Allied World Assurance Co Holdings, AG - FORM 8-K - EX-99.3 - FIRST QUARTER 2012 INVESTMENT SUPPLEMENT

Attached files

file	filename
8-K - FORM 8-K - Allied World Assurance Co Holdings, AG	d343325d8k.htm
EX-99.2 - FIRST QUARTER 2012 FINANCIAL SUPPLEMENT - Allied World Assurance Co Holdings, AG	d343325dex992.htm
EX-99.1 - PRESS RELEASE, DATED MAY 2, 2012, REPORTING FIRST QUARTER RESULTS FOR 2012. - Allied World Assurance Co Holdings, AG	d343325dex991.htm

Exhibit 99.3

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $

U.S. Government Securities
9127953H2	UNITED STATES TREASURY		0.00		04/05/12		759,000		758,998
9127953S8	UNITED STATES TREASURY		0.00		05/31/12		17,500,000		17,495,634
9127953W9	UNITED STATES TREASURY		0.00		06/28/12		2,000,000		1,999,229
9127954B4	UNITED STATES TREASURY		0.00		07/26/12		260,000,000		259,928,653
9127955C1	UNITED STATES TREASURY		0.00		09/20/12		15,400,000		15,390,435
9127955N7	UNITED STATES TREASURY		0.00		05/17/12		300,000		299,986
9127956H9	UNITED STATES TREASURY		0.00		09/13/12		6,200,000		6,195,879
912810DW5	UNITED STATES TREASURY		7.25		05/15/16		310,000		390,569
912810EZ7	UNITED STATES TREASURY		6.63		02/15/27		2,475,000		3,631,815
912828AJ9	UNITED STATES TREASURY		4.38		08/15/12		500,000		507,805
912828AP5	UNITED STATES TREASURY		4.00		11/15/12		2,465,000		2,523,544
912828BA7	UNITED STATES TREASURY		3.63		05/15/13		1,500,000		1,556,385
912828CA6	UNITED STATES TREASURY		4.00		02/15/14		990,000		1,057,023
912828CT5	UNITED STATES TREASURY		4.25		08/15/14		1,440,000		1,569,485
912828DM9	UNITED STATES TREASURY		4.00		02/15/15		1,500,000		1,648,710
912828DV9	UNITED STATES TREASURY		4.13		05/15/15		500,000		554,815
912828EE6	UNITED STATES TREASURY		4.25		08/15/15		1,000,000		1,120,550
912828EW6	UNITED STATES TREASURY		4.50		02/15/16		1,000,000		1,142,800
912828FY1	UNITED STATES TREASURY		4.63		11/15/16		5,185,000		6,041,769
912828GX2	UNITED STATES TREASURY		2.63		07/15/17		8,800,000		11,574,508
912828HC7	UNITED STATES TREASURY		4.13		08/31/12		500,000		508,120
912828HH6	UNITED STATES TREASURY		4.25		11/15/17		1,000,000		1,164,080
912828HT0	UNITED STATES TREASURY		2.75		02/28/13		800,000		818,344
912828HV5	UNITED STATES TREASURY		2.50		03/31/13		7,900,000		8,077,513
912828HY9	UNITED STATES TREASURY		3.13		04/30/13		1,165,000		1,201,092
912828JK7	UNITED STATES TREASURY		3.13		08/31/13		1,025,000		1,065,949
912828JQ4	UNITED STATES TREASURY		2.75		10/31/13		1,500,000		1,557,690
912828JZ4	UNITED STATES TREASURY		1.75		01/31/14		1,000,000		1,025,860
912828KN9	UNITED STATES TREASURY		1.88		04/30/14		715,000		737,036
912828KY5	UNITED STATES TREASURY		2.63		06/30/14		495,000		519,710
912828LC2	UNITED STATES TREASURY		2.63		07/31/14		18,000,000		18,917,640
912828LQ1	UNITED STATES TREASURY		2.38		09/30/14		1,688,000		1,768,315
912828MG2	UNITED STATES TREASURY		1.38		01/15/13		5,000,000		5,045,501
912828MR8	UNITED STATES TREASURY		2.38		02/28/15		100,000		105,324
912828NB2	UNITED STATES TREASURY		1.00		04/30/12		8,200,000		8,205,125
912828NC0	UNITED STATES TREASURY		1.38		05/15/13		64,600,000		65,407,500
912828NE6	UNITED STATES TREASURY		0.75		05/31/12		53,700,000		53,750,348
912828NH9	UNITED STATES TREASURY		1.13		06/15/13		45,000,000		45,467,101
912828NU0	UNITED STATES TREASURY		0.75		08/15/13		100,000		100,639
912828NV8	UNITED STATES TREASURY		1.25		08/31/15		200,000		204,164
912828PD6	UNITED STATES TREASURY		0.38		10/31/12		6,000,000		6,007,500
912828PS3	UNITED STATES TREASURY		2.00		01/31/16		19,000,000		19,898,129
912828PW4	UNITED STATES TREASURY		0.63		12/31/12		20,000,000		20,061,802
912828QE3	UNITED STATES TREASURY		0.63		04/30/13		12,900,000		12,952,761
912828QF0	UNITED STATES TREASURY		2.00		04/30/16		23,500,000		24,618,600
912828QH6	UNITED STATES TREASURY		1.25		02/15/14		1,000,000		1,017,030
912828QJ2	UNITED STATES TREASURY		2.13		02/29/16		14,475,000		15,235,082
912828QL7	UNITED STATES TREASURY		0.75		03/31/13		5,000,000		5,025,000

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
912828QQ6	UNITED STATES TREASURY		2.38		05/31/18		5,000,000		5,291,950
912828QX1	UNITED STATES TREASURY		1.50		07/31/16		2,175,000		2,231,637
912828RA0	UNITED STATES TREASURY		0.38		06/30/13		1,000,000		1,001,420
912828RJ1	UNITED STATES TREASURY		1.00		09/30/16		18,300,000		18,362,219
912828RK8	UNITED STATES TREASURY		0.13		09/30/13		20,000,000		19,950,400
912828RM4	UNITED STATES TREASURY		1.00		10/31/16		950,000		952,308
912828RQ5	UNITED STATES TREASURY		0.38		11/15/14		24,900,000		24,838,746
912828RR3	UNITED STATES TREASURY		2.00		11/15/21		20,000,000		19,687,399
912828RS1	UNITED STATES TREASURY		0.25		11/30/13		131,630,000		131,491,785
912828RV4	UNITED STATES TREASURY		0.25		12/15/14		30,100,000		29,918,197
912828RX0	UNITED STATES TREASURY		0.88		12/31/16		79,000,000		78,588,407
912828SJ0	UNITED STATES TREASURY		0.88		02/28/17		815,000		809,230

							978,257,000		988,975,245

U.S. Government Agencies
3133762C8	FHLB		0.38		11/27/13		2,000,000		2,000,740
3133XVEM9	FHLB		1.63		11/21/12		1,500,000		1,513,590
3133XVNU1	FHLB		2.75		12/12/14		74,500,000		78,731,600
3135G0BA0	FNMA		2.38		04/11/16		2,000,000		2,110,960
3135G0BR3	FNMA		0.50		08/09/13		4,750,000		4,760,593
3135G0BY8	FNMA		0.88		08/28/14		4,750,000		4,793,605
3135G0CL5	FNMA		0.41		05/17/13		50,000,000		50,098,345
3135G0CM3	FNMA		1.25		09/28/16		31,000,000		31,182,592
3135G0GY3	FNMA		1.25		01/30/17		8,000,000		8,018,400
3137EACE7	FHLMC		2.13		09/21/12		8,500,000		8,578,029
3137EACW7	FHLMC		2.00		08/25/16		59,250,000		61,567,269
3137EACX5	FHLMC AGENCY		0.38		10/30/13		4,000,000		4,002,040
3137EADC0	FHLMC		1.00		03/08/17		92,000,000		90,965,919
31398A4M1	FNMA		1.63		10/26/15		21,500,000		22,115,545
31398A6F4	FNMA		0.38		12/28/12		1,500,000		1,501,560

							365,250,000		371,940,786

Non U.S. Government Securities & Agencies
013051DA2	ALBERTA PROVINCE OF		2.75		12/01/14		950,000		981,872
038461AC3	AID-EGYPT		4.45		09/15/15		25,000,000		27,961,763
135087YN8	CANADA GOVERNMENT		3.50		06/01/13		7,850,000		8,072,049
135087YS7	CANADA GOVERNMENT		3.00		06/01/14		2,015,000		2,092,759
135087YU2	CANADA GOVERNMENT		2.00		12/01/14		8,860,000		9,026,955
135087ZC1	CANADA GOVERNMENT		2.50		06/01/15		2,500,000		2,588,769
135087ZD9	CANADA GOVERNMENT		1.75		03/01/13		6,050,000		6,089,898
135087ZF4	CANADA GOVERNMENT		3.00		12/01/15		1,100,000		1,161,696
135087ZG2	CANADA GOVERNMENT		2.50		09/01/13		1,700,000		1,733,205
135087ZN7	CANADA GOVERNMENT		2.00		03/01/14		400,000		406,282
135087ZP2	CANADA GOVERNMENT		2.00		08/01/13		1,250,000		1,265,158
135087ZQ0	CANADA GOVERNMENT		2.75		09/01/16		5,450,000		5,735,499
135087ZR8	CANADA GOVERNMENT		2.25		08/01/14		5,200,000		5,322,195
135087ZT4	CANADA GOVERNMENT		1.50		11/01/13		650,000		653,775
135087ZV9	CANADA GOVERNMENT		1.50		03/01/17		1,400,000		1,395,804
13509PCS0	CANADA HOUSING TRUST		3.80		06/15/21		32,000,000		35,289,072
302154AU3	EXPORT-IMPORT BANK OF KOREA		5.88		01/14/15		10,600,000		11,556,120
500769BM5	KREDITANSTALT FUER WIDERAUFBAU		4.38		02/09/16		900,000		973,200
563469EU5	MANITOBA PROVINCE		5.25		12/03/12		900,000		924,881
642866FT9	NEW BRUNSWICK PROVINCE OF		4.50		02/04/15		900,000		971,417

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
683234WM6	ONTARIO PROVINCE		4.50		03/08/15		900,000		972,591
74733LAC6	QTEL INTERNATIONAL FINANCE LTD		3.38		10/14/16		6,100,000		6,182,350
748148RK1	QUEBEC PROVINCE OF		5.25		10/01/13		850,000		900,085
803854JF6	SASKATCHEWAN PROVINCE		5.25		06/03/14		900,000		974,619
BRSDJZD91	MEXICAN CETES		0.00		06/14/12		12,500,000		11,602,475
D20658J64	DEUTSCHE BUNDESREPUBLIK		3.50		01/04/16		19,300,000		28,573,215
D4085B7F2	KREDITANSTALT FUER WIDERAUFBAU		2.50		05/28/13		42,000,000		42,946,259
G924507Q5	UNITED KINGDOM GILT		2.75		01/22/15		6,950,000		11,789,502
G92450NU8	UNITED KINGDOM GILT		5.00		09/07/14		7,300,000		12,955,899
G92451GE0	UNITED KINGDOM GILT		1.75		01/22/17		40,000		66,083
H7351MFG3	SWITZERLAND (CONFEDERATION OF)		4.25		06/05/17		1,850,000		2,461,277
H7351PL38	SWITZERLAND (CONFEDERATION OF)		2.00		10/12/16		1,850,000		2,208,906
H7351PL46	SWITZERLAND (CONFEDERATION OF)		2.00		11/09/14		1,850,000		2,148,526
H7351PMW3	SWITZERLAND (CONFEDERATION OF)		4.00		02/11/13		1,850,000		2,116,182
H7351PRV0	SWITZERLAND (CONFEDERATION OF)		3.75		06/10/15		1,850,000		2,283,615
Q0819ACW8	AUSTRALIA COMMONWEALTH OF		5.75		05/15/21		26,500,000		31,111,293
Q2694KDZ4	GOVT OF AUSTRALIA		5.25		03/15/19		4,000,000		4,510,775
S69124FF7	REPUBLIC OF SOUTH AFRICA		10.50		12/21/26		61,910,000		9,506,450
Y557778T9	MALAYSIA GOVERNMENT OF		3.43		08/15/14		29,200,000		9,599,256

							343,375,000		307,111,725

Agency MBS
01F032658	FNMA		3.50		05/01/41		32,000,000		32,773,750
01F040644	FNMA		4.00		04/01/39		12,000,000		12,583,125
01F040651	FNMA		4.00		05/01/39		5,000,000		5,232,227
01F042640	FNMA		4.50		04/01/36		150,000,000		159,562,500
01F050643	FNMA TBA		5.00		04/01/33		-13,000,000		-14,044,063
01F062648	FNMA TBA		6.50		04/01/33		10,000,000		11,184,375
01N032642	GNMA		3.50		04/01/41		1,000,000		1,042,500
01N032659	GNMA		3.50		05/01/41		15,000,000		15,590,625
31283K4C9	FHLMC GOLD		5.00		06/01/20		6,369,430		6,881,066
31283KJU3	FHLMC GOLD		6.50		12/01/14		313,726		338,629
31283KN87	FHLMC GOLD		5.00		09/01/17		2,000		2,159
3128GNW87	FHLMC GOLD		5.00		11/01/16		2,302		2,475
3128GNY77	FHLMC GOLD		5.00		11/01/16		12,289		13,210
3128GP3U5	FHLMC GOLD		5.00		01/01/17		1,962		2,109
3128GP3V3	FHLMC GOLD		5.00		01/01/17		10,909		11,727
3128GP4U4	FHLMC GOLD		5.00		01/01/17		3,526		3,790
3128GP7M9	FHLMC GOLD		5.00		01/01/17		1,240		1,338
3128GPSA2	FHLMC GOLD		5.00		12/01/16		2,473		2,658
3128GQ3Q2	FHLMC GOLD		5.00		02/01/17		3,776		4,075
3128GQ6E6	FHLMC GOLD		5.00		02/01/17		3,491		3,768
3128GQGA3	FHLMC GOLD		5.00		01/01/17		4,776		5,155
3128GQJT9	FHLMC GOLD		5.00		01/01/17		4,151		4,462
3128GQK26	FHLMC GOLD		5.00		01/01/17		8,071		8,677
3128GQK34	FHLMC GOLD		5.00		01/01/17		1,493		1,605
3128GQKB6	FHLMC GOLD		5.00		01/01/17		3,004		3,229
3128GQP54	FHLMC GOLD		5.00		01/01/17		5,508		5,945
3128GQQQ7	FHLMC GOLD		5.00		02/01/17		5,254		5,648
3128GQQZ7	FHLMC GOLD		5.00		02/01/17		12,947		13,918
3128GQSG7	FHLMC GOLD		5.00		02/01/17		2,522		2,722
3128GQU58	FHLMC GOLD		5.00		02/01/17		4,781		5,140

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
3128GQU90	FHLMC GOLD		5.00		02/01/17		1,291		1,394
3128GQVB4	FHLMC GOLD		5.00		02/01/17		2,950		3,171
3128GQW31	FHLMC GOLD		5.00		02/01/17		6,904		7,431
3128GQW49	FHLMC GOLD		5.00		02/01/17		12,291		13,266
3128GR3Y3	FHLMC GOLD		5.00		02/01/17		9,310		10,008
3128GR6N4	FHLMC GOLD		5.00		04/01/17		14,499		15,650
3128GRBH1	FHLMC GOLD		5.00		02/01/17		4,456		4,810
3128GRBJ7	FHLMC GOLD		5.00		02/01/17		1,666		1,798
3128GRFT1	FHLMC GOLD		5.00		03/01/17		8,586		9,230
3128GRJD2	FHLMC GOLD		5.00		03/01/17		2,293		2,465
3128GRK81	FHLMC GOLD		5.00		03/01/17		1,565		1,689
3128GRLA5	FHLMC GOLD		5.00		03/01/17		15,121		16,321
3128GRM71	FHLMC GOLD		5.00		03/01/17		2,119		2,287
3128GRP94	FHLMC GOLD		5.00		03/01/17		1,132		1,217
3128GRQA0	FHLMC GOLD		5.00		03/01/17		4,044		4,364
3128GRSP5	FHLMC GOLD		5.00		03/01/17		4,315		4,639
3128GRSY6	FHLMC GOLD		5.00		03/01/17		7,816		8,437
3128GRUF4	FHLMC GOLD		5.00		03/01/17		1,053		1,137
3128GRUT4	FHLMC GOLD		5.00		03/01/17		5,841		6,279
3128GRWQ8	FHLMC GOLD		5.00		02/01/17		427		459
3128GRYD5	FHLMC GOLD		5.00		04/01/17		2,685		2,898
3128GS5Y9	FHLMC GOLD		5.00		04/01/17		4,899		5,287
3128GSDJ3	FHLMC GOLD		5.00		04/01/17		7,290		7,869
3128GSGB7	FHLMC GOLD		5.00		04/01/17		7,847		8,470
3128GSGU5	FHLMC GOLD		5.00		04/01/17		17,599		18,996
3128GSKE6	FHLMC GOLD		5.00		04/01/17		14,827		16,003
3128GSKV8	FHLMC GOLD		5.00		04/01/17		5,414		5,844
3128GSLX3	FHLMC GOLD		5.00		04/01/17		4,202		4,536
3128GSLY1	FHLMC GOLD		5.00		04/01/17		7,785		8,403
3128GSNL7	FHLMC GOLD		5.00		04/01/17		5,419		5,849
3128GSQN0	FHLMC GOLD		5.00		04/01/17		6,852		7,366
3128GSSN8	FHLMC GOLD		5.00		04/01/17		13,284		14,338
3128GV2N9	FHLMC GOLD		5.00		10/01/17		22,180		23,940
3128GV3C2	FHLMC GOLD		5.00		10/01/17		10,825		11,684
3128GV3D0	FHLMC GOLD		5.00		10/01/17		19,442		20,985
3128GV3Z1	FHLMC GOLD		5.00		10/01/17		22,795		24,604
3128GV7G9	FHLMC GOLD		5.00		10/01/17		4,376		4,724
3128GVBY5	FHLMC GOLD		5.00		08/01/17		1,287		1,385
3128GVH94	FHLMC GOLD		5.00		09/01/17		2,553		2,756
3128GVJA9	FHLMC GOLD		5.00		09/01/17		9,469		10,220
3128GVJB7	FHLMC GOLD		5.00		09/01/17		5,944		6,415
3128GVJQ4	FHLMC GOLD		5.00		09/01/17		14,633		15,794
3128GVLF5	FHLMC GOLD		5.00		09/01/17		5,450		5,859
3128GVLH1	FHLMC GOLD		5.00		09/01/17		7,733		8,347
3128GVLJ7	FHLMC GOLD		5.00		09/01/17		12,620		13,622
3128GVMM9	FHLMC GOLD		5.00		08/01/17		952		1,027
3128GVNL0	FHLMC GOLD		5.00		09/01/17		5,558		5,999
3128GVNM8	FHLMC GOLD		5.00		09/01/17		7,572		8,173
3128GVNN6	FHLMC GOLD		5.00		09/01/17		9,818		10,658
3128GVNV8	FHLMC GOLD		5.00		09/01/17		4,121		4,449
3128GVNX4	FHLMC GOLD		5.00		09/01/17		53,748		58,014

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
3128GVPM6	FHLMC GOLD		5.00		09/01/17		4,793		5,173
3128GVPN4	FHLMC GOLD		5.00		09/01/17		4,545		4,906
3128GVPP9	FHLMC GOLD		5.00		09/01/17		19,099		20,615
3128GVQH6	FHLMC GOLD		5.00		09/01/17		13,984		15,094
3128GVRA0	FHLMC GOLD		5.00		09/01/17		4,091		4,416
3128GVRC6	FHLMC GOLD		5.00		09/01/17		8,308		8,967
3128GVRE2	FHLMC GOLD		5.00		09/01/17		6,609		7,134
3128GVRS1	FHLMC GOLD		5.00		09/01/17		3,423		3,694
3128GVRT9	FHLMC GOLD		5.00		09/01/17		9,511		10,266
3128GVRY8	FHLMC GOLD		5.00		09/01/17		45,177		48,762
3128GVT83	FHLMC GOLD		5.00		09/01/17		19,178		20,700
3128GVTN0	FHLMC GOLD		5.00		09/01/17		5,701		6,154
3128GVTW0	FHLMC GOLD		5.00		09/01/17		10,968		11,839
3128GVUD0	FHLMC GOLD		5.00		09/01/17		1,358		1,466
3128GVUE8	FHLMC GOLD		5.00		09/01/17		8,957		9,667
3128GVUX6	FHLMC GOLD		5.00		10/01/17		4,058		4,380
3128GVVE7	FHLMC GOLD		5.00		10/01/17		24,399		26,335
3128GVVF4	FHLMC GOLD		5.00		10/01/17		11,429		12,336
3128GVVJ6	FHLMC GOLD		5.00		10/01/17		17,837		19,252
3128GVVY3	FHLMC GOLD		5.00		10/01/17		10,712		11,528
3128GVW22	FHLMC GOLD		5.00		09/01/17		3,487		3,764
3128GVW89	FHLMC GOLD		5.00		10/01/17		5,609		6,054
3128GVZV5	FHLMC GOLD		5.00		10/01/17		13,531		14,605
3128GW5Q7	FHLMC GOLD		5.00		11/01/17		10,015		10,810
3128GW6G8	FHLMC GOLD		5.00		11/01/17		4,812		5,194
3128GWAQ1	FHLMC GOLD		5.00		10/01/17		2,989		3,214
3128GWAT5	FHLMC GOLD		5.00		10/01/17		17,984		19,355
3128GWAU2	FHLMC GOLD		5.00		10/01/17		22,782		24,590
3128GWB49	FHLMC GOLD		5.00		10/01/17		2,251		2,430
3128GWB80	FHLMC GOLD		5.00		10/01/17		11,422		12,328
3128GWBH0	FHLMC GOLD		5.00		10/01/17		16,946		18,291
3128GWC89	FHLMC GOLD		5.00		10/01/17		6,663		7,191
3128GWCL0	FHLMC GOLD		5.00		10/01/17		11,286		12,182
3128GWCW6	FHLMC GOLD		5.00		10/01/17		4,013		4,331
3128GWDP0	FHLMC GOLD		5.00		10/01/17		7,865		8,489
3128GWEG9	FHLMC GOLD		5.00		10/01/17		27,955		30,174
3128GWEK0	FHLMC GOLD		5.00		10/01/17		7,607		8,210
3128GWEP9	FHLMC GOLD		5.00		10/01/17		3,520		3,799
3128GWF86	FHLMC GOLD		5.00		10/01/17		8,983		9,695
3128GWFN3	FHLMC GOLD		5.00		10/01/17		8,789		9,486
3128GWHH4	FHLMC GOLD		5.00		10/01/17		7,472		8,065
3128GWJG4	FHLMC GOLD		5.00		11/01/17		21,231		22,850
3128GWK31	FHLMC GOLD		5.00		10/01/17		10,777		11,632
3128GWK56	FHLMC GOLD		5.00		11/01/17		10,165		10,971
3128GWMS4	FHLMC GOLD		5.00		11/01/17		5,308		5,730
3128GWP85	FHLMC GOLD		5.00		11/01/17		6,502		7,018
3128GWQ27	FHLMC GOLD		5.00		11/01/17		13,321		14,378
3128GWQ92	FHLMC GOLD		5.00		11/01/17		10,067		10,866
3128GWQN1	FHLMC GOLD		5.00		11/01/17		9,945		10,734
3128GWQY7	FHLMC GOLD		5.00		11/01/17		4,888		5,276
3128GWR42	FHLMC GOLD		5.00		11/01/17		13,395		14,458

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
3128GWRF7	FHLMC GOLD		5.00		11/01/17		7,429		7,995
3128GWV21	FHLMC GOLD		5.00		11/01/17		13,254		14,306
3128GWVL9	FHLMC GOLD		5.00		11/01/17		2,720		2,936
3128GWWM6	FHLMC GOLD		5.00		11/01/17		2,164		2,329
3128GWXD5	FHLMC GOLD		5.00		11/01/17		7,230		7,804
3128GWXW3	FHLMC GOLD		5.00		11/01/17		12,335		13,275
3128GWYS1	FHLMC GOLD		5.00		11/01/17		1,975		2,132
3128GWZQ4	FHLMC GOLD		5.00		11/01/17		8,387		9,053
3128GX3H7	FHLMC GOLD		5.00		12/01/17		12,288		13,225
3128GX5V4	FHLMC		5.00		12/01/17		15,627		16,818
3128GXAX4	FHLMC GOLD		5.00		11/01/17		23,511		25,377
3128GXBC9	FHLMC GOLD		5.00		11/01/17		3,818		4,121
3128GXEA0	FHLMC GOLD		5.00		12/01/17		9,837		10,587
3128GXEK8	FHLMC GOLD		5.00		12/01/17		4,703		5,062
3128GXFT8	FHLMC GOLD		5.00		12/01/17		11,652		12,577
3128GXHA7	FHLMC GOLD		5.00		12/01/17		17,161		18,523
3128GXHQ2	FHLMC GOLD		5.00		12/01/17		19,357		20,893
3128GXN36	FHLMC GOLD		5.00		12/01/17		15,328		16,545
3128GY2H6	FHLMC GOLD		5.00		02/01/18		12,114		13,075
3128GYF66	FHLMC GOLD		5.00		01/01/18		3,248		3,506
3128GYG73	FHLMC GOLD		5.00		01/01/18		15,196		16,401
3128GYKK9	FHLMC GOLD		5.00		01/01/18		2,272		2,453
3128GYLX0	FHLMC GOLD		5.00		01/01/18		1,344		1,451
3128GYNT7	FHLMC GOLD		5.00		02/01/18		1,959		2,115
3128GYQC1	FHLMC GOLD		5.00		02/01/18		13,769		14,862
3128GYS88	FHLMC GOLD		5.00		02/01/18		1,752		1,891
3128GYTW4	FHLMC GOLD		5.00		02/01/18		1,745		1,884
3128GYU44	FHLMC GOLD		5.00		02/01/18		10,705		11,555
3128GYU51	FHLMC GOLD		5.00		02/01/18		10,504		11,338
3128GYV35	FHLMC GOLD		5.00		02/01/18		15,880		17,141
3128GYVB7	FHLMC GOLD		5.50		02/01/18		45,585		49,380
3128GYVZ4	FHLMC GOLD		5.00		02/01/18		13,265		14,259
3128GYZE7	FHLMC GOLD		5.00		02/01/18		7,653		8,238
3128H22V4	FHLMC GOLD		5.00		04/01/18		6,511		7,009
3128H25K5	FHLMC GOLD		5.00		04/01/18		2,126		2,295
3128H26F5	FHLMC GOLD		5.00		03/01/18		227		245
3128H26M0	FHLMC GOLD		5.50		03/01/18		773,305		837,681
3128H26W8	FHLMC GOLD		5.50		02/01/18		358,188		388,006
3128H27K3	FHLMC GOLD		5.00		04/01/18		3,555		3,838
3128H2B69	FHLMC GOLD		5.00		02/01/18		17,457		18,843
3128H2B77	FHLMC GOLD		5.00		02/01/18		16,276		17,567
3128H2B85	FHLMC GOLD		5.00		02/01/18		13,522		14,595
3128H2C84	FHLMC GOLD		5.00		02/01/18		3,756		4,055
3128H2E41	FHLMC GOLD		5.00		03/01/18		20,012		21,600
3128H2ED1	FHLMC GOLD		5.00		02/01/18		32,407		34,885
3128H2EG4	FHLMC GOLD		5.00		02/01/18		19,617		21,174
3128H2LV3	FHLMC GOLD		5.00		02/01/18		15,443		16,668
3128H2LY7	FHLMC GOLD		5.00		03/01/18		8,210		8,838
3128H2QV8	FHLMC GOLD		5.00		03/01/18		19,851		21,426
3128H2T86	FHLMC GOLD		5.00		03/01/18		2,437		2,624
3128H2TF0	FHLMC GOLD		5.00		03/01/18		19,306		20,838

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
3128H2TJ2	FHLMC GOLD		5.00		03/01/18		5,223		5,637
3128H2TW3	FHLMC GOLD		5.00		03/01/18		16,431		17,735
3128H2VW0	FHLMC GOLD		5.00		03/01/18		23,700		25,580
3128H2YM9	FHLMC GOLD		5.00		03/01/18		5,146		5,554
3128H2YN7	FHLMC GOLD		5.00		03/01/18		6,634		7,160
3128H2YS6	FHLMC GOLD		5.00		03/01/18		7,470		8,063
3128H2ZJ5	FHLMC GOLD		5.00		03/01/18		5,618		6,064
3128H2ZT3	FHLMC GOLD		5.00		04/01/18		7,385		7,971
3128H2ZU0	FHLMC GOLD		5.00		04/01/18		13,370		14,432
3128H32W0	FHLMC GOLD		5.00		04/01/18		9,513		10,268
3128H3C25	FHLMC GOLD		5.00		04/01/18		2,324		2,508
3128H3CD1	FHLMC GOLD		5.00		04/01/18		3,747		4,044
3128H3FG1	FHLMC GOLD		5.00		04/01/18		11,917		12,863
3128H3KN0	FHLMC GOLD		5.00		04/01/18		179		193
3128H3MN8	FHLMC GOLD		5.00		04/01/18		21,244		22,930
3128H3N72	FHLMC GOLD		5.00		04/01/18		4,994		5,390
3128H3RY9	FHLMC GOLD		5.00		05/01/18		20,792		22,442
3128H3S36	FHLMC GOLD		5.00		04/01/18		8,072		8,713
3128H3SZ5	FHLMC GOLD		5.00		05/01/18		11,357		12,258
3128H3V65	FHLMC GOLD		5.00		05/01/18		4,573		4,935
3128H3WF4	FHLMC GOLD		5.00		04/01/18		9,198		9,928
3128H3XU0	FHLMC GOLD		5.00		05/01/18		8,679		9,368
3128H45V7	FHLMC GOLD		5.00		06/01/18		12,280		13,254
3128H4J59	FHLMC GOLD		5.00		06/01/18		9,251		9,985
3128H4JG5	FHLMC GOLD		5.00		05/01/18		9,869		10,652
3128H4JT7	FHLMC GOLD		5.00		06/01/18		21,880		23,617
3128H5JX5	FHLMC GOLD		5.00		07/01/18		16,250		17,540
3128H5RP3	FHLMC GOLD		5.00		07/01/18		9,284		10,020
3128H5TK2	FHLMC GOLD		5.00		07/01/18		23,328		25,179
3128H6BG8	FHLMC GOLD		5.00		07/01/18		19,998		21,585
3128H6CZ5	FHLMC GOLD		5.00		07/01/18		20,049		21,640
3128H6FR0	FHLMC GOLD		5.00		08/01/18		13,417		14,482
3128H6FU3	FHLMC GOLD		5.00		08/01/18		11,034		11,910
3128H6WU4	FHLMC GOLD		5.50		08/01/18		216,256		234,378
3128H6XM1	FHLMC GOLD		5.00		08/01/18		3,923		4,234
3128H6ZC1	FHLMC GOLD		5.50		07/01/18		69,158		74,953
3128H77K2	FHLMC GOLD		5.50		10/01/18		170,771		185,082
3128JLDM8	FHLMC		2.53		09/01/33		216,207		230,395
3128JLEY1	FHLMC		2.53		09/01/33		390,651		419,664
3128JLHB8	FHLMC		2.50		09/01/33		63,091		67,137
3128JMW45	FHLMC		2.65		11/01/34		90,552		97,093
3128JMY68	FHLMC		2.75		11/01/34		113,448		122,415
3128JMZG5	FHLMC		2.66		11/01/34		158,573		169,991
3128JNAL9	FHLMC		2.86		02/01/35		164,862		175,303
3128JRP26	FHLMC		2.58		12/01/33		1,764,610		1,877,640
3128K17K1	FHLMC GOLD		5.00		01/01/36		4,252,907		4,587,356
3128KA4Z1	FHLMC GOLD		6.00		06/01/36		79,834		88,270
3128KE5H2	FHLMC GOLD		6.50		09/01/36		149,749		167,393
3128KVAR6	FHLMC GOLD		6.50		08/01/37		133,802		150,127
3128KWBZ5	FHLMC GOLD		6.00		09/01/37		11,955		13,341
3128KWFX6	FHLMC GOLD		6.00		09/01/37		29,086		32,458

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
3128KWFY4	FHLMC GOLD		6.00		09/01/37		42,037		46,911
3128KWT29	FHLMC GOLD		6.00		09/01/37		26,721		29,819
3128KWTK9	FHLMC GOLD		6.00		09/01/37		40,654		45,367
3128KWTP8	FHLMC GOLD		6.00		09/01/37		36,862		41,136
3128KWTZ6	FHLMC GOLD		6.00		09/01/37		26,747		29,848
3128KYXE4	FHLMC GOLD		6.00		04/01/37		17,398		19,415
3128M4XA6	FHLMC GOLD		5.50		07/01/37		2,886,521		3,155,278
3128M4ZG1	FHLMC GOLD		6.00		07/01/37		3,202		3,573
3128M6UB2	FHLMC GOLD		6.00		07/01/38		79,295		88,488
3128M7AZ9	FHLMC GOLD		6.00		12/01/38		219,382		244,817
3128M7FG6	FHLMC GOLD		5.50		12/01/38		2,095,012		2,275,689
3128M7PN0	FHLMC GOLD		5.00		07/01/39		1,007,191		1,110,928
3128M83K8	FHLMC GOLD		4.50		10/01/41		29,774,823		31,553,118
3128M8VG6	FHLMC GOLD		4.00		06/01/41		10,261,965		10,864,635
3128MCUW3	FHLMC GOLD		4.00		12/01/25		7,941,460		8,388,947
3128MJP95	FHLMC GOLD		4.50		05/01/41		2,476,629		2,633,963
3128MJQD5	FHLMC GOLD		4.50		06/01/41		1,704,831		1,813,134
3128MMAC7	FHLMC GOLD		5.00		07/01/19		538,646		581,913
3128MMLD3	FHLMC GOLD		4.50		09/01/24		1,963,712		2,095,409
3128MMM67	FHLMC GOLD		3.50		03/01/26		787,194		823,704
3128MMNX7	FHLMC GOLD		3.50		10/01/26		10,721,423		11,232,262
3128NCBH6	FHLMC		2.36		01/01/35		249,209		259,962
3128PR7G8	FHLMC GOLD		4.00		08/01/25		1,672,182		1,766,407
3128PRVD8	FHLMC GOLD		4.00		06/01/25		1,571,497		1,660,048
3128PRWU9	FHLMC GOLD		4.00		07/01/25		3,588,974		3,791,207
3128PRZ85	FHLMC GOLD		4.00		07/01/25		1,083,969		1,145,049
3128PSBA4	FHLMC GOLD		4.00		08/01/25		2,791,680		2,948,987
3128PUGE6	FHLMC GOLD		3.50		02/01/26		937,292		980,764
3128PUQT2	FHLMC GOLD		3.50		04/01/26		952,338		997,713
3128PURZ7	FHLMC GOLD		3.50		04/01/26		952,572		996,753
3128PUVC3	FHLMC GOLD		3.50		04/01/26		899,495		942,353
3128PUVP4	FHLMC GOLD		3.50		04/01/26		875,475		916,080
3128PUW73	FHLMC GOLD		3.50		05/01/26		946,944		990,863
3128PUXF4	FHLMC GOLD		3.50		04/01/26		848,633		887,992
3128PVBD1	FHLMC GOLD		4.00		05/01/26		5,454,157		5,764,708
3128PVCG3	FHLMC GOLD		4.00		05/01/26		5,164,304		5,458,352
3128PWV21	FHLMC GOLD		3.00		10/01/26		17,104,705		17,701,895
3128PWWS3	FHLMC GOLD		3.00		10/01/26		10,695,231		11,082,505
312929CM2	FHLMC GOLD		6.00		01/01/39		8,552		9,544
31292K7B7	FHLMC GOLD		5.00		10/01/40		8,268,025		8,906,565
31292KJH1	FHLMC GOLD		6.00		07/01/37		1,625		1,813
312930LH1	FHLMC GOLD		6.00		01/01/39		24,135		26,934
312930LQ1	FHLMC GOLD		6.00		01/01/39		36,954		41,239
312930RC6	FHLMC GOLD		6.00		01/01/39		21,205		23,663
312930RV4	FHLMC GOLD		6.00		01/01/39		10,313		11,509
312930TB6	FHLMC GOLD		6.00		01/01/39		10,945		12,214
312931D62	FHLMC GOLD		4.00		02/01/39		2,202,608		2,303,146
312931TJ7	FHLMC GOLD		5.00		03/01/39		2,871,559		3,092,899
312932CX2	FHLMC GOLD		4.50		04/01/39		2,914,263		3,127,879
312932ZE9	FHLMC GOLD		5.00		05/01/39		81,561		90,369
3129334R2	FHLMC GOLD		4.00		07/01/39		24,381		25,494

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
312933F41	FHLMC GOLD		4.50		06/01/39		3,998,035		4,241,755
3129345K4	FHLMC GOLD		5.00		08/01/39		164,943		181,932
312934CX8	FHLMC GOLD		4.00		07/01/39		1,776,398		1,857,482
312934ML3	FHLMC GOLD		4.00		07/01/39		62,359		65,205
312934PJ5	FHLMC GOLD		5.00		08/01/39		85,465		94,695
312934R38	FHLMC GOLD		5.00		08/01/39		68,758		76,184
312934SQ6	FHLMC GOLD		4.00		08/01/39		123,397		129,030
312935AT6	FHLMC GOLD		5.00		08/01/39		152,263		167,946
312935KY4	FHLMC GOLD		4.50		09/01/39		250,338		265,599
312935LV9	FHLMC GOLD		4.50		09/01/39		166,624		176,781
312935MV8	FHLMC GOLD		4.50		09/01/39		1,671,019		1,772,885
312936LH8	FHLMC GOLD		5.00		10/01/39		312,827		336,939
312936LM7	FHLMC GOLD		5.00		10/01/39		534,237		589,262
3129385D1	FHLMC GOLD		5.00		01/01/40		86,888		95,023
312941TK3	FHLMC GOLD		4.00		08/01/40		2,243,849		2,374,224
312942ER2	FHLMC GOLD		5.00		09/01/40		2,768,187		3,016,969
312942F83	FHLMC GOLD		4.00		09/01/40		2,922,888		3,092,718
312943EE9	FHLMC GOLD		5.00		10/01/40		6,997,471		7,537,886
312943HT3	FHLMC GOLD		4.00		11/01/40		13,221,898		13,936,422
312943LY7	FHLMC GOLD		4.00		11/01/40		821,192		868,906
312944BJ9	FHLMC GOLD		4.00		12/01/40		3,921,735		4,144,699
312944BN0	FHLMC GOLD		4.00		12/01/40		2,003,369		2,108,503
312945DN5	FHLMC GOLD		3.50		01/01/41		5,981,328		6,134,690
31294KDZ5	FHLMC GOLD		5.00		09/01/16		1,183		1,274
31294KFJ9	FHLMC GOLD		5.00		11/01/16		1,663		1,791
31294KHD0	FHLMC GOLD		5.00		02/01/17		4,411		4,747
31294KHL2	FHLMC GOLD		5.00		03/01/17		8,150		8,797
31294KJT3	FHLMC GOLD		5.00		05/01/17		2,762		2,969
31294KKU8	FHLMC GOLD		5.00		09/01/17		4,463		4,803
31294MAK7	FHLMC GOLD		4.00		08/01/25		3,276,878		3,461,524
31294MJP7	FHLMC GOLD		3.50		10/01/26		15,788,268		16,540,524
312962CQ4	FHLMC GOLD		5.00		08/01/18		6,513		7,030
312962CT8	FHLMC GOLD		5.00		08/01/18		1,193		1,282
312962KD4	FHLMC GOLD		5.50		10/01/18		91,920		99,622
312962KT9	FHLMC GOLD		5.00		10/01/18		13,073		14,111
312962MD2	FHLMC GOLD		5.00		11/01/18		24,082		25,994
312962Q63	FHLMC GOLD		5.50		10/01/18		14,279		15,475
312962UW1	FHLMC GOLD		5.50		11/01/18		1,088,486		1,179,699
312963VY4	FHLMC GOLD		5.50		12/01/18		218,340		236,636
312963WH0	FHLMC GOLD		5.50		12/01/18		17,329		18,781
312963ZG9	FHLMC GOLD		5.50		11/01/18		46,551		50,452
3129642B4	FHLMC GOLD		5.50		03/01/19		50,970		55,494
312964KG3	FHLMC GOLD		5.00		02/01/19		4,255		4,593
312964WX3	FHLMC GOLD		5.50		10/01/18		360,754		390,984
312965QA7	FHLMC GOLD		5.50		11/01/18		195,501		211,883
312966WU4	FHLMC GOLD		5.50		05/01/19		1,289,801		1,404,301
312968QL7	FHLMC GOLD		5.50		12/01/18		1,381,979		1,497,024
3132GDC67	FHLMC GOLD		4.00		04/01/41		562,865		589,596
3132GDS86	FHLMC GOLD		4.50		05/01/41		7,729,706		8,220,755
31342A6F1	FHLMC		2.37		09/01/33		372,266		391,677
31349UCW6	FHLMC		2.23		10/01/34		165,237		174,316

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
31349UEJ3	FHLMC		2.38		11/01/34		319,192		338,811
31349ULB2	FHLMC		2.37		02/01/35		322,968		342,749
31349UMF2	FHLMC		2.41		03/01/35		523,482		555,912
31371LHQ5	FNMA		4.00		12/01/13		78,075		80,356
31371LNH8	FNMA		4.00		04/01/14		19,468		19,892
31371LZJ1	FNMA		4.00		01/01/15		225,943		233,716
31371M5M5	FNMA		5.50		01/01/37		289,576		315,241
31371MG92	FNMA		4.00		09/01/15		66,511		69,469
31371NCJ2	FNMA		5.50		04/01/37		9,032		9,832
31371NP25	FNMA		5.50		01/01/38		1,620,449		1,764,006
31379T6G4	FNMA		5.00		02/01/14		9,508		10,285
3137A83K2	FHR_3820D DA		4.00		11/15/35		21,649,879		22,885,654
3137AEV77	FHLMC		2.70		05/25/18		8,300,000		8,560,537
3137ALMC0	FHLMC		3.50		02/15/42		23,699,908		24,434,389
31381QFF8	FNMA		3.75		03/01/18		8,500,000		9,207,030
31382NR20	FNMA		5.50		04/01/29		391		427
31385RB58	FNMA		8.50		04/01/30		994,738		1,143,949
31385XK48	FNMA		2.42		07/01/33		221,167		234,653
31388XVV3	FNMA		2.47		08/01/33		5,964,214		6,160,231
31389EVA0	FNMA		6.50		12/01/16		1,306,230		1,439,583
31389EVB8	FNMA		6.50		12/01/16		1,397,787		1,540,487
3138A1BA8	FNMA		4.00		01/01/41		3,461,436		3,633,398
3138A1HR5	FNMA		4.00		12/01/40		1,607,885		1,695,459
3138A2CK3	FNMA		4.00		12/01/25		3,729,146		3,952,052
3138A2FJ3	FNMA		4.00		12/01/25		220,706		233,898
3138A2HF9	FNMA		4.00		01/01/41		906,769		956,723
3138A2PD5	FNMA		3.50		01/01/26		7,751,502		8,134,330
3138A2ZZ5	FNMA		4.00		07/01/41		958,981		1,006,623
3138A3DJ3	FNMA		4.00		03/01/26		229,735		243,777
3138A3VB0	FNMA		4.00		01/01/41		4,081,272		4,323,969
3138A5RN4	FNMA		4.00		02/01/26		86,078		91,339
3138A6E97	FNMA		4.00		02/01/41		861,138		903,919
3138A6LJ7	FNMA		4.00		02/01/26		17,836,457		18,926,715
3138A6RH5	FNMA		4.00		01/01/41		31,041		32,584
3138A7G69	FNMA		4.00		02/01/26		101,567		107,775
3138A7HY7	FNMA		3.50		02/01/41		1,826,868		1,877,653
3138A7QK7	FNMA		3.50		02/01/41		1,331,089		1,368,341
3138A8A48	FNMA		4.00		02/01/41		899,363		944,043
3138A8MD5	FNMA		4.00		02/01/41		5,093,674		5,346,726
3138A9CZ5	FNMA		4.00		03/01/41		4,206,286		4,435,385
3138AA4M0	FNMA		4.50		03/01/41		4,942,478		5,363,524
3138AAKX8	FNMA		4.00		04/01/41		212,959		223,538
3138AAYW5	FNMA		4.00		03/01/41		564,834		592,895
3138AB2D0	FNMA		4.00		02/01/41		152,604		160,185
3138ADER2	FNMA		4.00		04/01/41		378,175		396,962
3138AEZG1	FNMA		4.00		07/01/41		924,694		970,632
3138AFH86	FNMA		4.00		05/01/41		572,284		600,715
3138AFKH2	FNMA		4.00		05/01/26		92,257		97,896
3138AFXZ8	FNMA		4.00		05/01/26		247,927		263,082
3138AG6Q6	FNMA		4.00		06/01/26		340,521		361,335
3138AGQB7	FNMA		4.00		04/01/26		303,810		322,381

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
3138AGQQ4	FNMA		4.00		05/01/26		99,937		106,046
3138AKEL9	FNMA		4.00		05/01/26		152,982		162,333
3138ANPU1	FNMA		4.00		08/01/41		8,972,939		9,418,711
3138ANZG1	FNMA		4.50		08/01/41		218,946		233,478
3138AS4N9	FNMA		4.50		09/01/41		2,805,178		2,991,370
3138AUP84	FNMA		4.50		10/01/41		55,470		59,152
3138AUW37	FNMA		4.00		10/01/41		468,659		491,942
3138AXAC5	FNMA		4.00		11/01/41		1,666,396		1,749,182
3138E06H7	FNMA		4.00		12/01/41		1,783,353		1,871,949
3138E1ND5	FNMA		4.00		12/01/41		1,691,178		1,775,195
3138EGF58	FNMA		5.00		05/01/41		5,189,827		5,613,327
3138EGH72	FNMA		4.00		03/01/26		1,368,924		1,450,750
3138EGHV9	FNMA		4.00		01/01/26		196,736		208,495
3138EGHW7	FNMA		5.00		04/01/41		878,427		954,365
3138EGKX1	FNMA		6.00		01/01/40		8,856,588		9,756,274
3138EGQJ6	FNMA		5.00		06/01/41		759,757		821,755
3138EHBB7	FNMA		5.00		10/01/41		35,135,041		38,243,884
3138EHBC5	FNMA		5.00		02/01/41		6,108,237		6,636,278
3138NJAE8	FNMA		3.63		12/01/20		2,266,141		2,425,632
3138NJAK4	FNMA		3.42		10/01/20		3,052,913		3,237,034
31391YV87	FNMA		6.00		01/01/33		2,535		2,825
31393DL74	FNMA CMO		4.00		04/25/30		197,109		199,114
31393EFX2	FNMA CMO		4.25		05/25/22		227,635		230,378
31393KLM5	FHLMC		4.00		07/15/17		79,780		80,365
31393VPH8	FHLMC_2627		4.50		07/15/17		64,283		64,275
31400JM55	FNMA		5.50		05/01/33		1,738		1,912
31400QJ87	FNMA		2.73		03/01/33		22,664		24,260
31402GP98	FNMA		5.00		07/01/33		6,245		6,890
31402QXK2	FNMA		8.50		02/01/31		617,728		704,210
31402YSV7	FNMA		3.00		09/01/33		25,895		27,524
31403DC56	FNMA		4.50		12/01/20		2,149,502		2,306,092
31403DC72	FNMA		4.50		11/01/20		1,680,923		1,806,437
31403DJG5	FNMA		5.50		08/01/34		20,826		22,754
31403KDB6	FNMA		2.32		12/01/33		10,875		11,235
31404NBP0	FNMA		2.60		02/01/35		122,484		131,356
31404SFP5	FNMA		5.50		04/01/34		5,892		6,485
31405QNR5	FNMA		5.50		10/01/34		1,091		1,200
31405UMM8	FNMA		2.33		10/01/34		118,803		125,886
31405UTZ2	FNMA		2.27		11/01/34		29,384		30,660
31406BB90	FNMA		2.49		01/01/35		186,897		198,397
31406BEZ9	FNMA		2.45		12/01/34		155,343		163,225
31406BJF8	FNMA		2.57		01/01/35		188,157		199,612
31406BQQ6	FNMA		2.67		01/01/35		240,383		257,468
31406DG67	FNMA		2.53		11/01/34		839,664		895,742
31406MYP5	FNMA		2.49		03/01/35		378,218		401,898
31406TLC3	FNMA		2.93		04/01/35		374,074		400,720
31406TWR8	FNMA		2.07		01/01/35		874,302		908,510
31406VHE9	FNMA		2.60		05/01/35		193,046		206,186
31407CE29	FNMA		5.50		07/01/35		950		1,045
31407FG53	FNMA		5.50		08/01/35		2,266		2,494
31407FUW8	FNMA		2.35		08/01/35		3,158,300		3,273,271

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
31408AG53	FNMA		6.00		02/01/36		42,841		47,532
31408GFA0	FNMA		6.00		12/01/35		429,345		475,569
31409A5P0	FNMA		6.00		03/01/36		135,520		150,357
31409AYE3	FNMA		6.00		03/01/36		360,453		398,178
31409CRY3	FNMA		6.00		02/01/36		271,087		300,766
31409GML7	FNMA		6.50		07/01/36		1,328,549		1,486,516
31409UB38	FNMA		6.00		03/01/36		48,902		53,867
31409VYW7	FNMA		6.00		04/01/36		69,135		76,704
31410CJV5	FNMA		6.00		05/01/36		18,127		20,024
31410FUS2	FNMA		5.50		12/01/36		101,543		110,542
31410FVW2	FNMA		5.50		02/01/37		6,822		7,427
31410GD83	FNMA		2.46		04/01/34		71,204		76,115
31410GDF7	FNMA		2.07		06/01/33		275,991		292,271
31410GDL4	FNMA		2.32		02/01/35		1,228,030		1,305,842
31410GDN0	FNMA		2.42		06/01/33		194,061		205,805
31410GDP5	FNMA		3.76		06/01/35		3,182,473		3,338,789
31410GDY6	FNMA		2.48		01/01/35		65,988		70,110
31410KEM2	FNMA		5.50		04/01/38		6,294,087		6,851,684
31410KGQ1	FNMA		6.00		05/01/38		6,821,384		7,512,767
31410KLD4	FNMA		5.50		05/01/38		1,406,852		1,531,246
31410KMQ4	FNMA		5.50		06/01/38		763,579		831,094
31410KNA8	FNMA		5.50		07/01/38		333,684		363,189
31410KS47	FNMA		5.50		12/01/35		10,141		11,080
31410KX74	FNMA		5.50		09/01/36		5,732,539		6,265,190
31410LBU5	FNMA		4.00		09/01/25		2,642,170		2,798,627
31410MMX5	FNMA		6.00		04/01/36		378,810		420,283
31410QR86	FNMA		5.50		11/01/36		238,378		259,505
31411A5M3	FNMA		5.50		12/01/36		15,220,918		16,569,913
31411A7C3	FNMA		5.50		12/01/36		3,774,121		4,108,613
31411E2F3	FNMA		5.50		01/01/37		32,202		35,056
31411EFN2	FNMA		5.50		12/01/36		518,450		564,399
31411KLN1	FNMA		5.50		03/01/37		379,209		412,803
31411NUT2	FNMA		5.50		02/01/37		565,341		615,425
31411URL7	FNMA		5.50		04/01/37		608,924		662,869
31411VMN6	FNMA		5.50		03/01/37		19,018,427		20,703,283
31412ACH5	FNMA		5.50		04/01/37		249,554		271,662
31412DXY9	FNMA		5.50		01/01/37		64,621		70,348
31412ESY3	FNMA		6.00		01/01/37		40,676		45,129
31412MYZ5	FNMA		5.50		06/01/38		686,519		747,221
31412N6G6	FNMA		4.50		03/01/39		75,003		81,555
31412NXE1	FNMA		5.00		01/01/39		2,001,961		2,167,603
31412NZ33	FNMA		5.00		02/01/39		69,812		77,415
31412PBJ9	FNMA		4.50		03/01/24		26,668,539		28,571,387
31412PP88	FNMA		5.00		05/01/39		221,491		244,366
31412PRN3	FNMA		4.00		05/01/24		5,817,533		6,162,021
31412PXF3	FNMA		4.50		06/01/39		113,976		121,262
31412Q2V0	FNMA		4.50		01/01/40		3,500,433		3,724,216
31412QE70	FNMA		5.00		08/01/39		4,418,891		4,900,110
31412QKA6	FNMA		4.00		09/01/24		63,387		67,141
31412RG76	FNMA		4.00		04/01/25		7,086,531		7,589,857
31412RGG6	FNMA		5.00		04/01/40		372,954		403,055

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
31412RH42	FNMA		5.00		04/01/40		10,147,388		10,966,384
31412TKJ1	FNMA		6.00		11/01/38		5,792,047		6,386,349
31412TM26	FNMA		5.50		06/01/38		4,511,914		4,922,142
31412UEQ9	FNMA		4.50		09/01/39		446,138		486,096
31412URR3	FNMA		4.00		07/01/24		6,596,563		6,987,181
31412V4G0	FNMA		5.50		07/01/37		340,325		370,474
31413BTW1	FNMA		5.50		06/01/37		5,206,925		5,668,210
31413CLH0	FNMA		6.00		07/01/37		4,238,244		4,673,893
31413ES55	FNMA		5.50		08/01/37		12,862		14,002
31413NY66	FNMA		6.00		11/01/37		3,478,920		3,836,518
31413R2P0	FNMA		6.00		12/01/37		4,592,558		5,095,358
31413TK68	FNMA		5.50		12/01/37		321,857		350,370
31413TWV0	FNMA		5.50		01/01/38		530,557		577,559
31413UUD9	FNMA		5.50		01/01/38		130,050		141,572
31414ANH1	FNMA		5.50		12/01/37		784,799		854,325
31414GWU9	FNMA		5.50		02/01/38		563,129		612,921
31414HZ67	FNMA		5.50		12/01/37		303,848		330,766
31414NCH5	FNMA		6.00		12/01/38		2,003,563		2,222,916
31414NH31	FNMA		5.00		02/01/39		2,017,007		2,236,660
31414NH49	FNMA		5.00		02/01/39		2,379,104		2,624,807
31415QTY2	FNMA		6.00		07/01/38		2,095,856		2,310,905
31415SRP9	FNMA		5.50		11/01/38		441,429		480,460
31415WA60	FNMA		4.50		01/01/39		70,825		77,168
31415YLZ0	FNMA		4.00		07/01/24		1,521,359		1,611,447
31416AQ29	FNMA		4.00		07/01/24		271,520		287,598
31416JZM6	FNMA		5.00		02/01/39		2,861,488		3,093,326
31416M5A8	FNMA		5.00		03/01/39		3,207,195		3,487,304
31416MLA0	FNMA		4.50		03/01/39		38,272		41,616
31416MVP6	FNMA		4.50		04/01/39		75,852		82,479
31416N5T5	FNMA		4.50		04/01/39		188,998		205,509
31416NRD6	FNMA		4.50		03/01/39		26,826		29,170
31416QJZ9	FNMA		5.00		05/01/39		93,114		103,254
31416QMS1	FNMA		4.00		06/01/24		907,178		960,897
31416S6B2	FNMA		4.50		07/01/39		108,105		115,016
31416SD40	FNMA		4.50		07/01/39		104,058		110,710
31416SED9	FNMA		5.00		07/01/39		74,589		80,610
31416SLC3	FNMA		4.50		06/01/39		118,405		125,975
31416TAG4	FNMA		4.50		07/01/39		151,457		161,140
31416TAL3	FNMA		5.00		07/01/39		85,981		95,344
31416TE47	FNMA		4.50		08/01/39		105,152		114,338
31416TEE5	FNMA		4.50		08/01/39		151,496		161,181
31416TEF2	FNMA		4.50		08/01/39		102,346		111,287
31416TKG3	FNMA		5.00		06/01/39		92,141		99,606
31416WD66	FNMA		5.00		05/01/40		640,679		692,388
31416WE57	FNMA		5.00		05/01/40		10,421,362		11,262,470
31416WFG2	FNMA		4.00		05/01/25		23,535		24,941
31416XJ92	FNMA		4.00		01/01/41		527,918		553,718
31417J2B5	FNMA		5.00		09/01/39		53,163		57,453
31417JSB7	FNMA		4.50		07/01/39		36,411		38,738
31417KXH5	FNMA		4.50		08/01/39		3,102,020		3,379,850
31417LLX1	FNMA		5.00		07/01/39		133,774		148,342

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
31417M2V4	FNMA		4.50		08/01/39		76,517		83,371
31417M2W2	FNMA		4.50		08/01/39		17,880		19,442
31417MFB4	FNMA		4.50		08/01/39		203,540		216,552
31417MPN7	FNMA		5.00		09/01/39		93,651		101,210
31417MQT3	FNMA		5.00		10/01/39		61,575		66,545
31417MTC7	FNMA		4.50		09/01/39		463,547		505,065
31417MVC4	FNMA		4.50		10/01/39		413,469		450,501
31417NCL3	FNMA		4.50		10/01/24		5,099,415		5,593,620
31417NDN8	FNMA		4.50		11/01/24		5,583,556		5,979,542
31417QS62	FNMA		4.00		10/01/24		19,298		20,440
31417QTZ7	FNMA		4.50		10/01/24		5,501,633		5,891,808
31417SYT1	FNMA		4.50		11/01/39		82,953		90,200
31417UXN0	FNMA		4.00		02/01/25		113,826		120,630
31417VJS3	FNMA		4.50		12/01/39		28,414		30,230
31417VQT3	FNMA		4.50		01/01/40		1,671,141		1,820,815
31417VYY3	FNMA		4.00		02/01/25		262,386		278,070
31417Y3H8	FNMA		4.00		07/01/26		1,345,450		1,427,691
31417Y6Q5	FNMA		4.00		10/01/31		4,600,324		4,890,333
31417YX51	FNMA		4.00		04/01/41		473,976		497,523
31418MC91	FNMA		6.00		11/01/38		661,191		728,358
31418MT93	FNMA		4.50		01/01/40		1,580,992		1,680,483
31418MUL4	FNMA		4.50		12/01/39		742,925		790,420
31418PCP8	FNMA		5.00		09/01/40		194,207		210,996
31418RHE4	FNMA		4.00		04/01/25		416,260		441,141
31418SJB6	FNMA		4.00		04/01/25		31,200		33,065
31418UCZ5	FNMA		4.00		05/01/25		209,846		222,390
31418UVY7	FNMA		4.00		06/01/25		329,577		349,278
31418W6Y1	FNMA		5.00		09/01/40		529,486		572,221
31418W7J3	FNMA		5.00		09/01/40		339,927		367,363
31418XF52	FNMA		4.50		09/01/40		11,043,863		11,758,828
31419ANK9	FNMA		5.50		10/01/39		1,805,505		1,965,147
31419BBT1	FNMA		4.00		02/01/41		6,296,413		6,604,129
31419DJY8	FNMA		4.00		08/01/25		5,802,979		6,149,846
31419DTQ4	FNMA		5.00		09/01/40		694,902		754,975
31419E6N4	FNMA		4.00		03/01/41		1,882,116		1,975,619
31419ENB1	FNMA		5.00		09/01/40		1,491,376		1,629,552
31419EU80	FNMA		5.00		09/01/40		269,778		291,552
31419FCP9	FNMA		4.00		06/01/26		2,437,514		2,586,508
31419FSH0	FNMA		4.00		12/01/25		100,773		106,796
31419FVS2	FNMA		3.50		10/01/40		7,451,117		7,658,249
31419GBX1	FNMA		3.50		10/01/40		322,662		331,631
31419GXN9	FNMA		4.00		10/01/40		9,404,147		9,863,743
31419HC67	FNMA		4.00		02/01/41		2,370,076		2,487,820
31419HKM3	FNMA		3.50		10/01/40		1,637,592		1,683,115
31419HKN1	FNMA		4.00		10/01/40		442,057		463,661
31419HVP4	FNMA		4.00		11/01/40		244,432		256,377
31419JET1	FNMA		3.50		11/01/25		9,873,612		10,361,246
31419JN79	FNMA		3.50		11/01/40		229,558		235,939
31419JZ43	FNMA		3.50		12/01/40		3,729,968		3,833,656
31419KVG7	FNMA		3.50		11/01/40		1,444,396		1,484,548
31419LYE7	FNMA		4.50		11/01/40		179,155		190,753

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
31421AAU7	FNMA		5.50		12/01/38		4,644		5,065
36176ABB4	GNMA		3.50		03/15/42		312,292		326,031
36176FUE6	GNMA		3.50		02/15/42		120,001		125,280
36176QPR9	GNMA		3.50		03/15/42		841,393		878,410
36176R7D8	GNMA		3.50		03/15/42		1,000,000		1,043,995
36176V5Q2	GNMA		3.50		03/15/42		38,607		40,306
36176WGG0	GNMA		3.50		12/15/41		1,834,502		1,915,211
36176XCT4	GNMA		3.50		02/15/42		1,481,103		1,546,263
36177NXQ8	GNMA		3.50		03/15/42		622,512		649,899
36177R5R8	GNMA		3.50		03/15/42		1,780,908		1,859,258
36177RXF3	GNMA		3.50		01/15/42		3,385,502		3,534,447
36177S3E7	GNMA		3.50		02/15/42		2,258,105		2,357,450
36206XC43	GNMA		7.00		05/15/31		935		1,104
3620A9SW2	GNMA		4.50		09/15/39		445,423		485,983
3620C1WV4	GNMA		3.50		01/15/42		3,522,985		3,677,978
36212PPP1	GNMA		7.00		04/15/31		11,020		13,013
36212U5G2	GNMA		7.00		05/15/31		12,228		14,440
36213HGU7	GNMA		7.00		03/15/31		1,649		1,948
36225DM43	GNMA		1.75		03/20/35		10,224,800		10,586,061
36230PCY4	GNMA		3.50		01/15/42		387,708		404,765
36230RVV5	GNMA		3.50		11/15/40		30,900,001		32,275,167
36241KV39	GNMA		4.50		08/15/38		7,103,236		7,756,733
36241KV47	GNMA		4.50		09/15/38		5,803,049		6,314,273
36241KWA2	GNMA		4.50		10/15/38		3,141,214		3,417,942
36241LY91	GNMA		3.50		10/15/41		414,678		432,921
36295QK82	GNMA		5.00		08/15/38		2,308,897		2,549,129
36297FYL0	GNMA		4.50		10/15/39		90,056		98,256
38373QGX3	GNMA		4.00		04/20/33		330,361		355,376
38376NTU9	GNMA		3.50		02/20/42		9,231,687		9,468,235
38376TBF8	GNMA		4.50		01/16/40		316,577		345,291
38376VDX2	GNMA		3.00		12/20/38		3,973,669		4,130,828
62888VAB4	NCUA GUARANTEED NOTES		1.84		10/07/20		1,266,129		1,280,866

							1,090,754,829		1,159,639,606


Non Agency RMBS
04271AAB7	ARRMF		0.53		09/16/56		404,003		402,831
05948X6X4	BANK OF AMERICA MTG SEC		4.75		06/25/19		3,005,933		3,091,572
07384MWF5	BSARM		2.82		08/25/33		120,401		111,613
126380AB0	CSMC		5.50		11/25/36		2,030,611		1,690,484
126384AJ5	CSMC		5.00		03/25/37		342,850		334,604
12638PBU2	CSMC		5.00		04/25/37		613,557		542,617
12669E5B8	CWHL		5.00		11/25/18		483,284		495,753
12669EYQ3	COUNTRYWIDE HOME LOANS TR		2.88		08/25/33		84,792		69,308
16162WLM9	CHASE		5.50		10/25/35		8,985,150		8,618,826
161630AC2	CHASE		2.79		02/25/37		10,902,494		10,939,454
161630AG3	CHASE		2.75		02/25/37		19,848,913		19,724,659
161630AN8	CHASE		2.83		02/25/37		2,826,772		2,778,943
161630AQ1	CHASE		2.76		02/25/37		2,522,985		2,347,637
1729733P2	CMSI		5.00		10/25/35		8,330,465		8,303,558
38741QAC0	GRAN		1.06		07/20/43		60,393		58,520
38741SAF9	GRAN		0.75		09/20/44		25,033		24,245

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
449670EQ7	IMC HOME EQUITY LOAN TRUST		6.84		08/20/29		121,662		119,221
46630GAA3	JPMMT		2.81		07/25/35		6,450,352		6,114,998
46630GAD7	JPMMT		2.76		07/25/35		2,244,580		2,090,064
46630GAN5	JPMMT_07-A1		2.78		07/25/35		1,607,998		1,545,270
46630GAS4	JPMMT		2.85		07/25/35		6,615,217		6,119,936
525170BL9	LABS		5.50		12/25/33		8,960,547		8,947,107
576433QQ2	MARM_04-8		1.96		09/25/34		1,215,815		951,837
589929W53	MLMI		2.65		07/25/33		169,732		168,378
76110H2P3	RES ASSET SEC		3.02		03/25/35		1,629,028		801,335
76110HHG7	RFMSI_03-Q16		5.00		08/25/18		5,476,874		5,568,502
82846GAH3	SILVERSTONE MASTER ISSUER		2.12		01/21/55		8,200,000		8,237,879
863579KY3	SARM		2.80		02/25/35		2,414,062		1,786,430
86359BGD7	STRUCTURED ASSET SEC CORP		2.71		02/25/34		124,079		107,071
86359BVE8	STRUCTURED ASSET SEC CORP		2.53		06/25/34		9,186,167		7,808,242
92922F4M7	WASHINGTON MUTUAL		0.53		10/25/45		1,132,617		884,234
92922F4P0	WAMU		1.02		10/25/45		5,577,465		4,800,245
92922FB49	WASHINGTON MUTUAL		0.61		11/25/34		357,112		294,020
92922FZF8	WAMU_04-A12		0.64		10/25/44		6,577,440		5,144,216
949781AA6	WFMBS		2.61		02/25/35		3,215,266		2,889,720
94982BAG5	WFMBS		2.72		06/25/35		4,414,572		4,266,640

							136,278,222		128,179,969

Non Agency RMBS - High Yield Mandate
02660BAA0	AHMA_07-1		0.87		02/25/47		8,581,278		4,056,113
02660UAE0	AHMA_06-3		1.11		10/25/46		10,254,379		5,319,357
05949QAH8	BANC OF AMERICA FUNDING CORPOR		6.25		03/25/36		1,250,000		1,160,338
05954DAG1	BAFC		5.40		07/20/47		5,603,543		3,852,996
07384MWF5	BSARM		2.82		08/25/33		24,080		22,323
073868AA9	BALTA_06-6		0.40		11/25/36		14,255,190		5,858,741
07387AAW5	BSARM		2.71		06/25/35		5,532,285		4,264,672
07401AAA5	BSMF		0.44		09/25/46		9,320,507		4,862,499
07401YAQ8	BEAR STEARNS MORTGAGE FUNDING		0.45		06/25/37		12,726,516		7,772,210
12543TAZ8	CWHL_06-13		6.25		09/25/36		5,126,350		4,285,885
12566VAE2	CMALT_07-A4		5.75		04/25/37		4,211,041		2,852,980
12566XAK4	CMA_07-A7		0.64		07/25/37		6,520,520		3,730,194
12667GNS8	COUNTRYWIDE ALTERNATIVE LOAN T		1.48		07/20/35		894,294		526,771
12667GZ30	CWALT		0.59		09/25/35		1,935,708		1,176,912
12668BCG6	CWALT		6.00		02/25/36		710,364		518,814
12668BPY3	CWALT		5.50		04/25/36		12,966,679		9,641,634
126694A32	COUNTRYWIDE HOME LOANS		0.45		03/20/46		1,834,795		936,846
126694MS4	COUNTRYWIDE HOME LOANS		5.50		11/25/35		4,592,347		4,104,594
12669EYQ3	COUNTRYWIDE HOME LOANS TR		2.88		08/25/33		28,264		23,103
22541QUJ9	CS FIRST BOSTON MORTGAGE SECUR		2.25		10/25/33		158,354		146,550
22942KCD0	CSMC		6.00		08/25/36		13,569,658		9,493,875
232434AE0	CWALT_06-OC8		0.49		11/25/36		22,339,483		3,776,713
23245GAD3	CWALT_06-OC9		0.49		12/25/46		5,512,238		932,064
23245QAA7	CWALT		0.43		03/20/47		11,927,495		6,391,312
23332QAC7	DSLA		0.44		10/19/36		1,478,520		957,548
25150UAA6	DBALT_07-OA2		0.94		04/25/47		3,314,532		2,150,766
25151AAG6	DBALT		0.52		08/25/36		27,461,369		6,816,461
25151TAC4	DBALT_07-BAR1		0.40		03/25/37		11,500,000		3,383,760
32052DAG6	FHAMS_06-FA8		6.00		02/25/37		5,789,712		4,232,569

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
40431HAJ6	HALO		0.54		12/25/36		4,871,576		1,353,713
41161VAC4	HVMLT		0.44		09/19/36		4,757,316		2,971,667
41162DAF6	HVMLT_06-12		0.43		12/19/36		6,485,629		3,891,377
41164LAB5	HVMLT_07-2		0.40		05/25/38		1,927,591		1,056,493
45257EAB0	IMPAC SECURED ASSETS CORP IMSA		0.44		02/25/37		4,072,099		2,162,317
45660NQ24	INDX		2.63		08/25/34		392,654		294,598
456687AC6	INDX_07-FL4		0.42		07/25/37		2,923,132		2,088,987
45668WAC1	INX		0.49		02/25/37		5,000,000		1,044,200
466306AA5	JPALT_08-R2		6.00		11/25/36		4,164,526		3,070,963
52520MBY8	LMT_05-2		0.99		12/25/35		3,699,749		2,094,761
525221HA8	LXS		0.50		02/25/46		4,011,172		2,126,772
52524GAA0	LXS_07-7N		0.46		06/25/47		10,394,970		6,090,413
52524HAJ9	LXS		0.91		03/25/47		2,423,619		1,488,272
52524PAG7	LXS_07-16N		0.40		05/25/37		9,473,819		5,463,267
52524VAQ2	LXS_07-15N		1.14		08/25/47		7,170,887		4,319,742
55027WAA0	LUM_07-2		0.47		05/25/37		4,207,048		2,134,993
55027XAA8	LUM_06-5		0.43		07/25/36		6,597,994		3,592,740
57643LLC8	MABS		5.65		11/25/35		10,000,000		6,076,700
59024KAX1	MLA_07-AF1		4.71		06/25/37		3,564,908		1,980,485
61748HJV4	MORGAN STANLEY MTG LOAN TRUST		5.00		08/25/35		737,620		731,439
61748HVE8	MORGAN STANLEY MTG LOAN TRUST		5.25		02/25/21		1,022,234		962,178
68383NDW0	OPTEUM MORTGAGE ACCEPT CORP		0.54		04/25/36		7,000,000		3,274,446
74923LAB8	RALI		0.43		05/25/47		4,916,786		3,026,321
74958XAB0	RFMSI		3.47		04/25/37		4,774,252		3,393,443
751153AA5	RALI_06-Q010		0.40		01/25/37		3,806,787		2,290,544
76110H2P3	RES ASSET SEC		3.02		03/25/35		328,274		161,481
761118FG8	RALI		3.24		08/25/35		3,679,936		2,353,831
761118QM3	RALI		1.17		01/25/46		4,033,503		2,247,105
863579J90	SARM		2.50		12/25/35		9,501,296		3,969,926
86359A5B5	SASC		2.62		11/25/33		364,627		343,044
86359AH71	SASC		2.66		07/25/33		559,114		506,043
86359BGD7	STRUCTURED ASSET SEC CORP		2.71		02/25/34		31,020		26,768
86359DUR6	LXS_05-5N		0.54		11/25/35		992,625		676,534
86359LQM4	SAMI_06-AR1		2.32		03/25/46		3,763,579		2,485,919
86361HAA2	SAMI_06-AR7		0.45		08/25/36		9,083,697		5,291,653
86361WAA9	SAMI_06-AR8		0.44		10/25/36		1,494,550		870,620
92922F7P7	WASHINGTON MUTUAL		0.51		12/25/45		7,633,746		6,056,004
92922FJ25	WASHINGTON MUTUAL		0.47		04/25/45		1,597,045		1,276,116
92922FR67	WASHINGTON MUTUAL		0.51		07/25/45		521,079		410,715
92922FR75	WASHINGTON MUTUAL		0.53		07/25/45		5,236,043		4,130,191
92925DAB6	WAMU		0.98		12/25/46		3,407,683		2,471,422
92927BAA0	WAMU_07-OA6		0.97		07/25/47		11,408,028		7,135,722
93363RAA4	EAST PACES FERRY LLC		1.05		10/25/46		7,979,050		5,055,127
93364BAA8	WAMU MORTGAGE PASS-THROUGH CER		0.92		06/25/47		1,722,471		1,110,994
9393362N2	WMMS		6.00		03/25/35		3,551,409		3,219,566
93936RAA2	WAL		1.01		05/25/47		8,128,327		4,584,539
94981QAA6	WFMBS		2.73		10/25/35		458,921		462,262
94985KAA5	WFA_07-PA6		5.92		12/28/37		1,643,455		1,146,783

							414,935,347		226,221,795

CMBS
055236AA1	BAMLL_11-07C1		5.38		11/15/16		6,300,000		6,740,937

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
055360AC5	BC_10-1		4.23		02/22/41		2,426,306		2,433,149
05950EAE8	BACM		5.73		05/10/45		8,615,000		9,789,052
059512AB9	BACM_07-3		5.63		06/10/49		293,500		298,154
059512AQ6	BANC OF AMERICA COMMERCIAL MOR		0.41		06/10/49		293,500		291,627
05956VAC8	BAMLL_11-STRP		2.15		08/17/38		8,800,000		8,778,704
07383FXJ2	BEAR STEARNS COMMERCIAL MORTGA		5.19		05/11/39		4,000,000		4,175,840
07383FXN3	BSCMS		4.68		08/13/39		4,000,000		4,154,200
07387BCH4	BSCMS		5.13		10/12/42		1,985,388		1,984,932
07387BEB5	BSCMS		5.41		12/11/40		2,500,000		2,792,500
07388LAE0	BEAR STEARNS		5.54		09/11/41		7,500,000		8,481,975
07388NAE6	BEAR STEARNS COMMERCIAL MORTGA		5.54		10/12/41		9,020,000		10,229,131
07388PAE1	BSCMS		5.20		12/11/38		19,480,000		21,900,000
12513YAC4	CD		5.21		12/11/49		3,154,695		3,181,573
12527EAB4	CFCRE_11-C1		3.76		04/15/44		3,000,000		3,155,010
12622DAA2	COMM_10-C1		3.16		07/10/46		9,713,047		10,110,310
12622QAA3	COMM_11-THL		3.38		06/09/28		7,800,000		7,948,200
17310MAE0	CITIGROUP		5.43		10/15/49		2,026,000		2,293,270
17310MBQ2	CGCMT		5.50		10/15/49		435,048		411,712
17313KAD3	CGCMT		6.07		12/10/49		6,150,000		6,377,611
20046GAC2	COMM_06-FL12		0.34		12/15/20		1,282,995		1,244,505
20047QAE5	COMM		5.75		06/10/46		4,000,000		4,512,560
22545RAB2	CSMC		0.41		10/15/21		2,927,356		2,727,488
23305XAB7	DBUBS_11-LC2A		3.39		07/10/44		8,500,000		8,947,440
36158YFT1	GECCMC_02-2		5.35		08/11/36		14,272,875		14,362,366
361849YU0	GMACC		5.45		05/10/40		1,550,000		1,630,786
361849ZS4	GMACC		4.65		04/10/40		23,361		23,558
361849ZT2	GMACC		5.02		04/10/40		4,000,000		4,197,560
36228CVQ3	GSMS		4.61		07/10/39		500,000		499,860
36228CZW6	GSMS		1.46		03/06/20		5,350,000		5,269,750
36249KAC4	GSMS_10-C1		4.59		08/10/43		6,000,000		6,606,420
38376GDL1	GOV NATL MTGE ASSOC		3.10		12/16/50		10,591,742		11,002,914
38376GXU9	GNMA		3.71		12/16/50		2,500,000		2,650,343
38376GZ29	GNMA		2.16		11/16/36		5,112,952		5,209,638
396789JS9	GCCFC		4.57		08/10/42		500,000		513,825
46625YSF1	JPMCC_05-LDP3		4.96		08/15/42		1,491,514		1,519,554
46629GAE8	JPMCC		5.55		05/12/45		13,500,000		15,103,260
46629PAM0	JPMCC		5.30		05/15/47		1,844,208		1,895,366
46630EAC4	JPMCC		5.43		12/12/43		7,334,510		8,108,154
50179MAE1	LBUBS		5.37		09/15/39		1,500,000		1,693,905
52108HMU5	LBUBS COMM MTG TR		4.85		09/15/31		19,702,116		19,915,884
52108HRB2	LBUBS		3.85		05/15/27		239,321		242,349
52108MAF0	LBUBS		5.20		11/15/30		1,450,000		1,607,093
617458AC8	MORGAN STANLEY CAPITAL		3.88		09/15/47		3,500,000		3,733,135
61745M5G4	MSC		4.89		06/12/47		500,000		549,010
61745ML43	MSC		5.27		06/13/41		4,000,000		4,309,120
61750CAF4	MSC_06-HQ9		5.73		07/12/44		2,550,000		2,889,915
61750HAE6	MSC		5.33		11/12/41		4,250,000		4,722,005
61750WAX1	MSC		5.33		12/15/43		1,000,000		1,125,140
61758FAA0	MSRR 09 GG10 A4B		5.79		08/12/45		5,000,000		5,639,900
62474NAA4	MSC_05-RR6		0.46		05/24/43		312,626		286,053
62888XAB0	NCUA_10-C1		2.90		10/29/20		250,000		262,249

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
62888XAC8	NCUA_10-C1		2.65		10/29/20		10,072,667		10,442,032
90348HAA2	B NATIONALE CDA		1.14		07/15/24		535,436		513,831
92935VAC2	WFRBS_11-C3		3.24		03/15/44		7,000,000		7,297,017
929766UK7	WBCMT_04-C14		5.09		08/15/41		8,800,000		9,453,048
929766X24	WBCMT_05-C19		4.66		05/15/44		4,200,000		4,216,716
92976VAF5	WBCMT		5.74		05/15/43		6,000,000		6,802,620
92977RAD8	WACHOVIA BANK COMMERCIAL MORTG		6.01		06/15/45		6,000,000		6,875,880
92978YAB6	WBCMT		5.73		06/15/49		5,449,941		5,566,024

							291,086,104		309,696,160

Corporate Securities - Financials
00448MAA9	ACHMEA HYPOTHEEKBANK N.V. - LT		3.20		11/03/14		35,216,000		36,905,312
02005NAB6	ALLY FINANCIAL INC		8.30		02/12/15		3,375,000		3,670,313
02005NAF7	ALLY FINANCIAL INC		4.50		02/11/14		750,000		751,875
02580ECC5	AMERICAN EXPRESS BANK FSB		6.00		09/13/17		3,000,000		3,499,235
0258M0DA4	AMERICAN EXPRESS CREDIT CO		2.75		09/15/15		15,000,000		15,574,618
0258M0DC0	AMERICAN EXPRESS CREDIT CO		2.80		09/19/16		2,000,000		2,052,845
05252ABH3	ANZ MELBOURNE		1.32		01/10/14		2,675,000		2,675,829
05531FAG8	BB&T CORPORATION		3.20		03/15/16		6,950,000		7,293,786
05567LU54	BNP PARIBAS		3.60		02/23/16		2,500,000		2,522,952
05571AAB1	GROUPE BPCE		2.38		10/04/13		5,310,000		5,254,730
05572FAA1	BNP PARIBAS COVERED BONDS SA		2.20		11/02/15		10,400,000		10,473,840
05947KAK6	BANCO BRADESCO S.A.		2.60		05/16/14		700,000		710,710
06051GDY2	BANK OF AMERICA		7.38		05/15/14		5,250,000		5,697,519
06051GEA3	BANK OF AMERICA		6.50		08/01/16		19,000,000		20,756,088
06051GEB1	BANK OF AMERICA		4.50		04/01/15		3,000,000		3,097,192
06051GED7	BANK OF AMERICA		3.70		09/01/15		12,100,000		12,194,193
06051GEG0	BANK OF AMERICA		3.63		03/17/16		5,000,000		5,005,267
06051GEL9	BANK OF AMERICA		2.13		07/11/14		1,000,000		979,390
063679BV5	BANK OF MONTREAL		2.85		06/09/15		3,500,000		3,692,640
063679JJ4	BANK OF MONTREAL		2.63		01/25/16		9,600,000		10,084,033
063679ZT4	BANK OF MONTREAL		1.95		01/30/17		4,900,000		4,969,140
064149B97	BANK OF NOVA SCOTIA		2.38		12/17/13		5,000,000		5,139,024
064149C39	BANK OF NOVA SCOTIA		1.45		07/26/13		8,400,000		8,500,884
06415AAA1	BANK OF NOVA SCOTIA		1.65		10/29/15		6,000,000		6,093,120
06415CAD1	BANK OF NOVA SCOTIA		1.05		03/20/15		12,700,000		12,705,715
064255AB8	BANK OF TOKYO-MITSUBISHI UFJ L		3.85		01/22/15		8,000,000		8,490,929
06675EAA8	BANQUE PSA FINANCE		3.38		04/04/14		850,000		843,295
06739FGP0	BARCLAYS BANK PLC		2.50		01/23/13		5,000,000		5,045,700
06739GAE9	BARCLAYS BANK PLC		6.05		12/04/17		8,500,000		8,726,172
06739GBB4	BARCLAYS BANK PLC		3.90		04/07/15		3,250,000		3,383,737
07385TAJ5	BEAR STEARNS CO INC		5.70		11/15/14		7,225,000		7,975,416
073902PR3	BEAR STEARNS CO INC		6.40		10/02/17		6,400,000		7,392,340
073902RU4	BEAR STEARNS CO INC		7.25		02/01/18		4,500,000		5,436,986
10778XAA4	BRFKREDIT AS		2.05		04/15/13		29,700,000		29,991,063
125577BA3	CIT GROUP INC		5.25		04/01/14		4,300,000		4,386,000
125581GA0	CIT GROUP INC		7.00		05/02/17		1,090,000		1,094,088
12800UAK6	CAISSE CENTRALE		2.55		03/24/16		2,050,000		2,141,328
136069DM0	CANADIAN IMPERIAL BK COMRC		2.60		07/02/15		14,000,000		14,665,281
136069EC1	CANADIAN IMPERIAL BK COMRC		0.90		09/19/14		5,000,000		5,008,100
136069EH0	CANADIAN IMPERIAL BK COMRC		1.50		12/12/14		14,300,000		14,510,782
140420MV9	CAPITAL ONE BANK		8.80		07/15/19		9,000,000		10,962,834

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
14912L4Q1	CATERPILLAR FINL SERV		1.55		12/20/13		4,000,000		4,062,376
172967EU1	CITIGROUP INC		6.50		08/19/13		4,000,000		4,228,086
172967EY3	CITIGROUP INC		6.38		08/12/14		12,800,000		13,873,853
172967EZ0	CITIGROUP INC		5.50		10/15/14		19,150,000		20,487,905
172967FD8	CITIGROUP INC		4.75		05/19/15		750,000		791,115
172967FE6	CITIGROUP INC		6.00		12/13/13		2,000,000		2,117,898
172967FW6	CITIGROUP INC		4.45		01/10/17		12,400,000		12,943,300
173094AA1	CITIGROUP INC		8.30		12/21/77		4,463,000		4,507,630
17313YAL5	CITIGROUP FUNDING INC - GTD		1.88		10/22/12		27,000,000		27,248,130
20271RAA8	COMMONWEALTH BANK OF AUSTRALIA		1.95		03/16/15		4,800,000		4,829,510
20272BAF1	COMMONWEALTH BANK AUSTRALIA, G		3.63		06/25/14		40,000,000		42,454,001
20272BAK0	COMMONWEALTH BANK OF AUSTRALIA		2.90		09/17/14		3,500,000		3,665,690
22546QAA5	CREDIT SUISSE GROUP		5.50		05/01/14		3,000,000		3,226,786
22546QAE7	CREDIT SUISSE FIRST BOSTON		3.50		03/23/15		1,000,000		1,041,505
2254C0TC1	CREDIT SUISSE NEW YORK NY		5.00		05/15/13		3,500,000		3,634,301
226566AK3	CRICKET COMMUNICATIONS INC.		7.75		05/15/16		1,000,000		1,055,000
23329PAA8	DEN NORSKE BANK ASA		3.20		04/03/17		5,275,000		5,285,679
24422ERD3	JOHN DEERE CAPITAL CORPORATION		0.72		07/15/13		3,100,000		3,101,178
2515A0Q30	DEUTSCHE BK LDN		3.88		08/18/14		3,000,000		3,141,764
2515A0U76	DEUTSCHE BK LDN		3.45		03/30/15		1,750,000		1,805,100
2515A14E8	DEUTSCHE BK LDN		3.25		01/11/16		1,250,000		1,270,181
25214GAA1	DEXIA CREDIT LOCAL/NEW YORK		2.00		03/05/13		22,000,000		21,658,340
254709AE8	DISCOVER FINANCL		10.25		07/15/19		5,200,000		6,787,085
25600WAA8	DNB NOR BLGKRDIT		2.10		10/14/15		1,000,000		1,015,890
25600WAB6	DNB NOR BLGKRDIT		2.90		03/29/17		15,800,000		16,401,032
26441YAS6	DUKE REALTY LP		7.38		02/15/15		3,741,000		4,237,058
26483EAE0	DUN & BRADSTREET CORPORATION T		2.88		11/15/15		1,500,000		1,545,313
302508BA3	FMR CORP		4.75		03/01/13		2,500,000		2,589,139
31737UAH1	FINANCE FOR DANISH INDUSTRY IN		2.00		06/12/13		4,900,000		4,963,553
354613AE1	FRANKLIN RESOURCES INC.		2.00		05/20/13		3,975,000		4,033,974
36186CBX0	GENERAL MOTORS ACCEPTANCE CO		2.69		12/01/14		450,000		411,750
36962G3T9	GE CAPITAL CORP		4.80		05/01/13		1,250,000		1,304,005
36962G4C5	GE CAPITAL CORP		5.90		05/13/14		700,000		769,067
36962G4H4	GENERAL ELEC CAP CO		2.80		01/08/13		2,000,000		2,034,120
36962G4L5	GE CAPITAL CORP		3.50		06/29/15		8,000,000		8,511,046
36962G5M2	GE CAPITAL CORP		2.15		01/09/15		6,725,000		6,873,473
36962G5N0	GE CAPITAL CORP		2.90		01/09/17		3,250,000		3,365,032
36962GK86	GE CAPITAL CORP		4.75		09/15/14		4,000,000		4,335,824
38141EA33	GOLDMAN SACHS GROUP INC		6.00		05/01/14		5,350,000		5,723,572
38141EA74	GOLDMAN SACHS GROUP INC		3.70		08/01/15		4,400,000		4,475,059
38141GDB7	GOLDMAN SACHS GROUP INC		5.25		04/01/13		1,500,000		1,554,306
38141GEG5	GOLDMAN SACHS GROUP INC		0.92		03/22/16		19,300,000		17,616,654
40411EAB4	BANK OF SCOTLAND PLC		5.25		02/21/17		5,005,000		5,428,824
40414LAB5	HEALTH CARE PROPERTY INVESTORS		2.70		02/01/14		8,875,000		8,964,307
4042Q1AE7	HSBC BANK USA		4.88		08/24/20		3,500,000		3,561,717
428302AB9	HEXION US FINANCE CORP		6.63		04/15/20		460,000		470,350
44328MAB0	HSBC BANK PLC		3.50		06/28/15		3,450,000		3,610,936
44328MAH7	HSBC BANK PLC		1.37		01/17/14		7,500,000		7,518,824
44328MAJ3	HSBC BANK PLC		2.00		01/19/14		2,000,000		2,011,051
44328MAL8	HSBC BANK PLC		3.10		05/24/16		12,000,000		12,236,135
449786AM4	ING BANK NV		2.38		06/09/14		5,925,000		5,879,683

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
44984WAC1	INEOS FINANCE PLC		8.38		02/15/19		250,000		264,375
451102AD9	ICAHN ENTERPRISES LP / ICAHN E		7.75		01/15/16		855,000		884,925
451102AQ0	ICAHN ENTERPRISES LP		8.00		01/15/18		370,000		384,800
45112EAA7	ICICI BANK SG		2.24		02/24/14		2,250,000		2,205,225
45112EAB5	ICICI BANK LTD (DUBAI BRANCH)		4.75		11/25/16		1,500,000		1,489,500
459745GJ8	INTERNATIONAL LEASE FINANCE CO		5.75		05/15/16		3,000,000		2,996,640
46623EJD2	JPMORGAN CHASE & CO		1.65		09/30/13		3,000,000		3,031,751
46625HHN3	JPMORGAN CHASE & CO		4.65		06/01/14		3,000,000		3,196,913
46625HHP8	JPMORGAN CHASE & CO		3.70		01/20/15		3,000,000		3,158,781
46625HHR4	JPMORGAN CHASE & CO		3.40		06/24/15		10,000,000		10,481,844
46625HJA9	JPMORGAN CHASE & CO		3.15		07/05/16		7,500,000		7,721,484
53117CAG7	LIBERTY PROPERTY TR		6.38		08/15/12		2,500,000		2,542,636
539473AG3	LLOYDS TSB BANK PLC		4.88		01/21/16		8,050,000		8,325,826
539473AK4	LLOYDS TSB BANK PLC		2.91		01/24/14		300,000		298,806
53947MAB2	LLOYDS TSB BANK PLC		5.80		01/13/20		6,000,000		6,181,574
55607EAL4	MACQUARIE BANK LTD - GTD		3.30		07/17/14		2,000,000		2,107,680
57629WBM1	MASSMUTUAL GLOBAL FUNDING II		2.30		09/28/15		4,000,000		4,107,662
59018YM40	MERRILL LYNCH & CO INC		5.45		02/05/13		5,150,000		5,292,089
60688QAA3	MIZUHO CORPORATE BANK LTD		2.55		03/17/17		3,225,000		3,225,597
617446V71	MORGAN STANLEY		6.25		08/28/17		10,500,000		10,965,172
61746SBR9	MORGAN STANLEY		5.38		10/15/15		15,000,000		15,620,877
61747WAD1	MORGAN STANLEY		2.88		01/24/14		2,500,000		2,488,495
61747YCE3	MORGAN STANLEY		6.00		04/28/15		5,000,000		5,256,051
61747YCK9	MORGAN STANLEY		4.20		11/20/14		2,150,000		2,169,334
61747YDD4	MORGAN STANLEY		3.80		04/29/16		5,500,000		5,348,701
62914AAB8	NIBC BANK NV - GTD		2.80		12/02/14		1,600,000		1,661,312
63307EAA5	NATIONAL BK OF CANADA		1.65		01/30/14		2,500,000		2,544,150
637432ML6	NATIONAL RURAL UTILITIES		1.90		11/01/15		4,000,000		4,097,082
637432MM4	NATIONAL RURAL UTILITIES		1.13		11/01/13		1,350,000		1,353,988
638612AK7	NATIONWIDE FINANCIAL SERVICES		5.38		03/25/21		5,925,000		5,990,712
65557CAA1	NORDEA BANK AB		3.70		11/13/14		13,000,000		13,531,236
693476BE2	PNC FUNDING CORP		5.40		06/10/14		2,000,000		2,179,464
693476BH5	PNC FUNDING CORP		3.63		02/08/15		2,000,000		2,120,773
74157UAG4	PRIMARIS RETAIL REAL ESTATE IN		5.40		11/30/18		2,250,000		2,307,519
74733WAB4	QATAR DIAR FIN		5.00		07/21/20		3,000,000		3,195,106
78010XAF8	ROYAL BANK OF SCOTLAND PLC THE		2.91		08/23/13		300,000		299,943
78011HT39	ROYAL BANK OF SCOTLAND		1.94		10/15/12		20,000,000		20,047,600
78403DAB6	SBA TOWER TRUST		5.10		04/15/42		5,300,000		5,674,560
78442FCJ5	SLM CORP		5.38		05/15/14		4,000,000		4,140,000
828807BM8	SIMON PROPERTY GROUP L.P.		5.10		06/15/15		4,000,000		4,388,820
828807CB1	SIMON PROPERTY GROUP L.P.		6.75		05/15/14		12,675,000		14,077,488
84603MXU5	SOVEREIGN BANK		8.75		05/30/18		2,475,000		2,814,801
84650WAB2	SPAREBNK 1 BOLIG		2.63		05/26/17		11,000,000		11,283,581
84650WAD8	SPAREBNK 1 BOLIG		2.30		06/30/17		11,700,000		11,663,379
867914BE2	SUNTRUST BANKS INC		3.50		01/20/17		5,775,000		5,852,423
87020LAA4	SWEDBANK HYPOTEK AB		2.95		03/28/16		8,100,000		8,429,669
87020LAB2	SWEDBANK HYPOTEK AB		0.92		03/28/14		6,700,000		6,685,327
90261XGD8	UBS AG STAMFORD CT		4.88		08/04/20		5,500,000		5,692,644
90261XGX4	UBS AG		2.25		01/28/14		3,600,000		3,623,326
90345AAC6	US CENTRAL CREDIT UNION - (LT)		1.90		10/19/12		15,500,000		15,642,288
90349CAA2	UBS AG, LONDON BRANCH		2.25		03/30/17		4,500,000		4,496,985

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
90520EAC5	UNION BK OF CA NA		3.00		06/06/16		7,800,000		8,049,072
91159HGY0	US BANCORP		1.38		09/13/13		3,000,000		3,025,402
92933DAA8	WEA FINANCE LLC		7.50		06/02/14		1,580,000		1,737,395
92976WBJ4	WACHOVIA CORPORATION		5.50		05/01/13		5,000,000		5,246,441
929903DT6	WACHOVIA CORPORATION		5.75		06/15/17		17,300,000		19,940,140
949746QU8	WELLS FARGO & COMPANY		3.68		06/15/16		5,975,000		6,390,569
94974BET3	WELLS FARGO & COMPANY		3.75		10/01/14		1,000,000		1,061,689
94974BEU0	WELLS FARGO & COMPANY		3.63		04/15/15		250,000		266,447
96008YAB1	WESTFIELD CAPITAL CORP LTD		5.13		11/15/14		4,650,000		4,929,049
961214BH5	WESTPAC BANKING CORP		4.20		02/27/15		5,000,000		5,329,980
BRS9DRSB3	VNGD HLTH HLD II		5.00		01/29/16		568,738		569,045
BRS9M9WY8	INTERNATIONAL LEASE FINANCE CO		7.00		03/17/16		1,315,000		1,316,696
BRSA6EXM7	DYNCORP INTERNATIONAL INC		6.25		07/07/16		62,164		62,102
BRSAC4WT8	WAHA AEROSPACE BV		3.93		07/28/20		4,420,000		4,585,750
BRSAFUP65	PINNACLE FOODS FINANCE		6.00		04/02/14		1,066,196		1,066,046
BRSAU91V6	AMERICAN CAP STRAT LTD.		7.50		12/31/13		42,086		41,665
BRSB44FR8	HARBOURVEST PARTNERS LLC		6.25		12/19/16		841,253		842,305
BRSB82CD2	NUVEEN INVESTMENT INC		5.81		05/13/17		1,890,536		1,887,001
BRSBCM8H9	EQUIPOWER RESOURCES HOLDINGS L		5.75		01/26/18		990,914		926,505
BRSBG70Y9	REALOGY		4.80		10/10/16		175,552		163,526
BRSBG72X9	REALOGY		4.77		10/10/16		2,619,064		2,439,659
BRSBHPM99	TRANSUNION CORP		4.75		02/10/18		2,308,354		2,325,667
BRSBHT2D4	ACOSTA		4.75		03/01/18		222,552		222,089
BRSBK3FH4	SI ORGANIZATION INC		4.50		11/22/16		97,882		94,945
BRSBQH2C2	ISTAR FINANCIAL INC.		5.00		06/28/13		1,750,578		1,747,112
BRSBTCYJ0	ISTAR FINANCIAL INC		7.00		06/30/14		110,000		109,702
BRSC10085	CNO FINANCIAL TL B L		6.25		09/30/16		765,564		768,817
BRSC101R2	SPRINGLEAF FINANCIAL FUNDING C		5.50		05/10/17		2,480,000		2,277,458
BRSD1YGV1	EMDEON INC		6.75		11/02/18		1,705,725		1,727,763
BRSDC7VW9	NUVEEN INVESTMENT INC		6.49		05/13/17		460,000		461,532
BRSDJHFH1	FIDELITY NATIONAL INFORMATION		4.25		07/18/16		50,400		50,526
BRSE78LL6	NUVEEN INVESTMENT INC		5.97		05/13/17		84,464		84,464
BRSE9BR07	DJO FINANCE LLC/DJO FINANCE CO		6.25		09/15/17		2,005,000		1,995,697
M8181FAB2	QATARI DIAR FINANCE QSC		5.00		07/21/20		3,100,000		3,317,000
N9636WAL1	WHITE NIGHTS FINANCE BV		10.50		03/08/14		2,400,000		2,728,800
Y4864WAG4	KOREA EXC BK		4.88		01/14/16		2,000,000		2,113,000

							980,922,021		1,018,454,373

Corporate Securities - Industrials
002447AA8	AWAS AVIATION CAPITAL LTD		7.00		10/17/16		90,400		94,242
00846UAF8	AGILENT TECHNOLOGIES INC		2.50		07/15/13		7,000,000		7,112,683
02209SAD5	ALTRIA GROUP INC.		9.70		11/10/18		6,400,000		8,724,407
02364WAV7	AMERICA MOVIL SA		5.00		03/30/20		10,000,000		11,085,000
02377VAA0	AMERICAN AIRLINES 2011-2 CLASS		8.63		04/15/23		155,000		162,750
02666QF32	AMERICAN HONDA FINANCE		2.38		03/18/13		2,150,000		2,186,904
032511BC0	ANADARKO PETROLEUM CO		8.70		03/15/19		4,900,000		6,454,250
034863AA8	ANGLO AMERICAN CAPITAL PLC		9.38		04/08/14		11,280,000		12,914,393
034863AC4	ANGLO AMERICAN CAPITAL PLC		2.15		09/27/13		1,800,000		1,808,778
03523TAL2	ANHEUSER-BUSCH INBEV WORLDWIDE		3.00		10/15/12		2,500,000		2,533,075
03523TAM0	ANHEUSER-BUSCH INBEV WORLDWIDE		4.13		01/15/15		10,000,000		10,826,785
03523TBC1	ANHEUSER-BUSCH INBEV WORLDWIDE		1.11		01/27/14		1,500,000		1,507,650
03746AAC4	APACHE FIN CANADA CORP		4.38		05/15/15		5,770,000		6,337,931

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
038521AG5	ARAMARK SERVICES INC		4.05		02/01/15		95,000		94,288
03938LAW4	ARCELORMITTAL		4.50		02/25/17		3,950,000		3,941,980
04044TAJ5	ARISTOTLE HOLDING INC		3.90		02/15/22		1,800,000		1,811,875
05329WAJ1	AUTONATION INC		6.75		04/15/18		310,000		334,800
05530QAC4	BAT INTERNATIONAL FINANCE PLC		8.13		11/15/13		5,255,000		5,798,502
055451AH1	BHP BILLITON FINANCE (USA) LTD		6.50		04/01/19		6,000,000		7,424,420
05565QBH0	BP CAPITAL MARKETS PLC		3.88		03/10/15		22,675,000		24,330,302
05565QBN7	BP CAPITAL MARKETS PLC		3.13		10/01/15		4,000,000		4,229,842
067901AB4	BARRICK GOLD CORP		6.95		04/01/19		1,700,000		2,061,505
067901AF5	BARRICK GOLD CORP		2.90		05/30/16		4,000,000		4,168,182
075887BB4	BECTON DICKINSON AND COMPANY		1.75		11/08/16		6,000,000		6,075,568
097023AY1	BOEING CO		3.50		02/15/15		1,250,000		1,345,420
10138MAH8	BOTTLING GROUP LLC		6.95		03/15/14		7,000,000		7,821,030
115637AK6	BROWN-FORMAN CORPORATION		2.50		01/15/16		7,000,000		7,140,906
120568AM2	BUNGE LIMITED FINANCE CORP		5.35		04/15/14		6,024,000		6,383,338
12502CAS0	CCH II LLC/CCH II CAPITAL CORP		13.50		11/30/16		725,000		826,500
126650AV2	CVS CAREMARK CORP		4.88		09/15/14		2,000,000		2,190,768
126650BQ2	CVS PASS-THROUGH TRUST		6.94		01/10/30		1,995,486		2,247,994
12800UAL4	CAISSE CENTRALE		1.60		03/06/17		4,600,000		4,562,878
14912L4U2	CATERPILLAR FINL SERV		0.87		04/01/14		4,000,000		4,018,200
159864AB3	CHARLES RIVER LABS INTL INC.		2.25		06/15/13		6,975,000		7,040,984
17275RAL6	CISCO SYSTEMS INC		0.72		03/14/14		8,000,000		8,040,800
18451QAC2	CLEAR CHANNEL WORLDWIDE HOLDIN		9.25		12/15/17		88,000		95,700
18451QAD0	CLEAR CHANNEL WORLDWIDE HOLDIN		9.25		12/15/17		848,000		926,440
191216AU4	COCA-COLA COMPANY THE		1.80		09/01/16		8,436,000		8,581,482
19190AAA5	COFFEYVILLE RESOURCES LLC		9.00		04/01/15		59,000		63,130
20030NAL5	COMCAST CORPORATION		5.90		03/15/16		7,500,000		8,639,154
20825CAT1	CONOCOPHILLIPS		4.60		01/15/15		4,000,000		4,405,990
21079UAA3	CONTINENTAL AIRLINES		7.25		05/10/21		4,634,294		5,144,066
21079VAA1	CONTINENTAL AIRLINES INC.		4.75		07/12/22		2,353,773		2,447,924
22303QAK6	COVIDIEN INTERNATIONAL FINANCE		2.80		06/15/15		10,800,000		11,287,537
224044BF3	COX COMMUNICATIONS INC.		4.63		06/01/13		1,225,000		1,278,756
22818VAB3	CROWN AMERICAS LLC/CROWN AMERI		6.25		02/01/21		500,000		537,500
22822RAZ3	CROWN CASTLE TOWERS LLC		4.88		08/15/40		8,000,000		8,231,280
233835AW7	DAIMLERCHRYSLER NA HLDG		6.50		11/15/13		6,200,000		6,741,318
244199BC8	DEERE & COMPANY		4.38		10/16/19		15,400,000		17,240,051
24702RAK7	DELL INC		1.40		09/10/13		5,200,000		5,249,382
24702RAL5	DELL INC		2.30		09/10/15		4,650,000		4,813,035
247361ZH4	DELTA AIR LINES INC.		4.95		11/23/20		142,983		151,204
24736TAA5	DELTA AIR LINES INC.		7.75		06/17/21		1,754,490		2,000,119
249030AB3	DENTSPLY INTL INC.		2.75		08/15/16		1,475,000		1,499,608
25459HAV7	DIRECTV HOLDINGS LL/DIR TV FIN		3.13		02/15/16		12,125,000		12,540,799
25468PCM6	WALT DISNEY COMPANY THE		1.35		08/16/16		1,100,000		1,096,001
260543CA9	DOW CHEMICAL COMPANY THE		5.90		02/15/15		6,100,000		6,859,767
263534BS7	EI DUPONT DE NEMOURS & CO		5.00		01/15/13		432,000		447,297
263534CH0	EI DUPONT DE NEMOURS & CO		0.89		03/25/14		4,507,000		4,539,946
26875PAJ0	EOG RESOURCES INC		1.29		02/03/14		5,065,000		5,103,241
26882PBD3	ERAC USA FINANCE COMPANY		5.80		10/15/12		2,122,000		2,174,440
27876GBF4	DISH DBS CORP		7.00		10/01/13		5,000,000		5,337,500
278865AK6	ECOLAB INC.		3.00		12/08/16		4,000,000		4,151,461
291011AW4	EMERSON ELECTRIC CO		5.38		10/15/17		5,000,000		5,838,892

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
291011AZ7	EMERSON ELECTRIC CO		4.13		04/15/15		1,250,000		1,358,556
29264FAG1	ENDO PHARMACEUTICALS HLDGS INC		7.00		07/15/19		1,000,000		1,065,000
293791AV1	ENTERPRISE PROD OPER LP		8.38		08/01/66		3,450,000		3,726,000
337738AK4	FISERV INC		3.13		06/15/16		6,025,000		6,163,173
345397VN0	FORD MOTOR CREDIT COMPANY		7.00		04/15/15		7,000,000		7,647,500
35168XAA9	FRAC TECH		7.63		11/15/18		500,000		522,500
35671DAW5	FREEPORT-MCMORAN COPPER & GOLD		2.15		03/01/17		5,550,000		5,466,637
368266AN2	GAZ CAPITAL FOR GAZPROM		5.09		11/29/15		2,750,000		2,880,625
37373UAA2	GERDAU HOLDINGS INC		7.00		01/20/20		3,000,000		3,450,000
37373WAA8	METALURGICA GERDAU SA		5.75		01/30/21		3,300,000		3,495,690
377372AC1	GLAXOSK CAP INC		4.85		05/15/13		2,000,000		2,097,541
404119BK4	HCA INC		7.25		09/15/20		7,000,000		7,612,500
404121AC9	HCA INC		6.50		02/15/20		530,000		557,163
41283DAA1	HARLEY-DAVIDSON FUNDING CORPOR		5.25		12/15/12		2,500,000		2,552,411
423012AA1	HEINEKEN N.V.		3.40		04/01/22		8,800,000		8,742,028
428236AQ6	HEWLETT-PACKARD COMPANY		4.50		03/01/13		4,000,000		4,129,772
428236BJ1	HEWLETT-PACKARD COMPANY		0.89		05/30/14		2,125,000		2,100,414
428236BK8	HEWLETT-PACKARD COMPANY		1.55		05/30/14		1,250,000		1,250,350
428236BP7	HEWLETT-PACKARD COMPANY		3.00		09/15/16		5,950,000		6,139,186
436440AA9	HOLOGIC, INC.		2.00		12/15/37		8,900,000		8,844,375
44107TAE6	HOST HOTELS & RESORTS LP		2.63		04/15/27		4,650,000		4,660,695
44841AAA6	HUTCHISON WHAMPOA INTERNATIONA		4.63		09/11/15		6,100,000		6,477,842
45031TAR5	ITC DELTACOM INC		10.50		04/01/16		110,000		115,775
451055AB3	ICONIX BRAND GROUP INC		1.88		06/30/12		1,410,000		1,406,915
451055AC1	ICONIX BRAND GROUP INC		2.50		06/01/16		1,200,000		1,172,832
457985AH2	INTEGRA LIFESCIENCES HLDGS COR		2.38		06/01/12		4,525,000		4,486,465
458140AH3	INTEL CORPORATION		1.95		10/01/16		6,000,000		6,171,015
459284AA3	INTERNATIONAL CCE INC		2.13		09/15/15		3,000,000		3,067,410
460690BH2	INTERPUBLIC GRP OF CO, INC.		4.00		03/15/22		4,000,000		3,900,734
470355AF5	JAMES RIVER COAL CO		4.50		12/01/15		3,115,000		1,739,905
470355AH1	JAMES RIVER COAL CO		3.13		03/15/18		5,070,000		2,373,014
471109AC2	JARDEN CORP		8.00		05/01/16		500,000		542,500
48203RAE4	JUNIPER NETWORKS, INC.		3.10		03/15/16		3,925,000		4,051,178
496902AD9	KINROSS GOLD CORP		1.75		03/15/28		6,370,000		6,299,612
50075NAX2	KRAFT FOODS INC.		6.75		02/19/14		9,680,000		10,699,110
502413AW7	L-3 COMMUNICATIONS HOLDINGS IN		3.00		08/01/35		8,715,000		8,486,231
527298AJ2	LEVEL 3 FINANCING INC		4.51		02/15/15		270,000		260,550
532716AT4	LIMITED BRANDS		6.63		04/01/21		410,000		444,850
552078BB2	LYONDELL CHEMICAL COMPANY		11.00		05/01/18		2,055,928		2,271,800
552953BH3	MGM RESORTS INTL		10.38		05/15/14		570,000		648,375
552953BJ9	MGM RESORTS INTL		11.13		11/15/17		430,000		484,825
576203AJ2	MASSEY ENERGY COMPANY		3.25		08/01/15		4,475,000		4,016,313
58155QAC7	MCKESSON CORP		3.25		03/01/16		2,825,000		3,007,248
582839AD8	MEAD JOHNSON NUTRITION CO		3.50		11/01/14		2,000,000		2,088,705
58405UAF9	MEDCO HEALTH SOLUTIONS INC.		2.75		09/15/15		2,225,000		2,283,756
58933YAB1	MERK & CO INC		2.25		01/15/16		3,269,000		3,390,079
608753AB5	MOLYCORP INC		3.25		06/15/16		3,180,000		2,982,840
611662BM8	MONSANTO COMPANY		2.75		04/15/16		4,250,000		4,449,601
629568AT3	NABORS INDUSTRIES INC		9.25		01/15/19		5,795,000		7,460,428
63946BAA8	NBC UNIVERSAL MEDIA LLC		2.10		04/01/14		3,500,000		3,569,993
63946BAB6	NBC UNIVERSAL MEDIA LLC		3.65		04/30/15		12,950,000		13,823,066

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
654742AA3	NISSAN MOTOR ACCEPT CO		3.25		01/30/13		2,500,000		2,537,475
66989PAA8	NOVATEK FINANCE LIMITED		5.33		02/03/16		6,000,000		6,308,700
670704AC9	NUVASIVE INC		2.75		07/01/17		3,955,000		3,395,763
674599BX2	OCCIDENTAL PETROLEUM		4.13		06/01/16		3,750,000		4,170,848
674599CB9	OCCIDENTAL PETROLEUM		1.75		02/15/17		2,750,000		2,769,769
675757AA6	ODEBRECHT DRILL VIII/IX		6.35		06/30/21		1,960,000		2,089,948
68268NAF0	ONEOK, INC.		3.25		02/01/16		3,550,000		3,703,517
70336TAA2	PATRIOT COAL CORP		3.25		05/31/13		4,565,000		4,353,869
706451BS9	PEMEX PROJECT FUNDING MASTER T		5.75		03/01/18		1,250,000		1,403,125
713448BT4	PEPSICO INC		2.50		05/10/16		775,000		809,044
71645WAN1	PETROBRAS INTERNATIONAL FINANC		7.88		03/15/19		4,300,000		5,297,434
71645WAT8	PETROBRAS INTERNATIONAL FINANC		3.88		01/27/16		2,250,000		2,362,627
71654QAW2	PETROLEOS MEXICANOS		6.00		03/05/20		3,600,000		4,104,000
717081DA8	PFIZER INC.		5.35		03/15/15		1,750,000		1,976,301
718172AG4	PHILIP MORRIS INTERNATIONAL IN		6.88		03/17/14		4,000,000		4,477,182
718172AJ8	PHILIP MORRIS INTERNATIONAL IN		2.50		05/16/16		2,400,000		2,500,929
718546AG9	PHILLIPS 66		2.95		05/01/17		2,425,000		2,471,348
74005PAJ3	PRAXAIR INC.		6.38		04/01/12		1,000,000		1,000,000
74973WAA5	RTI INTL METALS, INC.		3.00		12/01/15		830,000		843,205
755111BS9	RAYTHEON COMPANY		1.63		10/15/15		1,300,000		1,323,360
75605EBX7	REALOGY CORP		7.63		01/15/20		385,000		403,288
761735AC3	REYNOLDS GROUP HOLDINGS INC		6.88		02/15/21		580,000		597,400
767201AF3	RIO TINTO FINANCE USA LIMITED		8.95		05/01/14		10,975,000		12,703,222
77509NAH6	ROGERS CABLE INC.		6.25		06/15/13		625,000		663,926
77509NAK9	ROGERS COMMUN INC.		5.50		03/15/14		10,000,000		10,831,322
78108AAA2	RENTAL SERVICE CORP		10.00		07/15/17		5,225,000		6,047,938
78355HJR1	RYDER SYSTEM INC.		3.50		06/01/17		5,875,000		6,001,474
78387GAP8	AT&T INC		5.10		09/15/14		4,000,000		4,405,389
78572MAD7	SABMILLER PLC		6.50		07/01/16		6,250,000		7,294,096
78573AAB6	SABMILLER HOLDINGS INC		2.45		01/15/17		3,500,000		3,536,976
790849AE3	ST. JUDE MEDICAL INC.		3.75		07/15/14		5,353,000		5,686,930
80105NAB1	SANOFI-AVENTIS		1.63		03/28/14		1,000,000		1,018,533
80105NAC9	SANOFI AVENTIS		0.78		03/28/14		4,450,000		4,473,051
806854AA3	SCHLUMBERGER INVESTMENT SA		1.95		09/14/16		1,950,000		1,966,971
806859AA2	SCHLUMBERGER INDUSTRIES SA		2.65		01/15/16		2,500,000		2,591,805
80685PAC2	SCHLUMBERGER NORGE AS		1.95		09/14/16		2,700,000		2,723,498
822582AC6	SHELL INTL FINAN		5.20		03/22/17		2,250,000		2,630,471
84359YAA4	SOUTHERN PACIFIC RESOURCE CORP		6.00		06/30/16		350,000		371,204
84359YAB2	SOUTHERN PACIFIC RESOURCE CORP		6.00		06/30/16		1,800,000		1,900,045
844030AH9	SOUTHERN UNION CO		3.56		11/01/66		4,850,000		4,249,813
852061AK6	SPRINT NEXTEL CORPORATION		9.00		11/15/18		370,000		406,075
852061AQ3	SPRINT NEXTEL CORPORATION		7.00		03/01/20		1,045,000		1,063,288
85771PAD4	STATOIL ASA		1.80		11/23/16		6,850,000		6,912,291
87612EAW6	TARGET CORPORATION		1.13		07/18/14		1,000,000		1,012,268
87938WAJ2	TLEFONICA EMISNS		4.95		01/15/15		22,000,000		22,599,617
88033GBN9	TENET HEALTHCARE CORPORATION		6.25		11/01/18		270,000		279,450
881575AF1	TESCO PLC		2.70		01/05/17		1,000,000		1,020,364
88166CAA6	TEVA PHARMACEUTICAL FINANCE II		3.00		06/15/15		13,875,000		14,585,069
883556AW2	THERMO FISHER SCIENTIFIC INC		2.05		02/21/14		2,000,000		2,051,085
883556BA9	THERMO FISHER SCIENTIFIC		2.25		08/15/16		6,675,000		6,887,213
887317AC9	TIME WARNER INC		5.88		11/15/16		3,800,000		4,438,522

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
88732JAK4	TIME WARNER CABLE INC		6.20		07/01/13		2,500,000		2,664,725
88732JAR9	TIME WARNER CABLE INC		7.50		04/01/14		1,500,000		1,675,522
8935268Y2	TRANSCANADA PIPELINES LIMITED		7.13		01/15/19		1,800,000		2,271,998
89378TAB9	TRANSNET LTD		4.50		02/10/16		5,950,000		6,158,905
893830AX7	TRANSOCEAN INC		4.95		11/15/15		4,200,000		4,478,128
893830BA6	TRANSOCEAN INC		5.05		12/15/16		5,900,000		6,294,302
902133AF4	TYCO ELECTRONICS		6.55		10/01/17		4,050,000		4,719,084
90320RAA2	UNITYMEDIA GMBH		8.13		12/01/17		250,000		268,716
90321NAA0	UR FINANCING ESCROW CORP		5.75		07/15/18		145,000		148,263
91911TAF0	VALE OVERSEAS LIMITED		6.25		01/11/16		3,200,000		3,614,686
91911XAR5	BIOVAIL CORP		6.50		07/15/16		200,000		203,500
91911XAS3	BIOVAIL CORP		7.25		07/15/22		285,000		283,575
92343VAY0	VERIZON COMMUNICATIONS INC.		3.00		04/01/16		11,500,000		12,146,200
92343VAZ7	VERIZON COMMUNICATIONS INC.		1.08		03/28/14		4,000,000		4,033,160
92344SAP5	CELLCO PARTNERSHIP/VERIZON WIR		5.55		02/01/14		4,000,000		4,324,676
92857WAP5	VODAFONE GROUP PLC		5.63		02/27/17		9,300,000		10,860,060
931142DA8	WAL-MART STORES INC		1.63		04/15/14		4,600,000		4,703,286
947075AD9	WEATHERFORD INTL INC		6.00		03/15/18		5,347,000		6,045,823
94707VAA8	WEATHERFORD INTL, INC.		5.13		09/15/20		3,000,000		3,191,640
94770VAF9	WEBMD HEALTH CORP		2.50		01/31/18		4,100,000		3,672,985
94770VAH5	WEBMD HEALTH CORP		2.25		03/31/16		4,680,000		4,456,675
980888AC5	WOOLWORTHS LTD		2.55		09/22/15		2,750,000		2,823,308
980888AE1	WOOLWORTHS LTD		3.15		04/12/16		250,000		258,662
98235TAA5	WRIGHT MEDICAL GRP INC.		2.63		12/01/14		3,220,000		2,893,975
982526AF2	WM. WRIGLEY JR. COMPANY		2.45		06/28/12		2,000,000		2,000,480
983024AA8	WYETH		5.50		03/15/13		5,000,000		5,241,145
984121BS1	XEROX CREDIT CORPORATION		5.50		05/15/12		1,550,000		1,558,618
984121CF8	XEROX CORPORATION		2.95		03/15/17		4,350,000		4,400,916
98419MAC4	XYLEM INC		3.55		09/20/16		4,475,000		4,654,047
BRS3D32G6	GRAY TELEVISION INC.		3.97		12/31/14		1,481,026		1,465,164
BRS3GJWJ9	SYNAGRO TECH, INC.		2.25		04/02/14		327,915		296,763
BRS3H8370	REALOGY		3.55		10/10/13		134,717		126,859
BRS3SKNL8	OUTBACK STEAKHOUSE, INC.		2.56		06/14/14		77,123		75,709
BRS3YPRC6	CLAIRES STORES, INC.		3.14		05/29/14		322,403		306,109
BRS43KVJ9	OUTBACK STEAKHOUSE, INC.		1.04		06/14/13		7,627		7,488
BRS448NT2	COMMUNITY HLTH SYST INC		2.65		07/25/14		170,696		168,383
BRS47V568	CENGAGE (THOMSON LEARNING) TL		2.49		07/03/14		263,556		242,535
BRS47V6P5	BIOMET INC		3.46		03/25/15		885,042		874,740
BRS4QJKV2	FREESCALE SEMICONDUCTOR INC.		4.49		12/01/16		1,110,000		1,078,643
BRS4QJNT4	LEVEL 3 COMMS, INC.		2.73		03/13/14		2,025,000		1,993,370
BRS53RAN5	FIRST DATA CORPORATION		2.99		09/24/14		712,554		685,833
BRS59XBE5	FIRST DATA CORPORATION		2.99		09/24/14		1,579,796		1,520,553
BRS5B8108	CATALINA MARKETING CORPORATION		2.99		10/01/14		1,382,230		1,326,084
BRS5BXCY7	ALLISON TRANSMIS		2.75		08/07/14		2,878,690		2,854,797
BRS5LH024	SERVICEMASTER CO		2.83		07/24/14		1,885,868		1,859,635
BRS5LHEH6	US FOODSERVICE		2.74		07/03/14		967,110		932,855
BRS5LK2B5	DJO FINANCE LLC		3.24		05/20/14		18,232		18,099
BRS5N4E26	FIRST DATA CORPORATION		2.99		09/24/14		700,000		673,750
BRS5NEVC3	SEQUA CORP		3.84		12/03/14		2,679,729		2,637,684
BRS6C3V60	HARRAHS OPERATING COMPANY INC.		3.24		01/28/15		703,073		668,910
BRS6C4DR2	HARRAHS ENTERTAINMENT INC		3.25		01/28/15		3,446,898		3,279,413

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
BRS6S49V1	CHARTER COMMUNICATIONS HOLDING		7.25		03/06/14		4,500		4,493
BRS6UPUC9	COINMACH SERVICE CORP		3.24		11/14/14		1,400,786		1,291,062
BRS6UQB20	CERIDIAN CORP		3.24		11/09/14		1,122,874		1,050,819
BRS6WT6X0	SERVICEMASTER CO		2.75		07/24/14		187,804		185,192
BRS6XRBJ8	PQ CORP		3.50		07/30/14		1,385,363		1,358,875
BRS6ZY780	CENGAGE LEARNING ACQUISITIONS		7.50		07/03/14		60,781		58,616
BRS740TY5	NEWSDAY LLC		10.50		08/01/13		1,300,000		1,335,750
BRS748CX8	FEDERAL MOGUL TL B		2.41		12/29/14		1,460,584		1,402,920
BRS748CY6	FEDERAL MOGUL CORP		2.41		12/28/15		440,438		423,050
BRS75LWJ7	CLEAR CHANNEL COMMUNICATIONS		3.89		01/29/16		1,154,672		933,714
BRS7BLBL8	CCS CORP		3.47		11/14/14		1,250,829		1,212,054
BRS7M2KM6	AVAYA INC.		3.24		10/24/14		768,440		743,466
BRS8CFLV5	SUNGARD DATA SYSTEMS INC.		4.06		02/28/16		396,286		396,282
BRS8E88L6	NIELSEN FINANCE LLC		3.99		05/02/16		1,512,692		1,514,901
BRS8SPPC4	HARRAHS OPERATING COMPANY INC.		9.50		10/31/16		1,207,515		1,239,623
BRS8ZGYZ5	MICHAELS STORES, INC.		5.13		07/31/16		1,910,329		1,916,003
BRS9FKAK5	WM BOLTHOUSE FARMS INC		5.51		02/11/16		122,200		122,580
BRS9NN9D8	CHARTER COMMUNICATIONS HOLDING		3.83		09/06/16		1,537,137		1,528,499
BRS9PGQM2	ARAMARK CORP		3.81		07/26/16		8,639		8,601
BRS9PGR33	ARAMARK CORP		3.83		07/26/16		131,361		130,778
BRS9S2GC3	AFFINION GROUP		5.00		10/09/16		1,600,957		1,515,482
BRS9SHAY8	HCA INC		3.83		03/31/17		760,000		745,279
BRS9SYDG7	INTEGRA TELECO		9.25		04/15/15		171,938		161,515
BRS9WZ545	INFOR GLOBAL		6.29		07/28/15		319,424		317,428
BRSADEPT3	ALTEGRITY INC		7.75		02/21/15		869,626		868,809
BRSADRQZ9	VODAFONE AMERICAS FINANCE 2 IN		6.88		08/11/15		1,984,231		1,994,152
BRSAGFDE3	CHEMTURA CORPORATION		5.50		08/29/16		1,125,000		1,127,813
BRSAGM7B1	TOYS R US DELAWR		6.00		09/01/16		1,335,578		1,336,206
BRSAQNGR3	ADVANCE PIERRE FOODS		7.00		09/30/16		2,147,790		2,145,642
BRSAQNQH4	ADVANCE PIERRE FOODS		11.25		09/29/17		70,000		70,467
BRSATYGN5	GOODMAN GLOBAL INC		5.75		10/28/16		2,842,237		2,854,686
BRSAUE236	DAVITA INC		4.50		10/20/16		1,475,280		1,478,968
BRSAWQ120	UNIVISION COMMUNICATIONS INC.		4.49		03/31/17		2,086,466		1,934,029
BRSAZMN71	MEDASSETS INC		5.25		11/16/16		911,435		914,853
BRSAZTC86	COMMUNITY HLTH SYST INC		4.04		01/25/17		1,214,053		1,196,000
BRSB41VP0	BRESNAN HLDG		4.50		12/14/17		2,431,676		2,426,910
BRSB5PYE8	INTELSAT JACKSON		5.25		04/02/18		5,935,915		5,974,854
BRSB93KD0	CONVATEC INC		5.75		12/22/16		969,271		967,148
BRSB93S67	CDW CORPORATION		4.00		07/15/17		1,915,551		1,852,893
BRSBBKBD9	UCI INTERNATIONAL TL B		5.50		07/26/17		123,438		123,784
BRSBD2QV1	BOOZ ALLEN HAMILTON INC		4.00		08/03/17		147,694		148,137
BRSBGF0L9	STYRON CORP		6.01		08/02/17		732,862		668,429
BRSBGXH81	DEL MONTE FOODS CO		4.50		03/08/18		1,998,910		1,968,647
BRSBH1FB5	TWCC HOLDING CORP		4.25		02/13/17		1,243,952		1,244,176
BRSBH7HM6	AVAYA INC.		4.99		10/26/17		1,129,800		1,089,692
BRSBH8VK2	VERTAFORE INC		5.25		07/29/16		630,208		625,482
BRSBHFX32	AXCAN INTER HLDG		5.50		02/10/17		1,825,061		1,802,248
BRSBHN254	CPG INTERNATIONAL I INC		6.00		02/18/17		843,852		807,989
BRSBHYHF2	WALTER ENERGY INC		4.00		04/02/18		2,540,933		2,528,228
BRSBJARY0	INTERACTIVE DATA CORP		4.50		02/11/18		2,572,627		2,567,816
BRSBJK2P4	REYNOLDS GROUP HOLDINGS INC		6.50		02/09/18		887,763		896,392

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
BRSBK2348	GYMBOREE CORP		5.00		02/23/18		548,611		518,920
BRSBK71J6	BUSCH ENTERTAINMENT LLC		4.00		08/17/17		1,368,052		1,364,618
BRSBK9AU7	TRANSDIGM GROUP INC		4.00		02/14/17		1,220,315		1,219,473
BRSBK9U01	MOMENTIVE PERFORMANCE MATERIAL		3.75		05/05/15		298,425		285,930
BRSBKZS71	GNC CORPORATION		4.25		03/02/18		1,356,250		1,352,032
BRSBLA9P6	KNOLOGY INC		4.00		08/18/17		863,791		855,965
BRSBLU1G0	BURLINGTON COAT FACTORY WAREHO		6.25		02/23/17		502,384		505,253
BRSBLUS55	US TELEPACI		5.75		02/23/17		1,821,756		1,737,500
BRSBLUUU7	MICHAEL FOODS, INC.		4.25		02/25/18		385,000		384,218
BRSBLZKK9	NBTY, INC.		4.25		10/01/17		299,439		299,469
BRSBMD3R1	PETCO ANIMAL SUPPLIES, INC.		4.50		11/24/17		2,009,274		2,007,264
BRSBMSAB5	NEXEO SOLUTIONS LLC		5.00		09/08/17		1,292,472		1,262,319
BRSBN61P1	TOMKINS PLC		4.25		09/29/16		2,098,627		2,098,627
BRSBNH1C6	DINEEQUITY INC		4.25		10/19/17		85,000		84,990
BRSBNJXW3	UNIVR		5.00		06/30/17		1,453,447		1,455,264
BRSBPT1D6	GENTEK HOLDING LLC		5.00		10/06/15		917,982		914,154
BRSBPYY56	ARMSTRONG WORLD INDUSTRIES INC		4.00		03/10/18		1,189,123		1,186,745
BRSBPYZG1	ATLANTIC BROADBAND FINANCE LLC		4.00		03/08/16		480,988		479,319
BRSBPZM15	NOVELIS INC/GA		4.00		03/10/17		1,647,734		1,641,555
BRSBQ2FS6	SINCLAIR TELEVISION GROUP INC		4.00		10/28/16		451,147		449,807
BRSBQFU50	IMS HEALTH INCORPORATED		4.50		08/26/17		1,192,414		1,193,690
BRSBR2E98	JMC STEEL GROUP		4.75		04/01/17		770,993		769,066
BRSBR4P35	JO-ANN STORES		4.75		03/16/18		706,812		701,256
BRSBRMCQ8	WARNER CHILCOTT CORP		4.25		03/15/18		727,071		726,155
BRSBRMD53	WARNER CHILCOTT CORP		4.25		03/15/18		363,535		363,077
BRSBRMD95	WARNER CHILCOTT CORP		4.25		03/15/18		499,861		499,231
BRSBRMFR3	METROPCS WIRELESS INC		4.00		03/19/18		963,383		953,026
BRSBRN2H7	MEG ENERGY CORP		4.00		03/18/18		2,512,375		2,506,094
BRSBT2DD8	FIRST DATA CORPORATION		4.25		03/23/18		3,841,168		3,497,383
BRSBTMS22	WESCO AIRCRAFT		4.25		04/07/17		81,997		81,895
BRSBW6C87	AMERISTAR CASINOS, INC.		4.00		04/16/18		546,117		546,177
BRSBWG6S8	DELTA AIR LINES INC.		5.50		04/20/17		742,112		740,256
BRSBXNF03	AMER ROCK SLT CO		5.50		04/25/17		1,112,198		1,055,899
BRSBYALT0	EMERGENCY MEDICAL SVCS CORP		5.25		05/25/18		1,654,871		1,653,696
BRSBZZDX4	GOLDEN LIVING		5.00		05/04/18		68,965		64,948
BRSBZZFY0	IASIS HLTHCARE CORP		5.00		05/03/18		375,178		375,020
BRSC095F6	IPAYMENT INC.		5.75		05/08/17		775,630		772,342
BRSC103Q2	KAR HOLDINGS		5.00		05/19/17		1,778,868		1,781,466
BRSC2FC88	US FOODSERVICE		5.75		03/31/17		248,744		247,323
BRSC2UZX5	SENSATA TECHNOLOGIES FINANCE C		4.00		05/12/18		1,351,612		1,350,342
BRSC3G4F8	NEIMAN MARCUS GROUP INC. THE		4.75		05/16/18		760,000		758,814
BRSC4T6W0	BAKERCORP		5.00		06/01/18		681,862		680,887
BRSC529Z8	DUNKIN BRANDS INC		4.00		11/23/17		1,164,352		1,162,582
BRSC5JRR9	TOYS R US DELAWR		5.25		05/25/18		632,934		626,604
BRSC5WJ99	ASURION CORP		5.50		05/24/18		621,059		614,991
BRSC6D3K2	QUINTILES TRANSNATIONAL CORP.		5.00		06/08/18		1,004,840		1,004,840
BRSC7W2L8	AWAS AVIATION SERVICES INC		5.25		06/10/16		1,209,594		1,209,594
BRSC85N25	GIBSON ENERGY ULC		5.75		06/15/18		1,440,866		1,443,272
BRSC8PGF0	ENDO PHARMACEUTICALS HLDGS INC		4.00		06/17/18		425,304		425,075
BRSC8PKC2	BASS PRO GROUP LLC		5.32		06/13/17		248,747		248,391
BRSC96U16	LAUREATE EDUCATION INC		5.25		06/15/18		3,183,098		3,117,463

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
BRSCB4WP3	AMC NETWORKS INC		4.00		12/31/18		1,291,006		1,287,237
BRSCCYM28	DOLE FOOD CO INC.		5.04		07/08/18		459,353		461,269
BRSCCZ003	DOLE FOOD CO INC.		5.03		07/08/18		850,045		853,590
BRSCDGPL1	INVENTIV HEALTH INC		6.50		08/04/16		547,731		518,520
BRSCDQTK7	ASHLAND INC.		3.75		08/23/18		198,929		198,881
BRSCESKE5	TEREX CORPORATION		5.50		04/28/17		1,572,300		1,582,614
BRSCF42A5	INVENTIV HEALTH INC		6.75		05/15/18		1,770,580		1,679,838
BRSCH2HF0	AUTOPARTS HOLDINGS LTD		6.50		07/29/17		1,268,625		1,274,968
BRSCHJ8S5	CUMULUS MED INC.		4.97		09/17/18		1,415,713		1,422,353
BRSCHUN87	SUNCOKE ENERGY INC		4.00		07/26/18		522,369		520,086
BRSCJ91H6	REYNOLDS GROUP HOLDINGS INC		6.50		08/09/18		4,254,788		4,306,399
BRSCJS2W0	ACADEMY SPORTS & OUTDOORS INC		6.00		08/03/18		1,336,650		1,341,649
BRSCJS5P2	CAPSUGEL HEALTHCARE LTD		5.25		08/01/18		1,282,219		1,291,476
BRSCL40C6	ROYALTY PHARMA FINANCE TRUST		4.00		05/09/18		970,177		968,654
BRSCL92G4	LEVEL 3 COMMS, INC.		5.75		09/01/18		2,370,000		2,391,235
BRSCQ2G46	IMMUCOR, INC.		7.25		08/19/18		1,980,050		1,999,851
BRSCUDB91	NEWPAGE CORP		8.00		03/08/13		75,000		75,812
BRSCVQWF4	SEALED AIR CORPORATION		4.75		10/03/18		1,002,767		1,013,176
BRSCWX1K1	AVIS BUDGET		6.25		09/22/18		429,039		431,991
BRSCYASW4	BLACKBOARD INC		6.54		10/04/18		817,950		812,838
BRSD1YF59	MICROSEMI CORPORATION		4.00		02/02/18		870,657		868,481
BRSD4PTL5	KINETIC CONCEPTS INC.		7.00		05/04/18		1,157,100		1,178,379
BRSD5SHT4	UPC FINANCING PARTNERSHIP		3.97		12/31/17		1,805,000		1,807,816
BRSD65A11	SEQUA CORP		6.25		12/03/14		1,830,413		1,834,421
BRSD6SNB5	WEB.COM GROUP INC		7.00		10/27/17		524,746		518,842
BRSD7AYM7	POLYONE CORP		5.00		12/20/17		274,313		275,083
BRSD853C3	BOYD GAMING CORPORATION		5.22		12/17/15		1,046,750		1,056,569
BRSD8QGE9	NEUSTAR		5.00		11/08/18		840,775		844,281
BRSD8RLT8	LEVEL 3 FINANCING INC		5.75		09/01/18		1,655,000		1,669,829
BRSD8USY3	PHARMACEUTICAL PRODUCT DEV, IN		6.25		12/05/18		2,244,375		2,269,983
BRSD9CAS4	HEALTH MANAGEMENT ASSOCIATES I		4.50		11/16/18		413,963		410,398
BRSDB2898	NXP BV AND NXP FUNDING LLC		5.50		03/03/17		841,274		838,649
BRSDFK6A3	NOVELIS INC/GA		4.00		03/10/17		987,219		983,211
BRSDHLLF1	99 CENTS ONLY STORES		5.97		01/11/19		852,863		865,348
BRSDJ3UC6	LIN TELEVISION CORPORATION		5.00		12/21/18		608,475		610,757
BRSDJJV71	DATATEL INC		6.25		07/19/18		780,000		791,216
BRSDKAKX3	MICHAELS STORES, INC.		4.97		07/31/16		598,051		599,827
BRSDKUDY5	SIX FLAGS THEME PARKS INC		4.25		12/20/18		1,470,000		1,466,781
BRSDKUTK8	SINCLAIR TELEVISION GROUP INC		4.00		10/28/16		250,000		249,258
BRSDLMQR3	CAPITAL SAFETY GROUP LTD		6.25		01/19/19		650,000		653,660
BRSDT3UA9	CCS CORP		5.47		11/14/14		658,350		659,996
BRSDT4GL9	KABEL DEUTSCHLAND VERTRIEB UND		3.72		02/01/19		1,200,000		1,194,432
BRSDTEYU7	CROWN CASTLE OPERATING CO		4.00		01/31/19		1,496,250		1,489,801
BRSDTJH27	TAMINCO GLOBAL CHEMICAL CORPOR		5.79		02/15/19		675,000		678,584
BRSDTSN12	EASTMAN KODAK COMPANY		7.97		07/20/13		374,743		380,675
BRSDU55R3	PRESTIGE BRANDS HOLDINGS INC		5.25		01/31/19		1,015,038		1,020,539
BRSDWEH16	TRANSDIGM INC.		4.00		02/14/17		513,713		513,584
BRSDWEX75	GRIFOLS INC		3.97		06/01/17		1,629,195		1,626,817
BRSDWFYW6	VALEANT PHARMA		3.75		02/13/19		1,840,000		1,823,348
BRSDWXL27	TRONOX INC		4.25		02/08/18		958,571		958,571
BRSDYJ7G1	HAWAIIAN TELCOM COMMUNICATIONS		7.00		02/28/17		1,010,000		1,000,405

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
BRSDYRD76	EMI MUSIC PUBLISHING LTD		6.00		02/07/18		590,000		592,803
BRSDYT4C1	CEQUEL COMMUNICATIONS LLC		4.00		02/14/19		2,045,000		2,027,106
BRSDZ46N9	SCHAEFFLER AG		5.22		02/14/17		780,000		783,292
BRSE0V753	AMC ENTERTAINMENT INC.		4.25		02/22/18		623,438		616,941
BRSE1DX20	TRONOX INC		3.72		02/08/18		261,429		261,429
BRSE456U2	RAILAMERICA, INC.		4.00		03/01/19		1,065,000		1,062,785
BRSE4TDH1	ACCO BRANDS		4.25		01/04/19		1,315,000		1,314,185
BRSE60U83	INFOR GLOBAL		5.75		07/28/15		169,643		168,583
BRSE61FE5	REXNORD CORP		5.00		04/01/18		1,097,250		1,096,109
BRSE76GJ1	WEIGHT WATCHERS INTL INC		4.25		03/31/19		1,785,000		1,777,860
BRSE7U0Q9	COMMSCOPE INC.		4.25		01/14/18		1,142,605		1,139,565
BRSE99EZ9	TELESAT CANADA / TELESAT LLC		4.75		03/26/19		1,415,000		1,412,354
BRSE9A2P1	YANKEE CANDLE CO INC		5.50		03/12/19		1,200,000		1,202,748
BRSE9A3G0	DJO FINANCE LLC		5.47		11/01/16		272,041		269,604
BRSE9C0N4	PROTECTION ONE, INC.		5.75		03/21/19		925,000		916,906
BRSEC7EU0	PINACLE FOOD FIN		4.75		09/29/18		1,280,000		1,282,803
BRSECQ3T3	LAWSON SOFTWARE INC.		6.25		03/30/18		2,755,000		2,727,450
L9057MAA9	TNK-BP FINANCE SA		7.50		07/18/16		4,750,000		5,379,422

							1,000,488,307		1,042,178,134

Corporate Securities - Utilities
037735CQ8	APPALACHIAN POWER COMPANY		3.40		05/24/15		1,075,000		1,125,503
131347BP0	CALPINE CORPORATION		7.25		10/15/17		630,000		667,800
15234QAJ7	ELETROBRAS		6.88		07/30/19		5,000,000		5,877,802
202795HW3	COMMONWEALTH EDISON COMPANY		1.63		01/15/14		1,600,000		1,623,780
209111EA7	CONSOLIDATED EDISON CO OF NY		4.88		02/01/13		3,000,000		3,106,620
209111EX7	CONSOLIDATED EDISON CO OF NY		6.65		04/01/19		4,589,000		5,666,052
264399EQ5	DUKE ENERGY CORP		6.30		02/01/14		4,000,000		4,381,297
29268BAE1	ENEL FINANCE INTERNATIONAL SA		5.13		10/07/19		1,750,000		1,718,598
29269QAA5	ENERGY FUTURE INTERMEDIATE HOL		10.00		12/01/20		2,650,000		2,898,438
29364GAE3	ENTERGY CORPORATION		3.63		09/15/15		1,500,000		1,527,782
340711AQ3	FL GAS TSMN CO		7.90		05/15/19		7,000,000		8,450,934
391164AD2	GREAT PLAINS ENERGY INCORPORAT		2.75		08/15/13		3,000,000		3,036,934
461070AH7	INTERSTATE POWER & LIGHT CO		3.30		06/15/15		3,000,000		3,167,340
494550BB1	KINDER MORGAN ENERGY PARTNERS		6.85		02/15/20		2,145,000		2,543,306
50064YAB9	KOREA HYDRO		3.13		09/16/15		6,100,000		6,209,373
67021CAB3	NSTAR ELEC CO		4.88		04/15/14		5,000,000		5,349,433
69353UAB7	PPL WEM HOLDINGS PLC		3.90		05/01/16		5,675,000		5,926,255
743263AM7	PROGRESS ENERGY INC.		6.05		03/15/14		2,000,000		2,191,554
74456QAW6	PUBLIC SERVICE ELECTRIC & GAS		2.70		05/01/15		1,075,000		1,128,477
842400EY5	SOUTHERN CALIFORNIA EDISON CO		5.00		01/15/16		3,500,000		3,936,271
842587CG0	SOUTHERN COMPANY		2.38		09/15/15		400,000		408,267
84755TAB3	SPECTRA ENERGY CAPITAL LLC		5.90		09/15/13		2,650,000		2,807,881
893526DH3	TRANSCANADA PIPELINES LIMITED		3.40		06/01/15		4,250,000		4,527,896
89352HAA7	TRANS-CANADA PIPELINES		4.00		06/15/13		3,500,000		3,620,472
89354FAE1	TRANSCAPITALINVEST LTD FOR OJS		8.70		08/07/18		1,700,000		2,095,250
96950FAB0	WILLIAMS PRTNRS		3.80		02/15/15		5,000,000		5,292,212
976656CA4	WISCONSIN ELECTRIC POWER CO		6.00		04/01/14		4,500,000		4,917,482
BRSC5VFR5	THE AES CORPORATION		4.25		06/01/18		1,481,870		1,482,478
BRSCJPNX1	DYNEGY POWER LLC		8.24		08/05/16		491,530		512,769
BRSCJPNY9	DYNEGY MIDWEST GENERATION LLC		8.24		08/05/16		1,642,745		1,676,290

							89,905,145		97,874,546

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $

Asset Backed Securities - Credit Cards
126802BJ5	CABELAS MASTER CREDIT CARD TRU		1.69		01/16/18		13,925,000		14,336,066
126802BM8	CABMT_10-IA		2.29		09/17/18		2,000,000		2,072,231
126802BR7	CABMT_10-IA		2.39		06/17/19		3,000,000		3,107,790
126802BS5	CABMT_10-IA		0.85		06/17/19		3,500,000		3,526,530
161571CH5	CHAIT		5.12		10/15/14		1,000,000		1,024,300

							23,425,000		24,066,917


Asset Backed Securities - Auto
02005TAD9	ALLYA _11-1		2.23		03/15/16		6,000,000		6,188,196
03064NAD8	AMERICREDIT AUTOMOBILE RECEIVA		1.61		10/08/15		3,750,000		3,763,647
06052FAC4	BAAT_09-2		2.13		09/15/13		1,314,549		1,315,732
06052MAC9	BAAT		1.31		07/15/14		1,264,247		1,267,786
09657MAC2	BMWLT_10-1		1.39		04/25/14		788,143		791,838
14313CAC0	CARMX_10-1		1.56		07/15/14		830,992		834,648
34529GAF2	FORDO_09-D		2.17		10/15/13		7,458,073		7,486,436
34529HAC7	FORDO		1.51		01/15/14		908,332		910,603
34529PAC9	FORDO_11-A		0.97		01/15/15		3,500,000		3,510,360
34529QAC7	FORDL_11-A		1.03		07/15/14		3,600,000		3,618,252
41283KAC1	HDMOT_10-1		1.16		02/15/15		3,650,000		3,660,366
41283NAC5	HARLEY DAVIDSON MOTORCYCLE TRU		0.44		10/15/14		4,000,000		4,000,000
43811AAC0	HAROT		0.88		09/21/15		11,250,000		11,279,250
43812BAG8	HAROT_10-1		1.25		10/21/13		949,132		951,505
43812WAC1	HONDA AUTO RECIEVABLES OWNER T		2.31		05/15/13		202,635		203,138
43813TAD5	HAROT_11-1		1.80		04/17/17		2,500,000		2,547,374
44923YAC1	HART_10-B		0.97		04/15/15		2,052,182		2,059,276
44924CAA2	HCAF_10-8A		1.24		09/20/16		2,275,000		2,235,870
587682AC9	MBART_10-A		1.42		08/15/14		652,365		655,851
98158KAD1	WORLD OMNI AUTO RECEIVABLES TR		1.91		04/15/16		6,200,000		6,345,506

							63,145,650		63,625,635


Asset Backed Securities - Student Loans
00432CAZ4	AGSL_03-1		1.75		12/26/35		4,100,000		3,344,165
00432CBB6	AGSL_03-1		1.73		12/26/35		3,600,000		2,936,624
00432CBP5	AGSL_03-1		1.73		12/27/32		5,350,000		4,366,049
041150DJ9	ASLA_10-1		1.39		11/25/43		6,410,425		6,200,933
10620NCG1	BRHEA_05-2		1.29		02/25/30		12,800,000		12,469,248
10620NCK2	BRAZOS HIGHER EDUCATION AUTHOR		1.41		07/25/29		5,100,000		4,975,458
194262CD1	COLLE_04-1		0.72		04/25/21		16,753,608		16,669,840
28140VAB9	EFCT_04-1		0.63		12/15/22		3,458,831		3,432,198
36156HAV0	GCOE_06-1		0.62		05/25/25		7,100,000		6,554,010
36156HAX6	GCOE_06-1		0.68		02/27/28		1,000,000		855,882
36156HAY4	GCOE_06-1		0.72		05/25/36		2,200,000		1,793,918
429827AB4	HEF_10-401		0.62		01/01/44		2,100,000		1,769,477
429827AE8	HIGHER EDUCATION FUNDING HEF_0		1.08		01/01/44		2,100,000		1,769,477
429827AF5	HEF_10-401		0.88		01/01/44		2,100,000		1,769,477
429827AJ7	HIGHER EDUCATION FUNDING HEF_0		0.23		01/01/44		2,100,000		1,769,477
429827AK4	HIGHER EDUCATION FUNDING HEF_0		0.00		01/01/44		2,300,000		1,937,998
429827AN8	HEF_04-1		0.64		01/01/44		2,100,000		1,769,477
429827AQ1	HEF_04-1		1.10		01/01/44		2,950,000		2,496,520

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
452281JB5	ILLINOIS STUDENT ASSISTANCE CO		1.04		04/25/17		3,612,033		3,604,520
57563NAA6	MEFA		1.51		04/25/38		3,630,716		3,640,010
698475AM2	PPHEA_10-2		1.64		10/01/35		6,939,389		6,923,151
71722TAF1	PHEAA_04-1		1.63		04/25/44		2,000,000		1,794,566
71722TAG9	PHEAA_04-1		1.74		04/25/44		6,000,000		5,384,802
78442GHZ2	SLMA		1.75		12/15/16		6,000,000		5,998,125
78442GJA5	SLM STUDENT LOAN TR 2003-10A		1.73		12/15/16		1,300,000		1,299,594
78442GJD9	SLM STUDENT LOAN TR 2003-10A		1.73		12/15/16		6,100,000		6,098,094
78446JAA4	SLM STUDENT LOAN TRUST SLMA_11		0.84		11/25/27		3,268,475		3,268,475
83149TAA2	SLMA_09-D		3.50		08/17/43		9,344,503		9,211,954
78442GHY5	SLMA		1.73		12/15/16		900,000		899,719
78442GQR0	SLMA		1.31		01/25/28		425,000		412,591
83715AAK5	SOUTH CAROLINA STUDENT LN CORP		1.01		01/25/21		5,561,932		5,530,118
86386MAY0	STUDENT LOAN CON		1.46		10/25/27		43,820,260		42,565,248

							182,525,173		173,511,196


Asset Backed Securities - Other
02005ABB3	ALLY MASTER OWNER TRUST AMOT_1		1.11		01/15/16		13,000,000		13,110,630
12612BAC4	CNH_10-A		1.54		07/15/14		247,845		248,456
12621UAC1	CNH_10-B		1.03		11/17/14		3,339,246		3,346,258
12621UAD9	CNH_10-B		1.74		01/17/17		4,750,000		4,821,060
15200MAA5	CNP		4.19		02/01/20		2,459,011		2,663,404
15200NAA3	CNP		1.83		02/15/16		1,507,180		1,534,716
15200NAB1	CNP		3.46		08/15/19		2,400,000		2,606,709
29365KAA1	ETI		2.12		02/01/16		846,401		864,239
29366AAA2	ENTERGY LOUISIANA INVESTMENT		2.04		09/01/23		11,000,000		11,136,679
36830HAC6	GE EQUIPMENT SMALL TICKET LLC		1.45		01/21/18		1,700,000		1,708,160
36829KAC2	GESET		1.92		07/15/16		32,398		32,413
43641NBC7	HMI		1.97		10/15/54		4,700,000		4,716,450
47787AAD9	JDOT_10-A		1.32		05/15/14		621,816		623,619
57164XAA7	MVCOT 2009-2A		4.81		07/20/31		4,816,970		5,041,344
693401AE1	PERF		4.47		12/25/14		2,900,000		2,950,322
75953MAD2	CENTERPOINT ENERGY TRANSITION		5.63		09/15/15		3,552,473		3,724,623
826502AA4	SRFC		5.27		03/20/19		379,394		394,505
82651AAA5	SRFC		5.37		09/20/19		1,009,900		1,051,608
Z914HKQ87	GFUND_11-1		2.54		04/24/47		4,800,000		7,589,101

							64,062,633		68,164,298


Asset Backed Securities - CLO
00083VAA9	ACASC_07-1		0.79		04/20/21		6,750,000		6,288,415
04010HAB8	ARES CLO FUNDS ARES		0.71		09/18/17		2,560,341		2,518,782
04010HAC6	ARES_05-10A		0.71		09/18/17		6,617,246		6,509,835
04011XAB2	ARES		0.74		02/24/18		11,146,867		10,786,154
04011XAC0	ARES		0.74		02/24/18		11,906,880		11,609,208
04963VAC2	ATR_4C-DO		0.72		06/08/19		5,246,646		5,121,561
14308VAA9	CARLYLE HIGH YIELD PARTNERS		0.88		08/11/16		7,909,803		7,779,165
158715AA0	CHAMPLAIN CLO LTD CHAM_04-1A		0.85		06/15/16		2,826,389		2,782,614
16208NAA3	CHAT		0.79		08/03/19		15,400,963		15,015,939
33736EAA9	FIRST CLO LTD		0.91		07/27/16		256,765		256,043
33736TAB4	FRST_04-2A1		0.78		12/14/16		1,888,307		1,864,487
363206AF0	GALE		0.80		04/19/21		10,000,000		9,457,010

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
42822XAA3	HICDO_07-1RA		0.91		11/12/19		11,496,786		10,861,393
482474AA1	KKR FINANCIAL CLO LTD KKR_05-1		0.83		04/26/17		809,208		786,955
48248CAA2	KKR FINANCIAL CLO LTD KKR_07-1		0.85		05/15/21		22,294,108		20,844,991
51506DAA1	LANDM_04-1A		0.82		12/15/16		8,668,096		8,527,179
51506JAA8	LANDM_05-1A		0.79		06/01/17		3,519,315		3,400,989
730018AA6	PLMR_10-1A		2.00		02/16/19		2,280,112		2,274,821
87155MAA9	SYMPH_5		1.32		01/15/24		10,000,000		9,307,420
97314VAA6	WIND RIVER CLO LTD WINDR_04-1A		0.80		12/19/16		1,958,612		1,899,854
BRS6DUE27	STANFIELD VEYRON		0.79		07/15/18		22,639,955		22,132,820
G6843PAA3	PCDO_04-4X		0.85		02/15/17		1,442,432		1,428,185

							167,618,833		161,453,820


State and Municipal
040654MP7	ARIZONA ST TRANSN BRD		5.00		07/01/20		500,000		550,100
13063BFQ0	CALIFORNIA ST		5.75		03/01/17		15,000,000		17,230,800
162393DW9	CHATTANOOGA TENN		5.00		09/01/28		1,000,000		1,104,860
181059BM7	CLARK CNTY NEV SCH DIST FOR IS		5.00		06/15/17		1,500,000		1,681,335
189194CL5	CLOVERDALE IND MULTI-SCH BLDG		5.00		07/15/19		1,365,000		1,489,365
20772JBU5	CT ST		2.12		05/15/15		1,000,000		1,036,440
254845HF0	DISTRICT COLUMBIA WTR & SWR AU		5.00		10/01/25		2,000,000		2,375,340
254845JC5	DISTRICT COLUMBIA WTR & SWR AU		5.00		10/01/25		1,000,000		1,187,670
254845JL5	DISTRICT COLUMBIA WTR & SWR AU		5.00		10/01/24		2,500,000		2,989,925
373541X22	MUNICIPAL ELEC AUTH GA		3.27		01/01/18		500,000		510,535
373541X30	MUNICIPAL ELEC AUTH GA		3.57		01/01/19		5,250,000		5,351,903
385244HG6	GRAND BLANC MICH CMNTY SCHS		5.00		05/01/20		1,000,000		1,083,440
407287KC4	HAMILTON CNTY OHIO		5.00		12/01/25		2,000,000		2,170,540
41422EDK6	HARRIS CNTY TEX MET TRAN AUTH		5.00		11/01/30		3,000,000		3,418,770
419791YH5	HAWAII ST		3.38		02/01/16		2,575,000		2,798,562
4521518T3	ILLINOIS ST		3.32		01/01/13		10,000,000		10,180,400
4521518V8	ILLINOIS ST		4.42		01/01/15		12,620,000		13,223,868
452152HP9	ILLINOIS ST		4.03		03/01/14		5,000,000		5,184,850
463655GW4	IRVINE RANCH CALIF WTR DIST JT		2.61		03/15/14		3,500,000		3,633,560
49151EXA6	KENTUCKY ST PRP & BLDG COM		5.00		10/01/17		565,000		665,412
491552YB5	KY ST TPK AUTH ECONOMIC		5.00		07/01/21		1,000,000		1,220,110
56045PBP7	MAINE MUN BD BK		5.00		09/01/21		2,000,000		2,387,880
567505GY2	MARICOPA CNTY ARIZ UN HIGH SCH		5.13		07/01/16		1,125,000		1,316,700
575579RS8	MASSACHUSETTS BAY TRANSN AUTH		5.00		07/01/20		35,000		42,941
57563EAE8	MASSACHUSETTS ST DEPT TRANSN M		1.81		01/01/15		3,100,000		3,159,954
57563EAF5	MASSACHUSETTS ST DEPT TRANSN M		2.06		01/01/16		2,000,000		2,051,480
57563EAG3	MASSACHUSETTS ST DEPT TRANSN M		2.41		01/01/17		2,305,000		2,393,812
57582PDK3	MASSACHUSETTS ST		0.83		11/01/18		2,000,000		1,864,560
57583PEN5	MASSACHUSETTS ST FED HWY		3.59		12/15/16		5,000,000		5,444,900
603827TV8	MINNEAPOLIS & ST PAUL MINN MET		5.00		01/01/15		1,035,000		1,126,453
64468TRZ2	NEW HAMPSHIRE ST HSG FIN AUTH		5.88		07/01/21		60,000		60,060
645918B69	NEW JERSEY ECONOMIC DEV AUTO R		5.00		09/01/20		5,500,000		6,458,650
64966B3L5	NEW YORK N Y		1.27		01/15/16		5,250,000		5,259,503
64966G4H2	NEW YORK NY		5.00		04/01/26		3,000,000		3,335,190
64966HSL5	NEW YORK NY		5.00		08/01/21		2,750,000		3,234,908
64966JAS5	NEW YORK NY		6.65		12/01/31		4,000,000		4,699,800
64971M5E8	NEW YORK NY CITY TRANSITIONAL		4.08		11/01/20		3,000,000		3,273,300
64971QHT3	NEW YORK N Y CITY TRANSITIONAL		5.00		11/01/27		3,000,000		3,496,560

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon		Maturity		Par		Market Value $
649906DF8	NEW YORK ST DORM AUTH REVS NON		5.00		10/01/18		1,040,000		1,225,546
650035TC2	NEW YORK ST URBAN DEV CORP REV		2.48		12/15/13		4,250,000		4,399,685
677521HS8	OHIO ST		2.18		08/01/14		3,500,000		3,627,225
709223Q38	PA TURNPIKE-E		5.00		12/01/24		1,015,000		1,180,384
745220FG3	PUERTO RICO COMWLTH INFRASTRUC		5.50		07/01/17		1,000,000		1,101,950
763682ZX2	RICHLAND CNTY S C SCH DIST NO		5.00		05/01/25		2,000,000		2,361,340
780427KA7	ROYAL OAK CITY MICH SCH DIST		5.00		05/01/19		2,000,000		2,216,200
83714RBA0	SOUTH CAROLINA STUDENT LN		0.58		12/02/19		5,000,000		4,890,500
837151AL3	SOUTH CAROLINA ST PUB SVC AUTH		0.74		07/01/13		10,000,000		10,006,300
837151AM1	SOUTH CAROLINA ST PUB SVC AUTH		0.94		06/02/14		6,750,000		6,756,818
914119HX3	UNIVERSITY CINCINNATI OHIO		5.00		06/01/18		2,015,000		2,236,993
914455KY5	UNIVERSITY MICH UNIV REVS		2.36		04/01/16		2,000,000		2,077,060
919061EX5	VALDEZ AK - EXXON PIPELINE CO		5.00		01/01/14		2,000,000		2,139,720
98458PAB1	YALE UNIVERSITY		2.90		10/15/14		1,400,000		1,478,953

							162,005,000		174,393,106



Total Fixed Income Securities							6,354,034,264		6,315,487,311


Equities
00208D408	ARC RESOURCES LTD						290,300		6,691,415
018802108	ALLIANT ENERGY CORP						230,400		9,980,928
024835100	AMER CMPS COMM						213,800		9,561,136
03836W103	PHILADELPHIA SUBURBAN CORPORAT						328,200		7,315,578
09247X101	BLACKROCK INC.						60,050		12,304,245
09784Y108	BONAVISTA ENERGY TRUST						247,100		5,026,014
13466Y105	CAMPUS CREST COMMUNITIES INC						459,329		5,355,776
15189T107	CENTERPOINT ENERGY INC.						538,800		10,625,136
156700106	CENTURYTEL INC						258,350		9,985,228
16941M109	CHINA MOBILE HONG KONG LIMITED						163,000		8,978,040
17133Q502	CHUNGHWA TELECOM CO. LTD.						271,700		8,357,492
22576C101	CRESCENT POINT ENERGY CORP						166,100		7,190,469
253868103	DIGITAL REALTY						120,350		8,902,290
279158109	ECOPETROL SA						178,600		10,910,674
29274F104	ENERSIS S A ADS						140,000		2,826,600
30161N101	EXELON CORPORATION						124,600		4,885,566
351858105	FRANCO NEVADA CORP						207,000		8,883,116
391164100	GREAT PLAINS ENERGY INCORPORAT						287,200		5,821,544
40414L109	HEALTH CARE PROPERTY INVESTORS						228,500		9,016,610
438516106	HONEYWELL INTERNATIONAL INC						48,300		2,948,715
478160104	JOHNSON & JOHNSON						124,400		8,205,424
535678106	LINEAR TECHNOLOGY CORP						325,000		10,952,500
589433101	MEREDITH CORP						163,000		5,290,980
595017104	MICROCHIP TECHNOLOGY INC						225,200		8,377,440
646025106	NEW JERSEY RESOURCES						110,100		4,907,157
649445103	NEW YORK COMMUNITY BANCORP INC						650,000		9,041,500
65473P105	NISOURCE INC						348,200		8,478,670
664397106	NORTHEAST UTILITIES						111,800		4,150,016
66987V109	NOVARTIS AG						180,400		9,995,964
67019E107	NSTAR						50,200		2,441,226
67073Y106	NV ENERGY						304,000		4,900,480

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2012


Cusip	Security Description	Coupon	Maturity	Par		Market Value $
69331C108	PG&E CORPORATION				191,000		8,291,310
69351T106	PP&L CO				193,000		5,454,180
718172109	PHILIP MORRIS INTERNATIONAL IN				134,900		11,953,489
718252604	PHILIPPINE LONG DISTANCE TEL C				129,400		8,047,386
729251108	PLUM CREEK TIMBER COMPANY INC.				211,000		8,769,160
743263105	PROGRESS ENERGY INC				182,000		9,666,020
74965L101	RLJ LODGING TRUST				335,197		6,244,720
754907103	RAYONIER INC.				157,725		6,954,095
771195104	ROCHE HOLDING AG				175,000		7,637,000
780287108	ROYAL GOLD INC				143,600		9,365,592
80105N105	SANOFI AVENTIS				282,000		10,927,500
847560109	SPECTRA ENERGY CORP				285,000		8,991,750
89151E109	TOTAL SA				191,500		9,789,480
904784709	UNILEVER N.V.				324,500		11,042,735
911312106	UNITED PARCEL SERV INC				104,900		8,467,528
92276F100	VENTAS, INC.				197,665		11,286,682
962166104	WEYERHAEUSER COMPANY				422,200		9,254,624
976657106	WISCONSIN ENERGY CORPORATION				250,700		8,819,626
98389B100	XCEL ENERGY INC				203,200		5,378,704
G16962204	BUNGE LTD				31,600		3,162,654
S62435862	SINGAPORE AIRPORT TERMINAL SER				3,263,700		6,463,286
S64555303	ICL ISRAEL CHEMICALS LTD				485,000		5,519,687
S65638751	ASCENDAS REAL ESTATE INVESTMEN				3,631,000		5,833,396
SB02PY225	SINGAPORE TELECOM				3,260,000		8,167,177
SB04PZ723	SUNTEC REAL ESTATE INVESTMENT				7,123,000		7,081,362
SB07NL190	JAPAN LOGISTICS FD				302		2,572,477
SB0D6P437	MAPLETREE LG TR				7,000,000		5,261,065
SB23HRW22	VALIDUS HOLDINGS LTD				1,000		30,950
SB23WXW97	PARKWAY HOLDINGS LIMITED				2,100,000		2,997,972
SB296MJ50	LIPPO MAPLETREE INDONESIA RETA				6,756,000		2,176,148
SB29VF024	FRANCO NEVADA CORP				17,100		734,958
SB61JC671	TREASURY WINE ESTATES LTD.				1,916,366		8,139,563
SB67C8W83	CRESCENT POINT ENERGY CORP				900		38,667
SB67JFX97	BONAVISTA ENERGY TRUST				2,100		42,443
SBOTLGM70	GZI REAL ESTATE INVESTMENT TRU				5,333,000		2,768,159

Total Equity Securities					52,189,534		459,639,474

Attached files

Allied World Assurance Co Holdings, AG Reports

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