Allied World Assurance 8-K Results of Operations and Financial Condition

Exhibit 99.3

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par			Book Value $			Fair Value $
000780ET9	ABN AMRO MTG CORP 2003-5 2A3	4/25/18		1,583,840			1,537,824			1,517,626
001330AK5	AIGMT_2007-AA ABS 2007-AA-A 144A	12/15/11		523,000			523,000			491,291
001383CM8	AIG MATCHED FUNDING CORPORATIO SENIOR CORP BND 144A	9/8/09		981,000			980,960			755,370
00206RAC6	AT&T INC CORP BND	2/5/10		438,000			438,000			436,813
00209AAE6	AT&T WIRELESS SERVICES INC CORP BND	3/1/11		15,012,000			15,735,729			15,973,178
002451AA0	AXA FINANCIAL INC CORP BND	8/1/10		10,452,000			10,814,860			10,384,809
002824AS9	ABBOTT LABORATORIES	5/15/11		1,200,000			1,217,867			1,286,676
002824AU4	ABBOTT LABORATORIES SENIOR CORP BND	4/1/19		4,000,000			3,947,680			4,010,628
01F050643	FNMA TBA 30 YR	4/1/33		(40,000,000	)		(41,250,000	)		(41,250,000	)
01N042666	GNMA TBA MBS	6/1/39		37,000,000			37,578,945			37,582,461
020039DB6	ALLTEL CORPORATION NT	7/1/12		29,225,000			29,747,813			29,747,813
021087QT1	ALPINE UTAH SCH DIST	3/15/10		4,575,000			4,620,859			4,712,387
021087QU8	ALPINE UTAH SCH DIST	3/15/11		4,775,000			4,834,810			5,045,217
02580EAZ6	AMERICAN EXPRESS BANK FSB CORP BND	6/22/09		327,000			327,000			322,572
02580EBW2	AMERICAN EXPRESS BANK FSB CORP BND	6/12/09		536,000			536,000			529,611
02580EBS1	AMER EXPRESS BK CORP BND	4/26/10		320,000			320,000			299,939
02580EBU6	AMERICAN EXPRESS BANK FSB/SALT SENIOR CORP BND	5/29/09		654,000			654,000			647,604
02580ECN1	AMERICAN EXPRESS BANK FSB CORP BND BKNT	4/16/13		20,000,000			17,409,122			17,409,122
0258M0BX6	AMERICAN EXPRESS CREDIT CO CORP BND	12/2/10		73,000			73,000			65,699
0258M0CP2	AMERICAN EXPRESS CREDIT CO SENIOR CORP BND	5/18/09		981,000			981,000			972,681
0258M0CR8	AMERICAN EXPRESS CREDIT CO SENIOR CORP BND	11/9/09		654,000			654,007			634,629
02635PSV6	AMERICAN GENERAL FINANCE CO CORP BND	5/15/10		50,000			23,500			23,500
02635PTM5	AMERICAN GENERAL FINANCE CO SENIOR CORP BND	6/29/09		719,000			719,000			654,218
02660TBM4	AHM WHOLE CMO 04-3	10/25/34		3,216,069			1,571,041			2,108,133
02666QXM0	AMERICAN HONDA FINANCE CORP 144A	12/15/10		1,250,000			1,228,009			1,231,100
02666QZS5	AMERICAN HONDA FINANCE SENIOR CORP BND 144A	5/14/09		170,000			170,000			169,898
02666QZU0	AMERICAN HONDA FINANCE CORP BND 144A	6/12/09		654,000			654,000			653,536
030610AC3	AMCAR_06-AF ABS 06-AF-A3	9/6/11		5,303,832			5,229,841			5,272,009
031162AZ3	AMGEN INC CORP BND	2/1/19		2,275,000			2,290,471			2,302,107
035229CE1	ANHEUSER-BUSCH COMPANIES INC	3/15/12		1,600,000			1,577,966			1,679,413
03588ENR0	ANNE ARUNDEL CNTY MD	3/1/13		2,000,000			2,080,473			2,243,840

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
04057PFH6	ARIZONA SCH FACS BRD CTFS	9/1/19		1,775,000		1,688,893		1,845,929
040580EC2	ARIZONA SCH FACS BRD REV	7/1/16		1,000,000		1,077,083		1,180,870
040654MP7	ARIZONA ST TRANSN BRD HWY REV	7/1/20		500,000		480,040		534,390
040654NY7	ARIZONA ST TRANSN BRD HWY REV	7/1/21		1,500,000		1,418,409		1,619,085
040688GV9	ARIZONA WTR INFRASTRUCTURE FIN AU	10/1/21		1,000,000		950,190		1,083,730
041239AE4	ARKLE_06-1A CMO 06-1A-3A 144A	8/17/11		654,000		654,000		638,762
041239AR5	ARKLE ABS 06-2A 2A1 144A	11/17/12		981,000		981,000		953,716
041826VT2	ARLINGTON TX INDPT SCH DIST	2/15/20		1,000,000		960,883		1,090,810
042707AF6	ARRMF ABS 06-2A A1B 144A	9/20/36		128,627		128,627		126,095
04271AAA9	ARRMF ABS 07-3A A1B 144A	9/16/36		291,906		291,906		283,559
04271AAB7	ARRMF ABS 07-3A A2B 144A	9/16/56		719,000		719,000		629,013
044074BZ4	ASHEVILLE NC WTR SYS REV	8/1/19		2,000,000		1,942,615		2,140,560
053611AC3	AVERY DENNISON CORPORATION	1/15/13		1,500,000		1,433,488		1,413,900
054303AS1	AVON PRODUCTS INC	1/15/11		1,700,000		1,669,939		1,746,495
05522RAR9	BACCT ABS_06-A16 A16	5/15/13		12,000,000		11,651,263		12,044,330
05522RBA5	BANK OF AMERICA CREDIT CARD TR ABS 07-A7 A7	8/15/12		131,000		131,000		127,577
05522RBS6	BACCT ABS 08-A1 A1	4/15/13		1,701,000		1,701,000		1,641,873
055451AG3	BHP BILLITON FINANCE (USA) LTD CORP BND	4/1/14		5,000,000		4,983,300		5,015,653
058508AN2	BALL ST UNIV IN UNIV REVS	7/1/18		1,900,000		1,875,595		2,027,376
059469AA4	BANC OF AMERICA ALT LN TR 06 7 A1	10/25/36		728,149		720,628		716,238
05947UDP0	BAFU CMBS_01-3 A2	4/11/37		400,000		374,863		393,699
05951KAX1	BAFC 06-7 A1	10/25/36		1,038,246		938,949		884,388
060505CP7	BANK OF AMERICA SENIOR CORP BND	9/25/09		1,380,000		1,380,000		1,368,477
060505CT9	BANK OF AMERICA SENIOR CORP BND	11/6/09		980,000		980,000		962,623
060505CY8	BANK OF AMERICA CORP BND	2/12/10		980,000		980,000		940,702
060505DA9	BANK OF AMERICA CORP CORP BND	3/15/17		74,200,000		45,003,708		45,003,708
060505DG6	BANK OF AMERICA CORP BND	8/13/10		3,270,000		3,270,000		3,063,401
060505DK7	BANK OF AMERICA CORP CORP BND	9/11/12		3,525,000		3,184,527		3,184,527
06050BAA9	BANK OF AMERICA CORP — GTD CORP BND GOVT GUAR	6/15/12		117,700,000		117,820,735		122,065,185
06050BAG6	FDIC GTD TLGP BANK OF AMERICA COR	4/30/12		2,500,000		2,499,266		2,505,075
06423AAG8	BANK ONE CO CORP BND	8/1/10		1,378,000		1,393,261		1,413,948

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
06423RAK2	BOIT ABS 02-A6 A	6/15/12		654,000		654,636		644,648
067316AA7	BACARDI LTD CORP BND 144A	4/1/14		12,100,000		12,088,989		12,111,304
06738CAF6	BARCLAYS BANK PLC CAPSEC CORP BND 144A	6/29/49		16,777,000		6,039,720		6,039,720
0673P2BK7	BARCLAYS BK PLC NY BRANCH CORP BND	8/10/09		1,570,000		1,570,000		1,565,378
071365ZL7	BATTLE CREEK MICH	5/1/11		2,025,000		2,087,737		2,147,148
071813AZ2	BAXTER INTERNATIONAL INC CORP BND	3/1/14		5,400,000		5,384,918		5,501,949
07384MWF5	BSARM WHOLE CMO 03-5	8/25/33		170,272		107,334		111,221
07386HGG0	BALTA_04-11 WHOLE CMO 04-3	4/25/34		1,398,319		627,985		627,985
07387AEG6	BSARM WHOLE CMO 05-9	10/25/35		27,461,496		27,020,002		16,574,194
07387AET8	BSARM WHOLE CMO 05-10	10/25/35		16,000,000		7,487,814		7,487,814
07388LAE0	BEAR STEARNS SENIOR CMBS 06-PW13-A4	9/11/41		38,000,000		38,513,038		28,733,035
073902CE6	BEAR STEARNS CO INC CORP BND	10/28/10		50,000		48,265		49,584
073928X73	BEAR STEARNS CO INC CORP BND	8/10/12		13,625,000		14,551,131		13,835,646
084509LZ9	BERKS CNTY PA	5/15/10		2,610,000		2,665,025		2,731,600
097023AV7	BOEING CO CORP BND	3/15/14		1,500,000		1,493,427		1,541,181
10138MAK1	BOTTLING GROUP LLC CORP BND	1/15/19		3,000,000		2,988,880		3,007,928
10513QBJ9	BRANCH BANKING & TRUST CO /WIL SENIOR CORP BND	6/7/09		85,000		85,003		84,293
108151UZ2	BRIDGEPORT CONN	7/15/17		750,000		786,043		805,590
12500GUP7	CC USA INC. CORP BND 144A	10/23/09		105,000		105,000		101,031
12513EAG9	CD SENIOR CMBS 05-CD1	7/15/44		25,000,000		24,915,562		19,591,265
12572QAD7	CME GROUP INC CORP BND	2/15/14		2,000,000		2,006,646		2,065,984
126175AH1	COMM_03-LB1A SENIOR CMBS 03-LB1A 144A	6/10/10		39,248,212		374,536		677,032
126380AB0	CREDIT SUISSE MTG CAP CERT 06-9 2	11/25/36		2,592,084		2,077,823		1,264,452
126384AJ5	CREDIT SUISSE MTG CAP 07 2 2A1	3/25/37		1,984,004		1,691,060		1,094,849
12638PBU2	CREDIT SUISSE MTG CAP 07 3 4A5	4/25/37		2,077,560		1,772,514		1,317,009
126650AV2	CVS CAREMARK CORP CORP BND	9/15/14		10,160,000		9,398,419		10,110,719
126650BH2	CVS CAREMARK CORP CORP BND	6/1/17		2,500,000		2,318,273		2,414,632
126671ZJ8	COUNTRYWIDE HOME EQUITY LN TR ABS 2003-D A	6/15/29		2,832,079		1,551,456		1,566,302
12668BJF1	COUNTRYWIDE ALT LN TR 06 OC1 2A1	3/25/36		55,401		54,753		54,786
12669E5B8	COUNTRYWIDE HOME LN 2003-50 A1	11/25/18		1,621,836		1,554,455		1,614,374
12669EYQ3	COUNTRYWIDE HOME LOANS TR WHOLE CMO 03-37	8/25/33		160,327		64,131		64,131

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
126775RR8	CABARRUS CNTY NC	2/1/18		500,000		499,292		572,440
13170FCV3	CALYON (NEW YORK BRANCH) CORP BND	2/22/10		163,000		162,972		161,598
13170FEC3	CAYLON NY BRANCH CORP BND	6/11/10		654,000		654,000		649,291
134429AM1	CAMPBELL SOUP COMPANY	2/15/11		1,550,000		1,595,331		1,672,109
134429AT6	CAMPBELL SOUP COMPANY CORP BND	2/15/19		3,000,000		2,955,176		2,955,176
135087WR1	CANADA GOVERNMENT BND	6/1/09		8,320,000		6,691,989		6,672,113
135087WX8	CANADA GOVERNMENT GOVT BND	6/1/10		18,055,000		15,306,248		15,161,747
135087XB5	CANADA GOVERNMENT BND	6/1/11		21,040,000		19,467,123		18,488,639
135087XT6	CANADA GOVERNMENT GOVT BND	9/1/09		9,300,000		7,245,125		7,511,213
135087YN8	CANADA GOVERNMENT GOVT BND	6/1/13		26,000,000		23,079,078		22,250,180
13974CAE8	CARAT 2007-2 A4A	2/18/14		12,000,000		11,543,524		11,342,280
14041NCE9	COMET ABS 05-A5 A5	4/16/12		458,000		457,936		455,156
14041NDZ1	COMET ABS_07-A9 A9	8/15/12		28,000,000		27,402,340		28,122,641
14312XAC5	CARMAX AUTO OWNER TR 08-2 A3A	10/15/12		4,000,000		3,991,601		3,984,882
143300CN9	CARMEL IND SCH BLDG CORP	7/15/20		1,695,000		1,769,166		1,921,333
144470AR2	CARRIER CREEK MI DRAIN DRAIN	6/1/22		1,000,000		917,329		1,050,180
14912L3B5	CATERPILLAR FINL SERV BND CORP MTN	5/18/09		124,000		124,008		123,575
14912L4F5	CATERPILLAR FINL SERV CORP BND	2/17/14		3,300,000		3,198,222		3,198,222
152735TB2	CENTRAL BUCKS PA SCH DIST	5/15/10		3,210,000		3,206,539		3,272,178
161045CG2	CHARLOTTE N C WTR & SWR SYS RE	6/1/19		500,000		521,416		535,625
161444AB0	CMAOT ABS_06-B A3	5/15/11		94,075		93,641		94,548
161571AT1	CHAIT ABS 05-A8	10/15/12		131,000		130,732		127,044
161571BF0	CHAIT ABS 06-A3 A3	7/15/11		405,000		405,000		404,271
161571BU7	CHAIT ABS 07-A4 A4	4/16/12		504,000		504,000		492,111
161571BW3	CHAIT ABS 07-A6 A6	4/16/12		916,000		916,000		894,364
161571BZ6	CHAIT 2007-A9 A9	6/16/14		8,700,000		7,916,158		7,778,322
161571CG7	CHASE ISSUANCE TRUST 07-A16 A16	6/16/14		5,000,000		4,625,990		4,517,100
161571CH5	CHAIT ABS_07-A17 A	10/15/14		10,000,000		9,705,024		10,034,200
161571CL6	CHAIT ABS 08-A1 A1	1/15/12		1,308,000		1,308,000		1,283,410
161571CW2	CHASE ISSUANCE TRUST 2008 A9 A9	5/15/13		5,720,000		5,492,158		5,699,351
161630AC2	CHASE WHOLE CMO_07-A1 1A3	2/25/37		21,520,063		16,824,917		16,824,917

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
161630AG3	CHASE CMO_07-A1-2A1	2/25/37		39,737,020		28,537,634		28,537,634
161630AN8	CHASE WHOLE CMO_07-A1 4A1	2/25/37		6,198,779		5,102,792		5,102,792
161630AQ1	CHASE CMO_07-A1 5A1	2/25/37		5,070,423		4,984,343		3,339,024
162419AF2	CHATTANOOGA TENN INDL DEV BRD	10/1/11		2,000,000		2,051,430		2,116,840
165573QR0	CHESTER CNTY PA	8/15/22		1,000,000		950,995		1,068,340
166751AK3	CHEVRONTEXACO CORPORATION SENIOR CORP BND	3/3/12		41,100,000		41,097,598		42,384,403
167485BM2	CHICAGO ILL MUNI BND GO	1/1/13		5,000,000		5,241,928		5,510,600
167723CG8	CHICAGO ILL TRAN AUTH CAP GRNT	6/1/10		2,070,000		2,104,466		2,151,330
172311AN2	CINCINNATI OH WTR SYS REV	12/1/14		1,750,000		1,826,552		1,917,528
17275RAE2	CISCO SYSTEMS INC CORP BND	2/15/19		4,000,000		3,941,666		3,941,666
172967BC4	CITIGROUP INC CORP BND	1/18/11		53,800,000		55,017,469		50,924,869
172967BJ9	CITIGROUP INC CORP BND	2/21/12		260,000		233,361		233,361
172967CX7	CITIGROUP INC	5/18/10		2,200,000		2,083,699		1,979,954
172967DW8	CITIGROUP INC CORP BND	12/28/09		190,000		189,835		175,421
172967EG2	CITIGROUP INC CORP BND	8/13/10		916,000		915,650		800,932
17305EBC8	CCCIT ABS 02-A8 A8	11/7/11		65,000		65,000		63,980
17305ECU7	CCCIT ABS_05-A7 A7	10/22/12		500,000		481,446		504,175
17305EDJ1	CCCIT ABS 06-A6 A6	5/24/12		327,000		326,279		315,761
17307GJG4	CMLTI ABS 04-OPT1	10/25/34		2,234,561		1,170,661		1,653,575
1730T0CT4	CITIGROUP FUNDNG SENIOR CORP BND	5/15/09		850,000		850,000		841,977
17310MAE0	CITIGROUP SENIOR CMBS 06-C5 A4	10/15/49		66,000,000		66,235,676		45,588,753
17310MBQ2	CITIGROUP COMM MTG TR 06 C5 AMP2	10/15/49		500,000		341,467		94,935
17313UAA7	CITIGROUP INC — GTD CORP BND GOVT GUAR	12/9/11		7,700,000		7,682,808		7,914,060
181059BM7	CLARK CNTY NV SCH DIST	6/15/17		1,500,000		1,495,314		1,553,565
184126UY4	CLAYTON CNTY & CLAYTON CNTY GA	5/1/20		2,000,000		1,889,627		2,141,660
189054AC3	CLOROX COMPANY	2/1/11		1,000,000		995,562		1,046,700
189194CL5	CLOVERDALE IN MULTI-SCH BLDG	7/15/19		1,365,000		1,320,855		1,444,620
190828UV3	COBB CNTY GA WTR & SEW REV	7/1/10		2,000,000		2,051,583		2,104,040
191216AL4	COCA-COLA COMPANY THE CORP BND	3/15/14		18,825,000		18,740,336		19,078,775
191219BU7	COCA-COLA ENTERPRISES INC. CORP BND	3/1/12		13,700,000		13,675,077		13,951,044
199491QC8	COLUMBUS OHIO	7/1/11		2,500,000		2,586,124		2,719,025

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
199491RW3	COLUMBUS OH	7/1/12		500,000		526,770		565,810
20046PAB4	COMM CMBS_00-C1 A2	8/15/33		299,536		294,795		301,651
20772GEY0	CONNECTICUT ST	12/1/11		4,625,000		4,806,242		5,084,818
20772GYH5	CONNECTICUT ST	6/1/17		1,750,000		1,761,649		2,007,075
20774UWJ0	CONNECTICUT ST HEALTH & EDL	7/1/10		1,125,000		1,151,378		1,177,931
207758AY9	CONNECTICUT ST SPL TAX OBLIG REV	7/1/19		650,000		618,778		693,706
20825CAS3	CONOCOPHILLIPS CORP BND	2/1/14		30,000,000		29,918,069		30,942,435
209111DJ9	CONSOLIDATED EDISON CO OF NEW YOR	9/1/10		1,000,000		1,019,749		1,058,710
209111DZ3	CONSOLIDATED EDISON CO OF NEW YOR	7/1/12		550,000		533,351		567,132
210518CS3	CONSUMERS ENERGY COMPANY CORP BND	9/15/19		2,500,000		2,498,811		2,577,552
2131838D1	COOK CNTY IL	11/15/19		1,000,000		953,780		1,058,190
225317AB2	CREDIT AGRICOLE SA CORP BND 144A	5/28/10		2,191,000		2,191,000		2,143,017
22540VGE6	CSFB SENIOR CMBS 01-CKN5-A4	9/15/34		45,787,419		45,942,039		45,568,780
22541LAN3	CREDIT SUISSE FIRST BOSTON CORP BND	6/1/09		21,530,000		21,527,954		21,569,969
22541LAQ6	CREDIT SUISSE FIRST BOSTON CORP BND	1/15/10		50,000		49,669		50,247
22541NT82	CSFB WHOLE CMO 03-8	4/25/33		49,101		88		1,021
22541NVB2	CSFB SENIOR CMBS 02-CP5 144A	12/15/35		27,904,308		134,694		279,880
22541QAM4	CS FIRST BOSTON WHOLE CMO 03-11	6/25/33		129,447		1,237		10,409
22541QDG4	CSFB MTG SECS CORP 03 C3 A3	5/15/38		2,163,886		2,059,656		2,117,946
22545BAA9	CREDIT SUISSE MTG CAP CERT 06-C2	3/15/39		1,704,680		1,658,885		1,653,673
22882MAA6	CRGT ABS 03-2 A	9/18/34		87,760		87,760		68,995
230822PL6	CUMBERLAND VALLEY PA SCH DIST	11/15/20		1,300,000		1,234,001		1,372,540
231266DM6	CURATORS UNIV MO SYS FACS REV	11/1/21		2,000,000		1,842,630		2,137,260
23322BGB8	DLJCM CMBS 99_CG3 A1B	10/10/32		219,302		217,739		220,148
23326TAA3	DEN NORSKE BANK ASA CORP BND 144A	10/13/09		1,465,000		1,465,030		1,447,259
233889AE4	DCAT 2008-B A3A	9/10/12		4,950,000		4,695,916		4,644,238
235308KE2	DALLAS TX INDPT SCH DIST	8/15/21		1,605,000		1,517,205		1,751,360
23636XAD3	DANSKE BANK A/S SENIOR CORP BND 144A	7/8/09		3,591,000		3,590,898		3,588,630
244217BK0	JOHN DEERE CAPITAL CORPORATION SENIOR CORP BND	1/15/13		5,000,000		4,852,388		4,994,992
24422EQD4	JOHN DEERE CAPITAL CORPORATION CORP BND	10/17/11		22,000,000		21,999,523		22,708,785
249164HG2	DENVER CO CITY & CNTY	8/1/21		2,000,000		1,896,987		2,176,160

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
2491817F9	DENVER COLO CITY & CNTY ARPT R	11/15/10		3,000,000		2,993,483		3,059,370
249183LD4	DENVER COLO CITY & CNTY CTFS P	5/1/20		2,325,000		2,389,289		2,451,085
249575AM3	DEPFA ACS BANK	6/28/11		2,800,000		2,954,102		2,400,496
250119BY9	DES MOINES IA MET WASTEWATER	6/1/19		1,045,000		1,005,856		1,093,561
251255C94	DETROIT MICH WTR SUPPLY SYS	7/1/33		2,000,000		2,108,378		2,208,820
251255ZJ7	DETROIT MI WTR SUPPLY SYS	7/1/22		1,000,000		1,032,257		1,050,450
25152XGZ7	DEUTSCHE BANK AG SENIOR CORP BND	10/1/09		1,243,000		1,242,814		1,233,802
25152XHQ6	DEUTSCHE BANK AG SENIOR CORP BND	1/25/10		1,112,000		1,112,000		1,098,656
254760C66	DISTRICT COLUMBIA	6/1/10		5,750,000		5,888,957		5,905,077
260003AD0	DOVER CORPORATION	2/15/11		1,000,000		1,015,993		1,061,220
263534BM0	DU PONT (EI) DE NEMOURS & COMPANY	4/30/10		1,700,000		1,690,583		1,736,346
263534BX6	EI DUPONT DE NEMOURS & CO CORP BND	3/15/15		3,000,000		2,934,746		2,934,746
264399EQ5	DUKE ENERGY CORP CORP BND	2/1/14		11,150,000		11,129,689		11,629,837
268317AA2	ELECTRICITE DE FRANCE CORP BND 144A	1/26/14		19,900,000		19,823,495		21,037,193
278058DG4	EATON CORPORATION CORP BND	3/20/14		4,000,000		3,998,611		4,003,721
282317HC3	EGG HARBOR TWP NJ SCH DIST	7/15/19		1,320,000		1,350,164		1,538,830
291011AT1	EMERSON ELECTRIC COMPANY	5/1/13		1,000,000		967,486		1,021,250
291011AY0	EMERSON ELECTRIC CO CORP BND	10/15/19		3,625,000		3,591,313		3,591,313
29268BAA9	ENEL FINANCE INTERNATIONAL SA CORP BND 144A	1/15/13		15,000,000		13,886,002		14,984,854
29270CPB5	ENERGY NORTHWEST WA ELEC REV	7/1/15		2,000,000		2,027,857		2,197,620
293791AN9	ENTERPRISE PROD OPER L.P. SENIOR CORP BND	10/15/14		25,528,000		22,567,292		23,699,750
294223LN0	EPHRATA PA AREA SCH DIST	3/1/19		500,000		478,891		512,990
302570AV8	FPL GROUP CAPITAL INC	9/1/11		1,000,000		976,896		1,062,790
302570BD7	FPL GROUP CAPITAL INC CORP BND	3/1/19		4,375,000		4,373,122		4,476,760
30769PAA0	FARMER MAC AGENCY BND 144A	7/15/11		15,900,000		15,870,361		17,279,325
31283K2C1	FHLMC GOLD POOL # G11671	11/1/14		10,686,784		10,503,642		11,055,167
31283K4C9	FHLMC GOLD POOL # G11719	6/1/20		16,429,996		16,217,774		17,137,356
31283K6U7	FHLMC GOLD POOL # G11783	8/1/15		3,950,596		3,845,698		4,074,517
31283KJU3	FHLMC GOLD POOL # G11175	12/1/14		1,317,754		1,332,213		1,386,549
31283KT40	FHLMC GOLD POOL # G11471	11/1/13		4,072,132		3,967,559		4,169,714
3128E27C4	FHLMC GOLD POOL # D96291	9/1/23		2,039,908		1,947,856		2,093,558

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
3128GYT46	FHLMC GOLD POOL # E94171	2/1/18		161,667		162,268		169,318
3128GYVB7	FHLMC GOLD POOL # E94210	2/1/18		167,395		168,071		175,600
3128GYVC5	FHLMC GOLD POOL # E94211	2/1/18		79,346		79,643		83,101
3128GYXN9	FHLMC GOLD POOL # E94285	2/1/18		165,420		166,040		173,248
3128H26M0	FHLMC GOLD POOL # E95376	3/1/18		1,613,381		1,619,874		1,692,461
3128H26W8	FHLMC GOLD POOL # E95385	2/1/18		690,738		693,507		724,594
3128H2GB3	FHLMC GOLD POOL # E94694	2/1/18		38,582		38,726		40,408
3128H2PG2	FHLMC GOLD POOL # E94923	3/1/18		702,579		705,212		735,826
3128H2UK7	FHLMC GOLD POOL # E95086	3/1/18		62,442		62,675		65,397
3128H2WU3	FHLMC GOLD POOL # E95159	3/1/18		229,835		230,702		240,711
3128H3GB1	FHLMC GOLD POOL # E95594	4/1/18		431,093		432,711		451,493
3128H3QL8	FHLMC GOLD POOL # E95859	4/1/18		164,003		164,628		171,763
3128H4DB2	FHLMC GOLD POOL # E96398	5/1/18		74,380		74,663		77,900
3128H5VJ2	FHLMC GOLD POOL # E97817	7/1/18		45,419		45,588		47,569
3128H6SY1	FHLMC GOLD POOL # E98635	8/1/18		2,048,792		2,056,496		2,145,743
3128H6WU4	FHLMC GOLD POOL # E98759	8/1/18		380,937		382,368		398,964
3128H6ZC1	FHLMC GOLD POOL # E98839	7/1/18		159,501		160,144		167,319
3128H77K2	FHLMC GOLD POOL # E99898	10/1/18		449,625		451,383		470,902
3128H7PN6	FHLMC GOLD POOL # E99429	9/1/13		3,878,317		3,779,891		3,971,255
3128H7QL9	FHLMC GOLD POOL # E99459	9/1/18		1,233,164		1,237,879		1,291,519
3128H7R95	FHLMC GOLD POOL # E99512	9/1/18		1,059,267		1,063,330		1,109,392
3128H7YH9	FHLMC GOLD POOL # E99712	10/1/18		177,259		177,950		185,647
3128JLDM8	FHLMC POOL # 1B1107	9/1/33		4,567,317		4,491,839		4,637,262
3128JLEY1	FHLMC POOL # 1B1150	9/1/33		8,065,840		7,933,096		8,149,468
3128JLHB8	FHLMC POOL # 1B1225	9/1/33		1,080,331		1,063,356		1,099,234
3128JM6N2	FHLMC POOL # 1B2776	2/1/35		4,140,676		4,092,287		4,206,885
3128JM7E1	FHLMC POOL # 1B2792	2/1/35		2,945,149		2,910,863		2,992,654
3128JMW45	FHLMC POOL # 1B2566	11/1/34		1,678,318		1,663,589		1,706,456
3128JMY68	FHLMC POOL # 1B2632	11/1/34		2,012,721		1,994,909		2,045,417
3128JMZG5	FHLMC POOL # 1B2642	11/1/34		2,856,907		2,832,003		2,934,910
3128JNAL9	FHLMC POOL # 1B2810	2/1/35		3,555,558		3,513,935		3,643,004

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
3128JRKQ8	FHLMC POOL # 847503	12/1/35		815,332		796,533		832,250
3128JRP26	FHLMC POOL # 847641	12/1/33		2,845,884		2,823,198		2,900,448
3128K17K1	FHLMC GOLD POOL # A41798	1/1/36		9,445,906		9,655,956		9,766,123
3128K8FT8	FHLMC POOL A47378	10/1/35		2,632,724		2,433,791		2,690,723
3128KDC94	FHLMC GOLD POOL # A50996	7/1/36		340,742		345,067		359,619
3128KDYX7	FHLMC GOLD POOL # A51626	8/1/36		201,246		203,795		212,169
3128KE5H2	FHLMC GOLD POOL # A52648	9/1/36		314,877		318,936		331,967
3128KEHN6	FHLMC GOLD POOL # A52037	10/1/36		546,551		553,269		576,830
3128KFBL3	FHLMC GOLD POOL # A52743	9/1/36		6,027,991		6,104,492		6,361,941
3128KLU47	FHLMC GOLD POOL # A57803	2/1/37		138,506		140,253		146,179
3128KVAR6	FHLMC GOLD POOL # A64516	8/1/37		349,987		354,497		369,376
3128KWBZ5	FHLMC GOLD POOL # A65456	9/1/37		38,863		40,363		41,065
3128KWFX6	FHLMC GOLD POOL # A65582	9/1/37		64,275		66,754		67,916
3128KWFY4	FHLMC GOLD POOL # A65583	9/1/37		84,283		87,536		89,058
3128KWT29	FHLMC GOLD POOL # A65969	9/1/37		41,653		43,260		44,012
3128KWTK9	FHLMC GOLD POOL # A65954	9/1/37		69,591		72,277		73,533
3128KWTP8	FHLMC GOLD POOL # A65958	9/1/37		60,872		63,220		64,321
3128KWTZ6	FHLMC GOLD POOL # A65968	9/1/37		43,796		45,482		46,277
3128KYXE4	FHLMC GOLD POOL # A67877	4/1/37		30,240		31,407		31,953
3128LCG75	FHLMC GOLD POOL # A78322	12/1/37		2,531,377		2,563,548		2,671,615
3128LCXZ4	FHLMC GOLD POOL # A78796	6/1/38		4,556,191		4,611,442		4,808,604
3128LXAT7	FHLMC GOLD POOL # G01818	5/1/35		36,847,664		37,606,059		38,055,840
3128M4XA6	FHLMC GOLD POOL # G03073	7/1/37		5,978,437		6,003,373		6,225,201
3128M4ZG1	FHLMC GOLD POOL # G03143	7/1/37		5,531		5,744		5,844
3128M5LF5	FHLMC GOLD POOL # G03626	12/1/37		186,639		189,026		196,757
3128M6UB2	FHLMC GOLD POOL # G04778	7/1/38		137,430		142,738		145,215
3128M6UD8	FHLMC GOLD POOL # G04780	1/1/38		570,514		577,825		602,120
3128M7AZ9	FHLMC GOLD POOL # G05124	12/1/38		406,053		421,729		429,056
3128MMAC7	FHLMC POOL G18002	7/1/19		1,381,289		1,358,434		1,433,308
3128NCBF0	FHLMC POOL # 1G0038	1/1/35		3,412,629		3,378,836		3,455,583
3128NCBH6	FHLMC POOL # 1G0040	1/1/35		1,105,944		1,085,777		1,114,973

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
3128NCBW3	FHLMC POOL # 1G0053	2/1/35		4,233,348		4,184,862		4,310,487
3128NCDH4	FHLMC POOL # 1G0104	2/1/35		1,755,175		1,737,365		1,783,274
3128QLP54	FHLMC POOL # 1H2544	11/1/35		22,903,915		22,467,216		23,295,114
3128QLPD7	FHLMC POOL # 1H2520	6/1/35		37,414,441		37,026,273		37,169,236
3128S4E52	FHLMC POOL # 1Q0156	10/1/35		12,259,825		12,141,179		12,587,516
3128X1ML8	FHLMC AGENCY BND MTN	6/30/09		40,000,000		39,891,660		40,224,000
312926W87	FHLMC GOLD POOL # A80671	11/1/37		1,628,834		1,649,649		1,720,863
312927NN2	FHLMC GOLD POOL # A81297	8/1/38		367,974		372,720		389,684
3129284B7	FHLMC GOLD POOL # A82618	10/1/38		3,494,242		3,538,601		3,687,823
3129285C4	FHLMC GOLD POOL # A82643	10/1/38		3,194,013		3,234,400		3,370,961
312928HJ6	FHLMC GOLD POOL # A82033	9/1/38		399,890		404,952		422,044
312928KL7	FHLMC GOLD POOL # A82099	9/1/38		5,132,900		5,198,431		5,417,263
312928UV4	FHLMC GOLD POOL # A82396	10/1/38		508,964		515,341		536,589
312929BZ4	FHLMC GOLD POOL # A82756	10/1/38		1,869,778		1,893,111		1,973,364
312929CM2	FHLMC GOLD POOL # A82776	1/1/39		13,263		13,775		14,014
312929MJ8	FHLMC GOLD POOL # A83061	11/1/38		458,823		464,672		483,727
31292HYA6	FHLMC POOL C01605	7/1/33		6,303,051		5,840,945		6,448,777
31292KJH1	FHLMC GOLD POOL # C02964	7/1/37		3,068		3,186		3,242
312930LH1	FHLMC GOLD POOL # A83928	1/1/39		51,347		53,329		54,256
312930LQ1	FHLMC GOLD POOL # A83935	1/1/39		54,426		56,527		57,509
312930RC6	FHLMC GOLD POOL # A84083	1/1/39		34,704		36,045		36,314
312930RV4	FHLMC GOLD POOL # A84100	1/1/39		20,290		21,074		21,439
312930TB6	FHLMC GOLD POOL # A84146	1/1/39		15,387		15,982		16,101
312930XY1	FHLMC GOLD POOL # A84295	2/1/39		2,251,496		2,278,433		2,298,636
312931TJ7	FHLMC GOLD POOL # A85053	3/1/39		5,000,000		5,113,281		5,161,500
31294KN43	FHLMC GOLD POOL # E01311	2/1/18		2,247,070		2,255,494		2,353,404
31294KP25	FHLMC GOLD POOL # E01341	3/1/18		3,236,931		3,249,089		3,390,106
31294KUR4	FHLMC GOLD POOL # E01492	10/1/18		1,503,276		1,509,084		1,574,412
31294KUT0	FHLMC GOLD POOL # E01494	9/1/18		12,543,660		12,591,939		13,137,238
3129624Q3	FHLMC GOLD POOL # B10831	11/1/18		167,721		168,363		175,658
312962J53	FHLMC GOLD POOL # B10284	10/1/18		1,576,208		1,582,351		1,650,796

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
312962KD4	FHLMC GOLD POOL # B10292	10/1/18		173,730		174,398		181,951
312962Q63	FHLMC GOLD POOL # B10477	10/1/18		28,046		28,154		29,373
312962UW1	FHLMC GOLD POOL # B10597	11/1/18		2,527,771		2,537,585		2,647,387
312963BP5	FHLMC GOLD POOL # B10946	12/1/18		162,225		162,857		169,901
312963G70	FHLMC GOLD POOL # B11122	11/1/18		847,630		850,889		887,740
312963L74	FHLMC GOLD POOL # B11250	11/1/18		56,848		57,069		59,538
312963VY4	FHLMC GOLD POOL # B11531	12/1/18		324,692		325,964		340,057
312963WH0	FHLMC GOLD POOL # B11548	12/1/18		33,334		33,465		34,911
312963ZG9	FHLMC GOLD POOL # B11643	11/1/18		192,408		193,137		201,513
3129642B4	FHLMC GOLD POOL # B12570	3/1/19		796,097		798,384		832,269
312964QW2	FHLMC GOLD POOL # B12269	2/1/19		513,756		515,725		538,068
312964RW1	FHLMC GOLD POOL # B12301	2/1/14		1,785,768		1,708,791		1,828,578
312964WX3	FHLMC GOLD POOL # B12462	10/1/18		791,695		794,744		829,159
312965A71	FHLMC GOLD POOL # B12730	3/1/14		3,121,162		3,036,627		3,195,987
312965CH7	FHLMC GOLD POOL # B12772	3/1/14		3,043,819		2,912,286		3,116,789
312965DX1	FHLMC GOLD POOL # B12818	3/1/14		2,500,180		2,391,860		2,560,117
312965DY9	FHLMC GOLD POOL # B12819	3/1/14		3,008,698		2,927,070		3,080,826
312965FY7	FHLMC GOLD POOL # B12883	3/1/14		2,632,674		2,518,956		2,695,788
312965GT7	FHLMC GOLD POOL # B12910	3/1/14		2,071,042		1,981,430		2,120,692
312965GU4	FHLMC GOLD POOL # B12911	3/1/14		2,208,540		2,113,065		2,261,486
312965MP8	FHLMC GOLD POOL # B13066	3/1/14		10,256,320		9,979,052		10,502,197
312965QA7	FHLMC GOLD POOL # B13149	11/1/18		403,604		405,138		422,703
312965WC6	FHLMC GOLD POOL # B13343	4/1/14		1,378,125		1,318,274		1,411,163
312965WD4	FHLMC GOLD POOL # B13344	4/1/14		1,852,972		1,772,661		1,897,394
312965WU6	FHLMC GOLD POOL # B13359	4/1/14		1,617,756		1,547,643		1,656,539
312965WV4	FHLMC GOLD POOL # B13360	4/1/14		2,510,476		2,401,682		2,570,660
312966WU4	FHLMC GOLD POOL # B14259	5/1/19		1,801,891		1,807,092		1,883,763
312967MC3	FHLMC GOLD POOL # B14855	6/1/14		2,593,927		2,530,736		2,683,342
312967MH2	FHLMC GOLD POOL # B14860	5/1/14		4,724,678		4,445,220		4,837,944
312968QL7	FHLMC GOLD POOL # B15859	12/1/18		3,586,236		3,601,047		3,762,015
3129696M5	FHLMC GOLD POOL # B17176	11/1/14		5,505,109		5,171,947		5,637,085

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
312969VY1	FHLMC GOLD POOL # B16931	10/1/14		10,003,716		9,832,746		10,348,554
3129714D3	FHLMC GOLD POOL # B18920	3/1/15		7,208,627		6,752,350		7,328,530
31297NKT2	FHLMC POOL A33006	8/1/35		2,538,307		2,346,726		2,594,226
31331S4Z3	FEDERAL FARM CREDIT BANK AGENCY BND	8/8/11		1,600,000		1,585,853		1,695,200
31331SG56	FEDERAL FARM CREDIT BANK AGENCY BND	6/21/10		20,300,000		20,293,072		21,053,130
31331SH97	FEDERAL FARM CREDIT BANK AGENCY BND	4/24/12		1,000,000		983,072		1,067,330
31331SP56	FEDERAL FARM CREDIT BANK AGENCY BND	7/13/12		17,475,000		16,870,302		18,705,240
31331SRZ8	FEDERAL FARM CREDIT BANK AGENCY BND	4/15/09		50,000		50,014		50,070
31331ST29	FEDERAL FARM CREDIT BANK AGENCY BND	4/25/12		1,400,000		1,381,749		1,497,300
31331SVR1	FEDERAL FARM CREDIT BANK AGENCY BND	4/27/10		15,540,000		15,543,045		16,071,468
31331VPV2	FEDERAL FARM CREDIT BANK AGENCY BND	4/1/16		2,975,000		2,957,252		3,229,065
31331XU75	FEDERAL FARM CREDIT BANK AGENCY BND	8/13/14		5,000,000		5,018,537		5,533,500
31331Y4P2	FEDERAL FARM CREDIT BANK AGENCY BND	11/6/17		11,435,000		11,460,271		12,211,437
31331YEJ5	FEDERAL FARM CREDIT BANK AGENCY BND	11/15/18		28,115,000		28,586,734		29,984,648
31331YR44	FEDERAL FARM CREDIT BANK AGENCY BND	5/21/15		10,000,000		9,879,875		10,646,000
31335H2K8	FHLMC GOLD POOL # C90778	11/1/23		3,434,700		3,279,293		3,525,032
31339YL83	FHLB AGENCY BND	1/21/11		27,000,000		26,694,190		28,142,100
3133MATQ2	FHLB AGENCY BND	2/12/10		24,000,000		24,488,958		25,315,200
3133MB2B2	FHLB AGENCY BND	2/13/15		1,800,000		1,970,623		2,244,960
3133X6PG5	FHLB AGENCY BND	4/26/10		8,000,000		7,928,146		8,260,800
3133X85H1	FHLB AGENCY BND	8/10/10		24,600,000		24,458,181		25,670,100
3133XBB20	FHLB AGENCY BND	3/17/10		250,000		252,866		258,060
3133XBMT9	FHLB AGENCY BND	11/14/14		43,345,000		42,830,416		46,823,437
3133XBT39	FHLB AGENCY BND	6/8/12		40,000,000		40,253,364		42,603,601
3133XBTH8	FHLB AGENCY BND MTN	6/11/10		23,000,000		22,658,437		23,834,210
3133XCZJ5	FHLB AGENCY BND	8/26/13		1,000,000		985,808		1,089,300
3133XD4P3	FHLB AGENCY BND	9/11/20		3,000,000		2,895,270		3,042,360
3133XLWM1	FHLB AGENCY BND	9/12/14		15,415,000		15,774,875		17,106,026
31342A6F1	FHLMC POOL # 780870	9/1/33		6,822,538		6,715,262		6,870,826
31349UCW6	FHLMC POOL # 782785	10/1/34		2,956,284		2,929,704		2,960,984
31349UEJ3	FHLMC POOL # 782837	11/1/34		5,691,981		5,621,077		5,739,446

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
31349UJM1	FHLMC POOL # 782968	1/1/35		3,571,885		3,523,572		3,610,212
31349ULB2	FHLMC POOL # 783022	2/1/35		6,448,025		6,385,365		6,457,632
31349ULF3	FHLMC POOL # 783026	2/1/35		3,547,120		3,505,537		3,570,072
31349UMF2	FHLMC POOL # 783058	3/1/35		12,059,768		11,937,046		12,189,909
3134A35H5	FHLMC AGENCY BND	9/15/10		721,000		741,783		780,028
3134A3M78	FHLMC AGENCY BND	9/15/09		44,000,000		44,279,542		45,248,280
3134A4DY7	FHLMC AGENCY NT	3/15/11		30,000,000		30,751,409		32,408,400
3134A4QD9	FHLMC AGENCY BND	7/15/12		45,300,000		45,776,883		50,020,713
3134A4UQ5	FHLMC AGENCY BND	4/15/09		250,000		250,001		250,323
3134A4US1	FHLMC AGENCY BND	7/15/09		200,000		200,449		202,322
3134A4UW2	FHLMC AGENCY BND	12/15/09		100,000		100,454		102,146
31359MD67	FNMA AGENCY BND	6/8/09		2,050,000		2,047,555		2,065,355
31359MEY5	FNMA AGENCY BND	9/15/09		20,500,000		20,630,241		21,081,585
31359MFG3	FNMA AGENCY BND	1/15/10		1,450,000		1,477,022		1,525,806
31359MFS7	FNMA AGENCY BND	6/15/10		50,000,000		51,072,307		53,551,000
31359MHK2	FNMA AGENCY BND	3/15/11		500,000		506,413		539,045
31359MJH7	FNMA AGENCY BND	5/15/11		8,000,000		8,106,116		8,766,160
3136F3TQ9	FNMA AGENCY BND	5/27/10		11,000,000		10,853,132		11,327,800
31371KBQ3	FNMA POOL # 253947	8/1/31		21,329		22,125		22,722
31371LDX4	FNMA POOL 254918	9/1/33		1,243,963		1,154,161		1,273,893
31371LZJ1	FNMA POOL # 255545	1/1/15		5,221,796		5,026,390		5,358,607
31371MFY8	FNMA POOL # 255883	8/1/35		14,407,947		14,105,178		14,729,266
31371QU71	FNMA POOL # 259006	3/1/30		69,188		71,744		73,841
31375BUQ8	FNMA POOL # 330091	2/1/23		154,932		160,829		165,340
31375KSE8	FNMA POOL # 337217	12/1/24		57,420		60,025		61,672
31376CTB0	FNMA POOL # 351646	12/1/24		12,693		13,182		13,546
31376KKG0	FNMA POOL # 357695	1/1/20		1,060		1,030		1,098
31376KKK1	FNMA POOL # 357698	1/1/15		2,721,826		2,666,913		2,816,001
31377XSA6	FNMA POOL # 390313	6/1/27		107,716		111,957		115,020
31379T6G4	FNMA POOL # 429371	2/1/14		62,972		62,506		65,053
3137EAAD1	FHLMC AGENCY BND	4/18/16		50,000,000		51,822,833		56,471,500

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
3137EABA6	FHLMC AGENCY BND	11/17/17		50,000,000		51,269,637		55,999,500
31382NR20	FNMA POOL # 487505	4/1/29		1,113		1,144		1,155
31384VP63	FNMA POOL # 535145	2/1/30		931,090		965,714		991,902
31384VP97	FNMA POOL # 535148	2/1/30		217,322		225,423		231,516
31384VUE0	FNMA POOL # 535281	4/1/30		1,161,638		1,204,953		1,237,508
31384WLB4	FNMA POOL # 535922	3/1/31		64,875		67,282		69,238
31384WVT4	FNMA POOL # 536226	5/1/30		42,033		43,592		44,860
31384Y2A3	FNMA POOL # 538169	4/1/30		68,565		71,105		73,176
31385FVZ6	FNMA POOL # 543432	6/1/30		142,475		147,763		152,056
31385GZH0	FNMA POOL # 544444	9/1/30		1,575		1,634		1,681
31385QRZ7	FNMA POOL # 549604	8/1/30		5,674		5,884		6,055
31385RB58	FNMA POOL # 550060	4/1/30		1,720,522		1,811,078		1,871,068
31385VYT2	FNMA POOL # 554322	9/1/30		72,540		75,228		77,418
31385W6Z7	FNMA POOL # 555388	3/1/18		1,718,485		1,691,190		1,803,931
31385XEW3	FNMA POOL # 555549	6/1/18		657,248		652,122		686,653
31385XK48	FNMA POOL # 555715	7/1/33		2,046,721		2,026,907		2,082,970
31385XM87	FNMA POOL 555783	10/1/33		5,860,757		5,437,639		6,001,767
31386XQU3	FNMA POOL # 576567	2/1/31		2,537,697		2,631,322		2,708,349
31387EBE6	FNMA POOL # 581537	6/1/31		80,257		83,247		85,498
31388DTM0	FNMA POOL # 601856	1/1/31		34,577		35,950		36,922
31388HTX7	FNMA POOL # 605466	8/1/31		30,145		31,275		32,114
31388UJF8	FNMA POOL # 615062	1/1/17		2,325,966		2,289,876		2,441,617
31388XVV3	FNMA POOL # 618128	8/1/33		8,719,243		8,523,589		8,672,998
31389EU78	FNMA POOL # 623506	12/1/11		705,035		708,045		738,172
31389EVA0	FNMA POOL # 623509	12/1/16		3,660,347		3,691,191		3,834,946
31389EVB8	FNMA POOL # 623510	12/1/16		3,594,664		3,623,617		3,766,129
31389FPM8	FNMA POOL # 624228	1/1/17		1,550,448		1,526,358		1,627,539
31389FQ62	FNMA POOL # 624277	1/1/17		1,098,832		1,081,756		1,153,468
31389XHM8	FNMA POOL # 638436	3/1/12		525,586		532,771		553,603
31391AKC2	FNMA POOL # 660991	7/1/32		9,749		10,113		10,386
31391PTM8	FNMA POOL # 672956	12/1/17		26,884,103		26,904,771		28,082,012

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
31391PUF1	FNMA POOL # 672982	12/1/17		700,814		695,361		733,051
31392JTP4	FNR 03 20 HP	10/25/16		160,614		159,599		162,984
31393DL74	FNR 2003 80 CA	4/25/30		599,094		585,068		603,842
31393EFX2	FNR 03 79 NL	5/25/22		1,539,111		1,555,232		1,561,535
31393KLM5	FEDERAL HOME LOAN MTG CORP 2570 C	7/15/17		924,379		910,782		945,547
31393LJD6	FHR 2564 GC	8/15/30		1,389,186		1,379,820		1,399,005
31393M5X5	FHLMC CMO AGENCY CMO 2580	12/15/16		2,332,902		74,677		79,552
31393MFK2	FEDERAL HOME LOAN MTG CORP 2591 W	2/15/30		1,778,063		1,737,276		1,793,287
31393QVD1	FHR 2618 NE	6/15/13		708,782		705,483		723,253
31393VPH8	FHLMC_2627 CMO 2628-OD	7/15/17		31,560,900		30,907,659		32,888,094
31395RAR9	FREDDIE MAC REFERENCE REMIC R001	4/15/15		1,552,228		1,539,779		1,564,221
31396A7E8	FHLMC_3035 CMO AGENCY 3038 XA	9/15/35		1,066,300		967,551		983,236
31396AFE9	FHLMC_3035 AGENCY CMO 3028	12/15/26		10,977,311		10,973,837		11,231,985
31396KS45	FNMA_06-65 CMO AGENCY 6-81 LF1	9/25/36		538,779		502,988		526,603
31396NAL0	FHLMC AGENCY CMO 3138 X	4/15/36		952,028		910,615		910,615
31396PV24	FNR CMO 07-22 FG	3/25/37		10,500,391		10,075,774		10,280,771
31396TYH0	FHLMC AGENCY CMO 3167 X	6/15/36		3,370,604		3,048,680		3,115,449
31396VDA3	FNMA_07-41 CMO 7-27 XA	5/25/35		459,458		432,258		432,258
31396VV21	FNMA_07-41 AGENCY CMO 07-42 LF	5/25/37		639,162		607,204		607,204
31396WBP0	FNR CMO 07-56 FA	6/25/37		19,220,007		18,442,900		18,741,429
31396WCB0	FNMA_07-53 AGENCY CMO 07-56 GY	6/25/37		73,841		72,084		73,051
31396WDG8	FNMA_07-53 AGENCY CMO 07-53 UF	6/25/37		654,722		584,541		616,879
31396XQH0	FNR CMO 07-89 EF	9/25/37		15,269,786		14,827,271		14,886,515
31397F7E6	FHLMC_3271 AGENCY CMO 3274 SX	7/15/36		399,139		420,419		384,012
31397FES7	FHLMC_3271 AGENCY CMO 3275 UF	2/15/37		674,670		619,407		658,411
31397FYK2	FHLMC AGENCY CMO 3291 XA	3/15/37		1,207,706		1,041,492		1,150,340
31397KTK7	FHR CMO 3380 FP	11/15/36		34,596,470		33,544,738		33,544,738
31400EGH7	FNMA POOL # 685200	3/1/18		578,412		573,909		604,290
31400JL98	FNMA POOL # 688952	4/1/33		9,255,502		9,156,598		9,378,682
31400QJ87	FNMA POOL # 694287	3/1/33		245,393		242,931		250,783
31400SA33	FNMA POOL # 695826	4/1/18		538,982		534,777		563,095

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
31400UQV9	FNMA POOL 698068	4/1/33		802,105		793,554		833,812
31401A3C9	FNMA POOL # 702895	4/1/18		671,605		666,371		701,827
31402DC24	FNMA POOL # 725589	7/1/34		92,186,678		94,380,383		95,278,631
31402DGQ7	FNMA POOL # 725707	8/1/19		2,276,062		2,258,170		2,373,783
31402QXK2	FNMA POOL # 735182	2/1/31		1,070,974		1,117,086		1,153,974
31402RF87	FNMA POOL # 735591	6/1/35		13,945,984		13,644,633		14,413,734
31402RSS9	FNMA POOL # 735929	8/1/32		1,638,814		1,700,310		1,751,995
31402YFB5	FNMA POOL # 741862	9/1/33		44,568		45,926		46,423
31402YSV7	FNMA POOL # 742232	9/1/33		190,951		187,991		194,872
31403C2L4	FNMA POOL # 745179	4/1/19		2,386,264		2,367,556		2,493,023
31403C3B5	FNMA POOL # 745194	5/1/19		9,587,159		9,432,467		10,063,849
31403C3T6	FNMA POOL # 745210	1/1/19		18,454,815		18,158,397		19,372,421
31403CWU1	FNMA POOL # 745059	9/1/35		17,682,299		17,558,862		17,818,508
31403DC56	FEDERAL NATIONAL MTG ASSOC # 7453	12/1/20		13,583,554		13,231,161		14,048,382
31403DC72	FNMA POOL 745394	11/1/20		8,205,445		7,992,620		8,486,235
31403DCC1	FNMA POOL # 745367	12/1/18		8,790,186		8,648,947		9,227,250
31403DCE7	FNMA POOL # 745369	12/1/19		1,364,856		1,354,124		1,423,455
31403DCZ0	FNMA POOL # 745388	11/1/18		4,644,878		4,608,545		4,852,685
31403DJG5	FNMA POOL # 745563	8/1/34		38,026		39,108		39,576
31403DVZ9	FNMA POOL # 745932	11/1/36		418,792		433,993		441,222
31403KDB6	FNMA POOL # 750798	12/1/33		274,482		270,330		280,916
31403NYJ0	FNMA POOL # 754113	12/1/33		44,459		46,124		47,363
31403SBL9	FNMA POOL # 756143	7/1/30		346,507		360,251		370,005
31403VBR9	FNMA POOL # 758848	1/1/19		687,503		682,110		718,261
31404EGE0	FNMA POOL # 766197	2/1/34		57,108		58,853		59,437
31404NBP0	FNMA POOL # 773246	2/1/35		2,617,520		2,591,897		2,654,719
31404RA98	FNMA POOL # 775932	6/1/28		43,684		45,407		46,646
31404RAX5	FNMA POOL # 775922	10/1/28		180,181		186,856		191,949
31404SFP5	FNMA POOL # 776974	4/1/34		8,997		9,272		9,363
31404XLJ1	FNMA POOL # 781629	12/1/34		643,458		663,122		669,694
31405QNR5	FNMA POOL # 796100	10/1/34		2,531		2,603		2,634

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
31405UMM8	FNMA POOL # 799664	10/1/34		1,016,391		1,008,499		1,027,685
31405UTZ2	FNMA POOL # 799868	11/1/34		376,508		373,200		380,596
31406BB90	FNMA POOL # 804764	1/1/35		4,378,042		4,338,742		4,439,916
31406BEZ9	FNMA POOL # 804852	12/1/34		3,661,749		3,629,130		3,708,667
31406BJF8	FNMA POOL # 804962	1/1/35		4,729,623		4,688,775		4,807,484
31406BQQ6	FNMA POOL # 805163	1/1/35		5,048,909		5,000,634		5,135,767
31406DG67	FNMA POOL # 806721	11/1/34		7,953,830		7,887,218		8,094,206
31406MYP5	FNMA POOL # 814418	3/1/35		4,420,670		4,375,274		4,468,139
31406PD71	FNMA POOL # 815626	5/1/35		15,339,218		15,204,085		15,619,176
31406QLT2	FNMA POOL # 816738	1/1/30		1,118,489		1,160,150		1,191,541
31406TLC3	FNMA POOL # 819423	4/1/35		6,742,592		6,681,337		6,941,593
31406TWR8	FNMA POOL # 819756	1/1/35		1,867,536		1,850,128		1,888,380
31406VHE9	FNMA POOL # 821129	5/1/35		6,219,697		6,156,685		6,346,210
31407CE29	FNMA POOL # 826453	7/1/35		1,612		1,657		1,676
31407FG53	FNMA POOL # 829220	8/1/35		4,026		4,141		4,187
31407FKM1	FNMA POOL 829300	9/1/35		1,996,720		1,847,772		2,042,265
31407FUW8	FNMA POOL # 829597	8/1/35		5,826,284		5,765,318		5,948,239
31407JXG2	FNMA POOL # 832379	8/1/35		2,305,741		2,281,115		2,333,982
31407RQD9	FNMA POOL # 838452	9/1/35		75,484		77,812		78,509
31408BKL1	FNMA POOL # 846399	5/1/29		2,620,786		2,718,097		2,791,956
31408DWH3	FNMA POOL 848548	12/1/35		1,888,259		1,747,532		1,931,330
31408FJR1	FNMA POOL # 849972	2/1/29		2,103,403		2,181,476		2,240,782
31409AFL8	FNMA POOL # 865171	2/1/36		2,062		2,125		2,147
31409GML7	FNMA POOL # 870763	7/1/36		3,729,317		3,900,050		3,929,048
31410F2Q7	FNMA POOL # 888283	8/1/34		1,976,393		2,022,878		2,042,682
31410F5M3	FNMA POOL # 888352	5/1/37		27,741		28,540		28,889
31410FU60	FNMA POOL # 888105	8/1/20		1,888,422		1,873,529		1,972,567
31410G6J7	FNMA POOL # 889273	4/1/38		108,390		111,655		112,878
31410GC84	FNMA POOL # 888495	7/1/35		4,357,727		4,315,270		4,495,226
31410GD83	FNMA POOL # 888527	4/1/34		801,322		786,620		813,380
31410GDF7	FNMA POOL # 888502	6/1/33		2,954,778		2,917,354		3,001,671

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
31410GDL4	FNMA POOL # 888507	2/1/35		11,657,564		11,460,077		11,753,287
31410GDN0	FNMA POOL # 888509	6/1/33		305,907		299,452		308,131
31410GDP5	FNMA POOL # 888510	6/1/35		10,203,016		9,998,131		10,461,051
31410GDS9	FNMA POOL # 888513	2/1/34		451,719		445,810		455,296
31410GDY6	FNMA POOL # 888519	1/1/35		1,453,920		1,429,721		1,475,733
31410GJ46	FNMA POOL # 888683	12/1/19		6,509,882		6,458,644		6,802,827
31410GW90	FNMA POOL# 889072	12/1/37		3,786,234		3,886,236		3,989,221
31410KEQ3	FNMA POOL # 889443	4/1/38		3,429,234		3,533,724		3,571,224
31410KMF8	FNMA POOL # 889658	6/1/38		421,000		432,522		443,570
31410KS47	FNMA POOL # 889839	12/1/35		18,477		19,003		19,230
31410KTP9	FNMA POOL # 889858	7/1/38		63,384		65,802		66,424
31410KX74	FNMA POOL # 890002	9/1/36		28,400,028		28,422,464		29,582,146
31410KXA7	FNMA POOL # 889973	9/1/38		909,581		935,527		944,036
31410KXQ2	FNMA POOL # 889987	8/1/38		451,909		470,051		473,587
31410KXR0	FNMA POOL # 889988	8/1/38		1,782,680		1,850,820		1,863,735
31410UGR7	FNMA POOL # 897608	3/1/37		110,960		115,200		116,006
31410V4A5	FNMA POOL # 899117	4/1/37		54,044		56,109		56,502
31410V4C1	FNMA POOL # 899119	4/1/37		10,313		10,611		10,740
31411BBW2	FNMA POOL # 902853	12/1/36		17,670		18,182		18,402
31411BJC8	FNMA POOL # 903059	12/1/36		250,050		259,593		261,419
31411BQJ5	FNMA POOL # 903257	10/1/36		48,440		50,449		51,034
31411DVG1	FNMA POOL # 905215	11/1/36		2,702,816		2,771,480		2,785,165
31411EYW1	FNMA POOL # 906225	1/1/37		37,188		38,678		38,971
31411GNS7	FNMA POOL # 907701	2/1/37		104,549		108,744		109,564
31411HXH8	FNMA POOL # 908880	2/1/37		68,805		71,411		71,411
31411J7B6	FNMA POOL # 909990	3/1/37		81,164		84,419		85,057
31411KDP5	FNMA POOL # 910110	3/1/37		6,150		6,383		6,383
31411KE82	FNMA POOL # 910159	3/1/37		7,176		7,464		7,521
31411LXD8	FNMA POOL # 911576	4/1/37		2,820		2,906		2,936
31411N6G7	FNMA POOL # 912671	3/1/37		3,896		4,007		4,057
31411NWC7	FNMA POOL # 912443	3/1/37		46,476		48,237		48,237

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
31411RFD5	FNMA POOL # 912864	2/1/37		100,737		104,553		104,553
31411RFF0	FNMA POOL # 912866	2/1/37		168,127		174,546		175,772
31411S7J9	FNMA POOL # 914497	3/1/37		81,594		84,693		85,508
31411VFE4	FNMA POOL # 915565	4/1/37		101,465		105,535		106,332
31411VNF2	FNMA POOL # 915790	7/1/37		5,503,974		5,643,463		5,671,669
31411VTQ2	FNMA POOL # 915959	4/1/37		54,332		56,390		56,390
31411WXG7	FNMA POOL # 916979	4/1/37		87,894		91,422		92,110
31411WXL6	FNMA POOL # 916983	4/1/37		184,289		191,334		192,668
31411WXP7	FNMA POOL # 916986	4/1/37		2,026,244		2,041,122		2,110,142
31411XMU6	FNMA POOL # 917571	4/1/37		67,476		70,052		70,544
31411YCA9	FNMA POOL # 918165	5/1/37		1,772,269		1,785,250		1,845,651
31411YCT8	FNMA POOL # 918182	5/1/37		2,075,240		2,090,419		2,161,167
31411YEK5	FNMA POOL # 918238	5/1/37		13,068		13,449		13,610
31411YNU3	FNMA POOL # 918503	6/1/37		65,317		67,208		68,022
31411YZX4	FNMA POOL # 918858	4/1/37		38,461		39,574		40,054
31412CEK2	FNMA POOL # 920938	1/1/37		26,716		27,823		28,147
31412FK69	FNMA POOL # 923817	4/1/37		27,571		28,370		28,713
31412L2N9	FNMA POOL # 928781	10/1/37		220,297		226,719		229,419
31412LB74	FNMA POOL # 928062	2/1/37		6,425		6,611		6,691
31412LBJ8	FNMA POOL # 928041	12/1/36		182,865		190,201		191,636
31412LD64	FNMA POOL # 928125	3/1/37		60,413		62,247		62,915
31412LDY3	FNMA POOL # 928119	3/1/37		139,752		145,357		146,456
31412LEH9	FNMA POOL # 928136	2/1/37		7,364		7,660		7,717
31412LFX3	FNMA POOL # 928182	4/1/37		215,590		223,756		223,756
31412LKE9	FNMA POOL # 928293	5/1/37		1,549,823		1,561,503		1,613,994
31412LQW3	FNMA POOL # 928469	7/1/37		21,589		22,236		22,483
31412MJ82	FNMA POOL # 929187	3/1/38		1,596,787		1,644,518		1,662,903
31412MLU0	FNMA POOL # 929239	2/1/38		326,214		335,665		339,722
31412MYX0	FNMA POOL # 929626	6/1/38		298,265		306,683		310,615
31412N2A3	FNMA POOL # 930569	2/1/39		455,187		469,210		474,034
31412N2F2	FNMA POOL # 930574	2/1/39		41,224		42,487		42,824

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
31412NHJ8	FNMA POOL # 930033	10/1/38		169,488		174,315		177,194
31412NHL3	FNMA POOL # 930035	10/1/38		326,486		336,614		340,004
31412NLN4	FNMA POOL # 930133	11/1/38		129,781		133,756		135,154
31412NLS3	FNMA POOL # 930137	11/1/38		244,257		251,312		254,370
31412NP83	FNMA POOL # 930247	12/1/38		800,517		830,600		838,917
31412NR24	FNMA POOL # 930305	12/1/38		371,500		385,424		389,320
31412NU38	FNMA POOL # 930402	1/1/39		286,322		295,004		298,177
31412NUL8	FNMA POOL # 930387	1/1/39		2,625,106		2,711,332		2,711,472
31412NUP9	FNMA POOL # 930390	1/1/39		2,504,526		2,587,677		2,587,677
31412NUQ7	FNMA POOL # 930391	1/1/39		269,299		278,158		278,159
31412NUT1	FNMA POOL # 930394	1/1/39		153,286		158,329		158,329
31412NXB7	FNMA POOL # 930474	1/1/39		1,962,245		2,025,776		2,026,803
31412NXE1	FNMA POOL # 930477	1/1/39		3,207,750		3,317,127		3,320,663
31412TLQ4	FNMA POOL # 934235	1/1/39		294,850		303,409		307,059
31412TM26	FNMA POOL # 934277	6/1/38		9,373,993		9,664,000		9,738,641
31412TMZ3	FNMA POOL # 934276	6/1/38		20,938		21,581		21,804
31412TRT2	FNMA POOL # 934398	9/1/38		15,365		15,803		16,064
31412TXD0	FNMA POOL # 934576	10/1/38		87,890		90,554		91,529
31412TYS6	FNMA POOL # 934621	11/1/38		107,804		111,091		112,267
31412XS47	FNMA POOL # 938039	7/1/37		25,582		26,312		26,641
31412XSX3	FNMA POOL # 938034	7/1/37		179,588		186,391		186,391
31412YCZ3	FNMA POOL # 938488	5/1/37		18,460		19,033		19,160
31413AGA5	FNMA POOL # 939493	6/1/37		4,245		4,366		4,421
31413BGL9	FNMA POOL # 940403	6/1/37		5,610		5,770		5,865
31413BWA5	FNMA POOL # 940841	8/1/37		1,345		1,386		1,401
31413CLH0	FNMA POOL # 941428	7/1/37		8,936,921		9,256,844		9,344,445
31413FGZ9	FNMA POOL # 944016	8/1/37		4,460		4,587		4,663
31413LNN5	FNMA POOL # 948697	8/1/37		4,692,095		4,854,508		4,910,203
31413NY66	FNMA POOL # 950833	11/1/37		8,676,683		9,019,574		9,072,340
31413USF7	FNMA POOL # 956018	11/1/37		928,193		958,438		969,929
31414BNQ9	FNMA POOL # 961299	1/1/38		334,934		344,546		348,802

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
31414CEG9	FNMA POOL # 961935	3/1/38		241,229		248,153		251,217
31414CYF9	FNMA POOL # 962510	4/1/38		244,841		252,233		254,978
31414CZ35	FNMA POOL # 962562	4/1/38		241,811		249,208		251,823
31414DDA1	FNMA POOL # 962797	4/1/38		161,406		166,205		168,089
31414DT48	FNMA POOL # 963271	5/1/38		181,669		188,599		190,384
31414E3T9	FNMA POOL # 964410	7/1/38		20,442		21,282		21,537
31414E5L4	FNMA POOL # 964451	7/1/38		31,557		32,759		33,071
31414E5W0	FNMA POOL # 964461	7/1/38		16,446		16,921		17,127
31414EAG9	FNMA POOL # 963607	6/1/38		7,761		7,997		8,083
31414EBW3	FNMA POOL # 963653	6/1/38		940		966		976
31414EHG2	FNMA POOL # 963831	6/1/38		18,525		19,231		19,413
31414EMG6	FNMA POOL # 963959	7/1/38		22,204		23,050		23,269
31414EV84	FNMA POOL # 964239	7/1/38		102,245		105,229		106,478
31414FPP0	FNMA POOL # 964930	8/1/38		7,325		7,538		7,628
31414FUR0	FNMA POOL # 965092	9/1/38		26,587		27,367		27,688
31414HDG9	FNMA POOL # 966403	12/1/37		2,191		2,254		2,282
31414HKV8	FNMA POOL # 966608	2/1/38		4,007		4,123		4,172
31414KJQ4	FNMA POOL # 968371	9/1/38		18,783		19,354		19,561
31414M7A8	FNMA POOL # 970789	11/1/38		155,105		159,569		161,527
31414MHG4	FNMA POOL # 970131	3/1/38		11,636		11,969		12,118
31414MXJ0	FNMA POOL # 970581	10/1/38		7,239		7,450		7,538
31414NCL6	FNMA POOL # 970875	12/1/38		266,782		274,572		277,828
31414NH31	FNMA POOL # 971050	2/1/39		2,975,441		3,073,072		3,073,072
31414NH49	FNMA POOL # 971051	2/1/39		3,928,209		4,057,447		4,057,447
31414NHX5	FNMA POOL # 971046	1/1/39		172,861		177,830		180,018
31414NHY3	FNMA POOL # 971047	1/1/39		1,993,743		2,071,300		2,071,300
31414NHZ0	FNMA POOL # 971048	1/1/39		1,900,317		1,974,239		1,974,239
31414QAF4	FNMA POOL # 972606	4/1/38		163,170		168,157		169,926
31414RLM5	FNMA POOL # 973832	3/1/38		204,644		212,460		214,461
31414RLP8	FNMA POOL # 973834	3/1/38		33,987		34,957		35,532
31414RNK7	FNMA POOL # 973894	3/1/38		92,473		95,304		96,302

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
31414RTB1	FNMA POOL # 974046	2/1/38		3,048,996		2,923,102		3,146,701
31414SX57	FNMA POOL # 975100	6/1/38		154,783		159,288		161,192
31414TRX1	FNMA POOL # 975802	4/1/38		93,318		96,016		97,182
31414U3X4	FNMA POOL # 977014	5/1/38		23,622		24,314		24,600
31414U4V7	FNMA POOL # 977036	5/1/38		197,984		203,726		206,181
31414XW24	FNMA POOL # 979565	10/1/38		16,344		16,968		17,128
31414XWJ7	FNMA POOL # 979549	10/1/38		311,969		321,084		324,886
31415A4A6	FNMA POOL # 981517	7/1/38		992		1,021		1,033
31415AUQ2	FNMA POOL # 981291	6/1/38		29,137		29,981		30,343
31415AV57	FNMA POOL # 981336	7/1/38		143,254		147,474		149,186
31415AVE8	FNMA POOL # 981313	6/1/38		13,433		13,841		13,989
31415BKW8	FNMA POOL # 981909	6/1/38		15,405		15,993		16,144
31415LAC1	FNMA POOL # 983003	5/1/38		4,398		4,526		4,581
31415LNZ6	FNMA POOL # 983408	6/1/38		91,880		95,386		96,057
31415MDW2	FNMA POOL # 984017	6/1/38		28,679		29,774		30,055
31415MP74	FNMA POOL # 984346	5/1/38		2,194		2,258		2,285
31415MPA7	FNMA POOL # 984317	5/1/38		24,191		24,889		25,193
31415P2C1	FNMA POOL # 985571	6/1/38		739,072		757,515		763,388
31415PKV9	FNMA POOL # 985108	7/1/38		13,089		13,472		13,631
31415PKW7	FNMA POOL # 985109	7/1/38		41,408		42,988		43,394
31415PL30	FNMA POOL # 985146	9/1/38		11,151		11,576		11,585
31415PYL6	FNMA POOL # 985515	6/1/38		47,200		48,560		49,154
31415PYM4	FNMA POOL # 985516	6/1/38		688,220		709,088		716,716
31415PYN2	FNMA POOL # 985517	6/1/38		107,450		110,783		111,899
31415R3X0	FNMA POOL # 987414	7/1/38		1,871		1,926		1,949
31415RBS2	FNMA POOL # 986649	9/1/37		581,234		596,375		612,395
31415RE91	FNMA POOL # 986760	7/1/38		76,397		78,767		79,561
31415RFA7	FNMA POOL # 986761	7/1/38		1,586,853		1,611,661		1,652,558
31415RN83	FNMA POOL # 987015	7/1/38		1,817,761		1,863,264		1,873,145
31415RPR9	FNMA POOL # 987032	8/1/38		11,740		12,086		12,226
31415SK43	FNMA POOL # 987815	9/1/38		1,124		1,157		1,170

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
31415SWQ1	FNMA POOL # 988155	11/1/38		97,965		100,851		102,021
31415TFD7	FNMA POOL # 988564	8/1/38		79,313		81,703		82,597
31415TFQ8	FNMA POOL # 988575	8/1/38		54,642		56,252		56,904
31415UZG5	FNMA POOL # 990043	9/1/38		5,402		5,560		5,626
31415VP58	FNMA POOL # 990644	9/1/38		32,107		33,050		33,436
31415VP66	FNMA POOL # 990645	9/1/38		1,169		1,203		1,217
31415VP74	FNMA POOL # 990646	9/1/38		11,358		11,691		11,828
31415VZW8	FNMA POOL # 990957	9/1/23		744,245		728,027		771,795
31415WAD5	FNMA POOL # 991104	12/1/38		685,410		711,562		718,288
31415WN90	FNMA POOL # 991516	11/1/38		329,226		338,623		344,195
31415XEM9	FNMA POOL # 992140	10/1/38		602,135		620,506		627,067
31415XEN7	FNMA POOL # 992141	10/1/38		2,030,818		2,103,938		2,128,392
31415XJM4	FNMA POOL # 992268	11/1/38		316,170		325,485		329,261
31415XS28	FNMA POOL # 992537	11/1/38		208,682		214,634		218,170
31415XS51	FNMA POOL # 992540	11/1/38		135,004		138,847		141,142
31415XSZ5	FNMA POOL # 992536	11/1/38		124,959		128,835		130,133
31415YEX3	FNMA POOL # 993050	12/1/38		6,344		6,529		6,607
31415YFV6	FNMA POOL # 993080	12/1/38		222,245		230,723		232,905
31415YG78	FNMA POOL # 993122	1/1/39		580,694		602,848		603,283
31415YZM4	FNMA POOL # 993648	12/1/38		134,900		140,314		141,371
31416A2A7	FNMA POOL # 994569	1/1/39		29,575		30,420		30,723
31416AHJ2	FNMA POOL # 994033	1/1/39		212,097		220,194		220,327
31416ARW2	FNMA POOL # 994301	1/1/39		164,968		171,369		171,369
31416H5E1	FNMA POOL # AA0844	12/1/38		5,918,065		6,141,695		6,148,278
31416H5F8	FNMA POOL # AA0845	1/1/39		5,005,433		5,196,163		5,245,534
31416H6M2	FNMA POOL # AA0875	1/1/39		1,212,322		1,258,404		1,270,474
31416HKQ7	FNMA POOL # AA0302	1/1/39		328,785		341,361		341,542
31416HLE3	FNMA POOL # AA0324	2/1/39		36,229		37,264		37,635
31416HLF0	FNMA POOL # AA0325	3/1/39		92,734		95,611		96,342
31416HXW0	FNMA POOL # AA0692	12/1/38		187,141		194,297		195,650
31416J4P3	FNMA POOL # AA1729	1/1/39		6,209,937		6,444,329		6,507,816

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
31416JH20	FNMA POOL # AA1148	1/1/39		190,551		197,809		199,691
31416JYD7	FNMA POOL # AA1607	1/1/39		499,432		518,277		523,389
31416KA32	FNMA POOL # AA1825	1/1/39		145,283		150,920		150,920
31416KA40	FNMA POOL # AA1826	1/1/39		217,996		226,333		226,454
31416KD47	FNMA POOL # AA1922	1/1/39		470,715		489,578		493,294
31416KEG9	FNMA POOL # AA1934	1/1/39		772,032		801,494		807,135
31416KEQ7	FNMA POOL # AA1942	1/1/39		170,165		175,444		177,211
31416KNC8	FNMA POOL # AA2186	2/1/39		25,154		25,873		26,130
31416LTW6	FNMA POOL # AA3264	2/1/39		119,668		123,380		124,323
31421AAU7	FNMA POOL # MC0018	12/1/38		16,829		17,471		17,484
31428XAR7	FEDERAL EXPRESS CORP CORP BND	1/15/19		1,900,000		1,969,973		2,006,594
32029GAB0	FFML ABS 07-FF2 A2A	3/25/37		82,816		82,816		62,410
33736XAB5	FIRST UNION NAT BANK CMBS_00-C1 A2	5/17/32		471,669		465,141		476,711
33736XAX7	FIRST UNION NAT BANK CMBS_00-C2 A2	10/15/32		475,759		464,210		480,460
34527RLH4	FORDO ABS_05-C-A4	6/15/10		121,426		121,163		121,163
34528XAG4	FORD CREDIT AUTO OWNER TR 08-C A4	4/15/13		14,000,000		13,082,295		12,270,160
346604FJ5	FORSYTH CNTY GA SCH DIST	2/1/20		1,430,000		1,368,621		1,537,450
346604GL9	FORSYTH CNTY GA SCH DIST	6/1/14		1,000,000		1,041,443		1,132,740
349545C76	FORT ZUMWALT MO SCH DIST	3/1/20		2,245,000		2,179,795		2,435,780
35177PAK3	FRANCE TELECOM CORP BND	3/1/11		5,700,000		6,104,121		6,106,277
36158YDC0	GECMC CMBS_01-3 A1	6/10/38		141,864		135,607		141,004
36158YEK1	GE CAPITAL COMM MTG SVCS 02 1A A2	12/10/35		373,548		367,183		374,075
36158YFT1	GECCMC_02-2 CMBS 02-2A	8/11/36		24,929,000		25,019,587		23,749,426
36159JBD2	GEMNT ABS 07-3 AI	6/15/13		981,000		981,000		928,889
361849ZS4	GMACC CMBS_03-C3 A3	4/10/40		500,000		463,963		487,412
36206XC43	GNMA POOL # 424091	5/15/31		4,632		4,800		4,950
36212PPP1	GNMA POOL # 539630	4/15/31		14,302		14,816		15,281
36212U5G2	GNMA POOL # 544547	5/15/31		24,436		25,319		26,109
36213GCV1	GNMA POOL # 553684	4/15/31		33,517		34,728		35,811
36213HGU7	GNMA POOL # 554711	3/15/31		1,790		1,854		1,912
36213LGR5	GNMA POOL # 557408	5/15/31		8,324		8,625		8,894

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
36225DM43	GNMA POOL # 081278	3/20/35		15,624,209		14,833,846		15,350,329
36228CVQ3	GSMS CMBS_05-GG4 A3	7/10/39		500,000		401,955		407,923
362320AV5	GTE CORP CORP BND	4/1/09		8,950,000		8,950,000		8,949,584
36241KV39	GNMA POOL 782434	8/15/38		13,272,727		12,433,572		13,593,346
36241KV47	GNMA POOL 782435	9/15/38		8,966,454		8,404,702		9,189,181
36241KWA2	GNMA POOL 782441	10/15/38		6,445,585		6,041,766		6,605,694
36295QK82	GNMA POOL 677219	8/15/38		6,101,227		5,899,859		6,332,890
36295QLF5	GNMA POOL # 677226	8/15/38		281,950		291,186		294,921
36295QPB0	GNMA POOL # 677318	9/15/38		378,636		391,042		396,054
365653GZ1	GARFIELD CNTY CO SCH DIST REV	12/1/20		1,610,000		1,538,115		1,715,423
36828QQE9	GE CAPITAL COMM MTG CORP SENIOR CMBS 05-C4	11/10/45		25,000,000		25,058,050		19,542,357
369550AK4	GENERAL DYNAMICS CORP	5/15/13		1,250,000		1,178,721		1,293,850
36962G2H6	GE CAPITAL CORP CORP BND	3/12/10		157,000		157,000		150,436
36962G2J2	GE CAPITAL CORP CORP BND	3/12/10		1,341,000		1,341,000		1,296,479
36962G3Q5	GE CAPITAL CORP CORP BND	2/1/11		1,105,000		1,103,548		1,000,821
36962GT38	GE CAPITAL CORP CORP BND	11/15/11		275,000		260,581		274,626
36962GX25	GE CAPITAL CORP SENIOR CORP BND	1/15/10		556,000		556,079		540,488
36962GX90	GE CAPITAL CORP CORP BND	3/12/10		654,000		654,114		632,418
36962GXS8	GENERAL ELEC CAP CO CORP BND	2/15/12		55,000		52,751		52,959
36962GY99	GE CAPITAL CORP SENIOR CORP BND	10/26/09		1,799,000		1,799,000		1,765,052
36962GYY4	GENERAL ELEC CAP CO CORP BND	6/15/12		16,300,000		15,622,658		15,667,304
36967HAD9	GENERAL ELECTRIC CAPITAL CORPO CORP BND GOVT GUAR	12/9/11		38,700,000		38,655,635		39,869,631
36967HAN7	FDIC GTD TLGP GENERAL ELEC CAP CO	3/12/12		2,000,000		1,999,214		2,020,369
370334BG8	GENERAL MILLS INC. SENIOR CORP BND	8/15/13		9,075,000		9,368,417		9,368,417
370334BH6	GENERAL MILLS INC. CORP BND	2/15/19		2,000,000		2,022,042		2,031,615
373334FN6	GEORGIA POWER COMPANY	11/15/12		1,250,000		1,245,729		1,290,031
373384GS9	GEORGIA ST MUNI BND GO	7/1/16		5,000,000		5,328,317		5,791,650
38405JAD1	GMFM WHOLE CMO 06-1 A4 144A	11/20/56		339,678		339,678		327,854
38405JCD9	GMFM ABS 07-1A 2A1 144A	11/20/56		2,273,848		2,273,848		2,219,844
385244HG6	GRAND BLANC MI CMNTY SCHS	5/1/20		1,000,000		960,946		1,038,200
38741QAC0	GRAN ABS 03-2 1A3	7/20/43		137,958		137,958		96,571

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
38741SAF9	GRAN ABS 04-3 2A1	9/20/44		56,262		56,262		37,695
38741YDB2	GRANM ABS 06-4 A4	12/20/54		274,982		274,982		192,488
38741YDF3	GRANM ABS 07-1 2A1	12/20/54		306,524		306,524		208,437
396789EM7	GREENWICH CAPITAL SENIOR CMBS 03-C1 144A	7/5/35		11,205,205		140,229		222,647
396789EQ8	GREENWICH CAP COMM FDG CORP 03 C2	1/5/36		322,594		314,545		317,607
396789FH7	GREENWICH CAPITAL SENIOR CMBS 03-C2 144A	1/5/36		22,544,329		200,928		304,123
396789JS9	GCCFC CMBS_05-GG3 A3	8/10/42		500,000		414,317		426,218
396789LL1	GREENWICH CAPITAL SENIOR CMBS 05-GG5	4/10/37		37,000,000		36,889,527		28,875,715
40411EAB4	HBOS TREASURY SRVCS PLC	2/21/17		2,000,000		1,746,178		1,590,600
4041A0CL0	BANK OF SCOTLAND CORP BND 144A	6/11/10		1,308,000		1,308,000		1,184,786
4041A0CN6	HBOS PLC CORP BND 144A	6/18/10		621,000		621,000		546,480
404280AA7	HSBC HOLDINGS PLC	7/15/09		1,000,000		1,001,297		1,011,985
40429CAA0	HOUSEHOLD FINANCE CORPORATION CORP BND	5/15/11		18,050,000		18,526,560		16,417,700
40429CFT4	HSBC FINANCE CORP SENIOR CORP BND	10/21/09		719,000		719,000		679,606
40429CFQ0	HSBC FINANCE CORP SENIOR CORP BND	6/1/11		37,960,000		38,211,375		34,298,012
40429CFX5	HSBC FINANCE CORP SENIOR CORP BND	3/12/10		294,000		294,000		260,534
40429JAR8	HSBC FINANCE CORP CORP BND	6/19/09		635,000		635,000		629,590
4042EPAA5	HSBC USA INC — GTD CORP BND GOVT GUAR	12/16/11		20,000,000		19,989,664		20,703,198
406036EP4	HALL CNTY NE SCH DIST	12/15/19		1,080,000		1,046,360		1,169,910
407288NT2	HAMILTON CNTY OHIO SEWER SYS R	12/1/10		2,000,000		2,054,405		2,113,020
4140033N1	HARRIS CNTY TEX	8/15/11		8,140,000		7,438,595		7,802,027
41659EFD4	HARTFORD LIFE INSTITUTIONAL FU SENIOR CORP BND	8/14/09		419,000		419,000		403,660
4197804K4	HAWAII ST	3/1/21		2,000,000		1,903,055		2,155,940
41981VBQ0	HAWAII ST HSG & CMNTY DEV CORP	1/1/33		1,925,000		1,607,212		1,711,036
425506E73	HENNEPIN CNTY MINN	12/1/09		3,555,000		3,594,276		3,645,724
425538AM7	HENNEPIN CNTY MINN SALES TAX	12/15/19		1,560,000		1,537,163		1,783,751
42809HAA5	AMERADA HESS CORPORATION CORP BND	2/15/14		1,000,000		997,320		1,025,580
428236AU7	HEWLETT-PACKARD COMPANY CORP BND	2/24/12		27,550,000		27,538,228		28,417,954
43641NAL8	HMI ABS 07-2A 2A1	7/15/20		1,472,000		1,472,000		1,391,452
43641RAB1	HOLMES MASTER ISSUER PLC CMO 144A	7/15/21		981,000		981,000		955,985
43812TAD6	HONDA AUTO RECEIVABLES OWNER TR 2	9/18/14		12,250,000		11,584,395		12,377,523

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
438516AY2	HONEYWELL INTERNATIONAL INC CORP BND	2/15/14		3,500,000		3,490,946		3,515,023
438670EB3	HONOLULU HAWAII CITY & CNTY	7/1/10		2,000,000		1,997,677		2,044,820
438670KA8	HONOLULU HI CITY & CNTY	7/1/20		1,500,000		1,425,266		1,597,425
440452AD2	HORMEL FOODS CORP	6/1/11		1,500,000		1,571,574		1,600,200
441812KA1	HSBC FINANCE CORP CORP BND	11/27/12		25,000		19,986		19,986
441812KH6	HOUSEHOLD FINANCE CORPORATION SENIOR CORP BND	11/16/09		600,000		593,250		594,101
44914PAR8	HYPOTHEKENBK IN ESSEN	1/20/12		2,500,000		2,598,254		2,642,875
449670EQ7	IMC HOME EQUITY LOAN TRUST ABS 98-3	8/20/29		356,685		342,596		342,596
44978NAA3	ING CAP FNDG TR III SECURED CORP BND	12/31/49		10,000,000		2,600,000		2,600,000
44982XAD9	ING USA GLBL FDG SECURED CORP BND	10/9/09		759,000		759,000		748,769
45138LAK9	IDAHO POWER COMPANY	11/15/12		1,750,000		1,689,279		1,742,244
455057ER6	INDIANA ST FIN AUTH REV	2/1/19		1,000,000		1,008,396		1,151,610
455141PZ8	INDIANA TRANSN FIN AUTH HWY REV	12/1/20		2,000,000		2,006,846		2,277,280
455280YR2	INDIANAPOLIS IN LOC PUB IMPT BD B	2/1/10		700,000		714,682		727,853
455398MB0	INDIANAPOLIS IND MUNI BND REV	6/1/11		2,600,000		2,642,040		2,732,314
458182BS0	INTER AMERICAN DEV BK CORP BND	9/1/09		23,074,000		23,441,799		23,672,856
459200BA8	IBM CORP CORP BND	11/29/12		20,000		19,912		21,078
45920QES9	IBM CORP CORP BND	6/1/09		25,000		25,039		25,139
46070MAA7	IMT CMO 02-1G A2	7/7/34		49,577		49,577		43,132
46623ECJ6	JP MORGAN CHASE & CO CORP BND MTN	6/26/09		1,962,000		1,962,000		1,961,313
46623EGR4	JPMORGAN CHASE & CO SENIOR CORP BND	6/5/09		798,000		798,000		798,048
46623EHH5	JPMORGAN CHASE & CO CORP BND	6/22/10		1,112,000		1,112,000		1,084,575
466247ER0	JP MORGAN TR 04 S1 1A7	9/25/34		1,597,168		1,405,655		1,416,489
46625HAJ9	JP MORGAN CHASE & CO CORP BND	2/1/11		23,090,000		23,642,061		23,164,332
46625HHB9	JPMORGAN CHASE & CO SENIOR CORP BND	5/1/13		26,895,000		25,384,745		26,186,870
46625YNC3	JPMCC CMBS 05_LDP2 A4	7/15/42		30,415,000		29,432,725		22,092,885
46625YQR7	JPMCC CMBS_05-CB12 A4	9/12/37		500,000		383,997		383,997
46625YSG9	JPMCC CMBS_05-LDP3 A4A	8/15/42		400,000		291,129		291,129
46630GAA3	JPMMT WHOLE CMO 07-A1 1A1	7/25/35		13,405,216		9,364,584		9,364,584
46630GAD7	JPMMT WHOLE CMO 07-A1 2A2	7/25/35		4,920,243		3,479,596		3,479,596
46630GAN5	JPMMT_07-A1 WHOLE CMO 07-A1 4A2	7/25/35		3,630,684		2,526,082		2,526,082

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
46630GAS4	JPMMT WHOLE CMO 07-A1 5A2	7/25/35		12,465,481		12,343,118		8,405,070
46630JAC3	JP MORGAN CHASE COMMERCIAL MOR SENIOR CMBS 07-LDPX A3	1/15/49		50,000,000		30,453,207		30,453,207
467520QY1	JACKSON CNTY MO REORG SCH DIST	3/1/15		1,250,000		1,270,084		1,372,325
468312DN0	JACKSON MI PUB SCHS	5/1/20		1,000,000		954,539		1,057,280
478754Y24	JOHNSON CNTY KS WTR DIST NO	6/1/13		2,500,000		2,603,691		2,813,375
480772PN6	JORDAN UTAH SCH DIST	6/15/10		900,000		910,631		935,793
481247AA2	JPMORGAN CHASE & CO-GTD CORP BND GOVT GUAR	12/1/11		10,700,000		10,694,064		11,078,965
484873FM1	KANSAS CITY MO	2/1/20		1,000,000		961,992		1,080,700
485424GX7	KANSAS ST DEPT TRANSN HWY REV	9/1/15		2,000,000		2,078,533		2,140,100
485428UU8	KANSAS ST DEV FIN AUTH REV	10/1/09		1,030,000		1,043,229		1,046,593
48542KHX0	KANSAS ST DEV FIN AUTH REV	11/1/20		2,000,000		1,894,672		2,151,220
48542KNH8	KANSAS ST DEV FIN AUTH REV	6/1/12		500,000		517,988		546,195
486062A51	KATY TEX INDPT SCH DIST	2/15/25		3,000,000		3,105,932		3,237,510
49151EXA6	KENTUCKY ST PPTY & BLDGS COMMN	10/1/17		565,000		561,447		610,234
49326EEA7	KEYCORP INSTIT CAPITAL SENIOR CORP BND	9/15/09		850,000		850,000		839,630
493897AB8	KDRE ABS 07-1A A2 144A	12/10/43		230,639		230,653		173,962
49474EWA7	KING CNTY WASH	1/1/11		3,000,000		3,029,164		3,141,870
50075NAB0	KRAFT FOODS INC CORP BND	11/1/11		30,285,000		30,516,535		31,666,875
500769CD4	KFW INTERNATIONAL FINANCE INC CORP BND	5/15/12		60,000,000		61,972,823		64,309,800
50179MAE1	LBUBS CMBS 06_C6 A4	9/15/39		50,000,000		49,858,546		34,744,847
508205GV7	LAKE COOK KANE & MCHENRY CNTYS	12/1/16		2,385,000	��	2,424,442		2,760,471
52108H6Y5	LBUBS CMBS 05-C5 AM	9/15/40		550,000		264,785		264,785
52108HLA0	LBUBS COMM MTG TR SUB CMBS 02-C2 144A	7/15/35		33,578,570		48,939		90,998
52108HMU5	LBUBS COMM MTG TR CMBS 02_C4 A5	9/15/31		88,000,000		87,193,169		82,438,910
52108HRB2	LB-UBS COMM MTG TR 03 C3 A3	5/15/27		750,000		687,969		696,428
52108HSY1	LB-UBS COMM MTG TR 03 C5 A2	7/15/27		917		916		916
52108HUG7	LBUBS SENIOR CMBS_03-C5 XCP 144A	4/15/37		55,258,174		233,956		381,834
52108MAF0	LB UBS COMM MTG TR 05 C7 A4	11/15/30		1,450,000		1,200,473		1,136,829
525221FY8	LEHMAN XS TRUST 05 10 2A1	1/25/36		546,455		517,896		480,054
532457BD9	ELI LILLY AND COMPANY CORP BND	3/6/12		16,775,000		16,758,261		17,132,573
542388AD5	LBART_06-A 06-A_A4	5/15/13		30,426,386		27,921,341		28,017,833

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
545896U83	LOUDOUN CNTY VA	12/1/17		1,000,000		1,015,446		1,165,610
546415QH6	LOUISIANA ST MUNI BND GO	4/1/14		5,000,000		5,292,792		5,591,800
5525V0AU0	MARSHALL & ILSLEY BANK SENIOR CORP BND MTN	6/16/10		221,000		221,000		205,022
5525V0BC9	MARSHALL & ILSLEY CORPORATION CORP BND	2/12/10		752,000		752,000		750,691
55262TFJ7	MBNAS ABS 00-E A	10/15/12		100,000		101,194		102,646
55264TCA7	MBNAS ABS 03-A8 A8	12/17/12		327,000		325,002		316,314
55264TDW8	MBNAS ABS 06-A4	9/15/11		392,000		392,000		391,596
55265K5Q8	MASTR ASSET SEC TR 2004-1 3A1	1/25/34		1,981,604		1,869,724		1,870,354
559080AA4	MAGELLAN MIDSTREAM PARTNERS LP SENIOR CORP BND	6/1/14		15,550,000		14,985,322		15,387,713
565849AG1	MARATHON OIL CORP CORP BND	2/15/14		2,150,000		2,141,257		2,160,750
567505GY2	MARICOPA CNTY AZ UN HIGH SCH	7/1/16		1,125,000		1,158,229		1,281,139
57164TAA6	MARRIOTT VAC CLUB OWNER TR 02 1A	12/20/24		192,166		181,806		161,142
574192K66	MARYLAND ST MUNI BND GO	7/15/13		5,000,000		5,320,207		5,684,900
57429RAU7	MARYLAND ST TRANSN AUTH GRANT	3/1/17		2,000,000		2,032,683		2,301,100
575296FP8	MASON OH CITY SCH DIST	12/1/19		1,000,000		987,174		1,144,970
575579GA9	MASSACHUSETTS BAY TRANSN AUTH MUNI BND REV	7/1/15		5,000,000		5,451,760		5,831,250
575579RS8	MASSACHUSETTS BAY TRANSN AUTH	7/1/20		35,000		35,232		40,644
575579SL2	MASSACHUSETTS BAY TRANSN AUTH	7/1/20		1,575,000		1,498,077		1,735,288
57582NDE2	MASSACHUSETTS ST	2/1/10		2,000,000		2,040,548		2,081,840
57582NT62	MASSACHUSETTS ST	3/1/23		1,000,000		1,042,819		1,151,350
57582PDK3	MASSACHUSETTS ST	11/1/18		2,000,000		1,400,100		1,618,040
57583PDB2	MASSACHUSETTS ST FED HWY	6/15/11		3,250,000		3,359,864		3,475,842
576000AK9	MASSACHUSETTS ST SCH BLDG AUTH	8/15/10		2,000,000		2,048,430		2,109,520
576000BE2	MASSACHUSETTS ST SCH BLDG AUTH	8/15/22		2,000,000		1,870,219		2,105,740
576433QQ2	MARM_04-8 WHOLE CMO 04-8	9/25/34		1,532,453		1,562,561		810,482
576433RP3	MARM_04-8 WHOLE CMO 04-9	11/25/34		73,670		35,077		35,077
579780AD9	MCCORMICK & CO	12/15/15		1,500,000		1,447,637		1,561,728
58013MEG5	MCDONALD’S CORPORATION SENIOR CORP BND	2/1/19		450,000		449,853		462,650
58403GAB1	MEDL CMO 07-1G-A1	2/27/39		677,450		677,450		616,388
585907AM0	MELLON BANK N.A. CORP BND	12/15/14		4,000,000		3,612,209		3,659,709
586158KZ9	MEMPHIS TN ELEC SYS REV	12/1/14		2,000,000		2,027,989		2,180,000

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
589929W53	MLMI WHOLE 03-A4	7/25/33		223,595		140,347		153,319
590645HK6	MESA CNTY CO SALES TAX REV	6/1/11		2,090,000		2,149,764		2,254,107
592098XJ1	METRO NASHVILLE & DAVIDSON TN WTR	1/1/10		2,000,000		2,047,589		2,084,720
592179JG1	METLIFE INC SENIOR CORP BND 144A	4/10/13		15,000,000		13,575,026		13,575,026
595620AD7	MIDAMERICAN ENERGY HOLDINGS CO CORP BND	10/1/14		25,800,000		25,383,205		25,383,205
59562VAT4	MIDAMERICAN ENERGY HOLDINGS CO CORP BND	4/1/18		2,500,000		2,304,757		2,458,808
602248AR7	MILWAUKEE CNTY WIS ARPT REV	12/1/17		1,675,000		1,676,307		1,699,388
603827EJ1	MINNEAPOLIS & ST PAUL MINN MET	1/1/26		2,000,000		2,068,600		2,147,780
604114RA8	MINNESOTA PUB FACS AUTH WTR POLLU	3/1/13		1,000,000		1,042,076		1,119,510
604129DZ6	MINNESOTA ST MUNI BND GO	8/1/10		5,000,000		5,152,186		5,282,250
60636WGM1	MISSOURI ST HWYS & TRANS COMMN	5/1/18		1,000,000		994,967		1,121,920
615337AA0	MONY GRP INC. CORP BND	3/15/10		8,000,000		8,239,188		7,760,000
615401JW7	MOON AREA PA SCH DIST	11/15/18		1,360,000		1,342,045		1,466,134
617446HC6	MORGAN STANLEY CORP BND	4/1/12		100,000		74,145		100,500
61745M5G4	MSC CMBS_05-T19 A4A	6/12/47		500,000		384,779		384,779
61745M6D0	MSC CMBS_05-HQ6 A2A	8/13/42		500,000		447,150		450,614
61746BCW4	MORGAN STANLEY CORP BND	1/9/12		75,000		53,849		73,500
61746SBR9	MORGAN STANLEY CORP BND	10/15/15		3,000,000		1,998,054		2,705,332
61746SBS7	MORGAN STANLEY CORP BND	1/21/11		20,175,000		15,384,883		19,973,250
61750HAE6	MORGAN STANLEY CAPITAL I 06 HQ10	11/12/41		2,500,000		1,953,460		1,923,725
61757UAB6	MORGAN STANLEY CORP BND GOVT GUAR	12/1/11		9,700,000		9,697,046		10,061,421
61757UAH3	FDIC GTD TLGP MORGAN STANLEY	6/20/12		4,250,000		4,248,303		4,243,667
625482EB6	MULTNOMAH-CLACKAMAS CNTYS OR	6/15/16		1,250,000		1,287,766		1,419,750
625574HL5	MULTNOMAH CNTY ORE SCH DIST NO	6/15/18		500,000		490,020		547,600
6325C0AG6	NATIONAL AUSTRALIA BANK LIMITE SENIOR CORP BND 144A	6/15/09		327,000		327,006		326,925
634902JS0	NATIONAL CITY CLEVELAND SENIOR CORP BND MTN	6/29/09		157,000		157,035		156,206
634902JB7	NATIONAL CITY BANK	8/24/09		172,727		153,727		168,461
635405AR4	NATIONAL CITY CORP	6/16/10		500,000		395,000		462,401
638539AH9	NATIONAL WESTMINSTER BANK PLC	10/1/09		1,000,000		977,023		985,404
63866EBL3	NATIONWIDE LIFE GLOBAL FUNDING CORP BND 144A	10/2/12		600,000		475,563		534,360
64032EAA5	NELNET ABS 07-1 A1	11/27/18		1,092,528		1,092,528		1,049,155

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
64465MG82	NEW HAMPSHIRE MUN BD BK	8/15/21		2,610,000		2,757,565		3,004,241
644682UL8	NEW HAMPSHIRE ST	6/1/17		1,730,000		1,722,211		1,911,650
64468TRZ2	NEW HAMPSHIRE ST HSG FIN AUTH	7/1/21		60,000		53,011		60,448
646135Y56	NEW JERSEY ST TRANSN TR FD	6/15/15		2,000,000		2,111,414		2,315,160
64711MPB7	NEW MEXICO FIN AUTH REV	6/1/12		1,725,000		1,786,299		1,873,678
647357BW1	NEW MEXICO ST HWY COMMN TAX	6/15/09		400,000		402,778		404,272
64953BAP3	NEW YORK LIFE GLOBAL FUNDING CORP BND 144A	5/9/13		5,000,000		4,813,984		4,813,984
64983QWY1	NEW YORK ST DORM AUTH REVS	8/1/18		2,000,000		1,978,003		2,197,760
64986ATE1	NEW YORK ST ENVIRONMENTAL FACS	6/15/13		1,200,000		1,245,924		1,334,568
650013T21	NEW YORK ST TWY AUTH HWY & BRD	4/1/19		2,000,000		1,931,298		2,112,660
650034X89	NEW YORK ST URBAN DEV CORP REV	3/15/17		2,050,000		2,120,434		2,364,511
652482BG4	NEWS AMERICA INC CORP BND	12/15/14		10,000,000		9,309,493		9,309,493
655356JF1	NOMURA ASSET SEC CORP CMBS 98_D6 A1B	3/15/30		578,932		579,029		578,978
656491KZ9	NORRISTOWN PA AREA SCH DIST	9/1/21		1,000,000		1,036,566		1,116,300
658256PF3	NORTH CAROLINA ST	5/1/16		1,000,000		1,010,256		1,087,410
658256PX4	NORTH CAROLINA ST PUB IMPT-SER A	3/1/11		3,000,000		3,099,197		3,230,190
663903CA8	NORTHEAST OH REGL SWR DIST	11/15/16		1,900,000		1,947,127		2,177,856
66567EBF1	NORTHERN ROCK PLC SENIOR CORP BND 144A	10/20/09		824,000		824,000		815,422
66989HAA6	NOVARTIS CAPITAL CORP CORP BND	2/10/14		21,775,000		21,753,141		22,282,400
677520SW9	OHIO ST	11/1/20		2,000,000		1,898,666		2,170,920
677632HM6	OHIO ST UNIV GEN RCPTS	6/1/11		2,000,000		2,056,626		2,154,880
67766WGU0	OHIO ST WTR DEV AUTH WTR	12/1/19		1,970,000		1,974,796		2,293,553
67908NLN9	OKLAHOMA ST CAPITOL IMPT AUTH	7/1/20		2,000,000		1,912,203		2,094,780
680616PF0	OLENTANGY OH LOC SCH DIST	12/1/17		2,000,000		2,007,175		2,236,820
681793T88	OMAHA NE PUB PWR DIST	2/1/18		2,000,000		1,966,444		2,182,160
68389XAC9	ORACLE CORPORATION CORP BND	4/15/18		5,000,000		4,736,704		5,145,523
68402LAE4	ORACLE CORP CORP BND	1/15/11		25,125,000		25,051,076		26,327,309
68607DDQ5	OREGON ST DEPT TRANSN HWY USER	11/15/17		1,950,000		2,061,398		2,269,293
69331CAE8	PG&E CORPORATION CORP BND	4/1/14		10,000,000		9,945,693		10,095,407
693476AV5	PNC FUNDING CORP CORP BND	3/10/10		16,500,000		16,449,055		16,453,946
693476BC6	PNC FUNDING CORP CORP BND	6/12/09		366,000		366,000		364,324

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
69371RZJ8	PACCAR FINL SENIOR CORP BND	10/26/09		360,000		359,959		358,668
69373UAB3	PACCAR INC CORP BND	2/15/12		4,000,000		3,995,863		4,135,674
694308GP6	PACIFIC GAS AND ELECTRIC CO SENIOR CORP BND	12/1/13		13,000,000		12,909,781		13,847,152
695114BU1	PACIFICORP	11/15/11		1,000,000		1,012,331		1,064,700
699490AA6	BANQ PARIBAS	7/22/13		500,000		541,699		519,060
705220AM3	PECO ENERGY TRANS TR ABS_01-A A1	12/31/10		485,000		490,551		507,523
70686AAB7	PENDE ABS 07-1A 3A 144A	2/12/16		654,000		654,000		619,207
7091412F1	PENNSYLVANIA ST	7/1/20		1,995,000		1,917,337		2,154,480
709141C86	PENNSYLVANIA ST	7/1/11		8,000,000		8,266,376		8,695,120
713448BK3	PEPSICO INC SENIOR CORP BND	3/1/14		21,350,000		21,305,412		21,610,786
71419GAB6	PERMM_06-1 ABS 06-1 2A	10/15/15		981,000		981,000		942,633
71419GAJ9	PERMM ABS 07-1 2A1	1/15/16		981,000		981,000		924,465
717081CZ4	PFIZER INC. CORP BND	3/15/12		23,925,000		23,892,438		24,554,588
718172AB5	PHILIP MORRIS INTERNATIONAL IN CORP BND	5/16/13		26,875,000		26,944,494		27,272,355
718814CX2	PHOENIX AZ	7/1/10		1,350,000		1,414,121		1,436,819
718849AG7	PHOENIX AZ CIVIC IMPT CORP	7/1/12		1,905,000		1,983,413		2,112,797
721799PX6	PIMA CNTY AZ UNI SCH DIST	7/1/10		500,000		526,457		537,090
736688FX5	PORTLAND OR CMNTY COLLEGE DIST	6/15/14		1,000,000		1,040,772		1,135,260
737679CW8	POTOMAC ELECTRIC POWER COMPANY	11/15/13		1,200,000		1,068,379		1,187,485
74005PAJ3	PRAXAIR INC	4/1/12		1,000,000		1,017,830		1,071,640
741701WX0	PRINCE GEORGES CNTY MD MUNI BND GO	7/15/14		4,630,000		4,738,767		5,050,126
742633PD6	PRIOR LAKE MN INDPT SCH DIST	2/1/20		1,195,000		1,162,886		1,283,490
742651DE9	PRIVATE EXPORT FUNDING CORP AGENCY BND	9/15/17		44,100,000		44,020,190		48,186,941
742651DG4	PRIVATE EXPORT FUNDING CORP AGENCY BND	3/15/19		20,000,000		19,895,478		20,296,399
742718DM8	PROCTER & GAMBLE COMPANY CORP BND	2/15/15		4,000,000		3,983,565		4,090,102
743263AD7	PROGRESS ENERGY INC CORP BND	3/1/11		10,700,000		10,613,402		11,045,260
743263AM7	PROGRESS ENERGY INC. CORP BND	3/15/14		8,000,000		7,957,004		7,957,004
74436JFB8	PSSFC CMBS_99-C2 A2	6/16/31		6,680		6,667		6,667
744448BU4	PUBLIC SERVICE COMPANY OF COLORAD	10/1/12		1,070,000		1,055,497		1,197,373
74451PAA1	PUBLIC SERVICE COMPANY OF NC INC	2/15/11		1,550,000		1,608,235		1,568,744
749241AA3	RALI_07-QH9 WHOLE CMO 07-QH9 A1	11/25/37		16,193,345		5,100,904		5,100,904

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
758202AE5	REED ELSEVIER CAPITAL	6/15/10		1,750,000		1,721,467		1,719,817
758202AF2	REED ELSEVIER PLC CORP BND	1/15/14		16,825,000		16,790,760		16,970,619
759136LA0	REGIONAL TRANS DIST CO	11/1/17		1,550,000		1,550,000		1,716,207
75953MAD2	CENTERPOINT ENERGY TRANSITION ABS 01-1 A4	9/15/15		7,875,000		8,248,241		8,280,405
76110H2P3	RES ASSET SEC WHOLE CMO 05-QA3	3/25/35		2,469,282		967,959		967,959
771196AN2	ROCHE HOLDINGS INC CORP BND 144A	3/1/12		29,000,000		28,850,973		29,928,977
77509NAD5	ROGERS CABLE INC. CORP BND	5/1/12		9,675,000		10,060,398		10,060,398
78008EJT5	ROYAL BANK OF CANADA CORP BND	6/8/10		1,701,000		1,701,000		1,664,919
780097AE1	ROYAL BANK OF SCOTLAND GRP PLC CORP BND	3/31/49		4,000,000		1,960,000		1,960,000
780427KA7	ROYAL OAK CITY MI SCH DIST	5/1/19		2,000,000		1,914,182		2,150,520
7832434J4	RUTHERFORD CNTY TN	6/1/18		1,430,000		1,431,720		1,589,788
78387GAP8	AT&T INC CORP BND	9/15/14		5,000,000		4,786,390		5,017,074
78442FAG3	SLM CORP CORP BND	1/15/13		75,000		41,250		41,250
78442FCJ5	SLM CORP CORP BND	5/15/14		25,000		13,250		13,250
78442GQR0	SLMA ABS_05-8 A4	1/25/28		425,000		332,763		346,375
78443DAA0	SLMA ABS 07-A A1	9/15/22		444,101		444,101		376,078
78443YAA4	SLMA ABS 07-3 A1	10/27/14		334,203		334,203		330,162
78443YAB2	SLMA ABS 07-3 A2	10/25/17		916,000		916,000		842,720
79548CAB2	SBM7 CMBS_00-C3 A2	12/18/33		482,263		468,092		483,224
79548CDL7	SBM7 SENIOR CMBS 02-KEY 144A	3/18/36		35,000,000		299,164		316,050
795560AR2	SALT LAKE & SANDY UT MET WTR	7/1/20		1,820,000		1,722,204		1,924,632
795685BZ8	SALT LAKE CNTY UT SALES TAX	8/1/17		1,550,000		1,551,643		1,725,507
802072KA5	SANTA FE NM GROSS RCPTS TAX	6/1/19		2,000,000		1,917,566		2,109,000
806640PN2	SCHERTZ-CIBOLO-UNVL CITY TX	2/1/20		2,025,000		1,921,085		2,155,957
806860AA0	SCHLUMBERGER TECH CORP 144A	4/15/12		1,150,000		1,247,435		1,187,686
809326AC5	SCOTLAND INTL FIN NO.2 144A	8/15/10		600,000		598,744		576,762
810489HN7	SCOTTSDALE AZ MUN PPTY CORP	7/1/20		2,000,000		2,063,684		2,330,800
812643AP9	SEATTLE WA MUN LT & PWR REV	8/1/16		1,535,000		1,554,293		1,681,900
821686UF7	SHELBY CNTY TN	4/1/18		1,850,000		1,814,562		2,004,679
826502AA4	SIERRA RECEIVABLES FUNDING CO 07	3/20/19		943,093		793,226		683,953
82651AAA5	SIERRA RECEIVABLES FUNDING CO 20	9/20/17		2,400,983		2,009,270		1,784,614

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
828807BZ9	SIMON PROPERTY GROUP L.P. CORP BND	5/30/18		5,000,000		3,289,448		3,850,000
832110AK6	SMITH INTERNATIONAL INC. CORP BND	3/15/14		2,000,000		1,993,475		1,995,799
833034AC5	SNAP-ON INC	8/15/11		1,400,000		1,450,877		1,489,331
837562KS5	SOUTH DAKOTA ST UNIV REV	4/1/20		1,545,000		1,452,687		1,621,447
842434CA8	SOUTHERN CALIFORNIA GAS COMPANY	10/1/12		700,000		675,385		715,155
842434CF7	SOUTHERN CALIFORNIA GAS COMPANY	12/1/09		1,000,000		992,617		988,967
846042AA7	FDIC GTD TLGP SOVEREIGN BANK	1/17/12		7,000,000		6,993,967		7,137,060
849476BK1	SPRING BRANCH TEX INDPT SCH	2/1/19		2,695,000		2,782,327		2,897,853
851018HL8	SPRINGFIELD MO PUB UTIL REV	8/1/14		1,000,000		1,031,548		1,131,950
855030AJ1	STAPLES INC. CORP BND	1/15/14		2,000,000		2,048,315		2,090,000
863579KY3	SARM WHOLE CMO 05-1	2/25/35		3,149,042		1,473,592		1,638,132
86359BGD7	STRUCTURED ASSET SEC CORP WHOLE CMO 04-1	2/25/34		176,874		124,711		106,478
86359BVE8	STRUCTURED ASSET SEC CORP WHOLE CMO 04-6	6/25/34		12,595,297		7,698,057		8,816,708
86359DMU8	LEHMAN XS TR 05 2 2A1A	8/25/35		191,840		189,955		163,486
866407B32	SUMNER CNTY TENN	6/1/14		2,000,000		2,061,329		2,251,980
86787ARU1	SUNTRUST BK ATLANTA GA CORP BND	1/29/10		1,190,000		1,190,000		1,187,632
86959E7G8	SVENSKA HANDELSBANKEN, NEW YOR CORP BND 144A	6/19/09		981,000		980,949		981,098
87244EAA0	TIAA GLOBAL MARKETS CORP BND 144A	1/12/11		10,250,000		10,247,756		10,261,602
873545EJ2	TACOMA WASH SEWER REV	12/1/19		1,000,000		1,052,888		1,114,310
879385AC6	TELEFONICA EUROPE CORP BND	9/15/10		19,500,000		20,325,995		20,381,602
880557WZ2	TENNESSEE ST SCH BD AUTH	5/1/13		400,000		410,426		421,040
880591DN9	TENNESSEE VALLEY AUTHORITY AGENCY BND	1/18/11		12,500,000		12,515,851		13,428,875
880591DT6	TENNESSEE VALLEY AUTHORITY AGENCY BND	5/23/12		22,679,000		23,634,156		25,796,455
882135WW2	TEXAS A & M UNIV REVS	5/15/12		7,500,000		7,751,810		8,266,425
882720R56	TEXAS ST	10/1/10		2,000,000		2,052,323		2,117,440
88283LCS3	TEXAS ST TRANSN COMMN	4/1/22		2,000,000		1,879,305		2,122,060
884903AU9	THOMSON CORPORATION	5/28/10		1,600,000		1,595,319		1,585,632
89233PRS7	TOYOTA MOTOR CREDIT CORPORATION	8/6/09		72,727		72,304		72,790
89352HAA7	TRANS-CANADA PIPELINES LIMITED	6/15/13		1,800,000		1,540,825		1,741,176
90331HKP7	U.S. BANK NATIONAL ASSOCIATION CORP BND	10/30/14		2,750,000		2,752,926		2,752,926
90466GAB8	UNICREDITO LUXEM FIN CORP BND 144A	1/13/17		21,750,000		21,750,000		13,108,981

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
904764AG2	UNILEVER CAPITAL CORP	11/1/10		1,500,000		1,556,534		1,612,485
904764AJ6	UNILEVER CAPITAL CORP CORP BND	2/15/14		29,000,000		28,962,631		29,092,742
911312AL0	UNITED PARCEL SERVICE INC CORP BND	4/1/14		3,450,000		3,442,344		3,465,209
91159HGJ3	US BANCORP CORP BND	7/29/10		24,000,000		23,926,194		23,982,208
91160HAA5	FDIC GTD TLGP US BANCORP	3/13/12		4,100,000		4,099,516		4,147,223
912803AT0	UNITED STATES TREASURY STRIPS PO	5/15/20		45,600,000		25,221,764		31,072,752
912803AY9	UNITED STATES TREASURY STRIPS PO	11/15/21		31,500,000		17,203,193		19,956,195
912810DW5	UNITED STATES TREASURY GOVT BND	5/15/16		310,000		375,054		409,206
912810EZ7	UNITED STATES TREASURY GOVT BND	2/15/27		2,475,000		3,079,119		3,483,464
912810FS2	UNITED STATES TREASURY GOVT IBND TIPS	1/15/26		4,000,000		3,871,333		4,197,888
912810FT0	UNITED STATES TREASURY GOVT BND	2/15/36		8,000,000		7,568,524		9,218,879
912810PS1	UNITED STATES TREASURY GOVT IBND TIPS	1/15/27		6,900,000		7,098,540		7,527,381
912810PU6	UNITED STATES TREASURY GOVT BND	5/15/37		12,000,000		12,798,189		14,925,481
9128275N8	UNITED STATES TREASURY GOVT BND	8/15/09		105,000		106,384		107,213
9128275Z1	UNITED STATES TREASURY GOVT BND	2/15/10		1,550,000		1,570,997		1,629,298
9128277L0	UNITED STATES TREASURY GOVT BND	2/15/12		1,155,000		1,215,784		1,280,541
912828AJ9	UNITED STATES TREASURY GOVT BND	8/15/12		500,000		519,699		553,020
912828AP5	UNITED STATES TREASURY GOVT BND	11/15/12		2,465,000		2,657,482		2,702,799
912828BA7	UNITED STATES TREASURY GOVT BND	5/15/13		10,000,000		10,805,396		10,891,300
912828BH2	UNITED STATES TREASURY GOVT BND	8/15/13		7,000,000		6,800,929		7,841,120
912828BR0	UNITED STATES TREASURY NOTES	11/15/13		335,000		355,862		375,566
912828CA6	UNITED STATES TREASURY GOVT BND	2/15/14		1,000,000		1,111,273		1,112,760
912828CH1	UNITED STATES TREASURY GOVT BND	5/15/09		1,265,000		1,268,259		1,270,788
912828CN8	UNITED STATES TREASURY NOTES	7/15/09		495,000		498,184		499,873
912828CP3	UNITED STATES TREASURY GOVT IBND TIPS	7/15/14		75,600,000		79,630,998		87,295,895
912828CT5	UNITED STATES TREASURY GOVT BND	8/15/14		16,000,000		15,524,809		18,112,480
912828CV0	UNITED STATES TREASURY NOTES	9/15/09		1,225,000		1,241,848		1,241,844
912828DE7	UNITED STATES TREASURY GOVT BND	12/15/09		7,000,000		6,935,448		7,146,230
912828DG2	UNITED STATES TREASURY GOVT BND	1/15/10		50,000		49,648		51,205
912828DM9	UNITED STATES TREASURY GOVT BND	2/15/15		1,000,000		1,113,254		1,118,980
912828DV9	UNITED STATES TREASURY GOVT BND	5/15/15		100,000		97,344		112,982

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
912828EA4	UNITED STATES TREASURY GOVT IBND TIPS	7/15/15		5,800,000		6,146,430		6,461,789
912828EE6	UNITED STATES TREASURY GOVT BND	8/15/15		1,000,000		1,124,576		1,139,450
912828EM8	UNITED STATES TREASURY GOVT BND	11/15/10		1,700,000		1,699,504		1,807,321
912828EN6	UNITED STATES TREASURY NOTES	11/15/15		250,000		297,671		289,764
912828EW6	UNITED STATES TREASURY GOVT BND	2/15/16		1,000,000		1,142,576		1,154,570
912828FE5	UNITED STATES TREASURY GOVT BND	5/15/09		3,065,000		3,081,980		3,081,980
912828FA3	UNITED STATES TREASURY GOVT BND	3/31/11		1,090,000		1,174,012		1,176,415
912828FE5	UNITED STATES TREASURY GOVT BND	5/15/09		9,895,000		9,896,747		9,949,818
912828FN5	UNITED STATES TREASURY NOTES	7/31/11		4,500,000		4,811,520		4,917,276
912828FQ8	UNITED STATES TREASURY GOVT BND	8/15/16		128,000,000		128,983,192		150,576,640
912828FY1	UNITED STATES TREASURY GOVT BND	11/15/16		5,400,000		5,727,803		6,261,856
912828GA2	UNITED STATES TREASURY GOVT BND	11/30/11		1,050,000		1,141,527		1,146,978
912828GC8	UNITED STATES TREASURY NOTES	12/31/11		500,000		534,640		548,984
912828GM6	UNITED STATES TREASURY GOVT BND	3/31/12		1,025,000		1,121,926		1,126,065
912828HA1	UNITED STATES TREASURY GOVT BND	8/15/17		9,000,000		9,496,768		10,522,800
912828HC7	UNITED STATES TREASURY GOVT BND	8/31/12		1,000,000		1,093,710		1,094,840
912828HH6	UNITED STATES TREASURY GOVT BND	11/15/17		128,700,000		130,240,410		145,981,828
912828HN3	UNITED STATES TREASURY GOVT IBND	1/15/18		3,000,000		3,013,179		3,056,016
912828HY9	UNITED STATES TREASURY GOVT BND	4/30/13		1,200,000		1,271,416		1,284,201
912828JF8	UNITED STATES TREASURY NOTES	7/31/10		10,000,000		10,164,077		10,283,590
912828JK7	UNITED STATES TREASURY GOVT BND	8/31/13		1,000,000		1,064,485		1,070,920
912828JQ4	UNITED STATES TREASURY NOTE	10/31/13		2,000,000		1,999,287		2,109,376
912828JR2	UNITED STATES TREASURY GOVT BND	11/15/18		2,500,000		2,626,949		2,724,825
912828JX9	TSY INFL IX N/B	1/15/19		1,000,000		1,057,805		1,047,219
912828JZ4	UNITED STATES TREASURY GOVT BND	1/31/14		19,000,000		18,913,877		19,129,580
912833JY7	UNITED STATES TREASURY PO	5/15/12		600,000		526,575		576,840
913017BC2	UNITED TECHNOLOGIES CORPORATION	11/15/10		1,000,000		1,038,827		1,072,040
91324PAP7	UNITED HEALTHCARE CORP CORP BND	3/15/11		125,000		119,843		124,873
914119HX3	UNIVERSITY CINCINNATI OH	6/1/18		2,015,000		1,938,888		2,116,113
914437PF9	UNIVERSITY MASSACHUSETTS BLDG AUT	11/1/19		1,530,000		1,453,914		1,587,054
915506KJ7	UPPER ARLINGTON OH CITY SCH	12/1/21		1,250,000		1,176,826		1,336,600

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
92343VAN4	VERIZON COMMUNICATIONS INC. SENIOR CORP BND	4/15/13		5,000,000		4,870,378		5,104,209
92344SAH3	CELLCO PARTNERSHIP CORP BND 144A	11/15/13		4,550,000		4,859,847		4,859,847
92344SAL4	VERIZON WIRELESS CAPITAL CORP BND 144A	2/1/14		6,150,000		6,111,521		6,142,552
927749DT5	VIRGINIA BEACH VA WTR & SWR REV	10/1/19		1,735,000		1,690,055		1,889,155
927790BK0	VIRGINIA COMWLTH TRANSN BRD MUNI BND REV	10/1/11		5,000,000		5,226,024		5,466,550
927790BM6	VIRGINIA COMWLTH TRANSN BRD	9/27/12		1,000,000		1,040,081		1,119,480
928109SB4	VIRGINIA ST MUNI BND GO	6/1/12		950,000		1,000,763		1,059,630
928109SK4	VIRGINIA ST MUNI BND GO	6/1/12		4,050,000		4,266,409		4,518,423
928172MS1	VIRGINIA ST PUB BLDG AUTH PUB	8/1/17		1,260,000		1,272,119		1,388,558
92817LEM1	VIRGINIA ST RES AUTH CLEAN WTR	10/1/10		2,000,000		2,061,762		2,120,840
92817LFB4	VIRGINIA ST RES AUTH CLEAN WTR	10/1/20		2,500,000		2,553,406		2,954,250
92857TAG2	VODAFONE GROUP PLC CORP BND	2/15/10		16,800,000		17,153,580		17,431,394
92867AAD8	VALET ABS 07-1 A4	7/22/13		234,000		234,000		229,802
92922FSC3	WASHINGTON MUTUAL CMO 2004-AR5 A6	6/25/34		9,000,000		8,970,273		8,977,500
9297664Q3	WBCMT CMBS 05_C20 A7	7/15/42		500,000		383,542		383,542
9297667G2	WACHOVIA BANK COMM MTG TR SENIOR CMBS 05-C21	10/15/44		26,000,000		25,877,503		21,223,143
92976FBL6	WACHOVIA BANK NA SENIOR CORP BND	8/10/09		1,426,000		1,426,000		1,411,830
92976WBE5	WACHOVIA CORPORATION CORP BND	7/26/10		1,046,000		1,046,000		982,550
92979EAG8	WACHOVIA AUTO OWNER TR 08 A A4B	3/20/14		3,000,000		2,639,190		2,694,990
931142BE2	WAL-MART STORES INC	8/10/09		550,000		555,823		561,131
931142CN1	WAL-MART STORES INC CORP BND	2/3/14		5,000,000		4,977,640		4,993,789
931422AE9	WALGREEN CO CORP BND	1/15/19		1,500,000		1,489,735		1,489,735
938234MJ7	WASHINGTON CNTY OR	6/1/20		1,035,000		987,725		1,145,900
93974A7Q1	WASHINGTON ST	1/1/20		2,000,000		1,908,781		2,138,680
940773U28	WASHOE CNTY NEV	7/1/23		3,000,000		3,076,683		3,126,150
949744AA4	WELLS FARGO & COMPANY — GTD CORP BND GOVT GUAR	12/9/11		28,800,000		28,766,304		29,752,126
949746JD4	WELLS FARGO CORP SENIOR CORP BND	9/15/09		767,000		766,826		759,660
949746NJ6	WELLS FARGO & COMPANY CORP BND	8/26/11		7,000,000		6,921,559		6,921,559
94974BAZ3	WELLS FARGO & COMPANY SENIOR CORP BND	10/29/10		14,000,000		13,722,536		13,722,536
94974BBT6	WELLS FARGO & COMPANY SENIOR CORP BND	3/22/10		1,439,000		1,439,000		1,372,662
94974BEJ5	WELLS FARGO & COMPANY CORP BND	6/18/10		2,119,000		2,119,000		1,995,357

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Fixed Income Securities Listing as at March 31, 2009

Security ID	Description	Maturity Date	Par		Book Value $		Fair Value $
94974BEP1	WELLS FARGO & COMPANY CORP BND	1/24/11		1,177,000		1,174,985		1,080,321
949781AA6	WFMBS WHOLE CMO 05-AR1	2/25/35		5,425,034		5,356,790		3,526,272
94981QAU2	WFMBS WHOLE CMO 05-AR16	10/25/35		16,496,527		16,368,154		11,774,396
94982BAG5	WFMBS WHOLE CMO 05-AR8 3A2	6/25/35		8,411,512		5,600,668		6,023,484
94983YAM1	WELLS FARGO MORTGAGE BACKED SE WHOLE CMO 06-AR10-5A3	7/25/36		25,640,705		14,358,795		14,358,795
94986EAA8	WELS FRG CP XIII CORP BND	12/29/49		10,000,000		4,500,000		4,500,000
952030WE0	WEST CHESTER PA AREA SCH DIST	5/15/13		1,510,000		1,562,127		1,673,609
967338KS2	WICHITA KANS WTR & SWR UTIL	10/1/10		2,000,000		2,053,494		2,093,040
971567KU5	WILMINGTON DEL	6/1/17		1,000,000		998,810		1,141,450
977056D31	WISCONSIN ST MUNI BND GO	5/1/14		6,500,000		6,864,954		7,138,950
97705LFY8	WISCONSIN ST	5/1/17		2,500,000		2,481,796		2,727,700
98385XAT3	XTO ENERGY INC. CORP BND	12/15/18		18,375,000		17,449,826		18,126,945
98876XAA0	ZFS FINANCE USA TRUST I SENIOR CORP BND 144A	12/15/65		10,000,000		3,800,900		4,300,000
D20658NG7	DEUTSCHE BUNDESREPUBLIK GOVT BND	1/4/10		12,280,000		15,985,813		16,884,769
D20658YB6	GOVERNMENT OF GERMANY GOVT BND	7/4/14		5,600,000		8,681,314		8,159,270
G0501WAD8	ARRAN ABS 05-B A1	12/15/12		240,000		240,000		217,968
G92444AB7	UK CONV GILT GOVT BND	3/7/11		1,750,000		3,361,561		2,652,601
G92450DU9	UNITED KINGDOM GILT	12/7/09		9,370,000		17,155,395		13,906,249
U45818RF7	INTER-AMERICAN DEV BK SENIOR CORP BND EMTN	3/24/15		23,000,000		18,626,311		19,756,541
U45942EV4	INTERNATIONAL FINANCE CO SENIOR CORP BND MTN	5/20/11		5,500,000		5,549,586		5,896,165
V05973JU3	AFRICAN DEVELOPMENT BANK SENIOR CORP BND MTN	2/27/14		20,000,000		15,864,245		17,662,199
Y0338TDY5	ASIAN DEVELOPMENT BANK CORP BND MTN	12/10/14		10,000,000		7,983,813		8,742,710
Y0338TGD8	ASIAN DEVELOPMENT BANK SENIOR CORP BND MTN	5/22/15		27,700,000		21,743,893		24,493,445
						5,712,331,286		5,808,175,709

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Common & Preferred Stock Listing as at March 31, 2009

Cusip	Description	Shares		Fair Value $
002824100	ABBOTT LABORATORIES		9,100		434,070
00751Y106	ADVANCE AUTO PARTS		4,400		180,752
00846U101	AGILENT TECH INC		4,500		69,165
025816109	AMERICAN EXPRESS COMPANY		37,800		515,214
03076C106	AMERIPRISE FINANCIAL INC		10,600		217,194
037411105	APACHE CORP		8,100		519,129
057224107	BAKER-HUGHES INC		13,400		382,570
126650100	CVS / CAREMARK CORP		11,400		313,386
12686C109	CABLEVISION SYSTEMS CORP		30,400		393,376
16941M109	CHINA MOBILE LTD		4,400		191,488
17275R102	CISCO SYSTEMS INC		6,100		102,297
20030N101	COMCAST CORP		87,800		1,197,592
20825C104	CONOCOPHILLIPS		7,700		301,532
24702R101	DELL INC		28,100		266,388
25179M103	DEVON ENERGY CORP		3,800		169,822
26875P101	EOG RESOURCES INC		9,600		525,696
313400657	FREDDIE MAC		160,000		67,200
37733W105	GLAXOSMITHKLINE PLC-ADR		14,100		438,087
428236103	HEWLETT-PACKARD CO		2,800		89,768
459200101	INTL BUSINESS MACHINES CORPORATION		3,500		339,115
464286848	ISHARES MSCI JAPAN		35,000		276,500
464287184	ISHARES FTSE/XINHUA CHINA 25		50,000		1,426,500
464287234	ISHARES MSCI EMERGING MKT		16,100		399,441
46625H100	JP MORGAN CHASE & COMPANY		18,500		491,730
478160104	JOHNSON & JOHNSON		9,700		510,220
500255104	KOHLS CORP		17,000		719,440
524901105	LEGG MASON INC		31,500		500,850

	Allied World Assurance Company Holdings, Ltd.
	Investment Supplement
	Common & Preferred Stock Listing as at March 31, 2009

Cusip	Description	Shares		Fair Value $
585055106	MEDTRONIC INC		22,000		648,340
594918104	MICROSOFT CORP		16,300		299,431
651290108	NEWFIELD EXPLORATION		17,800		404,060
651639106	NEWMONT MINING CORP		8,100		362,556
654902204	NOKIA CORP SPON ADR		10,600		123,702
69832A205	PANASONIC CORPORATION		6,800		75,004
713448108	PEPSICO INC		2,700		138,996
71654V408	PETROLEO BRASILEIRO S.A.		4,400		134,068
742718109	PROCTER & GAMBLE CO		3,400		160,106
78462F103	S & P 500 DEPOSITARY RECEIPTS		7,000		556,640
78463V107	SPDR GOLD TRUST		15,000		1,354,200
87612E106	TARGET CORPORATION		15,800		543,362
882508104	TEXAS INSTRUMENTS INC		6,100		100,711
887317303	TIME WARNER INC		24,500		472,850
88732J207	TIME WARNER CABLE		23,849		591,455
902973304	US BANCORP		5,600		81,816
91324P102	UNITEDHEALTH GROUP INC		19,100		399,763
949746101	WELLS FARGO CO		32,700		465,648
98385X106	XTO ENERGY INC		12,000		367,440
H89128104	TYCO INTERNATIONAL LTD		8,800		172,128
	Total			$	18,490,798