Allied World Assurance 8-K Allied World Reports 44% Increase In Second Quarter 2009 Net Income; 13.4% Increase In Total Book Value Year to Date

Exhibit 99.3

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at June 30, 2009

Security ID	Description	Maturity Date		Par			Book Value $			Fair Value $
000780ET9	AMAC CMO_03-5 2A3		4/25/2018		1,336,815			1,299,498			1,246,446
001330AK5	AIGMT_2007-AA ABS 2007-AA-A 144A		12/15/2011		523,000			523,000			513,832
001383CM8	AIG MATCHED FUNDING CORPORATIO SENIOR CORP BND 144A		9/8/2009		981,000			980,983			853,470
00206RAC6	AT&T INC CORP BND		2/5/2010		438,000			438,000			438,307
00209AAE6	AT&T WIRELESS SERVICES INC CORP BND		3/1/2011		15,012,000			15,646,026			16,225,624
00209AAG1	NEW CINGULAR WIRELESS SERVICES CORP BND		5/1/2012		13,425,000			14,761,962			15,001,508
002451AA0	AXA FINANCIAL INC CORP BND		8/1/2010		10,452,000			10,748,524			10,765,560
002824AS9	ABBOTT LABORATORIES CORP BND		5/15/2011		1,200,000			1,215,854			1,284,267
002824AU4	ABBOTT LABORATORIES SENIOR CORP BND		4/1/2019		4,000,000			3,983,184			4,107,955
008684AA0	AHMA CMO 06-6 A1A		12/25/2046		12,367,772			5,009,103			5,005,608
01F040479	FNMA TBA MBS		7/20/2019		(90,000,000	)		(89,719,688	)		(90,112,500	)
01F040479	FNMA TBA MBS		7/20/2019		90,000,000			87,940,781			90,112,500
01F042673	FNMA TBA MBS		7/13/2036		(13,000,000	)		(12,988,125	)		(12,979,688	)
01F042673	FNMA TBA MBS		7/13/2036		13,000,000			12,571,172			12,979,688
01F050676	FNMA TBA 30 YR		7/1/2033		(47,000,000	)		(47,270,703	)		(47,881,250	)
01F050676	FNMA TBA 30 YR		7/1/2033		47,000,000			47,179,844			47,881,250
01F052672	FNMA TBA 30 YR		7/1/2033		(7,000,000	)		(7,111,016	)		(7,224,219	)
01F052672	FNMA TBA 30 YR		7/1/2033		7,000,000			7,147,656			7,224,219
01F060675	FNMA TBA 30 YR		7/1/2033		94,000,000			98,171,250			98,200,625
020039DB6	ALLTEL CORPORATION NT		7/1/2012		29,225,000			29,866,900			31,666,045
021087QT1	ALPINE UTAH SCH DIST MUNI BND GO		3/15/2010		4,575,000			4,608,999			4,686,676
021087QU8	ALPINE UTAH SCH DIST MUNI BND GO		3/15/2011		4,775,000			4,827,385			5,022,059
02580EBS1	AMER EXPRESS BK CORP BND		4/26/2010		320,000			320,000			316,022
02580ECN1	AMERICAN EXPRESS BANK FSB CORP BND BKNT		4/16/2013		5,000,000			4,964,095			4,947,660
0258M0BX6	AMERICAN EXPRESS CREDIT CO CORP BND		12/2/2010		73,000			73,000			69,835
0258M0CR8	AMERICAN EXPRESS CREDIT CO SENIOR CORP BND		11/9/2009		654,000			654,004			649,585
02635PSV6	AMERICAN GENERAL FINANCE CO CORP BND		5/15/2010		50,000			52,775			42,068
02660TBM4	AHM WHOLE CMO 04-3		10/25/2034		3,074,108			3,245,421			2,045,819
02660UAE0	AHMA_06-3 WHOLE CMO 06-3 2A11		10/25/2046		12,894,475			5,496,881			5,260,946
02666QXM0	AMERICAN HONDA FINANCE CORP BND 144A		12/15/2010		1,250,000			1,231,069			1,234,609
02R050671	FHLMC TBA 30 YR		7/1/2033		35,000,000			34,849,609			35,615,234
030610AC3	AMCAR_06-AF ABS 06-AF-A3		9/6/2011		2,128,170			2,170,157			2,130,298
031162AZ3	AMGEN INC CORP BND		2/1/2019		2,275,000			2,306,679			2,408,460
03444RAA6	ANDREW W MELLON FOUNDATION AGENCY BND		8/1/2014		5,000,000			4,998,850			5,032,400
035229CE1	ANHEUSER-BUSCH CORP BND		3/15/2012		1,600,000			1,579,642			1,728,205
04057PFH6	ARIZONA SCH FACS BRD CTFS PART MUNI BND REV		9/1/2019		1,775,000			1,690,423			1,794,312
040580EC2	ARIZONA SCH FACS BRD CTFS PART MUNI BND REV		7/1/2016		1,000,000			1,073,789			1,176,120
040654MP7	ARIZONA ST TRANSN BRD MUNI BND REV		7/1/2020		500,000			480,362			529,075
040654NY7	ARIZONA ST TRANSN BRD MUNI BND REV		7/1/2021		1,500,000			1,419,573			1,604,385
040688GV9	ARIZONA WTR INFRASTRUCTURE FIN MUNI BND REV		10/1/2021		1,000,000			950,889			1,079,840
041239AE4	ARKLE_06-1A CMO 06-1A-3A 144A		8/17/2011		654,000			654,000			648,686
041239AR5	ARKLE ABS 06-2A 2A1 144A		11/17/2012		981,000			981,000			964,171
041826VT2	ARLINGTON TEX INDPT SCH DIST MUNI BND GO		2/15/2020		1,000,000			961,542			1,079,210
042707AF6	ARRMF ABS 06-2A A1B 144A		9/20/2036		94,196			94,196			89,882
04271AAA9	ARRMF ABS 07-3A A1B 144A		9/16/2036		238,033			238,033			233,272
04271AAB7	ARRMF ABS 07-3A A2B 144A		9/16/2056		719,000			719,000			675,822
044074BZ4	ASHEVILLE N C MUNI BND REV		8/1/2019		2,000,000			1,943,653			2,138,760
053611AC3	AVERY DENNISON CORP CORP BND		1/15/2013		1,500,000			1,437,403			1,465,077
054303AS1	AVON PRODUCTS INC CORP BND		1/15/2011		1,700,000			1,673,933			1,763,829
05522RAR9	BACCT ABS_06-A16 A16		5/15/2013		12,000,000			11,872,547			12,308,640
05522RBA5	BANK OF AMERICA CREDIT CARD TR ABS 07-A7 A7		8/15/2012		131,000			131,000			130,278
05522RBS6	BACCT ABS 08-A1 A1		4/15/2013		1,701,000			1,701,000			1,684,126
055451AG3	BHP BILLITON FINANCE (USA) LTD CORP BND		4/1/2014		5,000,000			4,984,082			5,363,918
05565QBL1	BP CAPITAL MARKETS PLC CORP BND		5/8/2014		9,000,000			8,986,928			9,006,166
058508AN2	BALL ST UNIV IND MUNI BND REV		7/1/2018		1,900,000			1,876,111			2,018,617
059469AA4	BOAA CMO_06-7 A1		10/25/2036		521,258			516,585			518,225
05947UDP0	BAFU CMBS_01-3 A2		4/11/2037		400,000			400,541			405,296
05951KAX1	BAFC CMO_06-7-T2A1		10/25/2036		868,846			784,776			766,757
060505CP7	BANK OF AMERICA SENIOR CORP BND		9/25/2009		1,380,000			1,380,000			1,378,178
060505CT9	BANK OF AMERICA SENIOR CORP BND		11/6/2009		980,000			980,000			978,243
060505CY8	BANK OF AMERICA CORP BND		2/12/2010		980,000			980,000			974,506
060505DA9	BANK OF AMERICA CORP CORP BND		3/15/2017		41,400,000			41,597,257			34,655,769
060505DG6	BANK OF AMERICA CORP BND		8/13/2010		3,270,000			3,270,000			3,192,076
060505DK7	BANK OF AMERICA CORP CORP BND		9/11/2012		3,525,000			3,533,016			3,525,535
06050BAA9	BANK OF AMERICA CORP — GTD CORP BND GOVT GUAR		6/15/2012		117,700,000			117,812,298			121,432,267
06050BAG6	BANK OF AMERICA CORP — GTD CORP BND		4/30/2012		2,500,000			2,499,314			2,509,175

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at June 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
06406HBE8	BANK OF NEW YORK CO CORP BND		11/1/2012		1,000,000		1,053,780		1,054,325
06423AAG8	BANK ONE CO CORP BND		8/1/2010		1,378,000		1,418,609		1,440,443
06423RAK2	BOIT ABS 02-A6 A		6/15/2012		654,000		654,342		652,888
067316AA7	BACARDI LTD CORP BND 144A		4/1/2014		12,100,000		12,089,473		12,532,252
06738CAF6	BARCLAYS BANK PLC CAPSEC CORP BND 144A		6/29/2049		16,777,000		12,099,116		11,240,590
0673P2BK7	BARCLAYS BK PLC NY BRANCH CORP BND		8/10/2009		1,570,000		1,570,000		1,569,572
071365ZL7	BATTLE CREEK MICH MUNI BND GO		5/1/2011		2,025,000		2,080,456		2,133,338
071813AZ2	BAXTER INTERNATIONAL INC CORP BND		3/1/2014		5,400,000		5,385,636		5,409,158
07384MWF5	BSARM WHOLE CMO 03-5		8/25/2033		168,222		173,388		139,456
07386HGG0	BALTA_04-11 WHOLE CMO 04-3		4/25/2034		1,351,453		1,256,598		793,303
07387AEG6	BSARM WHOLE CMO 05-9		10/25/2035		26,155,413		23,910,323		20,694,320
07387AET8	BSARM WHOLE CMO 05-10		10/25/2035		16,000,000		13,782,287		8,809,280
07388LAE0	BEAR STEARNS SENIOR CMBS 06-PW13-A4		9/11/2041		38,000,000		38,495,513		33,277,441
073928X73	BEAR STEARNS CO INC CORP BND		8/10/2012		17,625,000		18,847,994		19,216,687
075887AU3	BECTON DICKINSON AND COMPANY CORP BND		5/15/2019		1,625,000		1,614,511		1,647,166
079860AA0	BELLSOUTH CORPORATION SENIOR CORP BND 144A		4/26/2010		25,000,000		25,485,670		25,540,000
084509LZ9	BERKS CNTY PA MUNI BND GO		5/15/2010		2,610,000		2,652,924		2,695,634
097023AV7	BOEING CO CORP BND		3/15/2014		1,500,000		1,493,723		1,579,533
10138MAH8	BOTTLING GROUP LLC CORP BND		3/15/2014		3,000,000		3,413,354		3,361,093
10138MAK1	BOTTLING GROUP LLC CORP BND		1/15/2019		3,000,000		2,989,197		3,045,406
108151UZ2	BRIDGEPORT CONN MUNI BND GO		7/15/2017		750,000		777,558		796,530
12500GUP7	CC USA INC. CORP BND 144A		10/23/2009		105,000		105,000		102,816
12513EAG9	CD SENIOR CMBS 05-CD1		7/15/2044		25,000,000		24,916,123		21,538,672
12572QAD7	CME GROUP INC CORP BND		2/15/2014		2,000,000		2,006,405		2,119,525
126175AH1	COMM_03-LB1A SENIOR CMBS 03-LB1A 144A		6/10/2010		37,503,321		303,838		506,295
126380AB0	CSMC CMO_06-9 2A1		11/25/2036		2,557,913		2,053,249		1,713,802
126384AJ5	CSMC WHOLE CMO 07-2 2A1		3/25/2037		1,780,027		1,576,788		1,456,418
12638PBU2	CSMC CMO_07-3 4A5		4/25/2037		1,883,931		1,611,387		1,444,787
126650AV2	CVS CAREMARK CORP CORP BND		9/15/2014		10,160,000		9,820,248		10,259,850
126650BH2	CVS CAREMARK CORP CORP BND		6/1/2017		2,500,000		2,322,669		2,519,771
126671ZJ8	COUNTRYWIDE HOME EQUITY LN TR ABS 2003-D A		6/15/2029		2,628,828		2,232,658		1,160,296
12668BPY3	CWALT CMO 06-4CB 2A4		4/25/2036		14,300,668		9,111,315		9,236,801
126694M96	COUNTRYWIDE HOME LOANS CMO 06-OA5 2A1		4/25/2046		8,243,860		3,561,966		3,132,667
12669E5B8	CWHL CMO_03-50 A1		11/25/2018		1,512,266		1,451,831		1,504,099
12669EYQ3	COUNTRYWIDE HOME LOANS TR WHOLE CMO 03-37		8/25/2033		146,379		151,662		76,117
126775RR8	CABARRUS CNTY N C MUNI BND GO		2/1/2018		500,000		499,308		565,775
13170FCV3	CALYON (NEW YORK BRANCH) CORP BND		2/22/2010		163,000		162,980		162,690
13170FEC3	CAYLON NY BRANCH CORP BND		6/11/2010		654,000		654,000		650,207
134429AM1	CAMPBELL SOUP COMPANY CORP BND		2/15/2011		1,550,000		1,589,567		1,661,246
134429AT6	CAMPBELL SOUP COMPANY CORP BND		2/15/2019		3,000,000		3,001,616		2,959,727
135087WX8	CANADA GOVERNMENT GOVT BND		6/1/2010		18,055,000		15,228,622		16,252,998
135087XB5	CANADA GOVERNMENT BND		6/1/2011		21,040,000		19,379,167		19,750,795
135087XT6	CANADA GOVERNMENT GOVT BND		9/1/2009		9,300,000		7,237,949		8,058,852
135087YN8	CANADA GOVERNMENT GOVT BND		6/1/2013		26,000,000		24,904,140		23,423,398
135087YS7	CANADA GOVERNMENT GOVT BND		6/1/2014		13,780,000		12,614,863		12,161,467
13974CAE8	CARAT ABS_07-2 A4A		2/18/2014		12,000,000		11,624,285		12,226,920
14041NDZ1	COMET ABS_07-A9 A9		8/15/2012		28,000,000		28,178,595		28,304,640
14312XAC5	CARMX ABS_08-2 A3A		10/15/2012		4,000,000		3,992,956		4,136,800
143300CN9	CARMEL IND SCH BLDG CORP MUNI BND REV		7/15/2020		1,695,000		1,765,179		1,914,536
144470AR2	CARRIER CREEK MICH DRAIN DIST MUNI BND GO		6/1/2022		1,000,000		918,372		1,049,400
14912L4F5	CATERPILLAR FINL SERV CORP BND		2/17/2014		3,300,000		3,299,403		3,513,239
152735TB2	CENTRAL BUCKS PA SCH DIST MUNI BND GO		5/15/2010		3,210,000		3,207,300		3,272,499
161045CG2	CHARLOTTE NC WTR & SWR SYS MUNI BND REV		6/1/2019		500,000		517,965		529,535
161444AB0	CMAOT ABS_06-B A3		5/15/2011		37,649		37,557		37,811
161571AT1	CHAIT ABS 05-A8		10/15/2012		131,000		130,781		129,432
161571BU7	CHAIT ABS 07-A4 A4		4/16/2012		504,000		504,000		501,898
161571BW3	CHAIT ABS 07-A6 A6		4/16/2012		916,000		916,000		909,496
161571BZ6	CHAIT ABS_07-A9 A9		6/16/2014		8,700,000		7,932,979		8,326,857
161571CG7	CHAIT ABS_07 A16 - A16		6/16/2014		5,000,000		4,590,120		4,825,750
161571CH5	CHAIT ABS_07-A17 A		10/15/2014		10,000,000		9,999,456		10,534,300
161571CL6	CHAIT ABS 08-A1 A1		1/15/2012		1,308,000		1,308,000		1,305,515
161571CW2	CHAIT ABS 08-A9 A9		5/15/2013		5,720,000		5,517,435		5,894,517
161571DP6	CHAIT ABS 09-A5 A5		6/15/2012		50,000,000		50,000,000		50,029,635
16162WLM9	CHASE CMO 05-S2 A1		10/25/2035		17,995,092		15,040,425		15,333,618
161630AC2	CHASE WHOLE CMO_07-A1 1A3		2/25/2037		20,043,290		20,284,300		17,542,453
161630AG3	CHASE CMO_07-A1-2A1		2/25/2037		35,476,925		36,055,791		31,210,824

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at June 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
161630AN8	CHASE WHOLE CMO_07-A1 4A1		2/25/2037		5,723,742		5,779,839		4,950,487
161630AQ1	CHASE CMO_07-A1 5A1		2/25/2037		4,685,058		4,605,958		3,894,829
162419AF2	CHATTANOOGA TENN INDL DEV BRD MUNI BND REV		10/1/2011		2,000,000		2,043,041		2,103,600
165573QR0	CHESTER CNTY PA MUNI BND GO		8/15/2022		1,000,000		951,616		1,072,030
166751AK3	CHEVRONTEXACO CORPORATION SENIOR CORP BND		3/3/2012		41,100,000		41,097,811		42,353,081
167485BM2	CHICAGO ILL MUNI BND GO		1/1/2013		5,000,000		5,227,145		5,434,250
167723CG8	CHICAGO ILL TRAN AUTH CAP GRNT MUNI BND REV		6/1/2010		2,070,000		2,097,243		2,141,912
17275RAE2	CISCO SYSTEMS INC CORP BND		2/15/2019		4,000,000		3,992,377		4,022,924
172967BC4	CITIGROUP INC CORP BND		1/18/2011		53,800,000		54,854,430		54,096,058
172967CX7	CITIGROUP INC CORP BND		5/18/2010		2,200,000		2,109,542		2,160,400
172967DW8	CITIGROUP INC CORP BND		12/28/2009		190,000		189,890		188,170
172967EG2	CITIGROUP INC CORP BND		8/13/2010		916,000		915,713		894,364
1729733P2	CMSI CMO 05-7 3A1		10/25/2035		18,300,437		15,587,648		15,703,605
17305EBC8	CCCIT ABS 02-A8 A8		11/7/2011		65,000		65,000		64,929
17305ECU7	CCCIT ABS_05-A7 A7		10/22/2012		500,000		510,575		511,615
17305EDJ1	CCCIT ABS 06-A6 A6		5/24/2012		327,000		326,335		324,482
17307GJG4	CMLTI ABS 04-OPT1		10/25/2034		2,234,561		1,847,594		1,117,280
17310MAE0	CITIGROUP SENIOR CMBS 06-C5 A4		10/15/2049		66,000,000		66,225,073		51,093,392
17310MBQ2	CGCMT CMBS_06_C5 AMP2 144A		10/15/2049		500,000		350,778		147,875
17313UAA7	CITIGROUP INC — GTD CORP BND GOVT GUAR		12/9/2011		7,700,000		7,684,345		7,913,829
17313YAB7	CITIGROUP FUNDING INC — GTD CORP BND		5/5/2011		10,000,000		10,015,559		10,012,000
181059BM7	CLARK CNTY NEV SCH DIST FOR IS MUNI BND GO		6/15/2017		1,500,000		1,495,429		1,557,150
184126UY4	CLAYTON CNTY & CLAYTON CNTY GA MUNI BND REV		5/1/2020		2,000,000		1,891,434		2,130,460
189054AC3	CLOROX COMPANY THE CORP BND		2/1/2011		1,000,000		996,131		1,049,226
189194CL5	CLOVERDALE IND MULTI-SCH BLDG MUNI BND REV		7/15/2019		1,365,000		1,321,523		1,410,591
190828UV3	COBB CNTY GA MUNI BND REV		7/1/2010		2,000,000		2,041,443		2,091,160
191216AL4	COCA-COLA COMPANY THE CORP BND		3/15/2014		18,825,000		18,744,358		18,999,814
191219BU7	COCA-COLA ENTERPRISES INC. CORP BND		3/1/2012		13,700,000		13,677,215		14,132,675
199491QC8	COLUMBUS OHIO MUNI BND GO		7/1/2011		2,500,000		2,576,909		2,696,250
199491RW3	COLUMBUS OHIO MUNI BND GO		7/1/2012		500,000		524,831		560,390
20030NAE1	COMCAST CORPORATION CORP BND		1/15/2014		2,000,000		2,053,918		2,056,002
20046PAB4	COMM CMBS_00-C1 A2		8/15/2033		273,903		270,375		276,300
20772GEY0	CONNECTICUT ST MUNI BND GO		12/1/2011		4,625,000		4,790,051		5,050,130
20774UWJ0	CONNECTICUT ST HEALTH & EDL FA MUNI BND REV		7/1/2010		1,125,000		1,146,198		1,169,966
207758AY9	CONNECTICUT ST SPL TAX OBLIG R MUNI BND REV		7/1/2019		650,000		619,343		678,887
20825CAS3	CONOCOPHILLIPS CORP BND		2/1/2014		30,000,000		29,921,926		31,112,542
20825CAT1	CONOCOPHILLIPS CORP BND		1/15/2015		5,000,000		4,995,550		5,132,406
209111DJ9	CONSOLIDATED EDISON CO OF NY CORP BND		9/1/2010		1,000,000		1,016,397		1,059,249
209111DZ3	CONSOLIDATED EDISON CO OF NY CORP BND		7/1/2012		550,000		534,500		586,779
210518CS3	CONSUMERS ENERGY COMPANY CORP BND		9/15/2019		2,500,000		2,498,876		2,747,195
2131838D1	COOK CNTY ILL MUNI BND GO		11/15/2019		1,000,000		954,586		1,061,880
225317AB2	CREDIT AGRICOLE SA CORP BND 144A		5/28/2010		2,191,000		2,191,000		2,179,190
22540VGE6	CSFB SENIOR CMBS 01-CKN5-A4		9/15/2034		45,561,765		45,714,101		46,243,071
22541NVB2	CSFB SENIOR CMBS 02-CP5 144A		12/15/2035		27,904,308		94,490		173,007
22541QDG4	CSFB CMBS_03-C3 A3		5/15/2038		2,101,429		2,031,327		2,075,573
22545BAA9	CSMC CMBS_06-C2 A1		3/15/2039		1,581,284		1,545,407		1,592,329
22882MAA6	CRGT ABS 03-2 A		9/18/2034		82,461		82,461		64,958
230822PL6	CUMBERLAND VALLEY PA SCH DIST MUNI BND GO		11/15/2020		1,300,000		1,235,020		1,352,286
231266DM6	CURATORS UNIV MO SYS FACS REV MUNI BND REV		11/1/2021		2,000,000		1,844,765		2,128,980
23326TAA3	DEN NORSKE BANK ASA CORP BND 144A		10/13/2009		1,465,000		1,465,016		1,455,829
233889AE4	DCAT ABS_08-B A3A		9/10/2012		4,950,000		4,786,164		5,025,190
235308KE2	DALLAS TEX INDPT SCH DIST MUNI BND GO		8/15/2021		1,605,000		1,518,438		1,722,406
23636XAD3	DANSKE BANK A/S SENIOR CORP BND 144A		7/8/2009		3,591,000		3,590,993		3,590,892
244217BK0	JOHN DEERE CAPITAL CORPORATION SENIOR CORP BND		1/15/2013		5,000,000		4,861,412		5,046,769
24422EQD4	JOHN DEERE CAPITAL CORPORATION CORP BND		10/17/2011		22,000,000		21,999,567		23,051,989
24702RAH4	DELL INC CORP BND		6/15/2012		14,600,000		14,590,211		14,829,412
249164HG2	DENVER COLO CITY & CNTY MUNI BND GO		8/1/2021		2,000,000		1,898,439		2,152,660
2491817F9	DENVER COLO CITY & CNTY ARPT R MUNI BND REV		11/15/2010		3,000,000		2,994,486		3,080,100
249183LD4	DENVER COLO CITY & CNTY S MUNI BND REV		5/1/2020		2,325,000		2,374,658		2,422,278
249575AM3	DEPFA ACS BANK CORP BND 144A		6/28/2011		2,800,000		2,937,471		2,747,584
250119BY9	DES MOINES IOWA MET WASTEWATER MUNI BND REV		6/1/2019		1,045,000		1,006,578		1,081,262
251255C94	DETROIT MICH WTR SUPPLY SYS MUNI BND REV		7/1/2033		2,000,000		2,093,779		2,186,700
251255ZJ7	DETROIT MICH WTR SUPPLY SYS MUNI BND REV		7/1/2022		1,000,000		1,043,759		1,036,620
25152XGZ7	DEUTSCHE BANK AG SENIOR CORP BND		10/1/2009		1,243,000		1,242,906		1,238,401
25152XHQ6	DEUTSCHE BANK AG SENIOR CORP BND		1/25/2010		1,112,000		1,112,000		1,102,993
254760C66	DISTRICT OF COLUMBIA MUNI BND GO		6/1/2010		2,945,000		3,010,030		3,054,348

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at June 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
260003AD0	DOVER CORP CORP BND		2/15/2011		1,000,000		1,013,967		1,060,389
263534BM0	EI DUPONT DE NEMOURS & CO CORP BND		4/30/2010		1,700,000		1,692,726		1,736,340
263534BX6	EI DUPONT DE NEMOURS & CO CORP BND		3/15/2015		3,000,000		2,993,479		3,135,521
264399EQ5	DUKE ENERGY CORP CORP BND		2/1/2014		11,150,000		11,130,694		11,968,165
268317AA2	ELECTRICITE DE FRANCE CORP BND 144A		1/26/2014		19,900,000		19,826,993		21,341,868
278058DG4	EATON CORPORATION CORP BND		3/20/2014		4,000,000		3,998,694		4,113,836
282317HC3	EGG HARBOR TWP N J SCH DIST MUNI BND GO		7/15/2019		1,320,000		1,349,606		1,546,459
291011AT1	EMERSON ELECTRIC CO CORP BND		5/1/2013		1,000,000		969,278		1,015,470
291011AY0	EMERSON ELECTRIC CO CORP BND		10/15/2019		1,625,000		1,615,740		1,605,615
29268BAA9	ENEL FINANCE INTERNATIONAL SA CORP BND 144A		1/15/2013		15,000,000		15,016,497		15,578,162
29270CPB5	ENERGY NORTHWEST WASH ELEC REV MUNI BND REV		7/1/2015		2,000,000		2,026,897		2,220,560
293791AN9	ENTERPRISE PROD OPER L.P. SENIOR CORP BND		10/15/2014		22,500,000		21,924,458		23,057,089
294223LN0	EPHRATA PA AREA SCH DIST MUNI BND GO		3/1/2019		500,000		479,292		514,470
302570AV8	FPL GROUP CAPITAL INC CORP BND		9/1/2011		1,000,000		979,111		1,067,243
302570BD7	FPL GROUP CAPITAL INC CORP BND		3/1/2019		4,375,000		4,373,150		4,629,802
30769PAA0	FARMER MAC AGENCY BND 144A		7/15/2011		15,900,000		15,873,423		17,082,753
31283K2C1	FHLMC GOLD POOL # G11671		11/1/2014		9,646,478		9,484,744		9,978,688
31283K4C9	FHLMC GOLD POOL # G11719		6/1/2020		15,326,582		15,128,038		16,018,740
31283K6U7	FHLMC GOLD POOL # G11783		8/1/2015		3,644,837		3,584,919		3,756,792
31283KJU3	FHLMC GOLD POOL # G11175		12/1/2014		1,182,739		1,195,740		1,247,407
31283KT40	FHLMC GOLD POOL # G11471		11/1/2013		3,670,723		3,579,483		3,743,028
3128E27C4	FHLMC GOLD POOL # D96291		9/1/2023		1,981,677		1,892,393		2,000,899
3128GYT46	FHLMC GOLD POOL # E94171		2/1/2018		152,683		153,248		160,982
3128GYVB7	FHLMC GOLD POOL # E94210		2/1/2018		78,566		78,882		82,908
3128GYVC5	FHLMC GOLD POOL # E94211		2/1/2018		73,365		73,638		77,352
3128GYXN9	FHLMC GOLD POOL # E94285		2/1/2018		148,479		149,035		156,549
3128H26M0	FHLMC GOLD POOL # E95376		3/1/2018		1,537,865		1,544,050		1,622,855
3128H26W8	FHLMC GOLD POOL # E95385		2/1/2018		644,859		647,439		680,497
3128H2GB3	FHLMC GOLD POOL # E94694		2/1/2018		37,747		37,888		39,799
3128H2PG2	FHLMC GOLD POOL # E94923		3/1/2018		680,698		683,244		717,693
3128H2UK7	FHLMC GOLD POOL # E95086		3/1/2018		60,713		60,939		64,013
3128H2WU3	FHLMC GOLD POOL # E95159		3/1/2018		224,025		224,866		236,201
3128H3GB1	FHLMC GOLD POOL # E95594		4/1/2018		417,599		419,162		440,295
3128H3QL8	FHLMC GOLD POOL # E95859		4/1/2018		159,810		160,417		168,495
3128H4DB2	FHLMC GOLD POOL # E96398		5/1/2018		72,624		72,900		76,571
3128H5VJ2	FHLMC GOLD POOL # E97817		7/1/2018		44,371		44,534		46,782
3128H6SY1	FHLMC GOLD POOL # E98635		8/1/2018		1,892,431		1,899,542		1,995,282
3128H6WU4	FHLMC GOLD POOL # E98759		8/1/2018		371,497		372,874		391,687
3128H6ZC1	FHLMC GOLD POOL # E98839		7/1/2018		154,958		155,581		163,379
3128H77K2	FHLMC GOLD POOL # E99898		10/1/2018		317,806		319,043		335,078
3128H7PN6	FHLMC GOLD POOL # E99429		9/1/2013		3,462,558		3,377,606		3,530,763
3128H7QL9	FHLMC GOLD POOL # E99459		9/1/2018		1,203,169		1,207,774		1,268,560
3128H7R95	FHLMC GOLD POOL # E99512		9/1/2018		988,838		992,654		1,042,580
3128H7YH9	FHLMC GOLD POOL # E99712		10/1/2018		173,521		174,198		182,951
3128JLDM8	FHLMC POOL # 1B1107		9/1/2033		3,972,711		3,907,126		4,033,039
3128JLEY1	FHLMC POOL # 1B1150		9/1/2033		7,004,694		6,889,530		7,111,357
3128JLHB8	FHLMC POOL # 1B1225		9/1/2033		1,009,260		993,418		1,037,181
3128JM6N2	FHLMC POOL # 1B2776		2/1/2035		3,880,302		3,834,993		3,959,518
3128JM7E1	FHLMC POOL # 1B2792		2/1/2035		2,630,599		2,600,001		2,684,671
3128JMW45	FHLMC POOL # 1B2566		11/1/2034		1,475,018		1,462,085		1,501,968
3128JMY68	FHLMC POOL # 1B2632		11/1/2034		1,809,881		1,793,878		1,847,291
3128JMZG5	FHLMC POOL # 1B2642		11/1/2034		2,604,914		2,582,223		2,660,835
3128JNAL9	FHLMC POOL # 1B2810		2/1/2035		3,125,349		3,088,791		3,201,706
3128JRKQ8	FHLMC POOL # 847503		12/1/2035		731,325		714,472		750,353
3128JRP26	FHLMC POOL # 847641		12/1/2033		2,749,013		2,727,109		2,836,388
3128K17K1	FHLMC GOLD POOL # A41798		1/1/2036		8,695,416		8,888,032		8,878,019
3128K8FT8	FHLMC GOLD POOL # FGA47378		10/1/2035		2,473,533		2,287,011		2,470,633
3128KE5H2	FHLMC GOLD POOL # A52648		9/1/2036		252,109		255,357		268,097
3128KVAR6	FHLMC GOLD POOL # A64516		8/1/2037		315,486		319,545		335,614
3128KWBZ5	FHLMC GOLD POOL # A65456		9/1/2037		32,292		33,536		33,989
3128KWFX6	FHLMC GOLD POOL # A65582		9/1/2037		59,319		61,602		62,434
3128KWFY4	FHLMC GOLD POOL # A65583		9/1/2037		77,364		80,344		81,428
3128KWT29	FHLMC GOLD POOL # A65969		9/1/2037		39,949		41,488		42,048
3128KWTK9	FHLMC GOLD POOL # A65954		9/1/2037		64,571		67,060		67,962
3128KWTP8	FHLMC GOLD POOL # A65958		9/1/2037		57,833		60,060		60,871
3128KWTZ6	FHLMC GOLD POOL # A65968		9/1/2037		42,135		43,754		44,348

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at June 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
3128KYXE4	FHLMC GOLD POOL # A67877		4/1/2037		28,380		29,473		29,870
3128M4XA6	FHLMC GOLD POOL # G03073		7/1/2037		5,544,293		5,567,107		5,738,258
3128M4ZG1	FHLMC GOLD POOL # G03143		7/1/2037		5,310		5,514		5,589
3128M6UB2	FHLMC GOLD POOL # G04778		7/1/2038		131,463		136,531		138,368
3128M7AZ9	FHLMC GOLD POOL # G05124		12/1/2038		387,390		402,318		407,739
3128MMAC7	FHLMC GOLD POOL # G18002		7/1/2019		1,290,245		1,269,463		1,348,513
3128NCBF0	FHLMC POOL # 1G0038		1/1/2035		3,118,446		3,087,597		3,176,226
3128NCBH6	FHLMC POOL # 1G0040		1/1/2035		1,105,875		1,085,736		1,126,391
3128NCBW3	FHLMC POOL # 1G0053		2/1/2035		3,740,753		3,697,953		3,815,810
3128NCDH4	FHLMC POOL # 1G0104		2/1/2035		1,588,577		1,572,470		1,620,257
3128QLP54	FHLMC POOL # 1H2544		11/1/2035		21,713,134		21,299,191		22,143,271
3128QLPD7	FHLMC POOL # 1H2520		6/1/2035		34,653,279		34,294,247		35,340,540
3128S4E52	FHLMC POOL # 1Q0156		10/1/2035		11,122,017		11,014,693		11,460,738
312929CM2	FHLMC GOLD POOL # A82776		1/1/2039		13,221		13,730		13,916
31292HYA6	FHLMC GOLD POOL # C01605		7/1/2033		6,015,972		5,577,253		6,021,867
31292KJH1	FHLMC GOLD POOL # C02964		7/1/2037		2,849		2,958		2,998
312930LH1	FHLMC GOLD POOL # A83928		1/1/2039		49,801		51,719		52,417
312930LQ1	FHLMC GOLD POOL # A83935		1/1/2039		51,967		53,970		54,697
312930RC6	FHLMC GOLD POOL # A84083		1/1/2039		33,786		35,089		35,296
312930RV4	FHLMC GOLD POOL # A84100		1/1/2039		20,184		20,963		21,245
312930TB6	FHLMC GOLD POOL # A84146		1/1/2039		15,332		15,924		16,018
312930XY1	FHLMC GOLD POOL # A84295		2/1/2039		2,135,775		2,161,181		2,130,588
312931D62	FHLMC GOLD POOL # A84625		2/1/2039		4,934,285		4,821,948		4,784,531
312931TJ7	FHLMC GOLD POOL # A85053		3/1/2039		4,981,186		5,091,813		5,072,840
312932CX2	FHLMC GOLD POOL # A85486		4/1/2039		3,981,453		4,049,119		3,973,800
312933F41	FHLMC GOLD POOL # A86487		6/1/2039		5,445,674		5,432,903		5,427,704
312933T79	FHLMC GOLD POOL # A86874		6/1/2039		1,300,000		1,325,430		1,323,920
312933UD4	FHLMC GOLD POOL # A86880		6/1/2039		300,000		305,612		305,520
312933VG6	FHLMC GOLD POOL # A86915		6/1/2039		1,000,000		1,018,938		1,018,400
312933WK6	FHLMC GOLD POOL # A86950		6/1/2039		1,400,000		1,425,973		1,425,760
312933WR1	FHLMC GOLD POOL # A86956		6/1/2039		16,000,000		16,262,461		16,294,400
31294KN43	FHLMC GOLD POOL # E01311		2/1/2018		2,092,360		2,100,204		2,206,077
31294KP25	FHLMC GOLD POOL # E01341		3/1/2018		3,008,686		3,019,995		3,172,205
31294KUR4	FHLMC GOLD POOL # E01492		10/1/2018		1,377,950		1,383,297		1,452,840
31294KUT0	FHLMC GOLD POOL # E01494		9/1/2018		11,382,755		11,426,710		12,001,394
3129624Q3	FHLMC GOLD POOL # B10831		11/1/2018		162,248		162,867		171,066
312962J53	FHLMC GOLD POOL # B10284		10/1/2018		1,509,206		1,515,137		1,591,230
312962KD4	FHLMC GOLD POOL # B10292		10/1/2018		166,271		166,912		175,308
312962Q63	FHLMC GOLD POOL # B10477		10/1/2018		25,969		26,069		27,380
312962UW1	FHLMC GOLD POOL # B10597		11/1/2018		2,298,911		2,307,885		2,423,854
312963BP5	FHLMC GOLD POOL # B10946		12/1/2018		143,665		144,228		151,474
312963G70	FHLMC GOLD POOL # B11122		11/1/2018		771,542		774,526		813,475
312963L74	FHLMC GOLD POOL # B11250		11/1/2018		51,434		51,636		54,229
312963VY4	FHLMC GOLD POOL # B11531		12/1/2018		318,240		319,483		335,536
312963WH0	FHLMC GOLD POOL # B11548		12/1/2018		32,594		32,722		34,365
312963ZG9	FHLMC GOLD POOL # B11643		11/1/2018		157,514		158,109		166,075
3129642B4	FHLMC GOLD POOL # B12570		3/1/2019		626,863		628,671		659,014
312964QW2	FHLMC GOLD POOL # B12269		2/1/2019		502,187		504,117		529,481
312964RW1	FHLMC GOLD POOL # B12301		2/1/2014		1,638,733		1,570,201		1,654,728
312964WX3	FHLMC GOLD POOL # B12462		10/1/2018		716,525		719,284		755,468
312965A71	FHLMC GOLD POOL # B12730		3/1/2014		2,850,880		2,775,882		2,878,706
312965CH7	FHLMC GOLD POOL # B12772		3/1/2014		2,871,156		2,750,701		2,899,180
312965DX1	FHLMC GOLD POOL # B12818		3/1/2014		2,281,495		2,185,459		2,303,764
312965DY9	FHLMC GOLD POOL # B12819		3/1/2014		2,738,968		2,666,748		2,765,702
312965FY7	FHLMC GOLD POOL # B12883		3/1/2014		2,443,742		2,341,173		2,467,594
312965GT7	FHLMC GOLD POOL # B12910		3/1/2014		1,818,990		1,742,621		1,836,744
312965GU4	FHLMC GOLD POOL # B12911		3/1/2014		2,033,841		1,948,518		2,053,692
312965MP8	FHLMC GOLD POOL # B13066		3/1/2014		9,322,330		9,077,544		9,413,321
312965QA7	FHLMC GOLD POOL # B13149		11/1/2018		394,324		395,812		415,755
312965WC6	FHLMC GOLD POOL # B13343		4/1/2014		1,222,101		1,170,520		1,234,029
312965WD4	FHLMC GOLD POOL # B13344		4/1/2014		1,687,445		1,616,409		1,703,915
312965WU6	FHLMC GOLD POOL # B13359		4/1/2014		1,520,262		1,456,286		1,535,100
312965WV4	FHLMC GOLD POOL # B13360		4/1/2014		2,256,186		2,161,216		2,278,208
312966WU4	FHLMC GOLD POOL # B14259		5/1/2019		1,768,145		1,773,272		1,858,830
312967MC3	FHLMC GOLD POOL # B14855		6/1/2014		2,338,764		2,299,083		2,419,308
312967MH2	FHLMC GOLD POOL # B14860		5/1/2014		4,293,536		4,199,498		4,335,443

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at June 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
312968QL7	FHLMC GOLD POOL # B15859		12/1/2018		3,385,452		3,399,480		3,572,549
3129696M5	FHLMC GOLD POOL # B17176		11/1/2014		5,035,223		4,933,277		5,084,370
312969VY1	FHLMC GOLD POOL # B16931		10/1/2014		8,969,258		8,819,242		9,278,146
3129714D3	FHLMC GOLD POOL # B18920		3/1/2015		6,533,929		6,399,008		6,549,674
31297NKT2	FHLMC GOLD POOL # A33006		8/1/2035		2,355,408		2,177,819		2,352,647
31331S4Z3	FEDERAL FARM CREDIT BANK AGENCY BND		8/8/2011		1,600,000		1,601,428		1,694,560
31331SG56	FFCB AGENCY BND		6/21/2010		20,300,000		20,294,455		21,018,620
31331SH97	FEDERAL FARM CREDIT BANK AGENCY BND		4/24/2012		1,000,000		1,001,512		1,065,012
31331SP56	FFCB AGENCY BND		7/13/2012		17,475,000		17,542,490		18,706,988
31331ST29	FEDERAL FARM CREDIT BANK AGENCY BND		4/25/2012		1,400,000		1,394,758		1,497,860
31331SVR1	FFCB AGENCY BND		4/27/2010		15,540,000		15,542,347		16,024,848
31331VPV2	FFCB AGENCY BND		4/1/2016		2,975,000		2,957,786		3,208,538
31331XU75	FFCB AGENCY BND		8/13/2014		5,000,000		5,017,779		5,493,500
31331Y4P2	FFCB AGENCY BND		11/6/2017		11,435,000		11,459,680		11,930,136
31331YEJ5	FFCB AGENCY BND		11/15/2018		28,115,000		28,711,340		29,129,952
31331YR44	FFCB AGENCY BND		5/21/2015		10,000,000		9,884,566		10,499,000
31335H2K8	FHLMC GOLD POOL # C90778		11/1/2023		3,275,331		3,127,115		3,307,102
31339YL83	FHLB AGENCY BND		1/21/2011		27,000,000		26,735,217		28,163,700
3133MATQ2	FHLB AGENCY BND		2/12/2010		24,000,000		24,531,183		25,017,600
3133MB2B2	FHLB AGENCY BND		2/13/2015		1,800,000		2,055,974		2,189,880
3133X6PG5	FHLB AGENCY BND		4/26/2010		8,000,000		8,012,884		8,236,000
3133X85H1	FHLB AGENCY BND		8/10/2010		24,600,000		24,733,254		25,625,820
3133XBB20	FHLB AGENCY BND		3/17/2010		250,000		252,133		256,960
3133XBMT9	FHLB AGENCY BND		11/14/2014		43,345,000		42,850,360		46,018,953
3133XBT39	FHLB AGENCY BND		6/8/2012		40,000,000		40,234,734		42,476,001
3133XBTH8	FHLB AGENCY BND MTN		6/11/2010		23,000,000		23,086,496		23,787,980
3133XCZJ5	FHLB AGENCY BND		8/26/2013		1,000,000		1,002,950		1,073,700
3133XLWM1	FHLB AGENCY BND		9/12/2014		15,415,000		15,760,402		16,805,587
3133XTJ64	FHLB AGENCY BND		5/16/2011		10,000,000		10,023,909		10,011,099
31342A6F1	FHLMC POOL # 780870		9/1/2033		6,002,811		5,908,553		6,050,231
31349UCW6	FHLMC POOL # 782785		10/1/2034		2,807,066		2,781,850		2,862,151
31349UEJ3	FHLMC POOL # 782837		11/1/2034		5,087,955		5,024,653		5,155,646
31349UJM1	FHLMC POOL # 782968		1/1/2035		3,268,369		3,224,209		3,323,722
31349ULB2	FHLMC POOL # 783022		2/1/2035		5,785,861		5,729,695		5,879,881
31349ULF3	FHLMC POOL # 783026		2/1/2035		3,371,683		3,332,201		3,432,811
31349UMF2	FHLMC POOL # 783058		3/1/2035		10,786,807		10,677,112		10,971,086
3134A35H5	FHLMC AGENCY BND		9/15/2010		721,000		738,334		773,965
3134A3M78	FHLMC AGENCY BND		9/15/2009		44,000,000		44,315,977		44,580,981
3134A4DY7	FHLMC AGENCY NT		3/15/2011		30,000,000		30,659,371		32,246,400
3134A4QD9	FHLMC AGENCY BND		7/15/2012		45,300,000		45,743,116		49,579,038
3134A4US1	FHLMC AGENCY BND		7/15/2009		200,000		200,060		200,318
3134A4UW2	FHLMC AGENCY BND		12/15/2009		100,000		100,295		101,677
31359MEY5	FNMA AGENCY BND		9/15/2009		20,500,000		20,645,161		20,770,600
31359MFG3	FNMA AGENCY BND		1/15/2010		1,450,000		1,473,855		1,503,752
31359MFS7	FNMA AGENCY BND		6/15/2010		50,000,000		50,856,351		53,094,000
31359MHK2	FNMA AGENCY BND		3/15/2011		500,000		505,631		536,430
31359MJH7	FNMA AGENCY BND		5/15/2011		8,000,000		8,094,244		8,693,200
31368HL43	FNMA POOL # 190347		1/1/2034		21,257		21,729		21,749
31368HLV3	FNMA POOL # 190340		9/1/2033		15,874		16,224		16,241
3136F3TQ9	FNMA AGENCY BND		5/27/2010		11,000,000		10,963,980		11,313,500
31371KBQ3	FNMA POOL # 253947		8/1/2031		18,368		19,052		19,932
31371LDX4	FNMA POOL # 254918		9/1/2033		1,203,489		1,116,950		1,207,719
31371LZJ1	FNMA POOL # 255545		1/1/2015		4,787,614		4,640,293		4,911,134
31371MFY8	FNMA POOL # 255883		8/1/2035		13,432,101		13,149,920		13,862,322
31371QU71	FNMA POOL # 259006		3/1/2030		68,572		71,099		74,534
31375BUQ8	FNMA POOL # 330091		2/1/2023		151,493		157,231		164,630
31375KSE8	FNMA POOL # 337217		12/1/2024		56,787		59,359		62,120
31376CTB0	FNMA POOL # 351646		12/1/2024		12,557		13,038		13,646
31376KKG0	FNMA POOL # 357695		1/1/2020		999		970		1,033
31376KKK1	FNMA POOL # 357698		1/1/2015		2,196,293		2,152,513		2,272,724
31376KQB5	FNMA POOL # 357850		7/1/2035		194,821		201,593		201,841
31377XSA6	FNMA POOL # 390313		6/1/2027		99,457		103,363		108,175
31379T6G4	FNMA POOL # 429371		2/1/2014		56,199		55,791		57,975
3137EAAD1	FHLMC AGENCY BND		4/18/2016		50,000,000		51,767,775		55,248,500
3137EACC1	FHLMC AGENCY BND		6/15/2012		44,400,000		44,261,015		44,256,144
31382FVJ5	FNMA POOL # 481317		1/1/2029		3,381		3,500		3,491

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at June 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
31382G3H8	FNMA POOL # 482400		1/1/2029		2,879		2,981		3,004
31382NR20	FNMA POOL # 487505		4/1/2029		1,089		1,120		1,124
31382T4R7	FNMA POOL # 492332		4/1/2029		6,993		7,240		7,221
31382WLV2	FNMA POOL # 494540		3/1/2029		2,677		2,772		2,790
31384VP63	FNMA POOL # 535145		2/1/2030		914,879		948,837		992,786
31384VP97	FNMA POOL # 535148		2/1/2030		214,834		222,829		233,128
31384VUE0	FNMA POOL # 535281		4/1/2030		1,107,415		1,148,632		1,201,718
31384WLB4	FNMA POOL # 535922		3/1/2031		63,690		66,049		69,227
31384WVT4	FNMA POOL # 536226		5/1/2030		41,852		43,403		45,490
31384Y2A3	FNMA POOL # 538169		4/1/2030		68,255		70,782		74,189
31385FVZ6	FNMA POOL # 543432		6/1/2030		141,879		147,140		154,215
31385GZH0	FNMA POOL # 544444		9/1/2030		1,568		1,626		1,705
31385QRZ7	FNMA POOL # 549604		8/1/2030		5,637		5,845		6,127
31385RB58	FNMA POOL # 550060		4/1/2030		1,648,074		1,734,648		1,804,899
31385VYT2	FNMA POOL # 554322		9/1/2030		72,233		74,906		78,513
31385W6Z7	FNMA POOL # 555388		3/1/2018		1,586,791		1,561,586		1,675,210
31385XA72	FNMA POOL # 555430		5/1/2033		2,280,927		2,331,260		2,333,691
31385XAW7	FNMA POOL # 555421		5/1/2033		1,666,408		1,703,185		1,704,956
31385XD38	FNMA POOL # 555522		6/1/2033		140,641		143,749		143,895
31385XEW3	FNMA POOL # 555549		6/1/2018		614,408		609,636		643,453
31385XJY4	FNMA POOL # 555679		8/1/2033		64,717		66,152		66,215
31385XK48	FNMA POOL # 555715		7/1/2033		1,772,753		1,755,601		1,810,505
31385XKD8	FNMA POOL # 555692		7/1/2033		35,796		37,041		37,097
31385XM87	FNMA POOL # 555783		10/1/2033		5,356,370		4,971,178		5,375,197
31386XQU3	FNMA POOL # 576567		2/1/2031		2,463,300		2,553,994		2,677,464
31387EBE6	FNMA POOL # 581537		6/1/2031		79,926		82,897		86,732
31388DTM0	FNMA POOL # 601856		1/1/2031		34,408		35,772		37,424
31388HTX7	FNMA POOL # 605466		8/1/2031		30,038		31,162		32,596
31388UJF8	FNMA POOL # 615062		1/1/2017		2,170,850		2,137,281		2,291,814
31388XVV3	FNMA POOL # 618128		8/1/2033		8,475,621		8,285,781		8,571,038
31389EU78	FNMA POOL # 623506		12/1/2011		605,026		607,262		640,239
31389EVA0	FNMA POOL # 623509		12/1/2016		3,369,345		3,397,632		3,568,136
31389EVB8	FNMA POOL # 623510		12/1/2016		3,399,821		3,426,821		3,600,411
31389FPM8	FNMA POOL # 624228		1/1/2017		1,399,684		1,377,976		1,477,677
31389FQ62	FNMA POOL # 624277		1/1/2017		1,013,811		998,079		1,070,302
31389XHM8	FNMA POOL # 638436		3/1/2012		473,365		479,283		504,367
31391AKC2	FNMA POOL # 660991		7/1/2032		9,705		10,067		10,531
31391PTM8	FNMA POOL # 672956		12/1/2017		23,943,644		23,962,311		24,975,924
31391PUF1	FNMA POOL # 672982		12/1/2017		631,160		626,272		661,077
31392JTP4	FNMA AGENCY CMO_03-20 HP		10/25/2016		134,020		133,166		137,156
31393DL74	FNMA CMO AGENCY CMO_03-80 CA		4/25/2030		564,439		551,025		569,067
31393EFX2	FNMA CMO AGENCY CMO 03-79 NL		5/25/2022		1,377,129		1,390,129		1,396,229
31393KLM5	FHLMC AGENCY CMO 2570 CL		7/15/2017		819,927		808,759		835,357
31393M5X5	FHLMC CMO AGENCY CMO 2580		12/15/2016		1,836,562		71,494		53,444
31393QVD1	FHLMC AGENCY CMO 2618 NE		6/15/2013		641,942		639,180		657,862
31393VPH8	FHLMC_2627 CMO 2628-OD		7/15/2017		31,560,900		30,964,338		32,936,955
31395RAR9	FHLMC AGENCY CMO R001 AE		4/15/2015		1,380,229		1,370,612		1,414,031
31396A7E8	FHLMC_3035 CMO AGENCY 3038 XA		9/15/2035		900,837		898,486		843,003
31396AFE9	FHLMC_3035 AGENCY CMO 3028		12/15/2026		9,296,348		9,291,831		9,521,320
31396KS45	FNMA_06-65 CMO AGENCY 6-81 LF1		9/25/2036		409,066		429,087		403,421
31396NAL0	FHLMC AGENCY CMO 3138 X		4/15/2036		700,692		716,800		655,918
31396TYH0	FHLMC AGENCY CMO 3167 X		6/15/2036		1,915,694		1,896,182		1,760,523
31396VDA3	FNMA_07-41 CMO 7-27 XA		5/25/2035		390,373		386,059		380,028
31396VV21	FNMA_07-41 AGENCY CMO 07-42 LF		5/25/2037		587,622		651,575		573,931
31396WBP0	FNR CMO 07-56 FA		6/25/2037		18,604,361		17,853,100		18,256,459
31396WCB0	FNMA_07-53 AGENCY CMO 07-56 GY		6/25/2037		70,181		68,701		67,963
31396WDG8	FNMA_07-53 AGENCY CMO 07-53 UF		6/25/2037		600,050		654,223		568,187
31397F7E6	FHLMC AGENCY CMO 3274 SX		7/15/2036		321,452		334,689		312,644
31397FES7	FHLMC_3271 AGENCY CMO 3275 UF		2/15/2037		544,747		650,803		523,011
31397FYK2	FHLMC AGENCY CMO 3291 XA		3/15/2037		869,298		911,786		803,666
31397KTK7	FHR CMO 3380 FP		11/15/2036		33,521,330		32,675,289		32,864,312
31400EGH7	FNMA POOL # 685200		3/1/2018		537,557		533,392		562,968
31400JL98	FNMA POOL # 688952		4/1/2033		8,630,904		8,538,952		8,802,088
31400JM55	FNMA POOL # 688980		5/1/2033		2,935		3,042		3,049
31400QJ87	FNMA POOL # 694287		3/1/2033		209,897		207,791		214,499
31400SA33	FNMA POOL # 695826		4/1/2018		486,714		482,934		509,722

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at June 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
31400TTJ6	FNMA POOL # 697253		9/1/2033		31,509		32,203		32,238
31400UQV9	FNMA POOL # 698068		4/1/2033		797,879		789,398		827,879
31400WDQ0	FNMA POOL # 699511		6/1/2033		75,239		76,900		76,979
31401A3C9	FNMA POOL # 702895		4/1/2018		626,731		621,869		656,358
31401JMQ8	FNMA POOL # 709667		5/1/2033		362,431		370,437		370,815
31402BXS8	FNMA POOL # 724389		8/1/2033		107,429		109,800		109,914
31402CU67	FNMA POOL # 725205		3/1/2034		305,337		312,072		312,400
31402CVY5	FNMA POOL # 725231		2/1/2034		288,625		294,996		295,302
31402CVZ2	FNMA POOL # 725232		3/1/2034		35,696		36,488		36,522
31402DGQ7	FNMA POOL # 725707		8/1/2019		2,131,197		2,114,483		2,227,528
31402DS27	FNMA POOL # 726037		8/1/2033		31,732		32,426		32,466
31402E2N7	FNMA POOL # 727181		8/1/2033		250,345		255,879		256,136
31402EJ41	FNMA POOL # 726683		10/1/2033		44,570		45,556		45,601
31402GZT3	FNMA POOL # 728954		8/1/2033		22,580		23,078		23,102
31402J4Y0	FNMA POOL # 730839		7/1/2033		233,715		238,876		239,121
31402JYY7	FNMA POOL # 730727		8/1/2033		64,883		66,317		66,384
31402LHF2	FNMA POOL # 732030		9/1/2033		19,098		19,520		19,540
31402QXK2	FNMA POOL # 735182		2/1/2031		1,045,688		1,091,031		1,134,735
31402RBY4	FNMA POOL # 735455		3/1/2034		14,163		14,475		14,491
31402RF87	FNMA POOL # 735591		6/1/2035		13,117,960		12,835,557		13,413,919
31402RSS9	FNMA POOL # 735929		8/1/2032		1,579,386		1,638,591		1,717,829
31402V4E7	FNMA POOL # 739821		9/1/2033		191,991		196,248		196,433
31402WMC9	FNMA POOL # 740255		10/1/2033		599,699		612,941		613,571
31402YFB5	FNMA POOL # 741862		9/1/2033		43,309		44,629		44,883
31402YGR9	FNMA POOL # 741908		11/1/2033		21,012		21,475		21,498
31402YSV7	FNMA POOL # 742232		9/1/2033		189,789		186,854		197,898
31403C2L4	FNMA POOL # 745179		4/1/2019		2,201,619		2,184,415		2,305,695
31403C3B5	FNMA POOL # 745194		5/1/2019		8,795,448		8,653,340		9,285,545
31403C3T6	FNMA POOL # 745210		1/1/2019		16,953,230		16,680,671		17,897,892
31403CWU1	FNMA POOL # 745059		9/1/2035		17,072,839		16,953,959		17,401,841
31403DC56	FNMA POOL # 745392		12/1/2020		12,810,332		12,477,751		13,251,664
31403DC72	FNMA POOL # 745394		11/1/2020		7,760,934		7,563,464		8,039,552
31403DCC1	FNMA POOL # 745367		12/1/2018		8,117,419		7,986,816		8,569,736
31403DCE7	FNMA POOL # 745369		12/1/2019		1,280,923		1,270,882		1,338,821
31403DCZ0	FNMA POOL # 745388		11/1/2018		4,366,571		4,332,536		4,572,989
31403DJG5	FNMA POOL # 745563		8/1/2034		35,797		36,813		37,085
31403DKZ1	FNMA POOL # 745612		7/1/2034		43,785		44,751		44,798
31403FPV0	FNMA POOL # 747536		11/1/2033		95,538		97,656		97,748
31403GJT0	FNMA POOL # 748274		10/1/2033		63,536		64,943		65,005
31403GRW4	FNMA POOL # 748501		11/1/2033		15,553		15,896		15,913
31403KDB6	FNMA POOL # 750798		12/1/2033		205,380		202,282		210,283
31403N4F1	FNMA POOL # 754222		12/1/2033		33,496		34,680		34,713
31403NYJ0	FNMA POOL # 754113		12/1/2033		44,336		45,994		48,112
31403SBL9	FNMA POOL # 756143		7/1/2030		327,413		340,386		356,113
31403U7H8	FNMA POOL # 758796		12/1/2033		20,392		20,842		20,864
31403VBR9	FNMA POOL # 758848		1/1/2019		632,190		627,243		662,075
31404EGE0	FNMA POOL # 766197		2/1/2034		54,895		56,574		56,908
31404NBP0	FNMA POOL # 773246		2/1/2035		2,322,366		2,299,660		2,365,980
31404Q2H1	FNMA POOL # 775776		5/1/2034		136,402		141,225		141,310
31404RA98	FNMA POOL # 775932		6/1/2028		43,192		44,891		46,870
31404RAX5	FNMA POOL # 775922		10/1/2028		179,229		185,851		194,492
31404SFP5	FNMA POOL # 776974		4/1/2034		8,769		9,036		9,104
31404XLJ1	FNMA POOL # 781629		12/1/2034		608,158		626,689		630,039
31405QNR5	FNMA POOL # 796100		10/1/2034		2,394		2,462		2,485
31405UMM8	FNMA POOL # 799664		10/1/2034		972,060		964,527		990,853
31405UTZ2	FNMA POOL # 799868		11/1/2034		354,018		350,911		360,609
31406BB90	FNMA POOL # 804764		1/1/2035		3,989,886		3,954,104		4,068,515
31406BEZ9	FNMA POOL # 804852		12/1/2034		3,357,669		3,327,794		3,416,052
31406BJF8	FNMA POOL # 804962		1/1/2035		4,372,966		4,335,233		4,470,444
31406BQQ6	FNMA POOL # 805163		1/1/2035		4,837,550		4,791,341		4,983,965
31406DG67	FNMA POOL # 806721		11/1/2034		7,676,433		7,612,239		7,906,525
31406MYP5	FNMA POOL # 814418		3/1/2035		4,399,486		4,354,365		4,493,987
31406PD71	FNMA POOL # 815626		5/1/2035		14,383,492		14,256,838		14,796,172
31406Q6S1	FNMA POOL # 817281		6/1/2035		20,574		21,301		21,315
31406QLT2	FNMA POOL # 816738		1/1/2030		1,111,476		1,152,815		1,206,125
31406RYW9	FNMA POOL # 818025		3/1/2037		26,733		27,700		27,738

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at June 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
31406TLC3	FNMA POOL # 819423		4/1/2035		6,466,623		6,407,946		6,734,056
31406TWR8	FNMA POOL # 819756		1/1/2035		1,859,085		1,841,824		1,901,947
31406VHE9	FNMA POOL # 821129		5/1/2035		5,451,066		5,395,894		5,571,657
31406XDU3	FNMA POOL # 822815		4/1/2035		244,745		253,400		253,424
31407CE29	FNMA POOL # 826453		7/1/2035		1,551		1,595		1,609
31407FG53	FNMA POOL # 829220		8/1/2035		3,904		4,015		4,052
31407FKM1	FNMA POOL # 829300		9/1/2035		1,926,109		1,782,597		1,928,728
31407FUW8	FNMA POOL # 829597		8/1/2035		5,572,504		5,514,251		5,753,446
31407HKX3	FNMA POOL # 831110		10/1/2035		19,722		20,420		20,421
31407JXG2	FNMA POOL # 832379		8/1/2035		2,298,762		2,274,257		2,351,916
31407RQD9	FNMA POOL # 838452		9/1/2035		74,406		76,681		77,110
31408BKL1	FNMA POOL # 846399		5/1/2029		2,538,917		2,633,022		2,755,122
31408DWH3	FNMA POOL # 848548		12/1/2035		1,878,397		1,738,409		1,880,952
31408FJR1	FNMA POOL # 849972		2/1/2029		2,064,728		2,141,258		2,240,552
31409AFL8	FNMA POOL # 865171		2/1/2036		1,883		1,940		1,949
31409GML7	FNMA POOL # 870763		7/1/2036		3,576,061		3,735,841		3,811,410
31410F2Q7	FNMA POOL # 888283		8/1/2034		1,852,846		1,896,175		1,894,649
31410F5M3	FNMA POOL # 888352		5/1/2037		2,930,452		3,032,387		3,033,303
31410FU60	FNMA POOL # 888105		8/1/2020		1,769,441		1,755,520		1,853,086
31410FVQ5	FNMA POOL # 888123		4/1/2034		213,261		217,970		218,194
31410G6J7	FNMA POOL # 889273		4/1/2038		103,547		106,681		107,181
31410GA78	FNMA POOL # 888430		11/1/2033		390,536		399,108		399,570
31410GC84	FNMA POOL # 888495		7/1/2035		4,161,975		4,121,472		4,338,173
31410GD83	FNMA POOL # 888527		4/1/2034		730,246		716,852		751,635
31410GDF7	FNMA POOL # 888502		6/1/2033		2,493,824		2,462,261		2,560,886
31410GDL4	FNMA POOL # 888507		2/1/2035		10,920,095		10,735,391		11,128,396
31410GDN0	FNMA POOL # 888509		6/1/2033		291,253		285,124		297,672
31410GDP5	FNMA POOL # 888510		6/1/2035		10,023,738		9,822,628		10,339,286
31410GDS9	FNMA POOL # 888513		2/1/2034		425,931		420,367		434,830
31410GDY6	FNMA POOL # 888519		1/1/2035		1,261,493		1,240,526		1,286,505
31410GJ46	FNMA POOL # 888683		12/1/2019		6,142,105		6,093,871		6,431,398
31410KCT9	FNMA POOL # 889382		4/1/2038		67,533		69,981		70,072
31410KEQ3	FNMA POOL # 889443		4/1/2038		3,260,745		3,360,630		3,375,189
31410KFE9	FNMA POOL # 889465		3/1/2038		4,862,381		5,034,410		5,026,243
31410KJB1	FNMA POOL # 889558		6/1/2038		442,921		458,953		459,574
31410KS47	FNMA POOL # 889839		12/1/2035		17,501		17,998		18,130
31410KTP9	FNMA POOL # 889858		7/1/2038		61,631		63,978		64,102
31410KX74	FNMA POOL # 890002		9/1/2036		26,219,417		26,265,693		27,172,111
31410KXA7	FNMA POOL # 889973		9/1/2038		879,656		904,707		908,385
31410KXQ2	FNMA POOL # 889987		8/1/2038		432,159		449,472		449,488
31410KXR0	FNMA POOL # 889988		8/1/2038		1,919,831		1,992,612		1,992,012
31410KXT6	FNMA POOL # 889990		9/1/2038		603,222		624,247		624,393
31410MJZ4	FNMA POOL # 891380		12/1/2031		61,706		63,066		63,134
31410UGR7	FNMA POOL # 897608		3/1/2037		98,197		101,941		101,889
31410V4A5	FNMA POOL # 899117		4/1/2037		51,326		53,281		53,256
31410V4C1	FNMA POOL # 899119		4/1/2037		9,810		10,092		10,154
31410WL55	FNMA POOL # 899548		6/1/2037		156,689		162,232		161,970
31411BBW2	FNMA POOL # 902853		12/1/2036		16,428		16,901		17,004
31411BJC8	FNMA POOL # 903059		12/1/2036		229,597		238,345		238,229
31411BLG6	FNMA POOL # 903127		10/1/2036		13,216		13,694		13,655
31411E2C0	FNMA POOL # 906271		1/1/2037		383,960		397,542		397,436
31411EUP0	FNMA POOL # 906090		1/1/2037		229,297		237,408		237,162
31411EYW1	FNMA POOL # 906225		1/1/2037		34,280		35,652		35,655
31411EZV2	FNMA POOL # 906256		1/1/2037		29,119		30,149		30,141
31411GNS7	FNMA POOL # 907701		2/1/2037		96,507		100,372		100,377
31411HXH8	FNMA POOL # 908880		2/1/2037		64,863		67,317		66,982
31411J7B6	FNMA POOL # 909990		3/1/2037		78,449		81,589		81,595
31411KDP5	FNMA POOL # 910110		3/1/2037		6,123		6,355		6,369
31411KE82	FNMA POOL # 910159		3/1/2037		6,706		6,974		6,975
31411KG64	FNMA POOL # 910221		3/1/2037		295,353		305,801		305,719
31411LTN1	FNMA POOL # 911457		3/1/2037		39,346		40,772		40,825
31411LXD8	FNMA POOL # 911576		4/1/2037		2,635		2,715		2,727
31411N6G7	FNMA POOL # 912671		3/1/2037		39,799		41,158		41,195
31411NWC7	FNMA POOL # 912443		3/1/2037		46,242		47,991		47,752
31411RFD5	FNMA POOL # 912864		2/1/2037		100,209		103,999		103,482
31411RFF0	FNMA POOL # 912866		2/1/2037		160,719		166,841		166,762

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at June 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
31411S5Q5	FNMA POOL # 914455		4/1/2037		555,143		574,781		574,627
31411S7J9	FNMA POOL # 914497		3/1/2037		78,705		81,688		81,861
31411SP42	FNMA POOL # 914043		2/1/2037		41,130		42,622		42,677
31411VFE4	FNMA POOL # 915565		4/1/2037		100,984		105,026		105,033
31411VTQ2	FNMA POOL # 915959		4/1/2037		84,367		87,494		87,122
31411WVZ7	FNMA POOL # 916932		5/1/2037		33,962		35,164		35,154
31411WWC7	FNMA POOL # 916943		6/1/2037		200,018		207,093		206,758
31411WXG7	FNMA POOL # 916979		4/1/2037		84,653		88,043		88,047
31411WXL6	FNMA POOL # 916983		4/1/2037		174,154		180,798		180,701
31411WXP7	FNMA POOL # 916986		4/1/2037		1,919,034		1,933,088		1,986,388
31411WZZ3	FNMA POOL # 917060		5/1/2037		1,351,886		1,399,709		1,397,445
31411X3C7	FNMA POOL # 917995		5/1/2037		31,425		32,526		32,528
31411X7D1	FNMA POOL # 918092		5/1/2037		33,481		34,665		34,656
31411XMU6	FNMA POOL # 917571		4/1/2037		95,821		99,411		99,424
31411XXG5	FNMA POOL # 917879		5/1/2037		38,541		39,938		39,800
31411YCA9	FNMA POOL # 918165		5/1/2037		1,798,601		1,815,273		1,861,728
31411YCT8	FNMA POOL # 918182		5/1/2037		1,945,019		1,959,202		2,013,284
31411YEK5	FNMA POOL # 918238		5/1/2037		12,328		12,679		12,761
31411YKM4	FNMA POOL # 918400		5/1/2037		44,295		45,892		45,742
31411YNU3	FNMA POOL # 918503		6/1/2037		128,693		132,758		133,210
31411YNW9	FNMA POOL # 918505		5/1/2037		38,799		40,205		40,258
31411YSG9	FNMA POOL # 918619		6/1/2037		51,514		53,336		53,322
31411YZX4	FNMA POOL # 918858		4/1/2037		36,313		37,360		37,587
31412FK69	FNMA POOL # 923817		4/1/2037		55,070		56,837		57,002
31412HZK8	FNMA POOL # 926046		4/1/2038		77,886		80,642		80,620
31412L2N9	FNMA POOL # 928781		10/1/2037		201,077		206,886		208,134
31412LB74	FNMA POOL # 928062		2/1/2037		5,617		5,779		5,814
31412LBJ8	FNMA POOL # 928041		12/1/2036		176,871		183,954		183,963
31412LD64	FNMA POOL # 928125		3/1/2037		53,593		55,225		55,474
31412LDY3	FNMA POOL # 928119		3/1/2037		132,098		137,385		137,395
31412LEH9	FNMA POOL # 928136		2/1/2037		7,186		7,473		7,474
31412LFX3	FNMA POOL # 928182		4/1/2037		196,079		203,497		202,483
31412LKE9	FNMA POOL # 928293		5/1/2037		1,370,709		1,381,002		1,418,818
31412LQU7	FNMA POOL # 928467		7/1/2037		18,635		19,310		19,336
31412LQW3	FNMA POOL # 928469		7/1/2037		19,923		20,511		20,622
31412LQZ6	FNMA POOL # 928472		6/1/2037		13,653		14,148		14,113
31412LTN0	FNMA POOL # 928557		7/1/2037		185,320		191,875		191,824
31412MJ82	FNMA POOL # 929187		3/1/2038		1,460,271		1,504,072		1,511,523
31412MLU0	FNMA POOL # 929239		2/1/2038		317,003		326,163		328,129
31412MX29	FNMA POOL # 929597		6/1/2038		3,564		3,693		3,684
31412MYX0	FNMA POOL # 929626		6/1/2038		644,119		664,996		666,726
31412N2A3	FNMA POOL # 930569		2/1/2039		460,469		474,670		476,631
31412N2F2	FNMA POOL # 930574		2/1/2039		41,029		42,278		42,403
31412NAX4	FNMA POOL # 929822		8/1/2038		637,461		660,556		661,428
31412NEH5	FNMA POOL # 929936		9/1/2038		31,232		32,361		32,406
31412NHJ8	FNMA POOL # 930033		10/1/2038		159,817		164,363		165,826
31412NHL3	FNMA POOL # 930035		10/1/2038		329,462		339,690		341,025
31412NLN4	FNMA POOL # 930133		11/1/2038		120,110		123,761		124,325
31412NLS3	FNMA POOL # 930137		11/1/2038		269,131		277,173		278,576
31412NP83	FNMA POOL # 930247		12/1/2038		776,987		806,540		808,142
31412NR24	FNMA POOL # 930305		12/1/2038		360,636		374,359		375,096
31412NRG3	FNMA POOL # 930287		12/1/2038		1,325,308		1,373,285		1,369,838
31412NU38	FNMA POOL # 930402		1/1/2039		290,344		299,324		300,535
31412NUL8	FNMA POOL # 930387		1/1/2039		2,458,899		2,539,433		2,507,339
31412NUP9	FNMA POOL # 930390		1/1/2039		2,372,918		2,451,580		2,420,851
31412NUQ7	FNMA POOL # 930391		1/1/2039		258,428		266,903		263,519
31412NUT1	FNMA POOL # 930394		1/1/2039		152,401		157,408		155,404
31412NUW4	FNMA POOL # 930397		1/1/2039		1,559,159		1,614,327		1,613,881
31412NXB7	FNMA POOL # 930474		1/1/2039		1,907,802		1,969,435		1,945,577
31412NXE1	FNMA POOL # 930477		1/1/2039		3,117,784		3,223,803		3,189,493
31412PJD4	FNMA POOL # 930960		4/1/2039		64,022		66,346		66,173
31412PJF9	FNMA POOL # 930962		4/1/2039		59,509		61,614		61,508
31412PJQ5	FNMA POOL # 930971		4/1/2039		56,545		58,546		58,581
31412TL84	FNMA POOL # 934251		1/1/2039		151,704		157,196		156,786
31412TLQ4	FNMA POOL # 934235		1/1/2039		310,551		319,779		321,451
31412TM26	FNMA POOL # 934277		6/1/2038		8,995,102		9,268,066		9,297,337

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at June 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
31412TMZ3	FNMA POOL # 934276		6/1/2038		96,475		99,754		99,861
31412TRT2	FNMA POOL # 934398		9/1/2038		15,294		15,730		15,870
31412TXD0	FNMA POOL # 934576		10/1/2038		87,472		90,138		90,542
31412TYS6	FNMA POOL # 934621		11/1/2038		104,475		107,668		108,141
31412UPR5	FNMA POOL # 935232		5/1/2039		261,501		270,754		270,261
31412WP91	FNMA POOL # 937048		4/1/2037		37,998		39,374		39,427
31412XS47	FNMA POOL # 938039		7/1/2037		24,233		24,931		25,083
31412XSX3	FNMA POOL # 938034		7/1/2037		169,341		175,747		174,872
31412YCZ3	FNMA POOL # 938488		5/1/2037		18,393		18,956		19,038
31413AGA5	FNMA POOL # 939493		6/1/2037		3,754		3,861		3,886
31413AH22	FNMA POOL # 939549		7/1/2037		36,335		37,651		37,522
31413BGL9	FNMA POOL # 940403		6/1/2037		5,329		5,480		5,529
31413BWA5	FNMA POOL # 940841		8/1/2037		1,312		1,352		1,358
31413CLH0	FNMA POOL # 941428		7/1/2037		8,453,039		8,755,260		8,846,106
31413DLM7	FNMA POOL # 942332		8/1/2037		128,865		133,424		133,388
31413FGZ9	FNMA POOL # 944016		8/1/2037		4,301		4,423		4,463
31413HW38	FNMA POOL # 946266		9/1/2037		8,262		8,561		8,573
31413LNN5	FNMA POOL # 948697		8/1/2037		4,138,145		4,281,206		4,329,274
31413NY66	FNMA POOL # 950833		11/1/2037		7,797,483		8,105,200		8,160,066
31413R2P0	FNMA POOL # 953582		12/1/2037		9,428,108		9,939,118		9,866,515
31413RU79	FNMA POOL # 953406		11/1/2037		58,153		60,211		60,194
31413TPF3	FNMA POOL # 955022		9/1/2037		27,638		28,640		28,569
31413USF7	FNMA POOL # 956018		11/1/2037		850,326		877,951		889,496
31413YNC1	FNMA POOL # 959487		12/1/2037		22,395		23,206		23,237
31414BNQ9	FNMA POOL # 961299		1/1/2038		322,486		331,779		333,804
31414BVF4	FNMA POOL # 961514		2/1/2038		36,388		37,676		37,666
31414CEG9	FNMA POOL # 961935		3/1/2038		229,863		236,500		237,931
31414CJH2	FNMA POOL # 962064		3/1/2038		1,516,747		1,569,810		1,567,710
31414CJK5	FNMA POOL # 962066		3/1/2038		845,956		876,648		874,380
31414CLB2	FNMA POOL # 962122		3/1/2038		55,906		57,884		57,784
31414CXE3	FNMA POOL # 962477		4/1/2038		16,175		16,762		16,721
31414CYF9	FNMA POOL # 962510		4/1/2038		236,455		243,684		244,754
31414CZ35	FNMA POOL # 962562		4/1/2038		230,478		237,528		238,567
31414DAG1	FNMA POOL # 962707		4/1/2038		19,754		20,470		20,418
31414DDA1	FNMA POOL # 962797		4/1/2038		154,011		158,611		159,416
31414DT48	FNMA POOL # 963271		5/1/2038		175,120		181,786		182,142
31414E5L4	FNMA POOL # 964451		7/1/2038		30,125		31,270		31,333
31414E5M2	FNMA POOL # 964452		7/1/2038		397,340		411,726		412,279
31414E5W0	FNMA POOL # 964461		7/1/2038		65,271		67,455		67,561
31414EAG9	FNMA POOL # 963607		6/1/2038		7,186		7,406		7,438
31414EBW3	FNMA POOL # 963653		6/1/2038		14,322		14,832		14,803
31414EHC1	FNMA POOL # 963827		6/1/2038		34,966		36,234		36,141
31414EHG2	FNMA POOL # 963831		6/1/2038		17,340		17,999		18,035
31414EHJ6	FNMA POOL # 963833		6/1/2038		17,056		17,675		17,630
31414EMG6	FNMA POOL # 963959		7/1/2038		21,317		22,128		22,172
31414ENN0	FNMA POOL # 963997		6/1/2038		74,818		77,532		77,332
31414EV84	FNMA POOL # 964239		7/1/2038		100,360		103,273		103,883
31414FPP0	FNMA POOL # 964930		8/1/2038		7,034		7,237		7,281
31414FUR0	FNMA POOL # 965092		9/1/2038		26,484		27,253		27,414
31414HDG9	FNMA POOL # 966403		12/1/2037		2,052		2,111		2,124
31414HKV8	FNMA POOL # 966608		2/1/2038		3,744		3,852		3,875
31414KJQ4	FNMA POOL # 968371		9/1/2038		17,667		18,202		18,287
31414M7A8	FNMA POOL # 970789		11/1/2038		167,891		172,892		173,783
31414MHG4	FNMA POOL # 970131		3/1/2038		11,336		11,664		11,734
31414MXJ0	FNMA POOL # 970581		10/1/2038		6,689		6,883		6,924
31414MXU5	FNMA POOL # 970591		10/1/2038		599,371		620,578		620,407
31414MYF7	FNMA POOL # 970610		10/1/2038		192,929		199,755		199,700
31414NCH5	FNMA POOL # 970872		12/1/2038		3,737,225		3,915,342		3,910,259
31414NCL6	FNMA POOL # 970875		12/1/2038		290,612		299,260		300,812
31414NH31	FNMA POOL # 971050		2/1/2039		2,917,701		3,013,298		2,987,953
31414NH49	FNMA POOL # 971051		2/1/2039		3,870,207		3,997,380		3,946,450
31414NHX5	FNMA POOL # 971046		1/1/2039		185,688		191,226		192,205
31414NHY3	FNMA POOL # 971047		1/1/2039		1,898,375		1,972,121		1,962,161
31414NHZ0	FNMA POOL # 971048		1/1/2039		1,864,484		1,936,928		1,927,131
31414PNQ8	FNMA POOL # 972099		2/1/2038		23,880		24,743		24,700
31414QAF4	FNMA POOL # 972606		4/1/2038		158,399		163,243		163,958

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at June 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
31414QZK6	FNMA POOL # 973346		2/1/2038		16,957		17,573		17,595
31414RLM5	FNMA POOL # 973832		3/1/2038		193,549		200,925		201,310
31414RLP8	FNMA POOL # 973834		3/1/2038		74,569		77,009		77,373
31414RNK7	FNMA POOL # 973894		3/1/2038		86,868		89,532		89,917
31414RQR9	FNMA POOL # 973964		5/1/2038		17,101		17,722		17,676
31414STX1	FNMA POOL # 974966		4/1/2038		163,927		169,727		169,435
31414SX57	FNMA POOL # 975100		6/1/2038		242,031		249,606		250,526
31414TNK3	FNMA POOL # 975694		8/1/2038		573,447		593,736		593,573
31414TRX1	FNMA POOL # 975802		4/1/2038		89,568		92,160		92,712
31414TSG7	FNMA POOL # 975819		4/1/2038		48,778		50,504		50,490
31414U3X4	FNMA POOL # 977014		5/1/2038		22,515		23,166		23,305
31414U4V7	FNMA POOL # 977036		5/1/2038		189,082		194,552		195,718
31414XW24	FNMA POOL # 979565		10/1/2038		15,767		16,368		16,400
31414XWJ7	FNMA POOL # 979549		10/1/2038		328,622		338,412		340,156
31415A4A6	FNMA POOL # 981517		7/1/2038		952		979		985
31415AUQ2	FNMA POOL # 981291		6/1/2038		26,546		27,314		27,478
31415AV32	FNMA POOL # 981334		7/1/2038		21,203		21,969		22,000
31415AV57	FNMA POOL # 981336		7/1/2038		196,550		202,615		203,449
31415AVE8	FNMA POOL # 981313		6/1/2038		13,387		13,797		13,856
31415BCB3	FNMA POOL # 981666		6/1/2038		68,317		70,793		70,886
31415BHZ5	FNMA POOL # 981848		6/1/2038		15,645		16,212		16,171
31415BKW8	FNMA POOL # 981909		6/1/2038		14,836		15,400		15,431
31415BKX6	FNMA POOL # 981910		6/1/2038		440,479		456,458		457,040
31415BP86	FNMA POOL # 982047		5/1/2038		18,290		18,954		18,978
31415BP94	FNMA POOL # 982048		5/1/2038		431,883		447,163		446,395
31415BQA0	FNMA POOL # 982049		5/1/2038		432,637		447,944		447,174
31415BQG7	FNMA POOL # 982055		5/1/2038		382,144		395,664		394,984
31415LAC1	FNMA POOL # 983003		5/1/2038		3,858		3,969		3,993
31415LCT2	FNMA POOL # 983082		5/1/2038		126,570		131,152		130,823
31415LNZ6	FNMA POOL # 983408		6/1/2038		94,846		98,445		98,411
31415MAH8	FNMA POOL # 983908		6/1/2038		38,643		40,046		39,941
31415MDW2	FNMA POOL # 984017		6/1/2038		28,369		29,450		29,506
31415MP74	FNMA POOL # 984346		5/1/2038		2,132		2,194		2,207
31415MPA7	FNMA POOL # 984317		5/1/2038		23,096		23,764		23,907
31415MSJ5	FNMA POOL # 984421		6/1/2038		115,381		119,463		119,430
31415P3Y2	FNMA POOL # 985615		4/1/2034		18,191,333		18,835,391		18,891,700
31415PKV9	FNMA POOL # 985108		7/1/2038		12,734		13,104		13,181
31415PKW7	FNMA POOL # 985109		7/1/2038		40,208		41,739		41,820
31415PKX5	FNMA POOL # 985110		7/1/2038		209,267		216,863		216,299
31415PL30	FNMA POOL # 985146		9/1/2038		10,709		11,116		11,069
31415PM88	FNMA POOL # 985183		8/1/2038		15,364		15,922		15,880
31415PYL6	FNMA POOL # 985515		6/1/2038		44,601		45,889		46,166
31415PYM4	FNMA POOL # 985516		6/1/2038		649,735		669,608		672,539
31415PYN2	FNMA POOL # 985517		6/1/2038		107,028		110,310		110,784
31415R3X0	FNMA POOL # 987414		7/1/2038		1,865		1,919		1,931
31415RE91	FNMA POOL # 986760		7/1/2038		72,452		74,667		74,995
31415RFA7	FNMA POOL # 986761		7/1/2038		1,481,800		1,504,910		1,533,807
31415RLS1	FNMA POOL # 986937		9/1/2038		167,793		173,730		173,682
31415RPR9	FNMA POOL # 987032		8/1/2038		11,168		11,493		11,560
31415RPT5	FNMA POOL # 987034		8/1/2038		25,348		26,267		26,199
31415SK43	FNMA POOL # 987815		9/1/2038		1,021		1,050		1,056
31415SWQ1	FNMA POOL # 988155		11/1/2038		89,711		92,315		92,859
31415TFD7	FNMA POOL # 988564		8/1/2038		149,548		154,394		154,797
31415TFQ8	FNMA POOL # 988575		8/1/2038		143,518		148,223		148,555
31415UZG5	FNMA POOL # 990043		9/1/2038		51,669		53,436		53,483
31415VP58	FNMA POOL # 990644		9/1/2038		29,389		30,244		30,421
31415VP66	FNMA POOL # 990645		9/1/2038		43,592		45,106		45,121
31415VP74	FNMA POOL # 990646		9/1/2038		60,559		62,610		62,684
31415VYV1	FNMA POOL # 990924		9/1/2038		29,892		30,946		30,942
31415VZW8	FNMA POOL # 990957		9/1/2023		651,212		637,078		674,322
31415WAD5	FNMA POOL # 991104		12/1/2038		668,679		694,138		695,491
31415WN90	FNMA POOL # 991516		11/1/2038		308,963		317,765		320,580
31415WNC3	FNMA POOL # 991487		10/1/2038		24,072		24,920		24,917
31415XEM9	FNMA POOL # 992140		10/1/2038		607,976		626,522		629,314
31415XEN7	FNMA POOL # 992141		10/1/2038		1,796,970		1,861,521		1,883,617
31415XJM4	FNMA POOL # 992268		11/1/2038		345,211		355,497		357,327

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at June 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
31415XS28	FNMA POOL # 992537		11/1/2038		205,976		211,842		213,720
31415XS51	FNMA POOL # 992540		11/1/2038		126,118		129,704		130,859
31415XSZ5	FNMA POOL # 992536		11/1/2038		112,379		115,805		116,323
31415YEX3	FNMA POOL # 993050		12/1/2038		6,003		6,177		6,213
31415YFV6	FNMA POOL # 993080		12/1/2038		197,978		205,513		205,917
31415YG78	FNMA POOL # 993122		1/1/2039		569,244		590,913		588,370
31415YG86	FNMA POOL # 993123		1/1/2039		288,273		298,726		297,930
31415YZM4	FNMA POOL # 993648		12/1/2038		133,194		138,526		138,534
31416A2A7	FNMA POOL # 994569		1/1/2039		29,448		30,288		30,435
31416AHJ2	FNMA POOL # 994033		1/1/2039		210,845		218,883		217,908
31416ARW2	FNMA POOL # 994301		1/1/2039		155,318		161,337		160,521
31416BHR2	FNMA POOL # 994940		10/1/2038		1,162,104		1,203,223		1,201,964
31416H5E1	FNMA POOL # AA0844		12/1/2038		5,764,802		5,982,195		5,958,500
31416H5F8	FNMA POOL # AA0845		1/1/2039		4,838,826		5,022,900		5,032,850
31416H5G6	FNMA POOL # AA0846		1/1/2039		1,316,014		1,363,527		1,360,232
31416H6M2	FNMA POOL # AA0875		1/1/2039		1,176,476		1,221,113		1,223,649
31416H6S9	FNMA POOL # AA0880		1/1/2039		179,539		186,022		185,572
31416HGM1	FNMA POOL # AA0203		1/1/2039		48,000		49,738		49,608
31416HKQ7	FNMA POOL # AA0302		1/1/2039		316,339		328,421		326,936
31416HLE3	FNMA POOL # AA0324		2/1/2039		35,937		36,962		37,141
31416HLF0	FNMA POOL # AA0325		3/1/2039		92,420		95,248		95,525
31416HXW0	FNMA POOL # AA0692		12/1/2038		172,931		179,531		179,432
31416HZX6	FNMA POOL # AA0757		3/1/2039		62,594		64,866		64,691
31416J4P3	FNMA POOL # AA1729		1/1/2039		5,947,635		6,173,891		6,186,120
31416JBK6	FNMA POOL # AA0941		12/1/2038		1,808,520		1,872,512		1,869,287
31416JH20	FNMA POOL # AA1148		1/1/2039		189,669		196,876		197,274
31416JH38	FNMA POOL # AA1149		1/1/2039		98,739		102,316		102,056
31416JS93	FNMA POOL # AA1443		1/1/2039		105,804		109,632		109,349
31416JYC9	FNMA POOL # AA1606		1/1/2039		157,074		162,749		162,351
31416JYD7	FNMA POOL # AA1607		1/1/2039		497,572		516,518		517,523
31416JZM6	FNMA POOL # AA1647		2/1/2039		5,184,553		5,355,204		5,286,689
31416JZV6	FNMA POOL # AA1655		2/1/2039		102,735		106,454		106,176
31416KA32	FNMA POOL # AA1825		1/1/2039		144,359		149,951		149,195
31416KA40	FNMA POOL # AA1826		1/1/2039		214,388		222,573		221,570
31416KD47	FNMA POOL # AA1922		1/1/2039		460,278		478,688		478,734
31416KEG9	FNMA POOL # AA1934		1/1/2039		708,357		735,340		734,989
31416KEQ7	FNMA POOL # AA1942		1/1/2039		163,107		168,093		168,832
31416KG36	FNMA POOL # AA2017		1/1/2039		43,036		44,596		44,477
31416KHA9	FNMA POOL # AA2024		1/1/2039		82,439		85,427		85,209
31416KHX9	FNMA POOL # AA2045		2/1/2039		55,964		57,997		57,839
31416KNC8	FNMA POOL # AA2186		2/1/2039		25,031		25,745		25,869
31416L2D7	FNMA POOL # AA3471		3/1/2039		152,678		158,214		157,808
31416LGF7	FNMA POOL # AA2897		3/1/2039		54,651		56,629		56,487
31416LJE7	FNMA POOL # AA2960		4/1/2039		79,349		82,157		82,008
31416LTW6	FNMA POOL # AA3264		2/1/2039		116,902		120,479		120,830
31416M5A8	FNMA POOL # AA4440		3/1/2039		12,773,188		13,175,017		13,030,845
31416NKL5	FNMA POOL # AA4798		3/1/2039		90,441		93,726		93,480
31416NYM8	FNMA POOL # AA5215		3/1/2039		84,700		87,697		87,546
31416PK97	FNMA POOL # AA5719		4/1/2039		70,616		73,177		72,989
31416QYY5	FNMA POOL # AA7026		6/1/2039		600,000		611,798		611,760
31416RQ89	FNMA POOL # AA7678		6/1/2039		1,005,042		1,025,714		1,024,741
31416SVB4	FNMA POOL # AA8709		6/1/2039		1,400,000		1,427,672		1,427,440
31416SWL1	FNMA POOL # AA8750		7/1/2039		1,000,000		1,018,230		1,019,600
31421AAU7	FNMA POOL # MC0018		12/1/2038		4,820		5,003		4,982
31428XAQ9	FEDERAL EXPRESS CORP CORP BND		1/15/2014		1,000,000		1,071,192		1,063,720
31428XAR7	FEDERAL EXPRESS CORP CORP BND		1/15/2019		1,900,000		1,968,860		2,125,421
32029GAB0	FFML ABS 07-FF2 A2A		3/25/2037		61,151		61,151		45,680
33736XAB5	FIRST UNION NAT BANK CMBS_00-C1 A2		5/17/2032		468,636		463,399		477,676
33736XAX7	FIRST UNION NAT BANK CMBS_00-C2 A2		10/15/2032		451,357		456,544		461,624
34528XAG4	FORDO ABS_08-C A4B		4/15/2013		14,000,000		13,121,274		13,571,460
346604FJ5	FORSYTH CNTY GA SCH DIST MUNI BND GO		2/1/2020		1,430,000		1,369,655		1,528,699
349545C76	FORT ZUMWALT MO SCH DIST MUNI BND GO		3/1/2020		2,245,000		2,180,900		2,429,337
35177PAK3	FRANCE TELECOM CORP BND		3/1/2011		47,975,000		51,800,765		52,043,458
36158YDC0	GECMC CMBS_01-3 A1		6/10/2038		133,705		128,506		135,234
36158YEK1	GECMC CMBS_02-1A A2		12/10/2035		201,595		199,185		195,885
36158YFT1	GECCMC_02-2 CMBS 02-2A		8/11/2036		24,929,000		25,009,786		24,896,791

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at June 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
36159JBD2	GEMNT ABS 07-3 AI		6/15/2013		981,000		981,000		964,068
361849ZS4	GMACC CMBS_03-C3 A3		4/10/2040		500,000		490,295		499,607
36186CBF9	GMAC LLC — (LT) GTD CORP BND		12/19/2012		5,000,000		4,992,172		4,983,250
36206XC43	GNMA POOL # 424091		5/15/2031		4,607		4,773		5,013
36212PPP1	GNMA POOL # 539630		4/15/2031		14,201		14,710		15,453
36212U5G2	GNMA POOL # 544547		5/15/2031		21,887		22,676		23,817
36213GCV1	GNMA POOL # 553684		4/15/2031		33,308		34,509		36,245
36213HGU7	GNMA POOL # 554711		3/15/2031		1,779		1,843		1,936
36213LGR5	GNMA POOL # 557408		5/15/2031		8,287		8,586		9,018
36225DM43	GNMA POOL # 081278		3/20/2035		15,190,839		14,413,372		14,961,556
36228CVQ3	GSMS CMBS_05-GG4 A3		7/10/2039		500,000		485,070		436,046
36241KV39	GNMA POOL # 782434		8/15/2038		13,079,638		12,253,519		13,082,254
36241KV47	GNMA POOL # 782435		9/15/2038		8,814,969		8,258,174		8,816,732
36241KWA2	GNMA POOL # 782441		10/15/2038		6,323,393		5,923,953		6,324,658
36295QK82	GNMA POOL # 677219		8/15/2038		5,764,043		5,571,776		5,891,655
36295QLF5	GNMA POOL # 677226		8/15/2038		256,236		264,618		266,938
36295QPB0	GNMA POOL # 677318		9/15/2038		350,653		362,125		365,298
365653GZ1	GARFIELD CNTY COLO SCH DIST NO MUNI BND GO		12/1/2020		1,610,000		1,539,217		1,693,334
36828QQE9	GE CAPITAL COMM MTG CORP SENIOR CMBS 05-C4		11/10/2045		25,000,000		25,054,895		21,339,769
369550AK4	GENERAL DYNAMICS CORPORATION CORP BND		5/15/2013		1,250,000		1,182,581		1,274,151
369604BC6	GE CAPITAL CORP SENIOR CORP BND		12/6/2017		8,750,000		8,629,382		8,589,782
36962G2H6	GE CAPITAL CORP CORP BND		3/12/2010		157,000		157,000		155,535
36962G2J2	GE CAPITAL CORP CORP BND		3/12/2010		1,341,000		1,341,000		1,338,318
36962G3Q5	GE CAPITAL CORP CORP BND		2/1/2011		1,105,000		1,103,743		1,069,773
36962G4C5	GE CAPITAL CORP CORP BND		5/13/2014		2,600,000		2,597,181		2,653,819
36962GT38	GE CAPITAL CORP CORP BND		11/15/2011		275,000		281,488		281,973
36962GX25	GE CAPITAL CORP SENIOR CORP BND		1/15/2010		556,000		556,054		555,222
36962GX90	GE CAPITAL CORP CORP BND		3/12/2010		654,000		654,084		643,013
36962GXS8	GENERAL ELEC CAP CO CORP BND		2/15/2012		55,000		52,929		57,586
36962GY99	GE CAPITAL CORP SENIOR CORP BND		10/26/2009		1,799,000		1,799,000		1,796,914
36962GYY4	GENERAL ELEC CAP CO CORP BND		6/15/2012		16,300,000		15,669,640		17,030,250
36967HAD9	GENERAL ELECTRIC CAPITAL CORPO CORP BND GOVT
	GUAR		12/9/2011		38,700,000		38,659,595		39,903,957
36967HAH0	GENERAL ELECTRIC CAPITAL CORPO CORP BND		6/8/2012		35,000,000		35,219,061		35,190,400
36967HAN7	GENERAL ELECTRIC CAPITAL CORPO CORP BND		3/12/2012		2,000,000		1,999,278		2,019,080
36967HAZ0	GENERAL ELECTRIC CAPITAL CORPO CORP BND MTNG		12/5/2012		4,000,000		3,994,301		4,006,400
370334BG8	GENERAL MILLS INC. SENIOR CORP BND		8/15/2013		9,075,000		9,353,433		9,376,711
370334BH6	GENERAL MILLS INC. CORP BND		2/15/2019		2,000,000		2,021,731		2,086,702
373334FN6	GEORGIA POWER COMPANY CORP BND		11/15/2012		1,250,000		1,245,999		1,343,214
373384GS9	GEORGIA ST MUNI BND GO		7/1/2016		5,000,000		5,318,822		5,767,200
377372AC1	GLAXOSK CAP INC SENIOR CORP BND		5/15/2013		14,603,000		15,105,419		15,278,900
38141EA25	GOLDMAN SACHS GROUP INC CORP BND		2/15/2019		4,000,000		4,159,547		4,281,165
38405JAD1	GMFM WHOLE CMO 06-1 A4 144A		11/20/2056		268,907		268,907		261,168
38405JCD9	GMFM ABS 07-1A 2A1 144A		11/20/2056		1,783,740		1,783,740		1,695,819
385244HG6	GRAND BLANC MICH CMNTY SCHS MUNI BND GO		5/1/2020		1,000,000		961,593		1,028,430
38741QAC0	GRAN ABS 03-2 1A3		7/20/2043		127,285		127,285		88,238
38741SAF9	GRAN ABS 04-3 2A1		9/20/2044		53,089		53,089		35,039
38741YDB2	GRANM ABS 06-4 A4		12/20/2054		260,540		260,540		177,935
38741YDF3	GRANM ABS 07-1 2A1		12/20/2054		290,426		290,426		197,489
396789EM7	GREENWICH CAPITAL SENIOR CMBS 03-C1 144A		7/5/2035		8,733,631		84,000		158,297
396789EQ8	GCCFC CMBS_03-C2 A2		1/5/2036		302,170		297,690		298,546
396789FH7	GREENWICH CAPITAL SENIOR CMBS 03-C2 144A		1/5/2036		22,544,329		168,362		234,461
396789JS9	GCCFC CMBS_05-GG3 A3		8/10/2042		500,000		497,958		453,008
396789LL1	GREENWICH CAPITAL SENIOR CMBS 05-GG5		4/10/2037		37,000,000		36,891,662		31,521,077
40411EAB4	BANK OF SCOTLAND PLC CORP BND 144A		2/21/2017		2,000,000		1,752,148		1,821,780
4041A0CL0	BANK OF SCOTLAND CORP BND 144A		6/11/2010		1,308,000		1,308,000		1,268,498
4041A0CN6	HBOS PLC CORP BND 144A		6/18/2010		621,000		621,000		583,740
404280AA7	HSBC HOLDING PLC CORP BND		7/15/2009		1,000,000		1,000,174		1,000,504
40429CAA0	HOUSEHOLD FINANCE CORPORATION CORP BND		5/15/2011		18,050,000		18,473,262		18,519,234
40429CFT4	HSBC FINANCE CORP SENIOR CORP BND		10/21/2009		719,000		719,000		716,893
40429CFQ0	HSBC FINANCE CORP SENIOR CORP BND		6/1/2011		37,960,000		38,183,926		38,252,693
40429CFX5	HSBC FINANCE CORP SENIOR CORP BND		3/12/2010		294,000		294,000		289,167
4042EPAA5	HSBC USA INC — GTD CORP BND GOVT GUAR		12/16/2011		20,000,000		19,990,579		20,695,200
40431HAJ6	HALO CMO 06-2 1A9		12/25/2036		6,677,647		1,594,002		1,602,635
406036EP4	HALL CNTY NEB SCH DIST NO 2 GR MUNI BND GO		12/15/2019		1,080,000		1,046,943		1,162,361
407288NT2	HAMILTON CNTY OHIO MUNI BND REV		12/1/2010		2,000,000		2,046,483		2,097,920
4140033N1	HARRIS CNTY TEX MUNI BND GO		8/15/2011		8,140,000		7,509,570		7,853,391

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at June 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
41659EFD4	HARTFORD LIFE INSTITUTIONAL FU SENIOR CORP BND		8/14/2009		419,000		419,000		418,770
4197804K4	HAWAII ST MUNI BND GO		3/1/2021		2,000,000		1,904,499		2,142,240
41981VBQ0	HAWAII ST HSG & CMNTY DEV CORP MUNI BND REV		1/1/2033		1,925,000		1,599,107		1,851,638
425538AM7	HENNEPIN CNTY MINN FIRST LIEN MUNI BND REV		12/15/2019		1,560,000		1,537,563		1,773,392
425506E73	HENNEPIN CNTY MINN MUNI BND GO		12/1/2009		3,555,000		3,579,706		3,610,458
42809HAA5	AMERADA HESS CORPORATION CORP BND		2/15/2014		1,000,000		997,527		1,079,032
428236AU7	HEWLETT-PACKARD COMPANY CORP BND		2/24/2012		27,550,000		27,539,164		28,764,700
428236AX1	HEWLETT-PACKARD COMPANY CORP BND		5/27/2011		8,500,000		8,497,326		8,552,339
428236AY9	HEWLETT-PACKARD COMPANY CORP BND		8/15/2012		750,000		749,880		758,576
43641NAL8	HMI ABS 07-2A 2A1		7/15/2020		1,472,000		1,472,000		1,438,650
43641RAB1	HOLMES MASTER ISSUER PLC CMO 144A		7/15/2021		981,000		981,000		970,883
43812TAD6	HAROT ABS_08-1 A4		9/18/2014		12,250,000		11,640,165		12,779,078
438516AY2	HONEYWELL INTERNATIONAL INC CORP BND		2/15/2014		3,500,000		3,491,383		3,517,012
438670EB3	HONOLULU HAWAII CITY & CNTY MUNI BND GO		7/1/2010		2,000,000		1,998,133		2,043,760
438670KA8	HONOLULU HAWAII CITY & CNTY MUNI BND GO		7/1/2020		1,500,000		1,426,464		1,594,740
440452AD2	HORMEL FOODS CORP CORP BND		6/1/2011		1,500,000		1,563,701		1,605,749
441812KA1	HSBC FINANCE CORP CORP BND		11/27/2012		25,000		20,267		25,385
441812KH6	HOUSEHOLD FINANCE CORPORATION SENIOR CORP BND		11/16/2009		600,000		595,922		603,209
44914PAR8	HYPOTHEKENBANK IN ESSEN AG CORP BND 144A		1/20/2012		2,500,000		2,589,883		2,526,100
449670EQ7	IMC HOME EQUITY LOAN TRUST ABS 98-3		8/20/2029		315,405		317,463		281,468
44978NAA3	ING CAP FNDG TR III SECURED CORP BND		12/31/2049		10,000,000		9,046,537		6,300,000
44982XAD9	ING USA GLBL FDG SECURED CORP BND		10/9/2009		759,000		759,000		755,592
450679BX2	ITT INDUSTRIES INC. CORP BND		5/1/2019		1,150,000		1,148,410		1,166,931
45138LAK9	IDAHO POWER COMPANY CORP BND		11/15/2012		1,750,000		1,693,091		1,791,650
452308AF6	ILLINOIS TOOL WORKS INC. CORP BND 144A		4/1/2014		5,000,000		5,289,250		5,233,225
452308AG4	ILLINOIS TOOL WORKS INC. CORP BND 144A		4/1/2019		1,000,000		1,098,970		1,061,797
455057ER6	INDIANA ST FIN AUTH MUNI BND REV		2/1/2019		1,000,000		1,008,232		1,147,380
455141PZ8	IN TRANS FIN AUTH MUNI BND REV		12/1/2020		2,000,000		2,006,740		2,241,000
455280YR2	INDIANAPOLIS IND LOC PUB IMPT MUNI BND REV		2/1/2010		700,000		710,356		720,440
455398MB0	INDIANAPOLIS IND MUNI BND REV		6/1/2011		2,600,000		2,637,458		2,714,244
458182BS0	INTER AMERICAN DEV BK CORP BND		9/1/2009		23,074,000		23,223,043		23,342,717
459200BA8	IBM CORP CORP BND		11/29/2012		20,000		19,918		21,349
459200GN5	IBM CORP CORP BND		10/15/2013		20,810,000		23,073,851		23,223,339
46070MAA7	IMT CMO 02-1G A2		7/7/2034		44,856		44,856		39,484
46623EHH5	JPMORGAN CHASE & CO CORP BND		6/22/2010		1,112,000		1,112,000		1,104,504
46625HAJ9	JP MORGAN CHASE & CO CORP BND		2/1/2011		22,930,000		23,410,276		24,060,397
46625HHB9	JPMORGAN CHASE & CO SENIOR CORP BND		5/1/2013		26,895,000		26,878,048		27,261,298
46625YNC3	JPMCC CMBS 05_LDP2 A4		7/15/2042		30,415,000		29,465,718		25,330,860
46625YQR7	JPMCC CMBS_05-CB12 A4		9/12/2037		500,000		466,163		434,641
46625YSG9	JPMCC CMBS_05-LDP3 A4A		8/15/2042		400,000		371,886		333,448
46630GAA3	JPMMT WHOLE CMO 07-A1 1A1		7/25/2035		12,212,198		12,420,207		10,542,826
46630GAD7	JPMMT WHOLE CMO 07-A1 2A2		7/25/2035		4,628,565		4,691,731		3,991,674
46630GAN5	JPMMT_07-A1 WHOLE CMO 07-A1 4A2		7/25/2035		3,198,800		3,272,374		2,673,480
46630GAS4	JPMMT WHOLE CMO 07-A1 5A2		7/25/2035		11,700,820		11,586,041		9,859,156
467520QY1	JACKSON CNTY MO REORG SCH DIST MUNI BND GO		3/1/2015		1,250,000		1,269,172		1,364,013
468312DN0	JACKSON MICH PUB SCHS MUNI BND GO		5/1/2020		1,000,000		955,289		1,051,440
478160AP9	J & J MEDICAL CORP BND		8/15/2012		11,000,000		12,038,452		12,002,640
480772PN6	JORDAN UTAH SCH DIST MUNI BND GO		6/15/2010		900,000		908,468		930,591
481247AA2	JPMORGAN CHASE & CO-GTD CORP BND GOVT GUAR		12/1/2011		14,700,000		14,817,803		15,207,444
484873FM1	KANSAS CITY MO MUNI BND GO		2/1/2020		1,000,000		962,634		1,096,570
485424GX7	KS ST DEPT TRANSN HWY MUNI BND REV		9/1/2015		2,000,000		2,064,983		2,122,100
485428UU8	KANSAS ST DEV FIN AUTH REV MUNI BND REV		10/1/2009		1,030,000		1,036,651		1,039,610
48542KHX0	KANSAS ST DEV FIN AUTH REV MUNI BND REV		11/1/2020		2,000,000		1,896,302		2,125,040
48542KNH8	KANSAS ST DEV FIN AUTH REV MUNI BND REV		6/1/2012		500,000		516,653		504,665
49151EXA6	KENTUCKY ST PRP & BLDG COM MUNI BND REV		10/1/2017		565,000		561,532		612,737
49326EEA7	KEYCORP INSTIT CAPITAL SENIOR CORP BND		9/15/2009		850,000		850,000		845,325
493897AB8	KDRE ABS 07-1A A2 144A		12/10/2043		217,124		217,136		165,761
49474EWA7	KING CNTY WASH MUNI BND GO		1/1/2011		3,000,000		3,025,117		3,128,340
500769CD4	KFW INTERNATIONAL FINANCE INC CORP BND		5/15/2012		60,000,000		61,823,228		64,370,398
50179MAE1	LBUBS CMBS 06_C6 A4		9/15/2039		50,000,000		49,861,755		41,451,962
508205GV7	LAKE COOK KANE AND MCHENRY CNT MUNI BND GO		12/1/2016		2,385,000		2,423,375		2,740,437
52108H6Y5	LBUBS CMBS 05-C5 AM		9/15/2040		550,000		480,614		349,990
52108HMU5	LBUBS COMM MTG TR CMBS 02_C4 A5		9/15/2031		88,000,000		87,245,765		85,460,923
52108HRB2	LBUBS CMBS_03-C3 A3		5/15/2027		731,777		677,743		724,308
52108HUG7	LBUBS SENIOR CMBS_03-C5 XCP144A		4/15/2037		55,258,174		274,564		271,329
52108MAF0	LBUBS CMBS_05_C7 A4		11/15/2030		1,450,000		1,208,976		1,295,774

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at June 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
52205VAA3	LEASEPLAN CORPORATION NV — GTD CORP BND 144A		5/7/2012		19,200,000		19,195,065		19,382,016
525170BL9	LABS WHOLE CMO 03-1 A1		12/25/2033		16,881,517		15,653,610		15,662,882
525221FY8	LXS ABS_05-10 2A1		1/25/2036		447,092		429,964		390,826
525221HA8	LXS WHOLE CMO 06-2N		2/25/2046		5,698,359		2,388,823		2,179,454
532457BD9	ELI LILLY AND COMPANY CORP BND		3/6/2012		16,775,000		16,759,619		17,265,107
542388AD5	LBART_06-A 06-A_A4		5/15/2013		26,589,497		26,943,168		26,623,266
546415QH6	LOUISIANA ST MUNI BND GO		4/1/2014		5,000,000		5,279,480		5,516,500
5525V0AU0	MARSHALL & ILSLEY BANK SENIOR CORP BND MTN		6/16/2010		221,000		221,000		212,381
5525V0BC9	MARSHALL & ILSLEY CORPORATION CORP BND		2/12/2010		752,000		752,000		748,894
55262TFJ7	MBNAS ABS 00-E A		10/15/2012		100,000		100,936		104,600
55264TCA7	MBNAS ABS 03-A8 A8		12/17/2012		327,000		325,134		323,900
55265K5Q8	MASTR CMO_04-1 3A1		1/25/2034		1,657,344		1,588,344		1,617,984
559080AA4	MAGELLAN MIDSTREAM PARTNERS LP SENIOR CORP BND		6/1/2014		15,550,000		15,009,437		15,705,836
565849AG1	MARATHON OIL CORP CORP BND		2/15/2014		4,150,000		4,269,821		4,419,855
567505GY2	MARICOPA CNTY ARIZ UN HIGH SCH MUNI BND GO		7/1/2016		1,125,000		1,157,263		1,266,593
57164TAA6	MVCOT ABS_02-1A A1 144A		12/20/2024		169,245		166,206		153,532
574192K66	MARYLAND ST MUNI BND GO		7/15/2013		5,000,000		5,303,051		5,650,800
575296FP8	MASON OHIO CITY SCH DIST MUNI BND GO		12/1/2019		1,000,000		987,397		1,140,220
575579GA9	MASSACHUSETTS BAY TRANSN AUTH MUNI BND REV		7/1/2015		5,000,000		5,436,101		5,801,050
575579RS8	MASSACHUSETTS BAY TRANSN AUTH MUNI BND REV		7/1/2020		35,000		35,227		40,368
575579SL2	MASSACHUSETTS BAY TRANSN AUTH MUNI BND REV		7/1/2020		1,575,000		1,499,310		1,734,359
57582NDE2	MASSACHUSETTS ST MUNI BND GO		2/1/2010		2,000,000		2,028,604		2,060,160
57582NT62	MASSACHUSETTS ST MUNI BND GO		3/1/2023		1,000,000		1,041,223		1,142,890
57582PDK3	MASSACHUSETTS ST MUNI BND GO		11/1/2018		2,000,000		1,433,100		1,714,280
57583PDB2	MASSACHUSETTS ST FED HWY MUNI BND REV		6/15/2011		3,250,000		3,344,267		3,458,715
576000AK9	MASSACHUSETTS ST SCH BLDG AUTH MUNI BND REV		8/15/2010		2,000,000		2,039,831		2,095,940
576000BE2	MASSACHUSETTS ST SCH BLDG AUTH MUNI BND REV		8/15/2022		2,000,000		1,871,845		2,120,640
576433QQ2	MARM_04-8 WHOLE CMO 04-8		9/25/2034		1,374,544		1,400,608		799,141
576433RP3	MARM_04-8 WHOLE CMO 04-9		11/25/2034		62,839		78,236		43,880
57643LLC8	MABS ABS 05-AB1 A4		11/25/2035		10,000,000		3,922,577		3,029,500
579780AD9	MCCORMICK & CO INC CORP BND		12/15/2015		1,500,000		1,449,237		1,432,950
58013MEG5	MCDONALD’S CORPORATION SENIOR CORP BND		2/1/2019		450,000		449,862		462,960
58403GAB1	MEDL CMO 07-1G-A1		2/27/2039		615,815		615,815		524,437
585055AP1	MEDTRONIC INC CORP BND		3/15/2014		2,750,000		2,859,191		2,819,121
585907AM0	MELLON BANK N.A. CORP BND		12/15/2014		4,000,000		3,626,478		4,114,305
586158KZ9	MEMPHIS TENN ELEC SYS REV MUNI BND REV		12/1/2014		2,000,000		2,026,647		2,176,020
589331AP2	MERCK & CO INC CORP BND		6/30/2015		9,550,000		9,668,571		9,698,243
589331AR8	MERCK & CO INC CORP BND		6/30/2011		5,000,000		5,000,200		5,012,307
589929W53	MLMI WHOLE 03-A4		7/25/2033		222,385		226,307		186,781
59018YN64	MERRILL LYNCH & CO INC CORP BND MTN		4/25/2018		8,750,000		7,788,392		8,018,573
590645HK6	MESA CNTY COLO MUNI BND REV		6/1/2011		2,090,000		2,143,146		2,238,077
592098XJ1	METROPOLITAN GOVT NASHVILLE & MUNI BND REV		1/1/2010		2,000,000		2,031,897		2,054,160
592179JG1	METLIFE INC SENIOR CORP BND 144A		4/10/2013		5,000,000		4,798,211		5,027,916
594918AB0	MICROSOFT CORPORATION CORP BND		6/1/2014		40,350,000		40,311,152		40,004,351
595620AD7	MIDAMERICAN ENERGY HOLDINGS CO CORP BND		10/1/2014		25,800,000		25,984,207		26,698,388
59562VAT4	MIDAMERICAN ENERGY HOLDINGS CO CORP BND		4/1/2018		2,500,000		2,308,723		2,573,495
602248AR7	MILWAUKEE CNTY WIS ARPT REV MUNI BND REV		12/1/2017		1,675,000		1,676,120		1,713,056
603827EJ1	MINN & ST PAUL MET ARPTS REV MUNI BND REV		1/1/2026		2,000,000		2,059,066		2,128,320
604114RA8	MINNESOTA PUB FACS AUTH MUNI BND REV		3/1/2013		1,000,000		1,039,587		1,114,120
604129DZ6	MINNESOTA ST MUNI BND GO		8/1/2010		5,000,000		5,124,401		5,240,900
615337AA0	MONY GRP INC. CORP BND		3/15/2010		8,000,000		8,177,994		8,263,200
615401JW7	MOON AREA SCH DIST PA MUNI BND GO		11/15/2018		1,360,000		1,342,408		1,447,285
61745M5G4	MSC CMBS_05-T19 A4A		6/12/2047		500,000		464,215		445,254
61745M6D0	MSC CMBS_05-HQ6 A2A		8/13/2042		500,000		506,998		475,664
61746SBR9	MORGAN STANLEY CORP BND		10/15/2015		3,000,000		2,023,331		2,861,313
61746SBS7	MORGAN STANLEY CORP BND		1/21/2011		20,000,000		20,247,603		20,428,709
61747YCF0	MORGAN STANLEY CORP BND		5/13/2014		2,000,000		2,014,142		2,037,023
61750HAE6	MSC CMBS_06-HQ10 A4		11/12/2041		2,500,000		1,967,489		1,952,755
61757UAB6	MORGAN STANLEY CORP BND GOVT GUAR		12/1/2011		13,700,000		13,832,291		14,212,928
61757UAH3	MORGAN STANLEY-GTD CORP BND		6/20/2012		4,250,000		4,248,417		4,243,838
625574HL5	MULTNOMAH CNTY ORE SCH DIST NO MUNI BND GO		6/15/2018		500,000		490,231		549,410
634902JB7	NATIONAL CITY BANK CORP BND		8/24/2009		172,727		167,530		172,347
635405AR4	NATIONAL CITY CORPORATION CORP BND		6/16/2010		500,000		436,257		495,680
638539AH9	NATIONAL WESTMINSTER BANK PLC CORP BND		10/1/2009		1,000,000		988,449		989,095
63866EBL3	NATIONWIDE LIFE GLOBAL FUNDING CORP BND 144A		10/2/2012		600,000		604,518		530,414
63968AQF5	NEBRASKA PUB PWR DIST MUNI BND REV		1/1/2014		6,500,000		6,500,000		6,638,515

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at June 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
64032EAA5	NELNET ABS 07-1 A1		11/27/2018		1,049,478		1,049,478		1,021,876
644682UL8	NEW HAMPSHIRE ST MUNI BND GO		6/1/2017		1,730,000		1,722,403		1,876,842
64468TRZ2	NEW HAMPSHIRE ST HSG FIN AUTH MUNI BND REV		7/1/2021		60,000		53,022		60,441
64711MPB7	NEW MEXICO FIN AUTH ST TRANSN MUNI BND REV		6/1/2012		1,725,000		1,779,489		1,856,411
64953BAP3	NEW YORK LIFE GLOBAL FUNDING CORP BND 144A		5/9/2013		5,000,000		4,888,711		5,033,274
64983QWY1	NEW YORK ST DORM AUTH REVS NON MUNI BND REV		8/1/2018		2,000,000		1,978,461		2,192,040
64986ATE1	NEW YORK ST ENVIRONMENTAL FACS MUNI BND REV		6/15/2013		1,200,000		1,243,417		1,327,620
650013T21	NEW YORK ST TWY AUTH MUNI BND REV		4/1/2019		2,000,000		1,932,605		2,110,680
650034X89	NEW YORK ST URBAN DEV CORP MUNI BND REV		3/15/2017		2,050,000		2,118,613		2,361,559
652482BG4	NEWS AMERICA INC CORP BND		12/15/2014		10,000,000		9,931,653		9,948,938
655356JF1	NOMURA ASSET SEC CORP CMBS 98_D6 A1B		3/15/2030		350,556		379,631		350,975
656491KZ9	NORRISTOWN PA AREA SCH DIST MUNI BND GO		9/1/2021		1,000,000		1,034,409		1,115,260
658256PF3	NORTH CAROLINA ST MUNI BND GO		5/1/2016		1,000,000		1,009,684		1,093,060
663903CA8	NORTHEAST OHIO REGL SWR DIST W MUNI BND REV		11/15/2016		1,900,000		1,945,827		2,157,488
66567EBF1	NORTHERN ROCK PLC SENIOR CORP BND 144A		10/20/2009		824,000		824,000		819,526
665859AK0	NORTHERN TRUST COMPANY THE CORP BND		5/1/2014		4,000,000		4,095,635		4,080,697
66989HAA6	NOVARTIS CAPITAL CORP CORP BND		2/10/2014		21,775,000		21,754,209		22,387,490
674599BX2	OCCIDENTAL PETROLEUM CORP BND		6/1/2016		5,000,000		4,965,093		4,888,994
677520SW9	OHIO ST MUNI BND GO		11/1/2020		2,000,000		1,900,236		2,152,840
677632HM6	OHIO ST UNIV MUNI BND REV		6/1/2011		2,000,000		2,050,356		2,140,840
67766WGU0	OHIO ST WTR DEV AUTH MUNI BND REV		12/1/2019		1,970,000		1,974,712		2,272,080
67908NLN9	OKLAHOMA ST CAPITOL IMPT AUTH MUNI BND REV		7/1/2020		2,000,000		1,913,616		2,067,860
680616PF0	OLENTANGY LOC SCH DIST OHIO MUNI BND GO		12/1/2017		2,000,000		2,006,967		2,214,800
681793T88	OMAHA PUB PWR DIST NEB ELEC RE MUNI BND REV		2/1/2018		2,000,000		1,967,189		2,164,240
68389XAC9	ORACLE CORPORATION CORP BND		4/15/2018		5,000,000		4,742,259		5,309,689
68389XAD7	ORACLE CORPORATION SENIOR CORP BND		4/15/2013		6,675,000		7,110,570		7,037,451
68402LAE4	ORACLE CORP CORP BND		1/15/2011		25,125,000		25,061,016		26,293,135
69331CAE8	PG&E CORPORATION CORP BND		4/1/2014		10,000,000		9,948,448		10,524,316
693476AV5	PNC FUNDING CORP CORP BND		3/10/2010		16,500,000		16,462,284		16,762,103
69371RZJ8	PACCAR FINL SENIOR CORP BND		10/26/2009		360,000		359,977		360,288
69373UAB3	PACCAR INC CORP BND		2/15/2012		4,000,000		3,996,295		4,252,813
694308GP6	PACIFIC GAS AND ELECTRIC CO SENIOR CORP BND		12/1/2013		13,000,000		12,914,243		14,004,583
695114BU1	PACIFICORP CORP BND		11/15/2011		1,000,000		1,011,240		1,091,763
699490AA6	BANQUE NATIONALE DE PARIBAS/NY CORP BND		7/22/2013		500,000		539,508		498,079
705220AM3	PECO ENERGY TRANS TR ABS_01-A A1		12/31/2010		485,000		489,369		504,429
70686AAB7	PENDE ABS 07-1A 3A 144A		2/12/2016		654,000		654,000		614,760
7091412F1	PENNSYLVANIA ST MUNI BND GO		7/1/2020		1,995,000		1,918,592		2,141,972
709141C86	PENNSYLVANIA ST MUNI BND GO		7/1/2011		8,000,000		8,237,889		8,622,960
713448BK3	PEPSICO INC SENIOR CORP BND		3/1/2014		21,350,000		21,307,458		21,296,032
71419GAB6	PERMM_06-1 ABS 06-1 2A		10/15/2015		981,000		981,000		960,890
71419GAJ9	PERMM ABS 07-1 2A1		1/15/2016		981,000		981,000		961,871
717081CZ4	PFIZER INC. CORP BND		3/15/2012		23,925,000		23,894,888		25,190,930
717081DA8	PFIZER INC. CORP BND		3/15/2015		6,000,000		6,461,398		6,406,501
718172AB5	PHILIP MORRIS INTERNATIONAL IN CORP BND		5/16/2013		26,875,000		26,941,091		28,094,332
718814CX2	PHOENIX ARIZ MUNI BND GO		7/1/2010		1,350,000		1,401,531		1,421,172
718849AG7	PHOENIX ARIZ STR & HWY USER RE MUNI BND REV		7/1/2012		1,905,000		1,977,744		2,079,327
721799PX6	PIMA CNTY ARIZ UNI SCH DIST NO MUNI BND GO		7/1/2010		500,000		521,264		532,580
73358WAG9	PORT AUTH NY & NJ MUNI BND REV		12/1/2019		3,500,000		3,500,000		3,569,755
736688FX5	PORTLAND ORE CMNTY COLLEGE DIS MUNI BND GO		6/15/2014		1,000,000		1,039,016		1,129,920
73755LAF4	POTASH CORPORATION OF SASKETCH CORP BND		5/15/2019		2,000,000		2,044,798		2,151,485
737679CW8	POTOMAC ELECTRIC POWER COMPANY CORP BND		11/15/2013		1,200,000		1,074,370		1,207,292
74005PAJ3	PRAXAIR INC. CORP BND		4/1/2012		1,000,000		1,016,454		1,099,043
741701WX0	PRINCE GEORGES CNTY MD MUNI BND GO		7/15/2014		4,630,000		4,734,228		5,056,840
742633PD6	PRIOR LAKE MINN INDPT SCH DIST MUNI BND GO		2/1/2020		1,195,000		1,163,434		1,273,751
742651DE9	PRIVATE EXPORT FUNDING CORP AGENCY BND		9/15/2017		44,100,000		44,022,053		47,182,199
742651DG4	PRIVATE EXPORT FUNDING CORP AGENCY BND		3/15/2019		20,000,000		19,898,037		19,964,799
742718DM8	PROCTER & GAMBLE COMPANY CORP BND		2/15/2015		4,000,000		3,984,253		3,937,891
743263AD7	PROGRESS ENERGY INC CORP BND		3/1/2011		10,700,000		11,097,089		11,341,092
743263AM7	PROGRESS ENERGY INC. CORP BND		3/15/2014		8,000,000		7,980,653		8,413,118
744448BU4	PUBLIC SERVICE COLORADO CORP BND		10/1/2012		8,770,000		9,601,750		9,991,332
744448CC3	PUBLIC SERVICE COLORADO CORP BND		6/1/2019		5,000,000		5,154,767		5,177,179
74451PAA1	PUB SERV NC INC CORP BND		2/15/2011		1,550,000		1,600,796		1,640,675
749241AA3	RALI_07-QH9 WHOLE CMO 07-QH9 A1		11/25/2037		16,012,358		10,416,403		5,654,364
758202AE5	REED ELSEVIER CAPITAL INC CORP BND		6/15/2010		1,750,000		1,727,806		1,678,075
758202AF2	REED ELSEVIER PLC CORP BND		1/15/2014		16,825,000		16,792,237		18,145,947
759136LA0	REGIONAL TRANSN DIST COLO MUNI BND REV		11/1/2017		1,550,000		1,550,016		1,700,056

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at June 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
75953MAD2	CENTERPOINT ENERGY TRANSITION ABS 01-1 A4		9/15/2015		7,875,000		8,212,344		8,386,796
76110H2P3	RES ASSET SEC WHOLE CMO 05-QA3		3/25/2035		2,205,884		2,128,491		1,092,574
771196AN2	ROCHE HOLDINGS INC CORP BND 144A		3/1/2012		29,000,000		28,863,085		30,396,809
771196AQ5	ROCHE HOLDINGS INC CORP BND 144A		3/1/2014		3,750,000		3,897,332		3,947,332
774341AB7	ROCKWELL COLLINS INC. CORP BND		7/15/2019		1,625,000		1,616,404		1,640,930
77509NAD5	ROGERS CABLE INC. CORP BND		5/1/2012		9,675,000		10,184,015		10,637,214
78008EJT5	ROYAL BANK OF CANADA CORP BND		6/8/2010		1,701,000		1,701,000		1,685,206
780097AE1	ROYAL BANK OF SCOTLAND GRP PLC CORP BND		3/31/2049		4,000,000		3,260,785		3,260,000
780427KA7	ROYAL OAK CITY MICH SCH DIST MUNI BND GO		5/1/2019		2,000,000		1,915,785		2,137,080
7832434J4	RUTHERFORD CNTY TENN MUNI BND GO		6/1/2018		1,430,000		1,431,670		1,580,865
78387GAP8	AT&T INC CORP BND		9/15/2014		5,000,000		4,794,715		5,182,410
78442FAG3	SLM CORP CORP BND		1/15/2013		75,000		68,430		63,375
78442FCJ5	SLM CORP CORP BND		5/15/2014		25,000		13,603		20,125
78442GQR0	SLMA ABS_05-8 A4		1/25/2028		425,000		429,351		345,912
78443DAA0	SLMA ABS 07-A A1		9/15/2022		432,948		432,948		377,998
78443YAA4	SLMA ABS 07-3 A1		10/27/2014		271,984		271,984		270,986
78443YAB2	SLMA ABS 07-3 A2		10/25/2017		916,000		916,000		847,098
79548CAB2	SBM7 CMBS_00-C3 A2		12/18/2033		455,980		462,897		466,041
79548CDL7	SBM7 SENIOR CMBS 02-KEY 144A		3/18/2036		35,000,000		129,619		129,500
795560AR2	SALT LAKE & SANDY UTAH MUNI BND REV		7/1/2020		1,820,000		1,723,767		1,914,130
795685BZ8	SALT LAKE CNTY UTAH SALES TAX MUNI BND REV		8/1/2017		1,550,000		1,551,595		1,709,061
802072KA5	SANTA FE N M GROSS RCPTS TAX MUNI BND REV		6/1/2019		2,000,000		1,919,081		2,068,080
806640PN2	SCHERTZ-CIBOLO-UNVL CITY TEX I MUNI BND GO		2/1/2020		2,025,000		1,922,825		2,131,920
806860AA0	SCHLUMBERGER TECH CORP CORP BND 144A		4/15/2012		1,150,000		1,239,803		1,227,676
809326AC5	SCOTLAND INTERNATIONAL FINANCE CORP BND 144A		8/15/2010		600,000		598,961		575,370
812643AP9	SEATTLE WASH MUN LT & PWR REV MUNI BND REV		8/1/2016		1,535,000		1,553,501		1,669,313
822582AF9	SHELL INTL FINAN CORP BND		3/21/2014		1,000,000		1,025,640		1,021,167
826502AA4	SRFC ABS_07-1A A1 144A		3/20/2019		875,968		749,042		642,873
82651AAA5	SRFC ABS_07-2A A1 144A		9/20/2019		2,203,448		1,874,238		1,590,229
82651CAA1	SRFC ABS 09-1A A1 144A		12/22/2025		2,792,541		2,792,243		2,768,874
828807BZ9	SIMON PROPERTY GROUP L.P. CORP BND		5/30/2018		5,000,000		3,316,247		4,612,176
832110AK6	SMITH INTERNATIONAL INC. CORP BND		3/15/2014		2,000,000		1,993,724		2,173,113
833034AC5	SNAP-ON INCORPORATED CORP BND		8/15/2011		1,400,000		1,445,812		1,503,684
833656AD3	SOCIETE FINANCEMENT DE L ECONO CORP BND 144A		10/29/2010		35,000,000		35,029,393		34,978,301
833656AE1	SOCIETE FINANCEMENT DE L ECONO CORP BND 144A		5/5/2014		40,000,000		40,192,304		40,190,402
837562KS5	SOUTH DAKOTA ST UNIV MUNI BND REV		4/1/2020		1,545,000		1,454,212		1,612,995
842434CA8	SOUTHERN CALIFORNIA GAS CO CORP BND		10/1/2012		700,000		676,984		742,442
842434CF7	SOUTHERN CALIFORNIA GAS CO CORP BND		12/1/2009		1,000,000		995,936		993,257
842587CE5	SOUTHERN COMPANY CORP BND		5/15/2014		13,675,000		13,687,858		13,729,232
846042AA7	SOVEREIGN BANK — GTD CORP BND GOVT GUAR		1/17/2012		2,000,000		1,998,434		2,049,420
851018HL8	SPRINGFIELD MO PUB UTIL REV MUNI BND REV		8/1/2014		1,000,000		1,030,239		1,126,950
855030AJ1	STAPLES INC. CORP BND		1/15/2014		2,000,000		2,046,271		2,220,000
857477AE3	STATE STREET CORPORATION CORP BND		5/30/2014		1,750,000		1,748,368		1,760,803
85771SAA4	STATOIL ASA CORP BND		4/15/2019		6,000,000		6,058,712		6,150,133
85771SAB2	STATOIL ASA CORP BND		4/15/2014		17,000,000		16,989,747		17,196,887
863579KY3	SARM WHOLE CMO 05-1		2/25/2035		3,074,503		2,999,343		1,825,025
86359BGD7	STRUCTURED ASSET SEC CORP WHOLE CMO 04-1		2/25/2034		159,902		167,418		122,021
86359BVE8	STRUCTURED ASSET SEC CORP WHOLE CMO 04-6		6/25/2034		12,075,408		11,498,588		8,694,294
86359DMU8	LXS ABS_05-2 2A1A		8/25/2035		31,488		31,107		30,252
86364RAA7	SAMI_07-AR6 WHOLE CMO 07-AR6 A1		8/25/2047		18,439,654		7,356,346		7,241,006
86787ARV9	SUNTRUST BK ATLANTA GA CORP BND		1/29/2010		1,190,000		1,190,000		1,188,750
86959LAA1	SVENSKA HANDELSBANKEN AB CORP BND 144A		6/10/2014		5,000,000		4,986,502		4,966,800
87244EAA0	TIAA GLOBAL MARKETS CORP BND 144A		1/12/2011		10,250,000		10,248,060		10,625,953
873545EJ2	TACOMA WASH LEASE REV MUNI BND REV		12/1/2019		1,000,000		1,048,154		1,102,340
879385AC6	TELEFONICA EUROPE CORP BND		9/15/2010		19,500,000		20,254,450		20,582,816
880557WZ2	TENNESSEE ST SCH BD AUTH MUNI BND REV		5/1/2013		400,000		408,054		416,240
880591DN9	TENNESSEE VALLEY AUTHORITY AGENCY BND		1/18/2011		12,500,000		12,790,216		13,382,125
880591DT6	TENNESSEE VALLEY AUTHORITY AGENCY BND		5/23/2012		22,679,000		23,563,971		25,692,361
882135WW2	TEXAS A & M UNIV MUNI BND REV		5/15/2012		7,500,000		7,732,729		8,267,250
882720R56	TEXAS ST MUNI BND GO		10/1/2010		2,000,000		2,043,788		2,105,240
88283LCS3	TEXAS TRANSN COMMN ST HWY FD MUNI BND REV		4/1/2022		2,000,000		1,880,898		2,125,120
884903AU9	THOMSON REUTERS CORP CORP BND		5/28/2010		1,600,000		1,596,309		1,613,396
88522AAC5	THORNBURG MORTGAGE SECURITIES CMO 06-4 A2B		7/25/2036		12,121,871		10,961,712		11,030,903
88732JAS7	TIME WARNER CABLE INC CORP BND		4/1/2019		10,250,000		10,617,822		11,628,071
89233PRS7	TOYOTA MOTOR CREDIT CORP CORP BND		8/6/2009		72,727		72,603		72,810
8935268Y2	TRANSCANADA PIPELINES LIMITED CORP BND		1/15/2019		4,000,000		4,590,707		4,501,385

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at June 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
893526CC5	TRANSCANADA PIPELINES LIMITED CORP BND		5/15/2012		11,675,000		12,793,098		13,228,943
89352HAA7	TRANS-CANADA PIPELINES CORP BND		6/15/2013		1,800,000		1,553,814		1,798,655
90331HKP7	U.S. BANK NATIONAL ASSOCIATION CORP BND		10/30/2014		2,750,000		2,777,581		2,852,925
90466GAB8	UNICREDITO LUXEM FIN CORP BND 144A		1/13/2017		21,750,000		21,750,000		17,371,225
904764AG2	UNILEVER CAPITAL CORP CORP BND		11/1/2010		1,500,000		1,547,888		1,602,260
904764AJ6	UNILEVER CAPITAL CORP CORP BND		2/15/2014		29,000,000		28,964,493		29,296,031
907818CV8	UNION PACIFIC CO CORP BND		1/15/2015		1,150,000		1,158,522		1,125,485
911312AL0	UNITED PARCEL SERVICE INC CORP BND		4/1/2014		3,450,000		3,442,714		3,497,131
91159HGJ3	US BANCORP CORP BND		7/29/2010		24,000,000		24,208,238		24,527,772
91159HGR5	US BANCORP CORP BND		5/15/2014		3,250,000		3,249,430		3,269,978
91160HAA5	US BANCORP — (LT) GTD CORP BND		3/13/2012		4,100,000		4,099,556		4,139,647
912810DW5	UNITED STATES TREASURY GOVT BND		5/15/2016		310,000		373,062		389,016
912810EZ7	UNITED STATES TREASURY GOVT BND		2/15/2027		2,475,000		3,073,585		3,191,265
912810FS2	UNITED STATES TREASURY GOVT IBND TIPS		1/15/2026		4,000,000		3,917,030		4,221,626
912810FT0	UNITED STATES TREASURY GOVT BND		2/15/2036		8,000,000		7,780,172		8,241,279
912810PS1	UNITED STATES TREASURY GOVT IBND TIPS		1/15/2027		6,900,000		7,175,240		7,570,830
9128275N8	UNITED STATES TREASURY GOVT BND		8/15/2009		105,000		105,458		105,744
9128275Z1	UNITED STATES TREASURY GOVT BND		2/15/2010		1,550,000		1,581,648		1,608,513
9128277L0	UNITED STATES TREASURY GOVT BND		2/15/2012		1,155,000		1,222,140		1,259,955
912828AJ9	UNITED STATES TREASURY GOVT BND		8/15/2012		500,000		518,302		541,370
912828AP5	UNITED STATES TREASURY GOVT BND		11/15/2012		2,465,000		2,644,559		2,642,924
912828BA7	UNITED STATES TREASURY GOVT BND		5/15/2013		10,000,000		10,758,221		10,577,301
912828BH2	UNITED STATES TREASURY GOVT BND		8/15/2013		7,000,000		6,811,245		7,570,010
912828BR0	UNITED STATES TREASURY GOVT BND		11/15/2013		335,000		354,804		362,132
912828CA6	UNITED STATES TREASURY GOVT BND		2/15/2014		1,000,000		1,105,747		1,070,420
912828CN8	UNITED STATES TREASURY GOVT BND		7/15/2009		495,000		495,424		495,639
912828CP3	UNITED STATES TREASURY GOVT IBND TIPS		7/15/2014		11,000,000		11,741,669		12,753,079
912828CT5	UNITED STATES TREASURY GOVT BND		8/15/2014		16,000,000		15,543,804		17,262,720
912828CV0	UNITED STATES TREASURY GOVT BND		9/15/2009		1,225,000		1,232,668		1,232,963
912828DE7	UNITED STATES TREASURY GOVT BND		12/15/2009		7,000,000		6,998,830		7,100,800
912828DG2	UNITED STATES TREASURY GOVT BND		1/15/2010		50,000		49,758		50,872
912828DM9	UNITED STATES TREASURY GOVT BND		2/15/2015		10,500,000		11,579,570		11,159,715
912828DV9	UNITED STATES TREASURY GOVT BND		5/15/2015		9,100,000		10,115,275		9,710,064
912828EA4	UNITED STATES TREASURY GOVT IBND TIPS		7/15/2015		5,800,000		6,217,170		6,430,074
912828EE6	UNITED STATES TREASURY GOVT BND		8/15/2015		11,000,000		12,341,049		11,798,160
912828EM8	UNITED STATES TREASURY GOVT BND		11/15/2010		1,700,000		1,699,578		1,788,315
912828EN6	UNITED STATES TREASURY GOVT BND		11/15/2015		7,650,000		8,735,112		8,321,747
912828EW6	UNITED STATES TREASURY GOVT BND		2/15/2016		1,000,000		1,137,740		1,084,930
912828FA3	UNITED STATES TREASURY GOVT BND		3/31/2011		1,090,000		1,163,679		1,161,962
912828FN5	UNITED STATES TREASURY GOVT BND		7/31/2011		4,500,000		4,778,623		4,841,460
912828FQ8	UNITED STATES TREASURY GOVT BND		8/15/2016		128,000,000		128,954,957		141,516,797
912828FY1	UNITED STATES TREASURY GOVT BND		11/15/2016		5,235,000		5,562,465		5,702,066
912828GA2	UNITED STATES TREASURY GOVT BND		11/30/2011		1,050,000		1,133,081		1,130,598
912828GC8	UNITED STATES TREASURY GOVT BND		12/31/2011		500,000		531,558		540,565
912828GM6	UNITED STATES TREASURY GOVT BND		3/31/2012		1,025,000		1,114,013		1,109,009
912828HA1	UNITED STATES TREASURY GOVT BND		8/15/2017		9,000,000		9,548,052		9,867,330
912828HC7	UNITED STATES TREASURY GOVT BND		8/31/2012		1,000,000		1,087,056		1,074,430
912828HH6	UNITED STATES TREASURY GOVT BND		11/15/2017		57,700,000		58,012,388		61,215,662
912828HN3	UNITED STATES TREASURY GOVT IBND TIPS		1/15/2018		3,000,000		3,045,385		3,026,403
912828HT0	UNITED STATES TREASURY GOVT BND		2/28/2013		10,000,000		10,446,414		10,266,401
912828HY9	UNITED STATES TREASURY GOVT BND		4/30/2013		1,200,000		1,267,184		1,247,400
912828JF8	UNITED STATES TREASURY GOVT BND		7/31/2010		10,000,000		10,133,423		10,235,899
912828JK7	UNITED STATES TREASURY GOVT BND		8/31/2013		1,000,000		1,060,988		1,036,110
912828JQ4	UNITED STATES TREASURY GOVT BND		10/31/2013		1,500,000		1,499,420		1,527,915
912828JR2	UNITED STATES TREASURY GOVT BND		11/15/2018		1,000,000		1,049,648		1,017,190
912828JX9	UNITED STATES TREASURY GOVT IBND		1/15/2019		1,000,000		1,067,206		1,026,721
912828JZ4	UNITED STATES TREASURY GOVT BND		1/31/2014		13,000,000		12,942,695		12,634,180
912828KJ8	UNITED STATES TREASURY GOVT BND		3/31/2014		70,300,000		69,929,602		67,999,782
912828KN9	UNITED STATES TREASURY GOVT BND		4/30/2014		750,000		745,550		727,837
912828KQ2	UNITED STATES TREASURY GOVT BND		5/15/2019		72,400,000		68,959,084		70,007,180
912828KS8	UNITED STATES TREASURY GOVT BND		2/29/2016		1,000,000		1,013,718		970,920
912828KT6	UNITED STATES TREASURY GOVT BND		3/31/2016		2,000,000		1,991,903		1,905,880
912828KW9	UNITED STATES TREASURY GOVT BND		5/31/2016		166,800,000		167,677,313		167,500,557
912833JY7	UNITED STATES TREASURY PO		5/15/2012		600,000		532,108		575,238
913017BC2	UNITED TECHNOLOGIES CORP CORP BND		11/15/2010		1,000,000		1,033,026		1,068,729
91324PAP7	UNITED HEALTHCARE CORP CORP BND		3/15/2011		125,000		120,459		127,815

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at June 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
914119HX3	UNIVERSITY CINCINNATI OHIO MUNI BND REV		6/1/2018		2,015,000		1,940,487		2,101,625
914437PF9	UNIVERSITY MASS BLDG AUTH MUNI BND REV		11/1/2019		1,530,000		1,455,242		1,583,443
915506KJ7	UPPER ARLINGTON OHIO CITY SCH MUNI BND GO		12/1/2021		1,250,000		1,177,819		1,331,325
92343VAN4	VERIZON COMMUNICATIONS INC. SENIOR CORP BND		4/15/2013		5,000,000		4,877,645		5,251,730
92344SAH3	CELLCO PARTNERSHIP CORP BND 144A		11/15/2013		4,550,000		4,912,924		5,092,213
92344SAL4	VERIZON WIRELESS CAPITAL CORP BND 144A		2/1/2014		6,150,000		6,113,252		6,556,321
92344SAM2	VERIZON WIRELESS CAPITAL CORP BND 144A		2/1/2012		3,750,000		3,847,152		3,946,976
92344SAR1	VERIZON WIRELESS CAPITAL CORP BND 144A		5/20/2011		33,275,000		33,250,410		33,931,764
927749DT5	VIRGINIA BEACH VA MUNI BND REV		10/1/2019		1,735,000		1,690,863		1,878,432
927790BK0	VIRGINIA COMWLTH TRANSN BRD MUNI BND REV		10/1/2011		5,000,000		5,204,232		5,425,600
927790BM6	VIRGINIA COMWLTH TRANSN BRD MUNI BND REV		9/27/2012		1,000,000		1,037,381		1,113,240
928109SB4	VIRGINIA ST MUNI BND GO		6/1/2012		950,000		997,014		1,050,947
928109SK4	VIRGINIA ST MUNI BND GO		6/1/2012		4,050,000		4,250,426		4,492,908
928172MS1	VIRGINIA ST PUB BLDG AUTH MUNI BND REV		8/1/2017		1,260,000		1,271,711		1,378,654
92817LEM1	VIRGINIA ST RES AUTH CLEAN WTR MUNI BND REV		10/1/2010		2,000,000		2,051,671		2,107,180
92817LFB4	VIRGINIA ST RES AUTH CLEAN WTR MUNI BND REV		10/1/2020		2,500,000		2,552,550		2,933,625
92857TAG2	VODAFONE GROUP PLC CORP BND		2/15/2010		16,800,000		17,053,579		17,402,655
92867AAD8	VALET ABS 07-1 A4		7/22/2013		199,303		199,303		197,983
92922F4P0	WAMU CMO_05-AR13 A1A3		10/25/2045		7,422,300		3,999,870		3,265,812
92922FB49	WASHINGTON MUTUAL CMO 04-A13-A1A		11/25/2034		497,697		269,378		270,687
92922FZF8	WAMU_04-A12 CMO 2004-A12 A2A		10/25/2044		9,276,313		5,194,736		3,349,770
9297664Q3	WBCMT CMBS 05_C20 A7		7/15/2042		500,000		469,376		438,460
9297667G2	WACHOVIA BANK COMM MTG TR SENIOR CMBS 05-C21		10/15/2044		26,000,000		25,879,828		23,063,806
92976FBL6	WACHOVIA BANK NA SENIOR CORP BND		8/10/2009		1,426,000		1,426,000		1,424,960
92976WBE5	WACHOVIA CORPORATION CORP BND		7/26/2010		1,046,000		1,046,000		1,033,971
92979EAG8	WAOT ABS_08-A A4B		3/20/2014		3,000,000		2,708,787		2,895,150
931142CN1	WAL-MART STORES INC CORP BND		2/3/2014		5,000,000		4,978,778		4,892,956
931142CQ4	WAL-MART STORES INC CORP BND		5/15/2014		29,800,000		29,796,181		29,390,673
931422AE9	WALGREEN CO CORP BND		1/15/2019		1,500,000		1,490,050		1,548,365
938234MJ7	WASHINGTON CNTY ORE MUNI BND GO		6/1/2020		1,035,000		988,492		1,139,018
93974A7Q1	WASHINGTON STATE MUNI BND GO		1/1/2020		2,000,000		1,910,337		2,123,260
940773U28	WASHOE CNTY NEV MUNI BND GO		7/1/2023		3,000,000		3,051,367		3,084,270
949744AA4	WELLS FARGO & COMPANY — GTD CORP BND GOVT GUAR		12/9/2011		28,800,000		28,766,304		29,699,136
949746JD4	WELLS FARGO CORP SENIOR CORP BND		9/15/2009		767,000		766,920		767,506
949746NJ6	WELLS FARGO & COMPANY CORP BND		8/26/2011		7,000,000		7,010,193		7,315,206
94974BAZ3	WELLS FARGO & COMPANY SENIOR CORP BND		10/29/2010		14,000,000		13,765,631		14,228,289
94974BBT6	WELLS FARGO & COMPANY SENIOR CORP BND		3/22/2010		1,439,000		1,439,000		1,432,237
94974BEJ5	WELLS FARGO & COMPANY CORP BND		6/18/2010		2,119,000		2,119,000		2,087,072
94974BEP1	WELLS FARGO & COMPANY CORP BND		1/24/2011		1,177,000		1,175,260		1,155,790
949781AA6	WFMBS WHOLE CMO 05-AR1		2/25/2035		5,045,001		4,980,452		3,632,400
94981QAU2	WFMBS WHOLE CMO 05-AR16		10/25/2035		15,680,368		15,558,392		12,460,992
94982BAG5	WFMBS WHOLE CMO 05-AR8 3A2		6/25/2035		7,757,075		7,853,906		6,705,991
952030WE0	WEST CHESTER PA AREA SCH DIST MUNI BND GO		5/15/2013		1,510,000		1,559,207		1,684,828
967338KS2	WICHITA KANS MUNI BND REV		10/1/2010		2,000,000		2,044,766		2,080,340
971567KU5	WILMINGTON DEL MUNI BND GO		6/1/2017		1,000,000		998,839		1,131,490
977056D31	WISCONSIN ST MUNI BND GO		5/1/2014		5,000,000		5,248,067		5,432,850
97705LFY8	WISCONSIN ST MUNI BND GO		5/1/2017		2,500,000		2,482,254		2,715,525
98385XAT3	XTO ENERGY INC. CORP BND		12/15/2018		18,375,000		18,332,492		19,681,589
984121BY8	XEROX CORPORATION CORP BND		5/15/2014		1,160,000		1,159,801		1,191,985
D20658NG7	DEUTSCHE BUNDESREPUBLIK GOVT BND		1/4/2010		12,280,000		15,951,398		17,626,760
D20658YB6	GOVERNMENT OF GERMANY GOVT BND		7/4/2014		5,600,000		9,068,963		8,472,938
G0501WAD8	ARRAN ABS 05-B A1		12/15/2012		240,000		240,000		218,400
G92444AB7	UK CONV GILT GOVT BND		3/7/2011		1,750,000		3,371,884		3,022,340
G92450DU9	UNITED KINGDOM GILT		12/7/2009		9,370,000		17,141,406		15,775,095
U45818RF7	INTER-AMERICAN DEV BK SENIOR CORP BND EMTN		3/24/2015		23,000,000		18,785,016		20,110,741
U45942EV4	INTERNATIONAL FINANCE CO SENIOR CORP BND MTN		5/20/2011		5,500,000		5,544,067		5,892,975
V05973JU3	AFRICAN DEVELOPMENT BANK SENIOR CORP BND MTN		2/27/2014		20,000,000		16,051,373		17,751,460
Y0338TDY5	ASIAN DEVELOPMENT BANK CORP BND MTN		12/10/2014		10,000,000		8,060,357		8,728,060
Y0338TGD8	ASIAN DEVELOPMENT BANK SENIOR CORP BND MTN		5/22/2015		27,700,000		21,951,482		23,279,634
							6,457,028,831		6,520,143,576