000		7,945,600
449786AM4		ING BANK INTERNATIONALE NEDERL		2.38		6/9/2014		5,925,000		5,917,008		5,722,259
	67073EAG5	NUVEEN INVESTMENT INC		0.00		5/13/2017		750,000		703,125		692,625
	46521NAV4	ISTAR FINANCIAL INC.		0.00		6/28/2013		500,000		486,250		481,965
	85171HAB2	SPRINGLEAF FINANCIAL FUNDING C		0.00		5/10/2017		750,000		648,750		648,000
451102AD9		ICAHN ENTERPRISES LP / ICAHN E		7.75		1/15/2016		500,000		502,470		499,375
	45112EAA7	ICICI BANK SG		2.06		2/24/2014		2,650,000		2,650,000		2,593,688
	45112EAB5	ICICI BANK LTD (DUBAI BRANCH)		4.75		11/25/2016		1,500,000		1,495,259		1,418,550
	45324QAB2	ING BANK NV — (LT) GTD		2.63		2/9/2012		26,700,000		26,802,883		26,876,298
459745GJ8		INTERNATIONAL LEASE FINANCE CO		5.75		5/15/2016		3,000,000		3,000,000		2,666,430
	46623EJD2	JPMORGAN CHASE & CO		1.65		9/30/2013		3,000,000		2,999,758		2,996,809
	46623EJF7	JPMORGAN CHASE & CO		1.05		1/24/2014		5,000,000		5,000,000		4,944,550
	46625HHB9	JPMORGAN CHASE & CO		4.75		5/1/2013		15,895,000		15,890,858		16,686,188
	46625HHN3	JPMORGAN CHASE & CO		4.65		6/1/2014		3,000,000		3,117,859		3,183,406
	46625HHP8	JPMORGAN CHASE & CO		3.70		1/20/2015		3,000,000		3,005,088		3,079,756
	46625HHR4	JPMORGAN CHASE & CO		3.40		6/24/2015		10,000,000		10,312,718		10,139,915
472319AK8		JEFFERIES GROUP INC.		5.13		4/13/2018		3,475,000		3,463,587		3,267,756
	53117CAG7	LIBERTY PROPERTY TR		6.38		8/15/2012		2,500,000		2,571,966		2,580,351
539473AG3		LLOYDS TSB BANK PLC		4.88		1/21/2016		8,050,000		8,111,277		7,798,960
539473AK4		LLOYDS TSB BANK PLC		2.60		1/24/2014		2,000,000		2,000,000		1,946,840
	53947MAA4	LLOYDS TSB BANK PLC		4.38		1/12/2015		5,000,000		5,097,906		4,796,732


		Allied World Assurance Company Holdings, AG Securities Listing as at September 30, 2011


Cusip		Security Description	Coupon		Maturity		Par		Book Value $		Market Value $

	53947MAB2	LLOYDS TSB BANK PLC		5.80		1/13/2020		11,000,000		10,977,823		10,324,668
	55607EAL4	MACQUARIE BANK LTD — GTD		3.30		7/17/2014		2,000,000		2,082,794		2,123,200
	57629WBM1	MASSMUTUAL GLOBAL FUNDING II		2.30		9/28/2015		4,000,000		3,943,132		4,000,015
	59018YJ69	MERRILL LYNCH & CO INC		6.40		8/28/2017		8,000,000		8,649,838		7,603,702
	59018YM40	MERRILL LYNCH & CO INC		5.45		2/5/2013		5,150,000		5,350,830		5,096,905
	59217EBW3	MET LIFE GLOBAL FUND		5.13		6/10/2014		4,000,000		4,281,067		4,323,329
	617446V71	MORGAN STANLEY		6.25		8/28/2017		10,500,000		10,851,292		10,422,811
	61746SBR9	MORGAN STANLEY		5.38		10/15/2015		20,000,000		20,541,590		19,591,983
	61747WAD1	MORGAN STANLEY		2.88		1/24/2014		2,500,000		2,497,175		2,378,715
	61747YCE3	MORGAN STANLEY		6.00		4/28/2015		5,000,000		5,370,014		4,991,805
	61747YCF0	MORGAN STANLEY		6.00		5/13/2014		5,400,000		5,628,536		5,461,555
	61747YCK9	MORGAN STANLEY		4.20		11/20/2014		2,150,000		2,133,376		2,074,970
	61747YDD4	MORGAN STANLEY		3.80		4/29/2016		5,375,000		5,369,679		4,937,860
631103AA6		NASDAQ STOCK MARKET INC		2.50		8/15/2013		5,450,000		5,431,341		5,588,430
	63307EAA5	NATIONAL BK OF CANADA		1.65		1/30/2014		2,500,000		2,499,493		2,541,825
637432ML6		NATIONAL RURAL UTILITIES		1.90		11/1/2015		4,000,000		3,996,667		4,015,677
637432MM4		NATIONAL RURAL UTILITIES		1.13		11/1/2013		1,350,000		1,349,670		1,351,956
638612AK7		NATIONWIDE FINANCIAL SERVICES		5.38		3/25/2021		5,925,000		5,891,995		5,901,495
	63866EBL3	NATIONWIDE LIFE GLOBAL FUNDING		5.45		10/2/2012		600,000		601,485		619,458
	65557CAA1	NORDEA BANK AB		3.70		11/13/2014		27,250,000		27,224,525		27,875,630
	65557CAF0	NORDEA BANK AB		2.13		1/14/2014		5,000,000		4,994,360		4,950,481
693476BE2		PNC FUNDING CORP		5.40		6/10/2014		2,000,000		2,124,669		2,184,258
693476BH5		PNC FUNDING CORP		3.63		2/8/2015		6,500,000		6,604,434		6,754,921
	74157UAG4	PRIMARIS RETAIL REAL ESTATE IN		5.40		11/30/2018		2,250,000		2,295,333		2,094,429
	74733WAB4	QATAR DIAR FIN		5.00		7/21/2020		3,000,000		3,152,167		3,225,186
749343AA7		RCI BANQUE		3.40		4/11/2014		4,000,000		3,996,054		3,820,245
749770AQ6		RABOBANK NEDERLAND NV		11.00		12/31/2049		6,000,000		7,692,679		7,050,000
	78010XAD3	ROYAL BANK OF SCOTLAND PLC THE		3.40		8/23/2013		2,800,000		2,799,026		2,766,830
	78010XAF8	ROYAL BANK OF SCOTLAND PLC THE		2.72		8/23/2013		300,000		305,004		298,989
	78011CAG1	ROYAL BK OF STLAND GRP PLC — (		1.50		3/30/2012		5,000,000		4,999,486		5,025,900
	78011HT39	ROYAL BANK OF SCOTLAND		1.62		10/15/2012		20,000,000		20,000,000		20,000,000
	78403DAB6	SBA TOWER TRUST		5.10		4/15/2042		5,300,000		5,664,186		5,744,263
784216AB9		SGS INTERNATIONL		12.00		12/15/2013		2,350,000		2,382,392		2,344,125
	78442FAQ1	SLM CORP		5.00		4/15/2015		1,500,000		1,526,090		1,470,000
	78442FCJ5	SLM CORP		5.38		5/15/2014		4,000,000		4,175,334		4,000,000
	78442FEK0	SLM CORP		6.25		1/25/2016		2,500,000		2,571,144		2,431,250
828807BM8		SIMON PROPERTY GROUP L.P.		5.10		6/15/2015		4,000,000		4,282,691		4,328,869
828807CB1		SIMON PROPERTY GROUP L.P.		6.75		5/15/2014		12,675,000		13,030,777		14,301,408
	84603MXU5	SOVEREIGN BANK		8.75		5/30/2018		2,475,000		2,876,682		2,817,964
	84650WAA4	SPAREBNK 1 BOLIG		1.25		10/25/2014		40,980,000		40,581,082		41,030,406
	84650WAB2	SPAREBNK 1 BOLIG		2.63		5/27/2016		11,000,000		10,995,475		11,247,060
	87020LAA4	SWEDBANK HYPOTEK AB		2.95		3/28/2016		8,100,000		8,093,916		8,419,546
	87020LAB2	SPINTAB AB SWEDMORTGAGE		0.81		3/28/2014		6,700,000		6,700,000		6,708,509
	90261XEM0	UBS AG		5.88		12/20/2017		5,000,000		5,424,792		5,084,029
	90261XGD8	UBS AG STAMFORD CT		4.88		8/4/2020		6,500,000		6,886,413		6,249,351
	90261XGF3	UBS AG STAMFORD BRANCH		2.25		8/12/2013		2,325,000		2,323,098		2,291,325
	90261XGX4	UBS AG		2.25		1/28/2014		3,600,000		3,598,792		3,506,306
	90345AAA0	US CENTRAL CREDIT UNION — (LT)		1.25		10/19/2011		27,200,000		27,199,646		27,211,574
	90345AAC6	US CENTRAL CREDIT UNION — (LT)		1.90		10/19/2012		15,500,000		15,496,467		15,746,451
	90520EAC5	UNION BK OF CA NA		3.00		6/6/2016		7,800,000		7,780,416		7,867,846
	91159HGY0	US BANCORP		1.38		9/13/2013		3,000,000		2,997,465		3,006,943
	92933DAA8	WEA FINANCE LLC		7.50		6/2/2014		1,580,000		1,740,402		1,755,704
	92933WAA6	WEA FINANCE LLC/WT FINANCE AUS		5.75		9/2/2015		3,000,000		2,979,815		3,228,054
	92976WBJ4	WACHOVIA CORPORATION		5.50		5/1/2013		5,000,000		5,160,569		5,315,416
929903DT6		WACHOVIA CORPORATION		5.75		6/15/2017		21,125,000		21,676,805		23,737,188
949746PM7		WELLS FARGO & COMPANY		7.98		12/31/2049		5,000,000		5,302,898		5,150,000
949746QU8		WELLS FARGO & COMPANY		3.68		6/15/2016		1,950,000		1,961,768		2,024,867
	94974BET3	WELLS FARGO & COMPANY		3.75		10/1/2014		1,400,000		1,400,851		1,476,309
	94974BEU0	WELLS FARGO & COMPANY		3.63		4/15/2015		250,000		259,509		260,763
	94980VAF5	WELLS FARGO BANK NA		0.50		5/16/2016		12,000,000		11,383,470		10,635,720
	96008YAB1	WESTFIELD CAPITAL CORP LTD		5.13		11/15/2014		4,650,000		4,880,075		4,917,608
961214BH5		WESTPAC BANKING		4.20		2/27/2015		5,000,000		4,996,707		5,259,041
	6120669A0	TNK-BP FINANCE SA		7.50		7/18/2016		4,750,000		5,228,104		4,934,917
	92928B9R4	WAHA AEROSPACE BV		3.93		7/28/2020		4,680,000		4,787,694		4,820,400
	5752449C4	BARCLAYS BANK PLC		6.63		3/30/2022		5,000,000		7,126,907		5,615,665
	M8181FAB2	QATARI DIAR FINANCE QSC		5.00		7/21/2020		3,100,000		3,242,967		3,278,250
	N9636WAL1	WHITE NIGHTS FINANCE BV		10.50		3/8/2014		3,500,000		4,032,323		3,872,750


		Allied World Assurance Company Holdings, AG Securities Listing as at September 30, 2011


Cusip		Security Description	Coupon		Maturity		Par		Book Value $		Market Value $

	Y4864WAG4	KOREA EXC BK		4.88		1/14/2016		2,000,000		2,054,316		2,039,200

								1,306,349,000		1,336,342,929		1,331,644,735

Corporate Securities — Industials
	00206RAM4	AT&T INC		5.60		5/15/2018		6,950,000		8,012,118		8,037,230
	00206RAR3	AT&T INC		5.80		2/15/2019		10,000,000		10,706,918		11,710,127
	00846UAF8	AGILENT TECHNOLOGIES INC		2.50		7/15/2013		7,000,000		6,992,122		7,060,558
	02209SAD5	ALTRIA GROUP INC.		9.70		11/10/2018		6,400,000		8,579,321		8,460,480
	02364WAV7	AMERICA MOVIL SA		5.00		3/30/2020		10,000,000		10,882,700		10,493,500
	02666QF32	AMERICAN HONDA FINANCE		2.38		3/18/2013		2,150,000		2,149,574		2,191,133
032511BC0		ANADARKO PETROLEUM CO		8.70		3/15/2019		8,000,000		10,174,624		10,062,314
034863AA8		ANGLO AMERICAN CAPITAL PLC		9.38		4/8/2014		11,280,000		12,589,742		13,005,465
034863AC4		ANGLO AMERICAN CAPITAL PLC		2.15		9/27/2013		1,800,000		1,798,987		1,782,521
035229CE1		ANHEUSER-BUSCH		7.50		3/15/2012		1,600,000		1,596,262		1,647,691
	03523TAL2	ANHEUSER-BUSCH INBEV WORLDWIDE		3.00		10/15/2012		2,500,000		2,528,054		2,555,356
	03523TAM0	ANHEUSER-BUSCH INBEV WORLDWIDE		4.13		1/15/2015		10,000,000		10,254,661		10,839,172
	03523TBC1	ANHEUSER-BUSCH INBEV WORLDWIDE		0.80		1/27/2014		1,500,000		1,500,000		1,511,295
053611AC3		AVERY DENNISON CORP		4.88		1/15/2013		1,500,000		1,475,665		1,568,205
	05530QAC4	BAT INTERNATIONAL FINANCE PLC		8.13		11/15/2013		5,255,000		5,927,463		5,961,071
055451AH1		BHP BILLITON FINANCE (USA) LTD		6.50		4/1/2019		6,000,000		7,300,256		7,320,416
067316AA7		BACARDI LTD		7.45		4/1/2014		12,100,000		12,094,018		13,692,971
067901AB4		BARRICK GOLD CORP		6.95		4/1/2019		1,700,000		2,125,451		2,036,944
067901AF5		BARRICK GOLD CORP		2.90		5/30/2016		4,000,000		3,996,726		4,034,776
	06846NAA2	BILL BARRETT		5.00		3/15/2028		1,850,000		1,842,689		1,850,259
071813AZ2		BAXTER INTERNATIONAL INC		4.00		3/1/2014		6,400,000		6,442,958		6,829,793
086516AF8		BEST BUY CO., INC.		2.25		1/15/2022		2,045,000		2,037,858		2,039,677
097014AK0		BOEING CAPITAL CORPORATION		3.25		10/27/2014		250,000		249,652		266,794
097023AY1		BOEING CO		3.50		2/15/2015		1,250,000		1,247,520		1,338,297
	10138MAH8	BOTTLING GROUP LLC		6.95		3/15/2014		7,000,000		7,872,177		7,975,942
115637AK6		BROWN-FORMAN CORPORATION		2.50		1/15/2016		7,000,000		6,961,899		7,186,714
120568AM2		BUNGE LIMITED FINANCE CORP		5.35		4/15/2014		6,024,000		6,442,419		6,379,157
126650AV2		CVS CAREMARK CORP		4.88		9/15/2014		2,000,000		2,079,358		2,196,055
126650BQ2		CVS PASS-THROUGH TRUST		6.94		1/10/2030		2,023,374		2,209,323		2,321,215
147448AD6		CASELLA WASTE SYST, INC.		11.00		7/15/2014		3,885,000		4,286,257		4,166,663
	14912L4U2	CATER PILLAR FINANCIAL SERVICE		0.54		4/1/2014		4,000,000		4,000,000		4,006,920
159864AB3		CHARLES RIVER LABS INTL INC.		2.25		6/15/2013		6,675,000		6,562,879		6,560,711
	16115QAC4	CHART INDUSTRIES		2.00		8/1/2018		4,090,000		4,000,967		3,889,283
161175AA2		CHARTER COMMUNICATIONS HOLDING		8.00		4/30/2012		4,000,000		4,121,106		4,070,000
	17275RAL6	CISCO SYSTEMS INC		0.59		3/14/2014		8,000,000		8,000,000		7,941,120
191216AL4		COCA-COLA COMPANY THE		3.63		3/15/2014		6,825,000		6,809,135		7,280,281
	20030NAE1	COMCAST CORPORATION		5.30		1/15/2014		2,000,000		2,028,585		2,173,962
	20030NAL5	COMCAST CORPORATION		5.90		3/15/2016		7,500,000		7,820,689		8,568,804
	20825CAT1	CONOCOPHILLIPS		4.60		1/15/2015		4,000,000		4,277,635		4,389,649
	21079UAA3	CONTINENTAL AIRLINES		7.25		5/10/2021		4,759,584		5,313,929		4,997,563
	21079VAA1	CONTINENTAL AIRLINES INC.		4.75		1/12/2021		2,400,000		2,400,000		2,370,000
	22303QAK6	COVIDIEN INTERNATIONAL FINANCE		2.80		6/15/2015		10,800,000		10,817,019		11,284,245
224044BF3		COX COMMUNICATIONS INC.		4.63		6/1/2013		1,225,000		1,252,080		1,292,872
	22822RAZ3	CROWN CASTLE TOWERS LLC		4.88		8/15/2040		8,000,000		7,825,326		8,320,000
233835AW7		DAIMLERCHRYSLER NA HLDG		6.50		11/15/2013		6,200,000		6,862,946		6,796,508
244199BC8		DEERE & COMPANY		4.38		10/16/2019		15,400,000		15,329,875		17,337,519
	24702RAK7	DELL INC		1.40		9/10/2013		5,200,000		5,196,133		5,224,442
	24702RAL5	DELL INC		2.30		9/10/2015		4,650,000		4,649,147		4,649,991
247361ZH4		DELTA AIR LINES INC.		4.95		5/23/2019		147,852		147,852		145,634
	24736TAA5	DELTA AIR LINES INC.		7.75		12/17/2019		1,869,657		2,079,748		1,970,151
249030AB3		DENTSPLY INTL INC.		2.75		8/15/2016		1,475,000		1,472,932		1,474,991
	25156PAL7	DEUTSCHE TELEKOM INTL		6.75		8/20/2018		3,800,000		4,559,104		4,478,719
	25243YAL3	DIAGEO CAPITAL PLC		5.20		1/30/2013		1,000,000		1,047,036		1,052,566
	25244SAD3	DIAGEO FINANCE BV		5.50		4/1/2013		4,500,000		4,739,067		4,783,021
	25459HAV7	DIRECTV HOLDINGS LL/DIR TV FIN		3.13		2/15/2016		12,125,000		12,118,609		12,411,560
	25468PBX3	WALT DISNEY		6.38		3/1/2012		2,000,000		2,042,560		2,045,962
	25468PCM6	WALT DISNEY COMPANY THE		1.35		8/16/2016		1,500,000		1,488,341		1,475,541
260543CA9		DOW CHEMICAL COMPANY THE		5.90		2/15/2015		6,100,000		6,724,662		6,724,955
	26138EAK5	DR PEPPER SNAPPLE GROUP INC		1.70		12/21/2011		2,500,000		2,501,110		2,505,572
263534BS7		EI DUPONT DE NEMOURS & CO		5.00		1/15/2013		768,000		799,733		809,735
263534CH0		EI DUPONT DE NEMOURS & CO		0.78		3/25/2014		4,507,000		4,529,687		4,520,746
	26875PAJ0	EOG RESOURCES INC		1.01		2/3/2014		5,065,000		5,082,124		5,106,432
	26882PBD3	ERAC USA FINANCE COMPANY		5.80		10/15/2012		2,122,000		2,202,204		2,216,722


		Allied World Assurance Company Holdings, AG Securities Listing as at September 30, 2011


Cusip		Security Description	Coupon		Maturity		Par		Book Value $		Market Value $

	27876GBF4	ECHOSTAR DBS CORP		7.00		10/1/2013		5,000,000		5,341,891		5,187,500
	29264FAF3	ENDO PHARMACEUTICALS HLDGS INC		7.00		7/15/2019		1,000,000		1,000,000		1,010,000
	29444UAG1	EQUINIX, INC.		3.00		10/15/2014		1,440,000		1,413,577		1,512,518
302182AF7		EXPRESS SCRIPTS, INC.		3.13		5/15/2016		5,775,000		5,753,530		5,818,258
337738AK4		FISERV INC		3.13		6/15/2016		6,025,000		6,021,587		6,070,873
345397VN0		FORD MOTOR CREDIT COMPANY		7.00		4/15/2015		7,000,000		7,559,451		7,315,000
	35177PAS6	FRANCE TELECOM		4.38		7/8/2014		400,000		431,911		426,317
	35671DAS4	FREEPORT-MCMORAN COPPER & GOLD		8.38		4/1/2017		7,750,000		8,312,795		8,292,501
368266AN2		GAZ CAPITAL FOR GAZPROM		5.09		11/29/2015		2,750,000		2,750,000		2,695,000
369550AK4		GENERAL DYNAMICS CORPORATION		4.25		5/15/2013		1,250,000		1,219,935		1,321,354
369604AY9		GENERAL ELEC CAP CO		5.00		2/1/2013		500,000		518,347		523,316
	37331NAB7	GEORGIA-PACIFIC CORPORATION		5.40		11/1/2020		10,500,000		10,864,705		10,742,400
	37373UAA2	GERDAU HOLDINGS INC		7.00		1/20/2020		3,000,000		3,307,093		3,097,500
	37373WAA8	METALURGICA GERDAU SA		5.75		1/30/2021		3,300,000		3,395,758		3,150,990
377372AC1		GLAXOSK CAP INC		4.85		5/15/2013		4,500,000		4,708,252		4,792,786
404119BK4		HCA INC		7.25		9/15/2020		7,000,000		7,562,352		7,035,000
406216AX9		HALLIBURTON COMPANY		6.15		9/15/2019		2,500,000		2,700,952		3,018,453
	41283DAA1	HARLEY-DAVIDSON FUNDING CORPOR		5.25		12/15/2012		2,500,000		2,541,878		2,597,617
428236AQ6		HEWLETT-PACKARD COMPANY		4.50		3/1/2013		4,000,000		4,155,147		4,164,414
428236BJ1		HEWLETT-PACKARD COMPANY		0.72		5/30/2014		2,125,000		2,134,769		2,064,799
428236BK8		HEWLETT-PACKARD COMPANY		1.55		5/30/2014		1,250,000		1,249,677		1,241,153
428236BP7		HEWLETT-PACKARD COMPANY		3.00		9/15/2016		5,950,000		5,937,226		5,999,220
436440AA9		HOLOGIC, INC.		2.00		12/15/2037		8,080,000		7,609,569		7,564,900
	44107TAE6	HOST MARRIOTT LP		2.63		4/15/2027		4,650,000		4,602,165		4,641,630
	44841AAA6	HUTCHISON WHAMPOA INTERNATIONA		4.63		9/11/2015		6,100,000		6,534,505		6,362,130
451055AB3		ICONIX BRAND GROUP INC		1.88		6/30/2012		1,410,000		1,402,332		1,393,785
451055AC1		ICONIX BRAND GROUP INC		2.50		6/1/2016		800,000		800,000		740,880
452308AH2		ILLINOIS TOOL WORKS INC.		5.15		4/1/2014		1,000,000		1,031,787		1,096,397
457985AH2		INTEGRA LIFESCIENCES HLDGS COR		2.38		6/1/2012		4,275,000		4,236,371		4,180,185
458140AH3		INTEL CORPORATION		1.95		10/1/2016		6,000,000		5,990,860		6,042,852
459284AA3		INTERNATIONAL CCE INC		2.13		9/15/2015		3,000,000		2,991,172		3,025,607
470355AE8		JAMES RIVER COAL CO		3.13		3/15/2018		2,970,000		2,937,167		1,878,736
470355AF5		JAMES RIVER COAL CO		4.50		12/1/2015		3,115,000		2,864,642		2,367,400
	48203RAE4	JUNIPER NETWORKS, INC.		3.10		3/15/2016		3,925,000		3,919,001		3,998,757
496902AD9		KINROSS GOLD CORP		1.75		3/15/2028		5,370,000		5,322,079		5,318,985
	50075NAX2	KRAFT FOODS INC.		6.75		2/19/2014		9,680,000		10,577,354		10,811,228
535919AF1		LIONS GATE ENTER		2.94		10/15/2024		1,600,000		1,563,722		1,569,440
552078BB2		LYONDELL CHEMICAL COMPANY		11.00		5/1/2018		8,700,000		9,537,374		9,374,250
552953BJ9		MGM MIRAGE		11.13		11/15/2017		300,000		330,000		328,500
576203AJ2		MASSEY ENERGY COMPANY		3.25		8/1/2015		2,730,000		2,586,220		2,419,463
579780AD9		MCCORMICK & CO INC		5.20		12/15/2015		1,500,000		1,464,853		1,694,775
	58155QAC7	MCKESSON CORP		3.25		3/1/2016		2,825,000		2,816,469		2,985,821
582839AD8		MEAD JOHNSON NUTRITION CO		3.50		11/1/2014		2,000,000		2,000,259		2,100,091
	58405UAF9	MEDCO HEALTH SOLUTIONS INC.		2.75		9/15/2015		2,225,000		2,224,417		2,250,014
585055AP1		MEDTRONIC INC		4.50		3/15/2014		2,750,000		2,809,304		2,977,772
589331AP2		MERCK & CO INC		4.00		6/30/2015		1,000,000		1,010,716		1,100,356
608753AB5		MOLYCORP INC		3.25		6/15/2016		2,430,000		2,337,217		2,211,300
	63946BAA8	NBC UNIVERSAL MEDIA LLC		2.10		4/1/2014		3,500,000		3,499,700		3,554,532
	63946BAB6	NBC UNIVERSAL MEDIA LLC		3.65		4/30/2015		12,950,000		13,057,984		13,615,876
652482BG4		NEWS AMERICA INC		5.30		12/15/2014		10,000,000		9,957,467		10,914,117
654742AA3		NISSAN MOTOR ACCEPT CO		3.25		1/30/2013		2,500,000		2,521,040		2,541,600
	66989PAA8	NOVATEK FINANCE LIMITED		5.33		2/3/2016		6,000,000		6,191,841		5,865,000
670704AC9		NUVASIVE INC		2.75		7/1/2017		3,355,000		3,146,738		2,825,722
674599CB9		OCCIDENTAL PETROLEUM		1.75		2/15/2017		2,750,000		2,724,308		2,722,075
675757AA6		ODEBRECHT DRILL VIII/IX		6.35		6/30/2021		2,000,000		2,124,151		1,977,057
	68268NAF0	ONEOK, INC.		3.25		2/1/2016		3,550,000		3,548,151		3,607,429
693309AA4		PE PAPER ESCROW GMBH		12.00		8/1/2014		2,000,000		2,251,220		2,100,000
	70336TAA2	PATRIOT COAL CORP		3.25		5/31/2013		4,565,000		4,321,556		4,216,919
706451BS9		PEMEX PROJECT FUNDING MASTER T		5.75		3/1/2018		1,250,000		1,377,763		1,359,375
713448BT4		PEPSICO INC		2.50		5/10/2016		1,500,000		1,552,698		1,549,595
	71645WAN1	PETROBRAS INTERNATIONAL FINANC		7.88		3/15/2019		4,300,000		5,302,551		4,980,545
	71645WAT8	PETROBRAS INTERNATIONAL FINANC		3.88		1/27/2016		2,250,000		2,243,364		2,230,044
	71654QAW2	PETROLEOS MEXICANOS		6.00		3/5/2020		3,600,000		3,996,643		3,933,000
717081DA8		PFIZER INC.		5.35		3/15/2015		1,750,000		1,872,289		1,982,382
718172AA7		PHILIP MORRIS INTERNATIONAL IN		5.65		5/16/2018		1,100,000		1,273,664		1,300,812
718172AG4		PHILIP MORRIS INTERNATIONAL IN		6.88		3/17/2014		4,000,000		4,484,034		4,530,758
718172AJ8		PHILIP MORRIS INTERNATIONAL IN		2.50		5/16/2016		2,400,000		2,384,744		2,468,833


		Allied World Assurance Company Holdings, AG Securities Listing as at September 30, 2011


Cusip		Security Description	Coupon		Maturity		Par		Book Value $		Market Value $

726505AF7		PLAINS EXPLORATION & PRODUCTIO		7.63		6/1/2018		2,000,000		2,136,630		2,045,000
	74005PAJ3	PRAXAIR INC.		6.38		4/1/2012		1,000,000		1,003,185		1,028,652
	74733LAC6	QTEL INTERNATIONAL FINANCE LTD		3.38		10/14/2016		6,100,000		6,117,990		6,084,750
749121CA5		QWEST COMMUNICATIONS INTERNATI		8.00		10/1/2015		5,000,000		5,426,466		5,140,007
	74973WAA5	RTI INTL METALS, INC.		3.00		12/1/2015		830,000		828,357		827,510
	75281AAH2	RANGE RESOURCES CORP		7.50		10/1/2017		1,150,000		1,222,025		1,216,125
	75281AAJ8	RANGE RESOURCES CORP		7.25		5/1/2018		2,150,000		2,292,514		2,279,000
758202AF2		REED ELSEVIER PLC		7.75		1/15/2014		9,825,000		9,812,278		10,913,160
767201AF3		RIO TINTO FINANCE USA LIMITED		8.95		5/1/2014		10,975,000		12,943,088		12,970,352
771196AQ5		ROCHE HOLDINGS INC		5.00		3/1/2014		3,150,000		3,249,028		3,440,325
	77509NAH6	ROGERS CABLE INC.		6.25		6/15/2013		625,000		664,069		676,400
	77509NAK9	ROGERS COMMUN INC.		5.50		3/15/2014		10,000,000		10,640,900		10,929,488
	78108AAA2	RENTAL SERVICE CORP		10.00		7/15/2017		4,725,000		5,281,836		4,996,688
	78355HJR1	RYDER SYSTEM INC.		3.50		6/1/2017		5,875,000		5,865,110		5,996,112
	78387GAP8	AT&T INC		5.10		9/15/2014		4,000,000		4,307,844		4,387,567
	78572MAD7	SABMILLER PLC		6.50		7/1/2016		6,250,000		7,208,876		7,241,390
790849AE3		ST. JUDE MEDICAL INC.		3.75		7/15/2014		5,353,000		5,654,145		5,684,742
	80105NAB1	SANOFI-AVENTIS		1.63		3/28/2014		1,000,000		998,856		1,014,770
	80105NAC9	SANOFI AVENTIS		0.67		3/28/2014		4,450,000		4,450,000		4,439,498
806854AA3		SCHLUMBERGER INVESTMENT SA		1.95		9/14/2016		1,950,000		1,946,618		1,940,864
806859AA2		SCHLUMBERGER INDUSTRIES SA		2.65		1/15/2016		2,500,000		2,606,145		2,576,853
	80685PAC2	SCHLUMBERGER NORGE AS		1.95		9/14/2016		2,700,000		2,695,317		2,687,350
822582AF9		SHELL INTL FINAN		4.00		3/21/2014		1,000,000		1,013,992		1,075,033
	82967NAA6	SIRUS XM RADIO INC		9.75		9/1/2015		2,950,000		3,238,113		3,193,375
	84359YAA4	SOUTHERN PACIFIC RESOURCE CORP		6.00		6/30/2016		350,000		314,160		305,648
	84359YAB2	SOUTHERN PACIFIC RESOURCE CORP		6.00		6/30/2016		1,800,000		1,767,542		1,613,358
	87612EAW6	TARGET CORPORATION		1.13		7/18/2014		1,000,000		999,832		1,008,328
878742AJ4		TECK COMINCO LIMITED		9.75		5/15/2014		6,100,000		7,223,747		7,237,159
	87938WAJ2	TLEFONICA EMISNS		4.95		1/15/2015		22,000,000		22,997,690		21,670,488
	88033GBE9	TENET HEALTHCARE CORPORATION		9.00		5/1/2015		5,150,000		5,498,845		5,433,250
	88166CAA6	TEVA PHARMACEUTICAL FINANCE II		3.00		6/15/2015		13,875,000		13,861,970		14,536,218
	88166DAB2	TEVA PHARMACEUTICAL FINANCE II		0.85		3/21/2014		3,275,000		3,275,000		3,274,845
883556AW2		THERMO FISHER SCIENTIFIC INC		2.05		2/21/2014		2,000,000		1,999,535		2,050,728
883556BA9		THERMO FISHER SCIENTIFIC		2.25		8/15/2016		2,850,000		2,845,159		2,849,984
887317AC9		TIME WARNER INC		5.88		11/15/2016		3,800,000		4,364,671		4,324,705
	88732JAH1	TIME WARNER CABLE INC		5.85		5/1/2017		3,800,000		4,295,821		4,188,476
	88732JAK4	TIME WARNER CABLE INC		6.20		7/1/2013		2,500,000		2,656,601		2,697,404
	88732JAR9	TIME WARNER CABLE INC		7.50		4/1/2014		1,500,000		1,646,021		1,709,163
	88732JAW8	TIME WARNER CABLE INC		5.00		2/1/2020		1,050,000		1,062,271		1,117,689
	8935268Y2	TRANSCANADA PIPELINES LIMITED		7.13		1/15/2019		1,800,000		2,262,107		2,272,143
893526CC5		TRANSCANADA PIPELINES LIMITED		8.63		5/15/2012		11,675,000		11,930,516		12,217,658
	89378TAB9	TRANSNET LTD		4.50		2/10/2016		5,950,000		5,920,705		6,113,863
893830AX7		TRANSOCEAN INC		4.95		11/15/2015		4,200,000		4,523,056		4,415,271
902133AF4		TYCO ELECTRONICS		6.55		10/1/2017		4,050,000		4,594,460		4,761,219
907818CV8		UNION PACIFIC CO		4.88		1/15/2015		1,150,000		1,155,334		1,250,108
	91911TAF0	VALE OVERSEAS LIMITED		6.25		1/11/2016		4,300,000		4,829,763		4,685,473
	92343VAY0	VERIZON COMMUNICATIONS INC.		3.00		4/1/2016		11,500,000		11,445,877		12,017,871
	92343VAZ7	VERIZON COMMUNICATIONS INC.		0.97		3/28/2014		4,600,000		4,600,000		4,612,880
	92344SAK6	CELLCO PARTNERSHIP/VERIZON WIR		8.50		11/15/2018		15,700,000		20,992,556		20,868,049
	92344SAP5	CELLCO PARTNERSHIP/VERIZON WIR		5.55		2/1/2014		4,000,000		4,325,433		4,377,445
	92857WAK6	VODAFONE GROUP PLC		5.75		3/15/2016		4,700,000		5,186,209		5,372,216
	92857WAP5	VODAFONE GROUP PLC		5.63		2/27/2017		9,300,000		9,903,844		10,709,977
	92857WAS9	VODAFONE GROUP PLC		5.45		6/10/2019		2,750,000		3,166,042		3,183,219
931142DA8		WAL-MART STORES INC		1.63		4/15/2014		4,600,000		4,589,420		4,704,178
947075AD9		WEATHERFORD INTL INC		6.00		3/15/2018		5,347,000		5,801,718		5,892,861
	94707VAA8	WEATHERFORD INTL, INC.		5.13		9/15/2020		3,000,000		3,177,545		3,020,503
	94770VAE2	WEBMD HEALTH CORP		2.50		1/31/2018		1,650,000		1,630,490		1,346,153
	94770VAG7	WEBMD HEALTH CORP		2.25		3/31/2016		4,680,000		4,599,991		4,196,874
980888AC5		WOOLWORTHS LTD		2.55		9/22/2015		2,750,000		2,747,409		2,791,699
	98235TAA5	WRIGHT MEDICAL GRP INC.		2.63		12/1/2014		3,220,000		3,021,913		3,041,396
982526AF2		WM. WRIGLEY JR. COMPANY		2.45		6/28/2012		2,000,000		1,999,752		2,024,410
983024 AA8		WYETH		5.50		3/15/2013		5,000,000		5,163,165		5,346,605
984121BS1		XEROX CREDIT CORPORATION		5.50		5/15/2012		1,550,000		1,583,153		1,590,005
	98419MAC4	XYLEM INC		3.55		9/20/2016		4,475,000		4,466,500		4,474,986
	75605NAD2	REALOGY		0.00		10/10/2013		664,428		601,307		595,912
	75605NAK6	REALOGY		0.00		10/10/2013		83,688		75,738		75,058
	52729KAB2	LEVEL 3 COMMS, INC.		0.00		3/13/2014		500,000		471,250		465,500


		Allied World Assurance Company Holdings, AG Securities Listing as at September 30, 2011


Cusip		Security Description	Coupon		Maturity		Par		Book Value $		Market Value $

	01973JAC3	ALLISON TRANSMIS		0.00		8/7/2014		747,773		712,254		703,610
	75524EAF5	DJO FINANCE LLC		0.00		5/20/2014		500,000		475,000		471,095
	81732LAC2	SEQUA CORP		0.00		12/3/2014		500,000		472,500		469,750
413626AM4		HARRAHS ENTERTAINMENT INC		0.00		1/28/2015		1,250,000		1,059,375		1,039,950
	69353FAB0	PQ CORP		0.00		7/30/2014		400,000		368,000		364,152
	C1467EAB6	CCS CORP		0.00		11/14/2014		500,000		445,000		440,730
594088AF3		MICHAELS STORES, INC.		0.00		7/31/2016		500,000		481,250		476,565
	00828KAF2	AFFINION GROUP		0.00		10/9/2016		498,736		457,591		452,708
	89233UAE5	TOYS R US DELAWR		0.00		9/1/2016		500,000		482,500		478,750
	72083EAF5	ADVANCE PIERRE FOODS		0.00		9/29/2016		648,363		638,139		631,544
	39843QAG6	GRIFOLS SA		0.00		6/1/2017		598,500		590,271		586,422
	38238VAD7	GOODMAN GLOBAL INC		0.00		10/13/2016		729,112		725,467		719,546
	12543KAE4	COMMUNITY HLTH SYST INC		0.00		1/25/2017		500,000		455,000		453,750
	05531LAB6	BRESNAN HLDG		0.00		11/30/2017		748,116		727,542		720,061
	L5137LAC9	INTELSAT JACKSON		0.00		3/7/2018		1,250,000		1,210,625		1,190,625
	24521QAB8	DEL MONTE FOODS CO		0.00		2/1/2018		550,000		511,500		510,125
	92531SAW3	VERTAFORE INC		0.00		7/29/2016		250,000		242,500		240,158
	05454DAH4	AXCAN INTER HLDG		0.00		2/3/2017		300,000		268,125		265,050
	45840XAC0	INTERACTIVE DATA CORP		0.00		2/8/2018		748,120		726,612		715,076
	89364MAQ7	TRANSDIGM GROUP INC		0.00		2/14/2017		498,744		490,016		486,664
	71601KAE9	PETCO ANIMAL SUPPLIES, INC.		0.00		11/24/2017		400,000		381,000		377,700
	69349FAE1	TOMKINS PLC		0.00		9/29/2016		499,994		491,244		489,684
	99AA44213	UNIVR		0.00		6/30/2017		498,744		471,313		466,699
	04247QAE7	ARMSTRONG WORLD INDUSTRIES INC		0.00		3/9/2018		498,747		488,772		484,408
	58515UAM1	MEG ENERGY CORP		0.00		3/14/2018		500,000		490,000		489,020
	32007UAL3	FIRST DATA CORPORATION		0.00		9/24/2016		650,000		544,375		525,148
	29101QAD1	EMERGENCY MEDICAL SVCS CORP		0.00		4/27/2018		498,747		477,550		473,670
	99AA46234	IASIS HLTHCARE CORP		0.00		4/29/2018		500,000		470,000		467,000
	48562RAC3	KAR HOLDINGS		0.00		5/2/2017		498,750		486,281		481,294
	C3927NAC4	GIBSON ENERGY ULC		0.00		6/3/2018		498,750		496,256		487,528
	99AA47695	LAUREATE EDUCATION INC		0.00		6/15/2018		498,747		450,119		444,199
	99AA49410	TEREX CORPORATION		0.00		7/6/2017		500,000		493,125		490,125
	35168LAC1	AUTOPARTS HOLDINGS LTD		0.00		7/14/2017		500,000		500,000		497,500
	99AA49352	CUMULUS MED INC.		0.00		7/18/2018		400,000		376,000		376,124
	76173FAL1	REYNOLDS GROUP HOLDINGS INC		0.00		8/15/2018		1,000,000		975,000		968,890
	99AA49402	ACADEMY SPORTS & OUTDOORS INC		0.00		7/25/2018		400,000		386,000		381,832
	99AA49428	CAPSUGEL HEALTHCARE LTD		0.00		7/25/2018		600,000		597,000		588,966
	99AA48297	LEVEL 3 COMMS, INC.		0.00		9/1/2018		750,000		715,313		710,003
	99AA48479	IMMUCOR, INC.		0.00		7/2/2018		750,000		744,375		737,813
	99AA48743	SEALED AIR CORPORATION		0.00		9/15/2018		500,000		501,563		499,720
	99AA48719	AVIS BUDGET		0.00		9/20/2018		500,000		498,750		496,665
	Q7264TAC8	PALADIN ENERGY LTD		3.63		11/4/2015		2,300,000		2,031,481		1,574,145

								871,699,525		913,153,564		921,336,311

Corporate Securities — Utilities
037735CQ8		APPALACHIAN POWER COMPANY		3.40		5/24/2015		1,075,000		1,072,785		1,139,353
	13134YAD9	CALPINE CONSTRUCTION FINANCE C		8.00		6/1/2016		5,700,000		6,120,808		5,899,500
	15135UAB5	CENOVUS ENERGY INC		4.50		9/15/2014		1,350,000		1,349,244		1,443,444
	15234QAJ7	ELETROBRAS		6.88		7/30/2019		5,000,000		5,680,481		5,572,227
202795HW3		COMMONWEALTH EDISON COMPANY		1.63		1/15/2014		1,600,000		1,598,215		1,610,844
209111DZ3		CONSOLIDATED EDISON CO OF NY		5.63		7/1/2012		550,000		545,845		569,487
209111EA7		CONSOLIDATED EDISON CO OF NY		4.88		2/1/2013		3,000,000		3,124,969		3,151,317
209111EX7		CONSOLIDATED EDISON CO OF NY		6.65		4/1/2019		4,589,000		5,617,025		5,713,843
	22282EAA0	COVANTA HOLDING CORP		1.00		2/1/2027		2,880,000		2,744,625		2,852,640
264399 EQ5		DUKE ENERGY CORP		6.30		2/1/2014		4,000,000		4,447,470		4,441,157
291011AT1		EMERSON ELECTRIC CO		4.50		5/1/2013		1,000,000		986,545		1,057,206
	29268BAE1	ENEL FINANCE INTERNATIONAL SA		5.13		10/7/2019		7,100,000		7,073,756		6,696,630
	29269QAA5	ENERGY FUTURE INTERMEDIATE HOL		10.00		12/1/2020		750,000		738,750		729,375
	29364GAE3	ENTERGY CORPORATION		3.63		9/15/2015		1,500,000		1,528,820		1,531,901
340711AQ3		FL GAS TSMN CO		7.90		5/15/2019		7,000,000		8,301,725		8,710,722
373334FN6		GEORGIA POWER COMPANY		5.13		11/15/2012		1,250,000		1,248,591		1,309,465
373334JM4		GEORGIA POWER COMPANY		6.00		11/1/2013		1,000,000		1,081,414		1,102,728
391164AD2		GREAT PLAINS ENERGY INCORPORAT		2.75		8/15/2013		3,000,000		2,999,129		3,038,096
	45138LAK9	IDAHO POWER COMPANY		4.75		11/15/2012		1,750,000		1,729,893		1,818,303
461070AH7		INTERSTATE POWER & LIGHT CO		3.30		6/15/2015		3,000,000		2,993,055		3,127,470
494550AU0		KINDER MORGAN ENERGY PARTNERS		6.00		2/1/2017		2,000,000		2,178,580		2,267,241
494550AZ9		KINDER MORGAN ENERGY PARTNERS		9.00		2/1/2019		4,500,000		5,604,358		5,694,859


		Allied World Assurance Company Holdings, AG Securities Listing as at September 30, 2011


Cusip		Security Description	Coupon		Maturity		Par		Book Value $		Market Value $

494550BB1		KINDER MORGAN ENERGY PARTNERS		6.85		2/15/2020		2,145,000		2,424,073		2,529,515
494550BE5		KINDER MORGAN ENERGY PARTNERS		5.30		9/15/2020		1,375,000		1,374,464		1,494,502
	50064YAB9	KOREA HYDRO		3.13		9/16/2015		6,100,000		6,167,669		5,971,266
559080AA4		MAGELLAN MIDSTREAM PARTNERS LP		6.45		6/1/2014		10,550,000		10,327,843		11,785,318
570506AH8		MARKWEST ENERGY PARTNERS L.P.		8.75		4/15/2018		1,650,000		1,809,469		1,749,000
595620AD7		MIDAMERICAN ENERGY HOLDINGS CO		4.65		10/1/2014		25,800,000		25,911,142		28,396,554
629377AX0		NRG ENERGY INC		7.38		1/15/2017		650,000		679,902		669,500
	67021CAB3	NSTAR ELEC CO		4.88		4/15/2014		5,000,000		5,178,249		5,415,798
	69331CAE8	PG&E CORPORATION		5.75		4/1/2014		10,000,000		9,971,349		10,942,575
	69353UAB7	PPL WEM HOLDINGS PLC		3.90		5/1/2016		5,675,000		5,669,513		5,941,682
695114 BU1		PACIFICORP		6.90		11/15/2011		1,000,000		1,000,614		1,006,967
737679CW8		POTOMAC ELECTRIC POWER COMPANY		4.95		11/15/2013		1,200,000		1,133,785		1,280,412
743263AM7		PROGRESS ENERGY INC.		6.05		3/15/2014		10,000,000		10,112,228		11,023,142
744448BU4		PUBLIC SERVICE COLORADO		7.88		10/1/2012		1,070,000		1,065,426		1,145,202
	74456QAW6	PUBLIC SERVICE ELECTRIC & GAS		2.70		5/1/2015		1,075,000		1,073,582		1,110,318
842434CA8		SOUTHERN CALIFORNIA GAS CO		4.80		10/1/2012		700,000		692,447		728,059
842587CE5		SOUTHERN COMPANY		4.15		5/15/2014		10,575,000		10,583,944		11,244,090
842587CG0		SOUTHERN COMPANY		2.38		9/15/2015		400,000		406,365		407,207
	84755TAB3	SPECTRA ENERGY CAPITAL LLC		5.90		9/15/2013		2,650,000		2,794,359		2,854,936
893526DH3		TRANSCANADA PIPELINES LIMITED		3.40		6/1/2015		4,250,000		4,249,378		4,466,993
	89352HAA7	TRANS-CANADA PIPELINES		4.00		6/15/2013		5,300,000		5,293,897		5,530,951
	89354FAE1	TRANSCAPITALINVEST LTD FOR OJS		8.70		8/7/2018		1,700,000		2,065,022		1,967,750
	96950FAB0	WILLIAMS PRTNRS		3.80		2/15/2015		5,000,000		5,009,908		5,208,869
976656CA4		WISCONSIN ELECTRIC POWER CO		6.00		4/1/2014		4,500,000		4,964,788		4,992,345
	13134MAW3	CALPINE CORPORATION		0.00		3/31/2018		498,747		473,186		468,478
	00809DAJ3	THE AES CORPORATION		0.00		5/17/2018		500,000		491,250		488,215

								182,957,747		189,689,934		198,297,452

Asset Backed Securities — Credit Cards
126802BJ5		CABELAS MASTER CREDIT CARD TRU		1.68		1/16/2018		13,925,000		14,378,419		14,377,980
126802 BM8		CABMT10-IA		2.29		9/17/2018		2,000,000		1,999,281		2,062,360
126802 BR7		CABMT10-IA		2.39		6/17/2019		3,000,000		2,999,438		3,075,990
126802 BS5		CABMT10-IA		0.83		6/17/2019		3,500,000		3,500,000		3,499,965
	14041NBG5	COMET		0.44		12/15/2016		8,460,000		8,465,915		8,451,900
161571AA2		CHASE ISSURANCE TRUST 04_A8		0.35		9/15/2015		3,250,000		3,246,643		3,251,265
161571 CH5		CHAIT		5.12		10/15/2014		8,600,000		8,941,012		8,996,552
	05522RAB4	BACCT		0.27		12/15/2016		5,000,000		4,982,400		4,981,800
	05522RBD9	BACCT		5.59		11/17/2014		1,000,000		1,035,551		1,034,951
	05522RBF4	BACCT		0.30		12/15/2016		1,000,000		993,682		997,480
	06423RAV8	BOIT		0.48		1/15/2016		1,000,000		1,000,887		1,002,280
	55264TDX6	MBNA CREDIT CARD MASTER NOTE T		0.29		10/15/2015		750,000		748,112		749,145

								51,485,000		52,291,340		52,481,666

Asset Backed Securities — Auto
	02005ABB3	ALLY MASTER OWNER TRUST AMOT_1		1.10		1/15/2016		13,000,000		13,000,000		13,005,850
	02005TAD9	ALLYA 11-1		2.23		3/15/2016		6,000,000		5,999,520		6,196,362
	03064NAD8	AMERICREDIT AUTOMOBILE RECEIVA		1.61		10/8/2015		3,750,000		3,749,756		3,784,439
	06052FAC4	BAAT_09-2		2.13		9/15/2013		7,871,229		7,871,212		7,910,696
	06052MAC9	BAAT		1.31		7/15/2014		2,178,486		2,178,462		2,188,725
	09657MAC2	BMWLT_10-1		1.39		4/25/2014		1,350,000		1,349,990		1,350,844
	14313CAC0	CARMX_10-1		1.56		7/15/2014		1,386,173		1,386,101		1,393,810
	14313EAC6	CARMX_10-2		1.41		2/16/2015		10,000,000		9,999,910		10,066,500
	34529GAF2	FORDO09-D		2.17		10/15/2013		16,422,011		16,421,551		16,541,270
	34529HAC7	FORDO		1.51		1/15/2014		1,780,691		1,780,604		1,787,280
	34529PAC9	FORDO11-A		0.97		1/15/2015		3,500,000		3,499,662		3,510,566
	34529QAC7	FORDL_11-A		1.03		7/15/2014		3,600,000		3,599,891		3,606,012
	41283KAC1	HDMOT_10-1		1.16		2/15/2015		3,650,000		3,649,697		3,665,184
	41283NAC5	HARLEY DAVIDSON MOTORCYCLE TRU		0.43		10/15/2014		4,000,000		4,000,000		3,999,960
	43812BAG8	HAROT_10-1		1.25		10/21/2013		1,822,147		1,822,054		1,828,125
	43812WAC1	HONDA AUTO RECIEVABLES OWNER T		2.31		5/15/2013		676,008		679,501		679,938
	43813TAD5	HAROT_11-1		1.80		4/17/2017		2,500,000		2,499,451		2,552,991
	44923YAC1	HART_10-B		0.97		4/15/2015		2,150,000		2,149,789		2,154,300
	44924CAA2	HCAF_10-8A		1.23		9/20/2016		2,275,000		2,228,190		2,260,827
587682 AC9		MBART_10-A		1.42		8/15/2014		996,195		996,117		1,002,141
	98158KAD1	WORLD OMNI AUTO RECEIVABLES TR		1.91		4/16/2016		6,200,000		6,199,737		6,328,588

								95,107,940		95,061,195		95,814,408


		Allied World Assurance Company Holdings, AG Securities Listing as at September 30, 2011


Cusip		Security Description	Coupon		Maturity		Par		Book Value $		Market Value $

Asset Backed Securities — Student Loans
	00432CAZ4	AGSL_03-1		1.63		12/26/2035		4,100,000		3,727,619		3,479,846
	00432CBB6	AGSL_03-1		1.60		12/26/2035		3,600,000		3,226,060		3,055,133
	00432CBP5	AGSL_03-1		1.76		12/27/2032		5,350,000		4,769,879		4,494,000
041150DJ9		ASLA_10-1		1.21		11/25/2043		6,800,258		6,737,059		6,725,659
	10620NCG1	BRHEA_05-2		1.11		2/25/2030		12,800,000		12,637,601		12,677,888
	10620NCK2	BRAZOS HIGHER EDUCATION AUTHOR		1.10		7/25/2029		5,100,000		5,049,992		5,037,729
	36156HAX6	GCOE_06-1		0.50		2/25/2028		1,000,000		847,341		850,240
	36156HAY4	GCOE_06-1		0.54		5/25/2036		2,200,000		1,792,600		1,802,900
429827AB4		HEF_10-401		1.67		1/1/2044		2,100,000		1,788,629		1,815,227
429827 AE8		HIGHER EDUCATION FUNDING HEF_0		1.68		1/1/2044		2,100,000		1,779,592		1,815,227
429827AF5		HEF_10-401		1.76		1/1/2044		2,100,000		1,778,002		1,815,227
429827 AJ7		HIGHER EDUCATION FUNDING HEF_0		1.67		1/1/2044		2,100,000		1,775,533		1,815,227
429827AK4		HIGHER EDUCATION FUNDING HEF_0		1.67		1/1/2044		2,300,000		1,937,271		1,988,106
429827AN8		HEF_04-1		1.67		1/1/2044		2,100,000		1,764,966		1,815,227
429827AQ1		HEF_04-1		1.64		1/1/2044		2,950,000		2,439,854		2,578,802
452281 JB5		ILLINOIS STUDENT ASSISTANCE CO		0.73		4/25/2017		5,711,867		5,711,867		5,695,189
194262CD1		COLLE_04-1		0.41		4/25/2021		16,753,608		16,734,170		16,669,840
	28140VAB9	EFCT_04-1		0.51		12/15/2022		4,043,559		4,003,992		4,011,494
	36156HAV0	GCOE_06-1		0.44		5/25/2025		7,100,000		6,390,668		6,431,890
	57563NAA6	MEFA		1.20		4/25/2038		3,921,486		3,904,740		3,934,388
698475AM2		PPHEA_10-2		1.38		10/1/2035		7,475,605		7,475,605		7,467,830
	71722TAF1	PHEAA_04-1		1.69		4/25/2044		2,000,000		1,831,560		1,802,034
	71722TAG9	PHEAA_04-1		0.00		4/25/2044		6,000,000		5,525,545		5,406,642
	78442GHZ2	SLMA		1.68		12/15/2016		6,500,000		6,500,000		6,497,969
	78442GJA5	SLM STUDENT LOAN TR 2003-10A		1.67		12/15/2016		1,500,000		1,500,000		1,499,531
	78442GJD9	SLM STUDENT LOAN TR 2003-10A		1.68		12/15/2016		6,600,000		6,559,635		6,597,938
	78442GQR0	SLMA		1.00		1/25/2028		425,000		416,013		412,385
	78445DAA8	SLMA_09-B		6.23		7/15/2042		15,938,209		15,784,869		14,939,721
	78446JAA4	SLM STUDENT LOAN TRUST SLMA_11		0.83		11/25/2027		3,404,227		3,397,801		3,358,270
	83149TAA2	SLMA_09-D		3.50		8/17/2043		9,638,706		9,688,202		9,571,428
	83715AAK5	SOUTH CAROLINA STUDENT LN CORP		0.70		1/25/2021		6,421,914		6,411,626		6,409,777
	86386MAY0	STUDENT LOAN CON		1.44		10/25/2027		45,995,025		45,995,025		45,822,046

								206,129,464		199,883,316		198,294,811


Asset Backed Securities — Other
041239CD4		ARKLE_06-1A		1.69		5/17/2060		5,000,000		5,000,000		4,994,100
	12612AAC6	CNH_09-C		1.85		12/16/2013		334,705		334,703		335,096
	12612BAC4	CNH_10-A		1.54		7/15/2014		1,017,948		1,017,891		1,021,983
	12621UAC1	CNH_10-B		1.03		11/17/2014		4,737,089		4,736,555		4,742,821
	12621UAD9	CNH_10-B		1.74		1/17/2017		4,750,000		4,749,178		4,822,152
	15200MAA5	CNP		4.19		2/1/2020		2,716,291		2,903,002		2,963,175
	15200NAA3	CNP		1.83		2/15/2016		1,793,370		1,793,355		1,825,910
	15200NAB1	CNP		3.46		8/15/2019		2,400,000		2,479,287		2,610,031
	29365KAA1	ETI		2.12		2/1/2016		1,012,638		1,012,607		1,035,351
	29366AAA2	ENTERGY LOUISIANA INVESTMENT		2.04		9/1/2023		11,000,000		10,998,157		10,977,553
	34988WAF1	FOSSM_11-1A		1.65		10/18/2054		10,700,000		10,700,000		10,670,040
	36829KAC2	GESET		1.92		7/15/2016		1,619,179		1,619,142		1,622,596
	36830HAC6	GE EQUIPMENT SMALL TICKET LLC		1.45		1/21/2018		1,700,000		1,699,802		1,712,036
	43641NBC7	HMI		1.65		10/15/2054		4,700,000		4,700,000		4,694,830
477874AC5		JDOT_09		2.59		10/15/2013		431,221		432,546		432,852
	47787AAD9	JDOT_10-A		1.32		5/15/2014		1,211,205		1,211,132		1,215,565
493897AB8		KDRE		0.40		12/10/2043		104,414		101,315		91,666
	57164XAA7	MVCOT 2009-2A		4.81		7/20/2031		5,657,544		5,657,472		5,850,693
693401AE1		PERF		4.47		12/25/2014		2,900,000		2,994,913		3,013,588
	75953MAD2	CENTERPOINT ENERGY TRANSITION		5.63		9/15/2015		4,240,961		4,459,902		4,511,876
826502AA4		SRFC		5.27		3/20/2019		455,971		464,514		475,742
	82651AAA5	SRFC		5.37		9/20/2019		1,202,756		1,227,863		1,261,294
	Z914HKQ87	GFUND_11-1		2.29		4/24/2047		4,800,000		7,695,999		7,448,278

								74,485,292		77,989,338		78,329,229


Asset Backed Securities — CLO
	00083VAA9	ACASC_07-1		0.48		4/20/2021		6,750,000		6,078,507		6,115,419
	04010HAB8	ARES CLO FUNDS ARES		0.59		9/18/2017		3,532,838		3,518,545		3,430,633
	04010HAC6	ARES_05-10A		0.59		9/18/2017		9,130,680		9,097,151		8,866,529
	04011XAB2	ARES		0.56		2/24/2018		15,130,901		13,950,938		14,817,601


		Allied World Assurance Company Holdings, AG Securities Listing as at September 30, 2011


Cusip		Security Description	Coupon		Maturity		Par		Book Value $		Market Value $

	04011XAC0	ARES		0.56		2/24/2018		16,162,553		14,865,792		15,394,832
	14308VAA9	CARLYLE HIGH YIELD PARTNERS		0.65		8/11/2016		9,920,333		9,672,618		9,631,790
158715AA0		CHAMPLAIN CLO LTD CHAM04-1A		0.73		6/15/2016		3,365,483		3,269,819		3,254,903
	16208NAA3	CHAT		0.51		8/3/2019		29,675,649		27,346,697		28,641,898
	33736EAA9	FIRST CLO LTD		0.60		7/27/2016		613,740		605,803		599,360
	33736TAB4	FRST_04-2A1		0.65		12/14/2016		3,049,605		2,999,045		2,954,967
363206AF0		GALE		0.49		4/19/2021		10,000,000		9,016,596		9,372,240
482474AA1		KKR FINANCIAL CLO LTD KKR_05-1		0.52		4/26/2017		852,356		788,213		816,131
	48248CAA2	KKR FINANCIAL CLO LTD KKR_07-1		0.64		5/15/2021		12,619,306		11,731,791		11,452,021
	51506DAA1	LANDM_04-1A		0.70		12/15/2016		13,664,543		13,015,442		13,253,486
	51506JAA8	LANDM_05-1A		0.63		6/1/2017		4,489,135		4,278,329		4,289,239
	69510WAA5	PCDO		0.51		1/26/2020		5,738,617		5,494,380		5,451,686
730018AA6		PLMR_10-1A		1.79		2/16/2019		2,699,050		2,699,050		2,675,385
	97314VAA6	WIND RIVER CLO LTD WINDR_04-1A		0.68		12/19/2016		2,276,875		2,221,787		2,185,800
G84358AA1		STANFIELD VEYRON		0.47		7/15/2018		25,000,000		24,235,940		24,277,000
	G6843PAA3	PCDO_04-4X		0.64		2/15/2017		2,263,623		2,212,996		2,198,747

								176,935,287		167,099,438		169,679,667


State and Municipal
	04057PFH6	ARIZONA SCH FACS BRD CTFS PART		5.00		9/1/2019		1,775,000		1,705,267		1,873,672
040654MP7		ARIZONA ST TRANSN BRD		5.00		7/1/2020		500,000		483,491		549,430
	13063BFQ0	CALIFORNIA ST		5.75		3/1/2017		17,000,000		17,502,314		19,118,709
181059BM7		CLARK CNTY NEV SCH DIST FOR IS		5.00		6/15/2017		1,500,000		1,496,545		1,676,010
189194CL5		CLOVERDALE IND MULTI-SCH BLDG		5.00		7/15/2019		1,365,000		1,329,355		1,506,387
	20772JBU5	CT ST		2.12		5/15/2015		1,000,000		1,000,000		1,027,040
207758AY9		CONNECTICUT ST SPL TAX OBLIG R		5.00		7/1/2019		650,000		624,845		731,432
	2131838D1	COOK CNTY ILL		5.00		11/15/2019		1,000,000		962,364		1,095,920
230822PL6		CUMBERLAND VALLEY PA SCH DIST		5.00		11/15/2020		1,300,000		1,244,859		1,428,323
294223LN0		EPHRATA PA AREA SCH DIST		5.00		3/1/2019		500,000		483,183		551,535
385244HG6		GRAND BLANC MICH CMNTY SCHS		5.00		5/1/2020		1,000,000		967,833		1,074,220
419791YH5		HAWAII ST		3.38		2/1/2016		2,575,000		2,585,055		2,802,682
	4521518T3	ILLINOIS ST		3.32		1/1/2013		12,000,000		12,075,062		12,207,600
	4521518V8	ILLINOIS ST		4.42		1/1/2015		12,620,000		12,639,990		13,125,556
452152HP9		ILLINOIS ST		4.03		3/1/2014		5,000,000		5,000,000		5,141,550
463655GW4		IRVINE RANCH CALIF WTR DIST JT		2.61		3/15/2014		3,500,000		3,579,709		3,644,830
468312DN0		JACKSON MICH PUB SCHS		5.00		5/1/2020		1,000,000		962,526		1,074,220
	48542KNH8	KANSAS ST DEV FIN AUTH REV		5.00		6/1/2012		500,000		503,962		515,505
	49151EXA6	KENTUCKY ST PRP & BLDG COM		5.00		10/1/2017		565,000		562,340		663,570
508205GV7		LAKE COOK KANE AND MCHENRY CNT		5.00		12/1/2016		2,385,000		2,413,099		2,778,287
567505GY2		MARICOPA CNTY ARIZ UN HIGH SCH		5.13		7/1/2016		1,125,000		1,147,993		1,317,015
575579RS8		MASSACHUSETTS BAY TRANSN AUTH		5.00		7/1/2020		35,000		35,179		43,142
	57582PDK3	MASSACHUSETTS ST		0.63		11/1/2018		2,000,000		1,550,471		1,821,420
	57583PEN5	MASSACHUSETTS ST		3.59		12/15/2016		5,000,000		5,000,000		5,435,850
603827TV8		MINNEAPOLIS & ST PAUL MINN MET		5.00		1/1/2015		1,035,000		1,124,731		1,130,572
	64468TRZ2	NEW HAMPSHIRE ST HSG FIN AUTH		5.88		7/1/2021		60,000		53,916		60,049
	64966B3L5	NEW YORK N Y		0.95		1/15/2016		5,250,000		5,203,095		5,206,268
	64966JAS5	NEW YORK NY		6.65		12/1/2031		4,000,000		4,000,000		4,608,080
	64971M5E8	NEW YORK NY CITY TRANSITIONAL		4.08		11/1/2020		3,000,000		3,000,000		3,249,780
650035TC2		NEW YORK ST URBAN DEV CORP REV		2.48		12/15/2013		4,250,000		4,311,042		4,408,695
663903CA8		NORTHEAST OHIO REGL SWR DIST W		5.00		11/15/2016		400,000		407,038		472,228
677520SW9		OHIO ST		5.00		11/1/2020		1,500,000		1,436,554		1,681,545
677521HS8		OHIO ST		2.18		8/1/2014		3,500,000		3,500,000		3,616,305
742633PD6		PRIOR LAKE MINN INDPT SCH DIST		5.00		2/1/2020		1,195,000		1,168,762		1,295,595
745220FG3		PUERTO RICO COMWLTH INFRASTRUC		5.50		7/1/2017		1,000,000		1,042,446		1,100,880
780427KA7		ROYAL OAK CITY MICH SCH DIST		5.00		5/1/2019		2,000,000		1,931,254		2,219,420
795560AR2		SALT LAKE & SANDY UTAH		5.00		7/1/2020		1,820,000		1,738,975		1,972,880
	83714RBA0	SOUTH CAROLINA STUDENT LN		0.42		12/2/2019		5,000,000		4,886,575		4,886,500
837151AM1		SOUTH CAROLINA ST PUB SVC AUTH		0.92		6/2/2014		6,750,000		6,750,000		6,775,178
837562KS5		SOUTH DAKOTA ST UNIV		5.00		4/1/2020		1,545,000		1,468,932		1,622,744
914119HX3		UNIVERSITY CINCINNATI OHIO		5.00		6/1/2018		2,015,000		1,956,032		2,212,813
914437PF9		UNIVERSITY MASS BLDG AUTH		5.00		11/1/2019		1,530,000		1,468,077		1,681,409
914455KY5		UNIVERSITY MICH UNIV REVS		2.36		4/1/2016		2,000,000		2,000,000		2,052,640
919061EX5		VALDEZ AK — EXXON PIPELINE CO		5.00		1/1/2014		2,000,000		2,154,231		2,159,080
938234MJ7		WASHINGTON CNTY ORE		5.00		6/1/2020		1,035,000		995,951		1,188,211
	98458PAB1	YALE UNIVERSITY		2.90		10/15/2014		1,400,000		1,398,181		1,482,312

								128,180,000		127,851,231		136,287,087

Total Fixed Income Securities								6,540,844,254		6,489,632,691		6,564,580,847


		Allied World Assurance Company Holdings, AG Securities Listing as at September 30, 2011


Cusip		Security Description	Coupon		Maturity		Par		Book Value $		Market Value $

Equities
	18802108	ALLIANT ENERGY CORP		0.00		9/30/2061		247,850		9,443,304		9,586,838
	24835100	AMER CMPS COMM		0.00		9/30/2061		229,900		7,211,866		8,554,579
	156700106	CENTURYTEL INC		0.00		9/30/2061		277,850		11,469,649		9,202,392
	253868103	DIGITAL REALTY		0.00		9/30/2061		139,150		7,924,582		7,675,514
	279158109	ECOPETROL SA		0.54		9/30/2061		192,100		8,255,272		7,739,709
	351858105	FRANCO NEVADA CORP		0.00		9/30/2061		207,000		6,803,470		7,530,704
	391164100	GREAT PLAINS ENERGY INCORPORAT		0.00		9/30/2061		309,000		6,410,832		5,963,700
	438516106	HONEYWELL INTERNATIONAL INC		0.75		9/30/2061		236,900		10,205,415		10,402,279
	478160104	JOHNSON & JOHNSON		1.66		9/30/2061		133,800		8,448,706		8,524,398
	595017104	MICROCHIP TECHNOLOGY INC		0.00		9/30/2061		272,200		9,367,816		8,468,142
	646025106	NEW JERSEY RESOURCES		1.72		9/30/2061		178,500		7,366,400		7,598,745
	655844108	NORFOLK SOUTHERN CORPORATION		0.32		9/30/2061		110,000		6,867,559		6,712,200
	664397106	NORTHEAST UTILITIES		0.00		9/30/2061		120,200		3,745,327		4,044,730
	718172109	PHILIP MORRIS INTERNATIONAL IN		0.00		9/30/2061		145,000		8,465,048		9,045,100
	718252604	PHILIPPINE LONG DISTANCE TEL C		0.00		9/30/2061		108,800		5,959,703		5,388,864
	737630103	POTLATCH CORPORATION		0.00		9/30/2061		137,300		5,101,621		4,327,696
	743263105	PROGRESS ENERGY INC		0.00		9/30/2061		195,800		8,874,808		10,126,776
	754907103	RAYONIER INC.		1.08		9/30/2061		169,725		6,118,981		6,244,183
	780287108	ROYAL GOLD INC		0.00		9/30/2061		138,300		7,427,467		8,859,498
	847560109	SPECTRA ENERGY CORP		0.00		9/30/2061		306,500		7,688,393		7,518,445
	872375100	TECO ENERGY INC.		0.00		9/30/2061		342,600		5,911,093		5,868,738
	904784709	UNILEVER N.V.		1.19		9/30/2061		316,400		9,777,730		9,963,436
	962166104	WEYERHAEUSER COMPANY		2.40		9/30/2061		369,100		7,941,912		5,739,505
	976657106	WISCONSIN ENERGY CORPORATION		0.80		9/30/2061		237,400		7,150,362		7,428,246
	00208D408	ARC RESOURCES LTD		0.10		9/30/2061		266,000		6,255,717		6,000,960
	03761U106	APOLLO INVSTMNT		0.00		9/30/2061		946,500		10,024,468		7,112,948
	03836W103	PHILADELPHIA SUBURBAN CORPORAT		0.00		9/30/2061		352,900		7,390,149		7,612,053
	09247X101	BLACKROCK CREDIT (OFFSHORE)		0.00		9/30/2061		63,350		11,545,209		9,376,434
	09784Y108	BONAVISTA ENERGY TRUST		0.12		9/30/2061		265,900		7,185,915		5,939,142
	13466Y105	CAMPUS CREST COMMUNITIES INC		0.00		9/30/2061		564,000		6,805,512		6,136,320
	15135U109	CENOVUS ENERGY INC		0.00		9/30/2061		267,000		8,562,055		8,199,570
	15189T107	CENTERPOINT ENERGY INC.		1.50		9/30/2061		649,200		11,148,183		12,737,304
	16941M109	CHINA MOBILE HONG KONG LIMITED		0.00		9/30/2061		178,000		8,762,843		8,670,380
	17133Q502	CHUNGHWA TELECOM CO. LTD.		0.00		9/30/2061		135,150		4,230,389		4,459,950
	22576C101	CRESCENT POINT ENERGY CORP		0.23		9/30/2061		179,100		7,374,393		6,725,008
	30161N101	EXELON CORPORATION		0.00		9/30/2061		267,800		11,442,341		11,410,958
	40414L109	HEALTH CARE PROPERTY INVESTORS		0.00		9/30/2061		245,700		9,083,751		8,614,242
	67019E107	NSTAR		1.98		9/30/2061		54,000		2,027,901		2,419,740
	69331C108	PG&E CORPORATION		0.00		9/30/2061		205,300		8,812,604		8,686,243
	71646E100	PETROCHINA CO LTD		0.00		6/30/2061		62,000		8,370,195		7,470,380
	74340W103	PROLOGIS INC		0.00		9/30/2061		310,700		9,337,616		7,534,475
	74965L101	RLJ LODGING TRUST		0.00		9/30/2061		585,600		10,117,705		7,478,112
	80105N105	SANOFI AVENTIS		0.00		9/30/2061		276,500		9,450,742		9,069,200
	89151E109	TOTAL SA		0.00		6/30/2061		155,900		8,856,592		6,839,333
	911312106	UNITED PARCEL SERV INC		0.00		9/30/2061		136,900		9,615,318		8,645,235
	92276F100	VENTAS, INC.		0.00		9/30/2061		132,015		6,269,533		6,521,550
	98156Q108	WORLD WRESTLING ENTERTAINMENT		0.00		9/30/2061		905,900		9,972,114		8,071,569
	98389B100	XCEL ENERGY INC		0.00		9/30/2061		218,600		5,040,701		5,397,234
	G9319H102	VALIDUS HOLDINGS LTD		0.00		9/30/2061		1,000		28,137		24,920
	J2785A104	JAPAN LOGISTICS FD		0.00		9/30/2061		650		5,284,518		5,683,705
	Q3944W187	FOSTERS GROUP LTD		0.00		9/30/2061		1,172,000		6,289,617		6,014,273
	S62435862	SINGAPORE AIRPORT TERMINAL SER		0.00		9/30/2061		4,740,000		9,753,437		8,002,456
	SB0D6P437	MAPLETREE LG TR		0.02		9/30/2061		8,629,560		6,016,902		5,628,982
	SB23WXW97	PARKWAY HOLDINGS LIMITED		0.00		9/30/2061		3,467,100		4,928,059		4,868,999
	SB296MJ50	LIPPO MAPLETREE INDONESIA RETA		0.00		9/30/2061		7,265,000		2,896,557		3,010,590
	SB29VF024	FRANCO NEVADA CORP		0.00		9/30/2061		34,000		1,278,329		1,226,380
	SB53X5727	AG GROWTH INTERNATIONAL INC		0.00		9/30/2061		65,900		3,155,771		2,385,567
	SB61JC671	TREASURY WINE ESTATES LTD.		0.00		9/30/2061		1,440,666		4,220,951		5,418,709
	SB67C8W83	CRESCENT POINT ENERGY CORP		0.00		9/30/2061		900		35,000		34,072
	SB67JFX97	BONAVISTA ENERGY TRUST		0.00		9/30/2061		2,100		49,162		47,479
	SBOTLGM70	GZI REAL ESTATE INVESTMENT TRU		0.00		9/30/2061		5,735,000		2,563,601		2,482,668
	Y0205X103	ASCENDAS REAL ESTATE INVESTMEN		0.03		9/30/2061		3,905,000		5,967,269		6,083,301
	Y82954101	SUNTEC REAL ESTATE INVESTMENT		0.00		9/30/2061		7,303,000		8,449,567		6,444,977
	G16962204	BUNGE LTD		0.00		9/30/2061		34,000		2,978,728		3,103,945

								56,341,266		445,514,865		424,103,780

Attached files

Allied World Assurance Co Holdings, AG Reports

Also read

Allied World Assurance Co Holdings, AG - FORM 8-K - EX-99.3 - November 3, 2011

Attached files

Allied World Assurance Co Holdings, AG Reports

Also read