Allied World Assurance 8-K Allied World Reports 62% Increase In Second Quarter 2010 Net Income; 9.4% Year to Date Increase In Diluted Book Value Per Share

Exhibit 99.3

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

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
U.S. Government Securities
912810FS2	UNITED STATES TREASURY		2.00		1/15/2026		4,000,000		3,779,108		4,648,999
912810PS1	UNITED STATES TREASURY		2.38		1/15/2027		6,900,000		7,341,221		8,273,943
9128276R8	UNITED STATES TREASURY		3.50		1/15/2011		10,000,000		12,793,684		12,737,314
912828CP3	UNITED STATES TREASURY		2.00		7/15/2014		11,000,000		11,104,229		13,656,594
912828EA4	UNITED STATES TREASURY		1.88		7/15/2015		5,800,000		6,378,762		6,974,014
912828FB1	UNITED STATES TREASURY		2.38		4/15/2011		10,000,000		11,218,826		11,170,651
912828GX2	UNITED STATES TREASURY		2.63		7/15/2017		19,400,000		22,475,928		23,017,886
912828HN3	UNITED STATES TREASURY		1.63		1/15/2018		3,000,000		3,114,406		3,293,594
912833JY7	UNITED STATES TREASURY		—		5/15/2012		600,000		554,826		595,290
912810DW5	UNITED STATES TREASURY		7.25		5/15/2016		310,000		364,880		398,248
912810EZ7	UNITED STATES TREASURY		6.63		2/15/2027		2,475,000		3,050,934		3,406,541
9128277L0	UNITED STATES TREASURY		4.88		2/15/2012		1,155,000		1,197,084		1,237,744
912828AJ9	UNITED STATES TREASURY		4.38		8/15/2012		500,000		512,635		540,140
912828AP5	UNITED STATES TREASURY		4.00		11/15/2012		2,465,000		2,592,218		2,654,238
912828BA7	UNITED STATES TREASURY		3.63		5/15/2013		7,565,000		7,993,820		8,149,321
912828BR0	UNITED STATES TREASURY		4.25		11/15/2013		335,000		350,484		369,515
912828CA6	UNITED STATES TREASURY		4.00		2/15/2014		990,000		1,062,303		1,085,476
912828CT5	UNITED STATES TREASURY		4.25		8/15/2014		11,740,000		11,543,176		13,052,884
912828DM9	UNITED STATES TREASURY		4.00		2/15/2015		1,500,000		1,627,725		1,655,760
912828DV9	UNITED STATES TREASURY		4.13		5/15/2015		500,000		547,393		555,590
912828EE6	UNITED STATES TREASURY		4.25		8/15/2015		1,000,000		1,103,229		1,118,560
912828EM8	UNITED STATES TREASURY		4.50		11/15/2010		1,700,000		1,699,883		1,727,030
912828EN6	UNITED STATES TREASURY		4.50		11/15/2015		250,000		289,026		283,893
912828EW6	UNITED STATES TREASURY		4.50		2/15/2016		1,000,000		1,118,231		1,132,150
912828FA3	UNITED STATES TREASURY		4.75		3/31/2011		1,090,000		1,121,634		1,125,937
912828FN5	UNITED STATES TREASURY		4.88		7/31/2011		4,500,000		4,646,154		4,716,540
912828FY1	UNITED STATES TREASURY		4.63		11/15/2016		5,235,000		5,522,501		5,974,758
912828GA2	UNITED STATES TREASURY		4.50		11/30/2011		1,050,000		1,098,964		1,110,491
912828GC8	UNITED STATES TREASURY		4.63		12/31/2011		500,000		519,111		531,215
912828GM6	UNITED STATES TREASURY		4.50		3/31/2012		1,025,000		1,081,946		1,096,781
912828HA1	UNITED STATES TREASURY		4.75		8/15/2017		9,000,000		9,489,657		10,406,970
912828HC7	UNITED STATES TREASURY		4.13		8/31/2012		1,000,000		1,059,941		1,075,400
912828HH6	UNITED STATES TREASURY		4.25		11/15/2017		1,000,000		1,102,242		1,123,360
912828HT0	UNITED STATES TREASURY		2.75		2/28/2013		5,000,000		5,163,521		5,252,150
912828HV5	UNITED STATES TREASURY		2.50		3/31/2013		22,600,000		23,268,218		23,629,430
912828HY9	UNITED STATES TREASURY		3.13		4/30/2013		1,200,000		1,250,005		1,275,912
912828JF8	UNITED STATES TREASURY		2.75		7/31/2010		5,000,000		5,005,129		5,010,250
912828JH4	UNITED STATES TREASURY		4.00		8/15/2018		7,600,000		7,825,300		8,359,468
912828JK7	UNITED STATES TREASURY		3.13		8/31/2013		1,525,000		1,589,419		1,623,180
912828JQ4	UNITED STATES TREASURY		2.75		10/31/2013		1,500,000		1,499,497		1,578,375
912828JZ4	UNITED STATES TREASURY		1.75		1/31/2014		6,000,000		5,976,930		6,096,420
912828KC3	UNITED STATES TREASURY		1.38		2/15/2012		44,225,000		44,723,473		44,833,536
912828KN9	UNITED STATES TREASURY		1.88		4/30/2014		750,000		746,438		763,492
912828KY5	UNITED STATES TREASURY		2.63		6/30/2014		117,495,000		118,391,285		122,838,677
912828LJ7	UNITED STATES TREASURY		3.63		8/15/2019		340,000		350,788		359,485
912828LL2	UNITED STATES TREASURY		3.00		8/31/2016		17,200,000		17,208,359		17,949,919
912828LQ1	UNITED STATES TREASURY		2.38		9/30/2014		1,700,000		1,699,967		1,755,947
912828LZ1	UNITED STATES TREASURY		2.13		11/30/2014		150,000,000		149,024,881		153,193,497
912828MA5	UNITED STATES TREASURY		2.75		11/30/2016		72,000,000		70,997,765		73,800,000
912828ME7	UNITED STATES TREASURY		2.63		12/31/2014		5,000,000		5,000,493		5,207,950
912828MG2	UNITED STATES TREASURY		1.38		1/15/2013		5,000,000		4,967,014		5,067,550
912828MJ6	UNITED STATES TREASURY		0.88		1/31/2012		5,250,000		5,256,009		5,277,982
912828MM9	UNITED STATES TREASURY		0.75		11/30/2011		27,600,000		27,602,683		27,703,776
912828MR8	UNITED STATES TREASURY		2.38		2/28/2015		64,100,000		64,204,723		66,064,026
912828MZ0	UNITED STATES TREASURY		2.50		4/30/2015		129,400,000		131,565,156		133,992,411
912828NB2	UNITED STATES TREASURY		1.00		4/30/2012		40,400,000		40,529,719		40,702,596
912828NC0	UNITED STATES TREASURY		1.38		5/15/2013		64,600,000		64,864,188		65,384,237
912828NE6	UNITED STATES TREASURY		0.75		5/31/2012		173,800,000		173,824,257		174,300,534
912828NH9	UNITED STATES TREASURY		1.13		6/15/2013		226,200,000		225,762,170		227,100,283
912828NL0	UNITED STATES TREASURY		1.88		6/30/2015		1,500,000		1,496,252		1,505,685

1

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

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
912828NS5	UNITED STATES TREASURY		0.63		6/30/2012		7,200,000		7,201,428		7,200,287
912795VE8	UNITED STATES TREASURY		—		5/5/2011		200,600,000		200,059,264		200,059,264
							1,533,370,000		1,546,510,492		1,576,794,597
U.S. Government Agencies
30769PAA0	FARMER MAC		5.50		7/15/2011		15,900,000		15,886,089		16,662,133
3128X9AM2	FREDDIE MAC		2.25		8/24/2012		10,000,000		9,965,636		10,027,500
31331S4Z3	FEDERAL FARM CREDIT BANK		4.50		8/8/2011		1,600,000		1,600,777		1,670,512
31331SH97	FEDERAL FARM CREDIT BANK		4.30		4/24/2012		1,000,000		1,001,014		1,064,920
31331ST29	FEDERAL FARM CREDIT BANK		4.40		4/25/2012		1,400,000		1,396,560		1,493,534
31331VPV2	FFCB		4.95		4/1/2016		2,975,000		2,959,985		3,390,935
31331XU75	FFCB		5.30		8/13/2014		5,000,000		5,014,663		5,670,950
3133X85H1	FHLB		4.52		8/10/2010		1,000,000		999,579		1,004,510
3133XCZJ5	FHLB		4.55		8/26/2013		1,000,000		1,002,320		1,100,320
3133XUE41	FHLB		1.75		8/22/2012		5,000,000		4,995,185		5,104,700
3133XVEM9	FHLB		1.63		11/21/2012		3,000,000		2,994,965		3,050,880
3133XVNU1	FHLB		2.75		12/12/2014		74,500,000		74,894,150		76,976,378
3134A35H5	FHLMC		6.88		9/15/2010		721,000		724,020		730,923
3134A4QD9	FHLMC		5.13		7/15/2012		300,000		306,893		326,679
3136FMXJ8	FNMA		1.00		6/23/2015		12,000,000		11,964,154		11,956,812
3137EACE7	FHLMC		2.13		9/21/2012		11,500,000		11,487,963		11,825,335
3137EACH0	FHLMC		2.88		2/9/2015		3,500,000		3,575,416		3,647,770
31398AJ94	FNMA		1.75		5/7/2013		5,000,000		4,992,648		5,094,700
31398AYM8	FNMA		1.75		8/10/2012		3,700,000		3,698,096		3,777,071
31398AYY2	FNMA		3.00		9/16/2014		2,000,000		2,026,896		2,101,180
31398AZF2	FNMA		2.00		9/28/2012		5,000,000		4,999,624		5,019,650
742651DG4	PRIVATE EXPORT FUNDING CORP		4.38		3/15/2019		20,000,000		19,907,023		21,495,200
							186,096,000		186,393,656		193,192,592
Non-U.S. Government Securities & Agencies
135087YN8	CANADA GOVERNMENT		3.50		6/1/2013		4,000,000		4,053,272		3,940,429
135087YS7	CANADA GOVERNMENT		3.00		6/1/2014		2,715,000		2,621,655		2,636,244
135087YU2	CANADA GOVERNMENT		2.00		12/1/2014		21,860,000		20,082,666		20,353,200
135087YW8	CANADA GOVERNMENT		1.00		9/1/2011		14,740,000		13,670,365		13,861,254
135087YX6	CANADA GOVERNMENT		2.00		9/1/2012		35,720,000		33,333,150		33,942,640
135087ZB3	CANADA GOVERNMENT		1.50		3/1/2012		4,000,000		3,909,962		3,778,066
135087ZD9	CANADA GOVERNMENT		1.75		3/1/2013		24,000,000		23,243,928		22,582,715
038461AC3	AID-EGYPT		4.45		9/15/2015		25,000,000		26,195,782		27,600,480
46513EGV8	STATE OF ISRAEL		5.50		12/4/2023		13,165,000		14,023,635		15,345,914
74727PAJ0	QATAR (STATE OF)		4.00		1/20/2015		2,800,000		2,796,644		2,877,000
D20658YB6	GOVERNMENT OF GERMANY		4.25		7/4/2014		18,380,000		28,586,083		25,210,801
G92444AB7	UK CONV GILT		4.25		3/7/2011		1,750,000		3,405,231		2,684,938
G924507Q5	UK CONV GILT		2.75		1/22/2015		375,000		582,789		577,813
G92450NU8	UNITED KINGDOM		5.00		9/7/2014		8,950,000		16,220,849		15,082,603
U45818RF7	INTER-AMERICAN DEV BK		1.00		3/24/2015		23,000,000		19,442,511		21,765,821
U45942EV4	INTERNATIONAL FINANCE CO		5.61		5/20/2011		5,500,000		5,521,213		5,698,233
V05973JU3	AFRICAN DEVELOPMENT BANK		0.50		2/27/2014		20,000,000		16,819,555		19,012,560
Y0338TDY5	ASIAN DEVELOPMENT BANK		1.00		12/10/2014		10,000,000		8,377,882		9,434,080
Y0338TGD8	ASIAN DEVELOPMENT BANK		1.00		5/22/2015		27,700,000		22,810,713		25,793,685
013051DA2	ALBERTA PROVINCE OF		2.75		12/1/2014		950,000		927,224		901,407
110709FD9	BRITISH COLUMBIA PROVINCE OF		5.75		1/9/2012		900,000		943,969		901,729
563469EU5	MANITOBA PROVINCE		5.25		12/3/2012		900,000		952,822		912,756
642866FT9	NEW BRUNSWICK PROVINCE OF		4.50		2/4/2015		900,000		945,896		908,794
683234WM6	ONTARIO PROVINCE		4.50		3/8/2015		900,000		943,371		908,499
748148RK1	QUEBEC PROVINCE OF		5.25		10/1/2013		850,000		910,091		871,965
803854JF6	SASKATCHEWAN PROVINCE		5.25		6/3/2014		900,000		962,538		932,176
W5194CEC3	KOMMUNINVEST		5.38		7/3/2012		50,000,000		53,647,019		54,047,501
500769BM5	KREDITANSTALT FUER WIDERAUFBAU		4.38		2/9/2016		900,000		927,936		905,932
500769DN1	KFW GROUP - (LT) GTD		1.88		1/14/2013		10,000,000		9,990,597		10,145,001
D4085B7F2	KREDITANSTALT FUER WIDERAUFBAU		2.50		5/28/2013		42,000,000		42,332,545		43,172,640
							372,855,000		379,181,891		386,786,875

2

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

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
Agency MBS
3128GVNN6	FHLMC		5.00		9/1/2010		19,426		19,660		21,174
31392JTP4	FNMA		4.00		10/25/2016		55,473		55,231		56,070
31393DL74	FNMA CMO		4.00		4/25/2030		409,548		402,240		418,194
31393EFX2	FNMA CMO		4.25		5/25/2022		926,156		933,013		944,773
31393KLM5	FHLMC		4.00		7/15/2017		507,786		502,142		527,646
31393QVD1	FHLMC		4.00		6/15/2013		357,606		356,473		362,151
31393VPH8	FHLMC_2627		4.50		7/15/2017		31,560,900		31,227,392		32,772,839
31394EK49	FNMA_05-58		—		8/25/2035		42,469		—		795
31395RAR9	FHLMC		4.38		4/15/2015		781,375		776,963		798,073
31396A7E8	FHLMC_3035		—		9/15/2035		499,584		498,793		487,129
31396AFE9	FHLMC_3035		5.00		12/15/2026		2,833,247		2,829,170		2,859,624
31396VDA3	FNMA_07-41		—		5/25/2035		45,265		44,938		43,636
31396VV21	FNMA_07-41		—		5/25/2037		120,625		129,242		120,599
31396WCB0	FNMA_07-53		—		6/25/2037		14,489		14,295		14,132
31397F7E6	FHLMC		—		7/15/2036		101,430		103,163		101,267
31397FES7	FHLMC_3271		—		2/15/2037		252,650		275,210		247,400
31398MFS0	FNMA		4.00		11/25/2023		2,836,437		2,950,044		2,962,913
31398PQS1	FNMA		3.50		3/25/2028		3,123,213		3,180,872		3,193,738
31398R3Q6	FNMA_10-53		3.50		2/25/2028		4,750,000		4,848,683		4,934,775
31398VYJ9	FHLMC		4.25		8/15/2038		4,861,930		4,986,764		5,119,369
31398W2U7	FHLMC		4.50		1/15/2023		8,288,527		8,628,140		8,728,506
31398W5H3	FHLMC		4.50		11/15/2037		10,218,041		10,508,214		10,704,011
38373QGX3	GNMA		4.00		4/20/2033		460,775		475,397		478,566
38376TBF8	GNMA		4.50		1/16/2040		474,399		489,594		508,423
38376VDX2	GNMA		3.00		12/20/2038		5,340,490		5,456,437		5,434,696
36206XC43	GNMA		7.00		5/15/2031		2,749		2,848		3,089
3620A8NA7	GNMA		5.00		9/15/2039		1,784,322		1,848,459		1,905,656
3620A9ST9	GNMA		5.00		9/15/2039		2,916,270		3,019,929		3,114,577
3620A9SW2	GNMA		4.50		9/15/2039		491,979		497,137		513,611
3620AC3E2	GNMA		5.00		9/15/2039		967,470		995,955		1,033,258
3620AC6K5	GNMA		5.00		10/15/2039		972,718		1,013,192		1,037,816
3620AC6S8	GNMA		5.00		10/15/2039		973,382		1,015,388		1,039,572
3620AC6T6	GNMA		5.00		10/15/2039		1,668,751		1,737,679		1,780,428
36212PPP1	GNMA		7.00		4/15/2031		11,555		11,965		12,979
36212U5G2	GNMA		7.00		5/15/2031		19,107		19,792		21,463
36213GCV1	GNMA		7.00		4/15/2031		16,991		17,600		19,086
36213HGU7	GNMA		7.00		3/15/2031		1,735		1,797		1,949
36225DM43	GNMA		1.88		3/20/2035		12,844,439		12,191,038		13,155,929
36241KV39	GNMA		4.50		8/15/2038		10,534,656		9,868,479		11,004,396
36241KV47	GNMA		4.50		9/15/2038		7,577,756		7,099,147		7,915,649
36241KWA2	GNMA		4.50		10/15/2038		5,072,186		4,751,792		5,293,520
36295QK82	GNMA		5.00		8/15/2038		4,098,968		3,961,406		4,370,828
36296JCV5	GNMA		5.00		8/15/2039		1,947,776		2,009,838		2,080,225
36297FYL0	GNMA		4.50		10/15/2039		98,857		100,048		103,204
36297FYT3	GNMA		5.00		10/15/2039		295,055		307,279		315,119
31371KBQ3	FNMA		8.00		8/1/2031		14,652		15,192		16,190
31371LZJ1	FNMA		4.00		1/1/2015		3,346,233		3,253,767		3,504,677
31371MFY8	FNMA		3.62		8/1/2035		9,885,434		9,680,683		10,270,726
31371QU71	FNMA		8.00		3/1/2030		60,623		62,827		68,005
31375BUQ8	FNMA		8.00		2/1/2023		133,454		138,194		150,163
31375KSE8	FNMA		8.00		12/1/2024		53,886		56,235		60,015
31376CTB0	FNMA		8.00		12/1/2024		8,741		9,061		9,836
31376KKK1	FNMA		4.50		1/1/2015		1,422,203		1,396,535		1,482,704
31377XSA6	FNMA		8.00		6/1/2027		87,032		90,346		96,388
31379T6G4	FNMA		5.00		2/1/2014		30,942		30,740		32,832
31382NR20	FNMA		5.50		4/1/2029		946		972		1,015
31384VP63	FNMA		8.00		2/1/2030		777,020		805,439		858,607
31384VP97	FNMA		8.00		2/1/2030		181,559		188,232		200,623
31384VUE0	FNMA		8.00		4/1/2030		939,788		974,370		1,038,466
31384WLB4	FNMA		8.00		3/1/2031		51,459		53,345		57,725
31384WVT4	FNMA		8.00		5/1/2030		41,086		42,592		46,090
31384Y2A3	FNMA		8.00		4/1/2030		66,950		69,388		75,103

3

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

Cusip		Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
31385FVZ6		FNMA		8.00		6/1/2030		139,363		144,477		156,335
31385GZH0		FNMA		8.00		9/1/2030		531		550		595
31385QRZ7		FNMA		8.00		8/1/2030		4,288		4,445		4,810
31385RB58		FNMA		8.50		4/1/2030		1,546,301		1,625,736		1,724,125
31385XEW3		FNMA		5.00		6/1/2018		466,588		463,122		501,340
31385XK48		FNMA		2.94		7/1/2033		273,775		270,276		284,212
31386XQU3		FNMA		8.00		2/1/2031		2,062,047		2,136,631		2,313,156
31387EBE6		FNMA		8.00		6/1/2031		53,639		55,617		59,271
31388DTM0		FNMA		8.00		1/1/2031		33,696		35,018		37,318
31388HTX7		FNMA		8.00		8/1/2031		16,634		17,251		18,380
31388XVV3		FNMA		3.11		8/1/2033		7,513,012		7,345,930		7,794,199
31389EU78		FNMA		6.50		12/1/2011		251,490		251,668		264,724
31389EVA0		FNMA		6.50		12/1/2016		2,410,644		2,427,381		2,618,852
31389EVB8		FNMA		6.50		12/1/2016		2,622,367		2,639,345		2,848,940
31389XHM8		FNMA		6.00		3/1/2012		234,382		236,016		255,593
31391AKC2		FNMA		8.00		7/1/2032		5,634		5,844		6,226
31391PTM8		FNMA		5.00		12/1/2017		18,126,496		18,132,767		19,455,318
31391PUF1		FNMA		5.00		12/1/2017		457,624		454,242		492,197
31391YV87		FNMA		6.00		1/1/2033		3,916		4,125		4,316
31400EGH7	��	FNMA		5.00		3/1/2018		410,473		407,437		441,046
31400JL98		FNMA		2.50		4/1/2033		7,713,268		7,632,508		8,053,342
31400JM55		FNMA		5.50		5/1/2033		2,327		2,410		2,509
31400QJ87		FNMA		2.52		3/1/2033		31,819		31,367		32,726
31400SA33		FNMA		5.00		4/1/2018		357,928		355,274		384,587
31400UQV9		FNMA		5.50		4/1/2033		478,110		473,023		515,642
31401A3C9		FNMA		5.00		4/1/2018		489,256		485,632		525,697
31402DGQ7		FNMA		5.00		8/1/2019		1,659,517		1,646,987		1,782,303
31402GP98		FNMA		5.00		7/1/2033		7,455		7,719		7,910
31402QXK2		FNMA		8.50		2/1/2031		818,120		853,336		904,022
31402RSS9		FNMA		8.00		8/1/2032		1,304,614		1,352,958		1,444,860
31402YSV7		FNMA		2.63		9/1/2033		27,580		27,164		28,971
31403C2L4		FNMA		5.00		4/1/2019		1,637,563		1,625,257		1,759,531
31403CWU1		FNMA		2.77		9/1/2035		12,118,507		12,035,709		12,433,261
31403DC56		FNMA		4.50		12/1/2020		4,133,941		4,031,085		4,404,788
31403DC72		FNMA		4.50		11/1/2020		6,126,824		5,974,623		6,535,299
31403DCE7		FNMA		5.00		12/1/2019		1,000,220		992,656		1,074,225
31403DCZ0		FNMA		5.00		11/1/2018		3,316,042		3,291,261		3,563,027
31403DJG5		FNMA		5.50		8/1/2034		29,471		30,303		31,634
31403KDB6		FNMA		2.33		12/1/2033		23,624		23,273		24,058
31403NYJ0		FNMA		8.00		12/1/2033		27,324		28,345		30,193
31403SBL9		FNMA		8.00		7/1/2030		267,346		277,754		296,085
31403VBR9		FNMA		5.00		1/1/2019		491,987		488,291		528,631
31404NBP0		FNMA		2.80		2/1/2035		356,861		351,483		371,729
31404RA98		FNMA		8.00		6/1/2028		40,984		42,557		45,287
31404RAX5		FNMA		8.00		10/1/2028		175,215		181,555		193,612
31404SFP5		FNMA		5.50		4/1/2034		7,567		7,796		8,157
31405QNR5		FNMA		5.50		10/1/2034		1,973		2,029		2,127
31405UMM8		FNMA		3.04		10/1/2034		156,088		154,874		160,585
31405UTZ2		FNMA		2.92		11/1/2034		53,615		52,952		55,871
31406BB90		FNMA		2.86		1/1/2035		562,924		555,531		576,083
31406BEZ9		FNMA		2.85		12/1/2034		527,746		520,971		545,118
31406BJF8		FNMA		2.78		1/1/2035		663,666		655,952		685,800
31406BQQ6		FNMA		2.64		1/1/2035		714,081		704,090		737,055
31406DG67		FNMA		3.17		11/1/2034		1,291,879		1,278,275		1,342,698
31406MYP5		FNMA		2.35		3/1/2035		708,260		697,358		724,284
31406PD71		FNMA		2.69		5/1/2035		9,545,440		9,463,142		9,804,328
31406QLT2		FNMA		8.00		1/1/2030		1,084,804		1,124,609		1,198,709
31406TLC3		FNMA		2.81		4/1/2035		1,102,406		1,091,296		1,150,258
31406TWR8		FNMA		2.23		1/1/2035		1,424,058		1,411,176		1,462,691
31406VHE9		FNMA		2.58		5/1/2035		647,090		637,594		668,983
31407CE29		FNMA		5.50		7/1/2035		1,181		1,214		1,272

4

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

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
31407FG53	FNMA		5.50		8/1/2035		3,085		3,172		3,324
31407FUW8	FNMA		4.70		8/1/2035		4,199,468		4,155,916		4,312,923
31407JXG2	FNMA		3.30		8/1/2035		1,535,744		1,519,717		1,603,866
31408AG53	FNMA		6.00		2/1/2036		70,035		73,784		76,303
31408BKL1	FNMA		8.00		5/1/2029		2,280,714		2,363,658		2,520,189
31408FJR1	FNMA		8.00		2/1/2029		1,792,339		1,857,615		1,980,534
31408GFA0	FNMA		6.00		12/1/2035		605,164		637,577		658,617
31409A5P0	FNMA		6.00		3/1/2036		225,183		237,238		245,336
31409AYE3	FNMA		6.00		3/1/2036		520,832		548,690		566,842
31409CRY3	FNMA		6.00		2/1/2036		403,279		424,761		439,372
31409GML7	FNMA		6.50		7/1/2036		2,209,182		2,307,185		2,422,628
31409UB38	FNMA		6.00		3/1/2036		76,433		80,523		83,008
31409VYW7	FNMA		6.00		4/1/2036		100,224		105,589		108,846
31410CJV5	FNMA		6.00		5/1/2036		28,808		30,354		31,352
31410FU60	FNMA		5.00		8/1/2020		1,334,900		1,324,729		1,434,326
31410GC84	FNMA		3.31		7/1/2035		2,721,394		2,695,268		2,802,691
31410GD83	FNMA		3.22		4/1/2034		99,131		97,337		103,756
31410GDF7	FNMA		1.85		6/1/2033		369,225		364,638		385,549
31410GDL4	FNMA		2.58		2/1/2035		1,843,998		1,813,276		1,911,114
31410GDN0	FNMA		2.59		6/1/2033		246,944		241,801		258,052
31410GDP5	FNMA		4.93		6/1/2035		6,852,481		6,715,462		7,237,751
31410GDS9	FNMA		2.67		2/1/2034		347,288		342,800		361,659
31410GDY6	FNMA		2.85		1/1/2035		204,325		200,988		211,277
31410GJ46	FNMA		5.00		12/1/2019		4,799,095		4,762,757		5,161,667
31410KS47	FNMA		5.50		12/1/2035		14,449		14,857		15,510
31410KX74	FNMA		5.50		9/1/2036		9,875,724		9,892,939		10,625,579
31410MMX5	FNMA		6.00		4/1/2036		516,159		543,830		562,354
31412ESY3	FNMA		6.00		1/1/2037		59,095		62,244		64,384
31412N6G6	FNMA		4.50		3/1/2039		105,828		106,765		109,993
31412N6J0	FNMA		4.50		3/1/2039		16,172,151		16,661,704		16,833,793
31412NUL8	FNMA		5.00		1/1/2039		2,167,360		2,238,048		2,297,564
31412NUP9	FNMA		5.00		1/1/2039		2,073,184		2,141,225		2,197,347
31412NUQ7	FNMA		5.00		1/1/2039		236,666		244,385		250,884
31412NUT1	FNMA		5.00		1/1/2039		132,383		136,699		140,282
31412NXB7	FNMA		5.00		1/1/2039		1,696,654		1,751,197		1,798,580
31412NXE1	FNMA		5.00		1/1/2039		2,714,940		2,806,826		2,887,284
31412NZ33	FNMA		5.00		2/1/2039		105,575		108,939		112,181
31412NZW9	FNMA		4.50		2/1/2039		36,278		37,377		37,763
31412P5R8	FNMA		4.50		7/1/2039		45,895		47,285		47,773
31412PP88	FNMA		5.00		5/1/2039		317,108		326,771		336,555
31412PXF3	FNMA		4.50		6/1/2039		143,162		144,237		148,646
31412Q2V0	FNMA		4.50		1/1/2040		4,271,416		4,368,628		4,436,378
31412QE62	FNMA		4.50		8/1/2039		164,512		169,495		170,815
31412QE70	FNMA		5.00		8/1/2039		5,749,168		5,977,159		6,091,646
31412QNE5	FNMA		4.50		9/1/2039		3,806,928		3,922,174		3,962,679
31412QSQ3	FNMA		4.50		11/1/2039		6,834,445		7,041,324		7,114,059
31412QUC1	FNMA		4.50		11/1/2039		138,237		142,422		143,575
31412QXZ7	FNMA		4.50		12/1/2039		876,044		895,982		909,877
31412RG76	FNMA		4.00		4/1/2025		9,846,161		10,040,822		10,246,014
31412RGG6	FNMA		5.00		4/1/2040		456,977		476,302		484,199
31412RH42	FNMA		5.00		4/1/2040		12,494,245		13,022,819		13,238,527
31412TM26	FNMA		5.50		6/1/2038		7,347,827		7,569,709		7,897,812
31412U7E4	FNMA		4.50		11/1/2039		238,201		245,414		247,326
31412UEQ9	FNMA		4.50		9/1/2039		493,146		508,076		513,322
31412UY53	FNMA		4.50		8/1/2039		351,797		355,700		366,190
31413CLH0	FNMA		6.00		7/1/2037		6,863,111		7,107,038		7,456,564
31413NY66	FNMA		6.00		11/1/2037		6,010,066		6,245,831		6,529,756
31413R2P0	FNMA		6.00		12/1/2037		6,877,755		7,248,142		7,493,301
31413USF7	FNMA		6.00		11/1/2037		466,785		481,954		505,948
31414NCH5	FNMA		6.00		12/1/2038		3,079,771		3,225,321		3,355,405
31414NH31	FNMA		5.00		2/1/2039		2,633,541		2,719,195		2,798,335

5

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

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
31414NH49	FNMA		5.00		2/1/2039		3,396,755		3,507,755		3,605,061
31415VZW8	FNMA		5.00		9/1/2023		394,897		386,433		421,393
31415WA60	FNMA		4.50		1/1/2039		94,900		97,770		98,783
31415YXR5	FNMA		4.50		5/1/2039		126,490		127,610		131,468
31416CEZ5	FNMA		4.50		5/1/2039		6,594,066		6,583,647		6,841,164
31416JZM6	FNMA		5.00		2/1/2039		4,572,072		4,722,043		4,844,888
31416M5A8	FNMA		5.00		3/1/2039		11,524,729		11,886,685		12,190,066
31416MLA0	FNMA		4.50		3/1/2039		84,714		85,463		88,047
31416MVP6	FNMA		4.50		4/1/2039		97,201		98,061		101,026
31416N5T5	FNMA		4.50		4/1/2039		247,888		250,637		257,642
31416NRD6	FNMA		4.50		3/1/2039		46,969		47,384		48,818
31416PZR1	FNMA		5.00		5/1/2039		75,256		77,654		79,739
31416QJZ9	FNMA		5.00		5/1/2039		107,948		111,388		114,703
31416QTH8	FNMA		5.00		5/1/2039		97,357		100,459		103,156
31416QV51	FNMA		4.50		8/1/2039		42,655		42,975		44,289
31416RNK5	FNMA		4.50		7/1/2039		68,824		70,908		71,639
31416RUU5	FNMA		4.50		7/1/2039		402,527		414,716		418,995
31416S6B2	FNMA		4.50		7/1/2039		121,252		122,163		125,897
31416SD40	FNMA		4.50		7/1/2039		129,905		130,881		134,882
31416SED9	FNMA		5.00		7/1/2039		93,981		96,977		99,580
31416SFL0	FNMA		4.50		7/1/2039		66,179		66,605		68,714
31416SLA7	FNMA		4.50		6/1/2039		68,644		69,159		71,274
31416SLC3	FNMA		4.50		6/1/2039		143,036		144,111		148,516
31416T3D9	FNMA		4.50		7/1/2039		470,605		475,826		489,859
31416T7K9	FNMA		4.50		7/1/2039		67,347		67,853		69,927
31416TAG4	FNMA		4.50		7/1/2039		173,213		175,975		179,849
31416TAL3	FNMA		5.00		7/1/2039		101,267		104,494		107,603
31416TB65	FNMA		4.50		8/1/2039		237,057		244,237		246,139
31416TE39	FNMA		4.50		8/1/2039		70,110		70,637		72,796
31416TE47	FNMA		4.50		8/1/2039		118,053		118,812		122,698
31416TEE5	FNMA		4.50		8/1/2039		175,539		177,985		182,264
31416TEF2	FNMA		4.50		8/1/2039		123,346		124,139		128,199
31416TEP0	FNMA		5.00		8/1/2039		99,658		102,834		105,595
31416TFQ7	FNMA		4.50		8/1/2039		65,841		66,336		68,364
31416TKG3	FNMA		5.00		6/1/2039		102,797		106,073		108,931
31416UDB9	FNMA		5.00		8/1/2039		33,149		34,206		35,124
31416WD66	FNMA		5.00		5/1/2040		742,176		773,556		786,388
31416WE57	FNMA		5.00		5/1/2040		12,850,237		13,393,846		13,615,726
31417J2B5	FNMA		5.00		9/1/2039		65,197		67,628		69,080
31417JFK1	FNMA		5.00		8/1/2039		185,504		193,089		197,112
31417JPT1	FNMA		4.50		10/1/2039		72,052		74,234		74,812
31417JSB7	FNMA		4.50		7/1/2039		37,675		37,917		39,118
31417JYM6	FNMA		4.50		9/1/2024		4,376,222		4,453,443		4,624,200
31417JYR5	FNMA		4.50		8/1/2039		105,732		107,135		109,782
31417JZ94	FNMA		4.50		9/1/2039		338,545		348,797		351,515
31417KAZ0	FNMA		4.50		7/1/2039		40,034		40,335		41,568
31417KL47	FNMA		4.50		8/1/2039		1,655,034		1,705,154		1,722,746
31417KS73	FNMA		5.00		9/1/2039		967,239		1,006,804		1,027,764
31417KXH5	FNMA		4.50		8/1/2039		3,663,237		3,774,171		3,813,109
31417LLX1	FNMA		5.00		7/1/2039		191,403		197,503		203,380
31417M2V4	FNMA		4.50		8/1/2039		107,866		111,129		112,279
31417M2W2	FNMA		4.50		8/1/2039		23,849		24,059		24,787
31417MAD5	FNMA		4.50		11/1/2039		240,857		243,531		250,711
31417MFB4	FNMA		4.50		8/1/2039		238,725		240,260		247,870
31417MFE8	FNMA		4.50		8/1/2039		330,724		334,394		344,255
31417MLH4	FNMA		5.00		10/1/2039		94,930		98,837		100,585
31417MPN7	FNMA		5.00		9/1/2039		109,789		113,884		116,329
31417MQT3	FNMA		5.00		10/1/2039		75,312		78,121		79,798
31417MSY0	FNMA		5.00		9/1/2039		967,999		1,007,608		1,028,572
31417MTC7	FNMA		4.50		9/1/2039		524,550		532,196		544,646
31417MTD5	FNMA		4.50		10/1/2039		681,377		687,020		707,481

6

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

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
31417MVC4	FNMA		4.50		10/1/2039		478,466		486,833		496,796
31417MVD2	FNMA		4.50		10/1/2039		680,182		685,815		706,240
31417MVJ9	FNMA		5.00		10/1/2039		901,374		931,244		955,069
31417MWB5	FNMA		5.00		8/1/2039		35,652		36,788		37,776
31417NB42	FNMA		4.50		10/1/2039		118,815		122,413		123,367
31417NB75	FNMA		5.00		10/1/2039		1,136,438		1,182,938		1,207,551
31417NCL3	FNMA		4.50		10/1/2024		6,498,428		6,713,628		6,896,286
31417NDN8	FNMA		4.50		11/1/2024		7,121,134		7,357,020		7,526,896
31417NKD2	FNMA		5.00		12/1/2039		332,407		346,012		353,207
31417NL41	FNMA		4.50		1/1/2040		259,378		265,281		269,315
31417NRJ2	FNMA		4.50		8/1/2039		45,276		45,616		47,011
31417NZV6	FNMA		4.50		9/1/2039		97,907		100,872		101,658
31417QR55	FNMA		4.50		1/1/2040		493,048		498,522		511,936
31417QTZ7	FNMA		4.50		10/1/2024		7,128,345		7,358,187		7,534,518
31417QU93	FNMA		4.50		10/1/2039		309,959		319,345		321,834
31417QUG7	FNMA		4.50		10/1/2039		1,013,063		1,024,310		1,054,510
31417SDJ6	FNMA		5.00		11/1/2039		128,735		134,003		136,403
31417SY95	FNMA		4.50		11/1/2039		46,641		48,054		48,428
31417SYT1	FNMA		4.50		11/1/2039		95,385		96,230		99,039
31417TB98	FNMA		4.50		1/1/2040		139,758		142,939		145,112
31417TKX5	FNMA		4.50		11/1/2039		25,080		25,651		26,041
31417TL97	FNMA		4.50		12/1/2039		439,417		444,294		457,394
31417TQE1	FNMA		4.50		1/1/2040		641,073		648,189		667,301
31417UBK0	FNMA		4.50		11/1/2039		635,065		642,112		661,047
31417UMZ5	FNMA		4.50		2/1/2040		300,102		306,932		311,599
31417UNB7	FNMA		4.50		11/1/2039		171,889		175,801		178,474
31417UYN9	FNMA		4.50		4/1/2040		166,145		169,926		172,485
31417VJE4	FNMA		4.50		12/1/2039		126,515		129,394		131,362
31417VJS3	FNMA		4.50		12/1/2039		32,945		33,237		34,208
31417VKE2	FNMA		4.50		1/1/2040		130,594		133,566		135,597
31417VNP4	FNMA		4.50		2/1/2040		631,877		646,258		656,085
31417VQT3	FNMA		4.50		1/1/2040		1,951,696		1,996,115		2,031,544
31417VSU8	FNMA		4.50		1/1/2040		348,413		351,349		361,761
31417VXY4	FNMA		4.50		1/1/2040		62,337		62,889		64,725
31417VY64	FNMA		4.50		12/1/2039		246,379		251,986		255,818
31417W4W8	FNMA		4.50		2/1/2040		274,836		281,091		285,323
31417WSS1	FNMA		4.50		1/1/2040		296,138		297,501		307,483
31417WTE1	FNMA		4.50		1/1/2040		238,404		240,444		247,537
31417WTG6	FNMA		4.50		1/1/2040		197,128		198,020		204,680
31418MT93	FNMA		4.50		1/1/2040		1,958,580		1,979,710		2,032,415
31418MUK6	FNMA		4.50		12/1/2039		1,751,662		1,751,475		1,819,312
31418MUL4	FNMA		4.50		12/1/2039		868,142		875,827		901,669
31418NG95	FNMA		4.50		1/1/2040		168,813		172,655		175,255
31418NJ92	FNMA		4.50		2/1/2040		28,357		28,608		29,439
31418NKA7	FNMA		4.50		2/1/2040		25,251		25,475		26,215
31418NKU3	FNMA		4.50		2/1/2040		140,102		143,291		145,448
31418NMY3	FNMA		5.00		1/1/2040		114,972		119,676		121,821
31418NPF1	FNMA		4.50		2/1/2040		677,437		692,855		703,390
31418NPM6	FNMA		4.50		2/1/2040		189,880		194,202		197,154
31418NQJ2	FNMA		4.50		1/1/2040		51,714		52,172		53,687
31418NZT0	FNMA		4.50		3/1/2040		2,967,838		3,035,384		3,081,091
31418PD44	FNMA		4.50		1/1/2040		262,207		268,174		272,333
31418PJH9	FNMA		4.50		3/1/2040		143,584		146,840		149,459
31418PNY7	FNMA		5.00		2/1/2040		75,042		78,113		79,512
31418QP31	FNMA		4.50		4/1/2040		4,526,931		4,629,961		4,699,679
31418REP2	FNMA		4.50		3/1/2040		133,974		137,023		139,106
31418RR60	FNMA		5.00		5/1/2040		19,394,732		20,094,707		20,584,114
31418RSG7	FNMA		5.00		5/1/2040		7,687,215		7,969,675		8,145,143
31418RSJ1	FNMA		5.00		5/1/2040		7,968,140		8,278,050		8,442,802
31418RWX5	FNMA		4.50		3/1/2040		295,658		302,387		306,984
31418RXL0	FNMA		4.50		4/1/2040		708,948		725,084		736,002

7

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

Cusip	Security Description	Coupon		Maturity		Par		Book Value $			Market Value $
31418TL39	FNMA		5.00		4/1/2040		1,468,846		1,517,548			1,556,345
31418TUF2	FNMA		5.00		5/1/2040		3,805,850		3,950,233			4,032,565
31418UWE0	FNMA		5.00		6/1/2040		21,500,000		22,214,033			22,780,755
31418UWX8	FNMA		5.00		7/1/2040		16,100,000		16,669,856			17,059,077
31421AAU7	FNMA		5.50		12/1/2038		4,759		4,939			5,116
31283K2C1	FHLMC GOLD		4.50		11/1/2014		6,075,862		5,989,109			6,469,504
31283K4C9	FHLMC GOLD		5.00		6/1/2020		11,449,391		11,309,723			12,307,308
31283K6U7	FHLMC GOLD		4.50		8/1/2015		2,535,048		2,498,394			2,696,293
31283KJU3	FHLMC GOLD		6.50		12/1/2014		820,196		827,020			892,988
31283KN87	FHLMC GOLD		5.00		9/1/2017		4,053		4,273			4,354
31283KS90	FHLMC GOLD		5.00		8/1/2018		20,383		21,499			21,910
31283KSY5	FHLMC GOLD		5.00		6/1/2018		9,970		10,516			10,711
31283KT40	FHLMC GOLD		4.00		11/1/2013		2,323,870		2,277,942			2,458,662
31283KTA6	FHLMC GOLD		5.00		9/1/2018		28,518		30,081			30,654
3128E27C4	FHLMC GOLD		4.50		9/1/2023		1,668,123		1,596,031			1,763,089
3128GNW87	FHLMC GOLD		5.00		11/1/2016		3,059		3,223			3,285
3128GNY77	FHLMC GOLD		5.00		11/1/2016		19,949		21,015			21,418
3128GP3U5	FHLMC GOLD		5.00		1/1/2017		5,506		5,800			5,912
3128GP3V3	FHLMC GOLD		5.00		1/1/2017		22,654		23,868			24,323
3128GP4U4	FHLMC GOLD		5.00		1/1/2017		4,579		4,825			4,916
3128GP7M9	FHLMC GOLD		5.00		1/1/2017		5,274		5,557			5,666
3128GPSA2	FHLMC GOLD		5.00		12/1/2016		4,990		5,256			5,358
3128GPVH3	FHLMC GOLD		5.00		12/1/2016		1,571		1,655			1,685
3128GQ3Q2	FHLMC GOLD		5.00		2/1/2017		8,224		8,664			8,835
3128GQ6E6	FHLMC GOLD		5.00		2/1/2017		6,581		6,934			7,070
3128GQGA3	FHLMC GOLD		5.00		1/1/2017		15,029		15,834			16,146
3128GQJT9	FHLMC GOLD		5.00		1/1/2017		9,889		10,420			10,618
3128GQK26	FHLMC GOLD		5.00		1/1/2017		12,919		13,610			13,871
3128GQK34	FHLMC GOLD		5.00		1/1/2017		2,077		2,188			2,230
3128GQKB6	FHLMC GOLD		5.00		1/1/2017		5,683		5,986			6,102
3128GQP54	FHLMC GOLD		5.00		1/1/2017		7,373		7,768			7,921
3128GQQQ7	FHLMC GOLD		5.00		2/1/2017		8,186		8,625			8,789
3128GQQZ7	FHLMC GOLD		5.00		2/1/2017		28,351		29,870			30,439
3128GQSG7	FHLMC GOLD		5.00		2/1/2017		4,738		4,991			5,090
3128GQU58	FHLMC GOLD		5.00		2/1/2017		9,001		9,483			9,664
3128GQU90	FHLMC GOLD		5.00		2/1/2017		3,064		3,228			3,292
3128GQVB4	FHLMC GOLD		5.00		2/1/2017		5,433		5,725			5,834
3128GQW31	FHLMC GOLD		5.00		2/1/2017		13,396		14,114			14,389
3128GQW49	FHLMC GOLD		5.00		2/1/2017		23,123		24,364			24,841
3128GR3Y3	FHLMC GOLD		5.00		2/1/2017		20,513		21,617			22,024
3128GR6N4	FHLMC GOLD		5.00		4/1/2017		26,619		28,051			28,597
3128GRBH1	FHLMC GOLD		5.00		2/1/2017		10,201		10,748			10,958
3128GRBJ7	FHLMC GOLD		5.00		2/1/2017		2,217		2,336			2,382
3128GRFT1	FHLMC GOLD		5.00		3/1/2017		18,596		19,594			19,966
3128GRJD2	FHLMC GOLD		5.00		3/1/2017		6,486		6,834			6,964
3128GRK81	FHLMC GOLD		5.00		3/1/2017		7,166		7,550			7,699
3128GRLA5	FHLMC GOLD		5.00		3/1/2017		28,850		30,399			30,993
3128GRM71	FHLMC GOLD		5.00		3/1/2017		4,392		4,627			4,718
3128GRP94	FHLMC GOLD		5.00		3/1/2017		3,311		3,489			3,555
3128GRQA0	FHLMC GOLD		5.00		3/1/2017		8,045		8,476			8,642
3128GRSP5	FHLMC GOLD		5.00		3/1/2017		7,518		7,920	��		8,071
3128GRSY6	FHLMC GOLD		5.00		3/1/2017		13,729		14,465			14,750
3128GRUF4	FHLMC GOLD		5.00		3/1/2017		1,381		1,455			1,483
3128GRUT4	FHLMC GOLD		5.00		3/1/2017		8,483		8,934			9,108
3128GRWQ8	FHLMC GOLD		5.00		2/1/2017		565		595			600
3128GRYD5	FHLMC GOLD		5.00		4/1/2017		3,962		4,174			4,256
3128GS5Y9	FHLMC GOLD		5.00		4/1/2017		6,460		6,807			6,940
3128GSDJ3	FHLMC GOLD		5.00		4/1/2017		12,908		13,602			13,867
3128GSGB7	FHLMC GOLD		5.00		4/1/2017		17,599		18,543			18,906
3128GSGU5	FHLMC GOLD		5.00		4/1/2017		31,150		32,823			33,465
3128GSKE6	FHLMC GOLD		5.00		4/1/2017		33,564		35,365			36,058

8

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

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
3128GSKV8	FHLMC GOLD		5.00		4/1/2017		11,013		11,604		11,831
3128GSLX3	FHLMC GOLD		5.00		4/1/2017		8,827		9,301		9,483
3128GSLY1	FHLMC GOLD		5.00		4/1/2017		16,758		17,658		18,003
3128GSNL7	FHLMC GOLD		5.00		4/1/2017		8,312		8,760		8,930
3128GSQN0	FHLMC GOLD		5.00		4/1/2017		9,249		9,742		9,930
3128GSSN8	FHLMC GOLD		5.00		4/1/2017		25,735		27,119		27,647
3128GV2N9	FHLMC GOLD		5.00		10/1/2017		36,349		38,316		39,050
3128GV3C2	FHLMC GOLD		5.00		10/1/2017		18,336		19,328		19,698
3128GV3D0	FHLMC GOLD		5.00		10/1/2017		30,244		31,881		32,491
3128GV3Z1	FHLMC GOLD		5.00		10/1/2017		34,994		36,892		37,595
3128GV7G9	FHLMC GOLD		5.00		10/1/2017		8,114		8,553		8,717
3128GVBY5	FHLMC GOLD		5.00		8/1/2017		2,666		2,810		2,864
3128GVH94	FHLMC GOLD		5.00		9/1/2017		3,832		4,039		4,117
3128GVJA9	FHLMC GOLD		5.00		9/1/2017		15,956		16,819		17,141
3128GVJB7	FHLMC GOLD		5.00		9/1/2017		9,161		9,656		9,841
3128GVJQ4	FHLMC GOLD		5.00		9/1/2017		22,860		24,097		24,559
3128GVLF5	FHLMC GOLD		5.00		9/1/2017		11,052		11,649		11,867
3128GVLH1	FHLMC GOLD		5.00		9/1/2017		15,725		16,577		16,893
3128GVLJ7	FHLMC GOLD		5.00		9/1/2017		22,251		23,454		23,904
3128GVMM9	FHLMC GOLD		5.00		8/1/2017		6,251		6,589		6,716
3128GVNL0	FHLMC GOLD		5.00		9/1/2017		9,806		10,336		10,534
3128GVNM8	FHLMC GOLD		5.00		9/1/2017		12,665		13,351		13,606
3128GVNV8	FHLMC GOLD		5.00		9/1/2017		8,248		8,693		8,861
3128GVNX4	FHLMC GOLD		5.00		9/1/2017		93,226		98,272		100,152
3128GVPM6	FHLMC GOLD		5.00		9/1/2017		8,573		9,037		9,210
3128GVPN4	FHLMC GOLD		5.00		9/1/2017		6,319		6,660		6,788
3128GVPP9	FHLMC GOLD		5.00		9/1/2017		35,586		37,516		38,231
3128GVQH6	FHLMC GOLD		5.00		9/1/2017		32,074		33,814		34,458
3128GVRA0	FHLMC GOLD		5.00		9/1/2017		8,391		8,845		9,014
3128GVRC6	FHLMC GOLD		5.00		9/1/2017		14,840		15,644		15,943
3128GVRE2	FHLMC GOLD		5.00		9/1/2017		10,320		10,878		11,087
3128GVRS1	FHLMC GOLD		5.00		9/1/2017		5,800		6,114		6,231
3128GVRT9	FHLMC GOLD		5.00		9/1/2017		16,547		17,443		17,777
3128GVRY8	FHLMC GOLD		5.00		9/1/2017		78,234		82,471		84,047
3128GVT83	FHLMC GOLD		5.00		9/1/2017		33,836		35,668		36,350
3128GVTN0	FHLMC GOLD		5.00		9/1/2017		7,609		8,020		8,174
3128GVTW0	FHLMC GOLD		5.00		9/1/2017		24,132		25,440		25,925
3128GVUD0	FHLMC GOLD		5.00		9/1/2017		3,790		3,996		4,072
3128GVUE8	FHLMC GOLD		5.00		9/1/2017		20,922		22,056		22,476
3128GVUX6	FHLMC GOLD		5.00		10/1/2017		6,847		7,217		7,356
3128GVVE7	FHLMC GOLD		5.00		10/1/2017		48,383		51,001		51,978
3128GVVF4	FHLMC GOLD		5.00		10/1/2017		22,263		23,469		23,917
3128GVVJ6	FHLMC GOLD		5.00		10/1/2017		34,884		36,772		37,475
3128GVVY3	FHLMC GOLD		5.00		10/1/2017		21,920		23,110		23,545
3128GVW22	FHLMC GOLD		5.00		9/1/2017		7,530		7,939		8,090
3128GVW89	FHLMC GOLD		5.00		10/1/2017		12,387		13,057		13,308
3128GVZV5	FHLMC GOLD		5.00		10/1/2017		29,267		30,856		31,442
3128GW5Q7	FHLMC GOLD		5.00		11/1/2017		14,746		15,545		15,841
3128GW6G8	FHLMC GOLD		5.00		11/1/2017		8,544		9,007		9,179
3128GWAQ1	FHLMC GOLD		5.00		10/1/2017		6,584		6,940		7,069
3128GWAT5	FHLMC GOLD		5.00		10/1/2017		38,462		40,548		41,313
3128GWAU2	FHLMC GOLD		5.00		10/1/2017		36,812		38,804		39,547
3128GWB49	FHLMC GOLD		5.00		10/1/2017		4,229		4,459		4,543
3128GWB80	FHLMC GOLD		5.00		10/1/2017		23,612		24,892		25,367
3128GWBH0	FHLMC GOLD		5.00		10/1/2017		33,945		35,785		36,467
3128GWC89	FHLMC GOLD		5.00		10/1/2017		11,573		12,201		12,433
3128GWCL0	FHLMC GOLD		5.00		10/1/2017		21,097		22,240		22,665
3128GWCW6	FHLMC GOLD		5.00		10/1/2017		6,232		6,569		6,695
3128GWDP0	FHLMC GOLD		5.00		10/1/2017		14,853		15,658		15,956
3128GWEG9	FHLMC GOLD		5.00		10/1/2017		46,625		49,152		50,089
3128GWEK0	FHLMC GOLD		5.00		10/1/2017		12,207		12,867		13,114

9

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

Cusip	Security Description	Coupon		Maturity			Par		Book Value $		Market Value $
3128GWEP9	FHLMC GOLD		5.00		10/1/2017			7,514		7,921		8,072
3128GWF86	FHLMC GOLD		5.00		10/1/2017			17,248		18,181		18,530
3128GWFN3	FHLMC GOLD		5.00		10/1/2017			12,996		13,699		13,961
3128GWHH4	FHLMC GOLD		5.00		10/1/2017			15,002		15,813		16,117
3128GWJG4	FHLMC GOLD		5.00		11/1/2017			35,704		37,644		38,351
3128GWK31	FHLMC GOLD		5.00		10/1/2017			20,584		21,699		22,114
3128GWK56	FHLMC GOLD		5.00		11/1/2017			22,143		23,342		23,788
3128GWMS4	FHLMC GOLD		5.00		11/1/2017			11,330		11,944		12,172
3128GWP85	FHLMC GOLD		5.00		11/1/2017			11,702		12,337		12,571
3128GWQ27	FHLMC GOLD		5.00		11/1/2017			22,754		23,988		24,445
3128GWQ92	FHLMC GOLD		5.00		11/1/2017			18,239		19,227		19,594
3128GWQN1	FHLMC GOLD		5.00		11/1/2017			19,187		20,226		20,613
3128GWQY7	FHLMC GOLD		5.00		11/1/2017			8,464		8,922		9,093
3128GWR42	FHLMC GOLD		5.00		11/1/2017			22,820		24,057		24,515
3128GWRF7	FHLMC GOLD		5.00		11/1/2017			16,033		16,903		17,222
3128GWV21	FHLMC GOLD		5.00		11/1/2017			34,538		36,412		37,104
3128GWVL9	FHLMC GOLD		5.00		11/1/2017			5,639		5,945		6,058
3128GWWM6	FHLMC GOLD		5.00		11/1/2017			4,446		4,688		4,776
3128GWXD5	FHLMC GOLD		5.00		11/1/2017	��		14,706		15,502		15,798
3128GWXW3	FHLMC GOLD		5.00		11/1/2017			27,417		28,905		29,449
3128GWYS1	FHLMC GOLD		5.00		11/1/2017			6,991		7,369		7,511
3128GWZQ4	FHLMC GOLD		5.00		11/1/2017			16,409		17,297		17,628
3128GX3H7	FHLMC GOLD		5.00		12/1/2017			27,701		29,206		29,754
3128GX3X2	FHLMC GOLD		5.00		12/1/2017			7,604		8,016		8,169
3128GX5V4	FHLMC		5.00		12/1/2017			32,432		34,197		34,837
3128GX7A8	FHLMC GOLD		5.00		1/1/2018			19,846		20,923		21,321
3128GXAX4	FHLMC GOLD		5.00		11/1/2017			38,245		40,320		41,087
3128GXBC9	FHLMC GOLD		5.00		11/1/2017			8,793		9,269		9,446
3128GXD29	FHLMC GOLD		5.00		12/1/2017			9,507		10,023		10,213
3128GXEA0	FHLMC GOLD		5.00		12/1/2017			18,813		19,837		20,208
3128GXEK8	FHLMC GOLD		5.00		12/1/2017			9,407		9,918		10,104
3128GXEV4	FHLMC GOLD		5.00		12/1/2017			2,438		2,570		2,619
3128GXFT8	FHLMC GOLD		5.00		12/1/2017			20,521		21,634		22,046
3128GXGG5	FHLMC GOLD		5.00		12/1/2017			5,623		5,928		6,041
3128GXHA7	FHLMC GOLD		5.00		12/1/2017			29,845		31,466		32,063
3128GXHQ2	FHLMC GOLD		5.00		12/1/2017			34,771		36,659		37,355
3128GXM52	FHLMC GOLD		5.00		12/1/2017			23,498		24,772		25,244
3128GXM60	FHLMC		5.00		12/1/2017			15,204		16,031		16,331
3128GXMW3	FHLMC GOLD		5.00		1/1/2018			4,688		4,943		5,036
3128GXN36	FHLMC GOLD		5.00		12/1/2017			36,371		38,349		39,074
3128GXND4	FHLMC GOLD		5.00		12/1/2017			17,946		18,921		19,279
3128GXQ74	FHLMC GOLD		5.00		12/1/2017			18,066		19,047		19,408
3128GXQ82	FHLMC GOLD		5.00		12/1/2017			13,496		14,229		14,499
3128GXQ90	FHLMC GOLD		5.00		12/1/2017			29,617		31,226		31,817
3128GXRA6	FHLMC GOLD		5.00		12/1/2017			17,038		17,964		18,304
3128GXRT5	FHLMC GOLD		5.00		12/1/2017			8,904		9,388		9,566
3128GXSA5	FHLMC GOLD		5.00		12/1/2017			17,447		18,394		18,744
3128GXST4	FHLMC GOLD		5.00		1/1/2018			12,754		13,449		13,700
3128GXU53	FHLMC GOLD		5.00		12/1/2017			6,707		7,072		7,206
3128GXWM4	FHLMC GOLD		5.00		1/1/2018			9,360		9,867		10,055
3128GXZW9	FHLMC GOLD		5.00		1/1/2018			3,669		3,869		3,942
3128GY2E3	FHLMC GOLD		5.00		2/1/2018			19,166		20,212		20,596
3128GY2H6	FHLMC GOLD		5.00		2/1/2018			20,306		21,411		21,821
3128GY3K8	FHLMC GOLD		5.00		2/1/2018			8,307		8,760		8,927
3128GY3P7	FHLMC GOLD		5.00		2/1/2018			16,319		17,207		17,541
3128GY3Q5	FHLMC GOLD		5.00		2/1/2018			8,922		9,408		9,588
3128GY3V4	FHLMC GOLD		5.00		2/1/2018			14,796		15,602		15,895
3128GY3X0	FHLMC GOLD		5.00		2/1/2018			12,355		13,028		13,273
3128GY4C5	FHLMC GOLD		5.00		2/1/2018			9,840		10,375		10,571
3128GY5H3	FHLMC GOLD		5.00		2/1/2018			12,761		13,455		13,713
3128GY7B4	FHLMC GOLD		5.00		2/1/2018			9,557		10,077		10,270

10

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

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
3128GY7J7	FHLMC GOLD		5.00		2/1/2018		325,136		342,824		349,394
3128GYA53	FHLMC GOLD		5.00		1/1/2018		26,950		28,411		28,952
3128GYB29	FHLMC GOLD		5.00		1/1/2018		10,860		11,450		11,667
3128GYBW3	FHLMC GOLD		5.00		1/1/2018		23,683		24,970		25,443
3128GYCK8	FHLMC GOLD		5.00		1/1/2018		22,255		23,464		23,909
3128GYE91	FHLMC GOLD		5.00		1/1/2018		22,450		23,670		24,118
3128GYEL4	FHLMC GOLD		5.00		1/1/2018		6,803		7,174		7,311
3128GYEN0	FHLMC GOLD		5.00		1/1/2018		5,272		5,558		5,665
3128GYET7	FHLMC GOLD		5.00		1/1/2018		6,585		6,944		7,077
3128GYEU4	FHLMC GOLD		5.00		1/1/2018		10,992		11,590		11,812
3128GYF66	FHLMC GOLD		5.00		1/1/2018		4,873		5,138		5,237
3128GYF90	FHLMC GOLD		5.00		1/1/2018		13,861		14,613		14,891
3128GYFH2	FHLMC GOLD		5.00		1/1/2018		4,259		4,490		4,576
3128GYFK5	FHLMC GOLD		5.00		1/1/2018		794		837		853
3128GYFN9	FHLMC GOLD		5.00		1/1/2018		12,703		13,396		13,651
3128GYFS8	FHLMC GOLD		5.00		1/1/2018		4,008		4,226		4,307
3128GYG73	FHLMC GOLD		5.00		1/1/2018		27,870		29,382		29,949
3128GYGA6	FHLMC GOLD		5.00		1/1/2018		4,238		4,468		4,553
3128GYGG3	FHLMC GOLD		5.00		1/1/2018		5,508		5,808		5,919
3128GYGV0	FHLMC GOLD		5.00		1/1/2018		8,927		9,413		9,593
3128GYHS6	FHLMC GOLD		5.00		1/1/2018		14,078		14,843		15,124
3128GYHT4	FHLMC GOLD		5.00		1/1/2018		25,339		26,717		27,222
3128GYKK9	FHLMC GOLD		5.00		1/1/2018		3,106		3,275		3,338
3128GYKM5	FHLMC GOLD		5.00		1/1/2018		8,106		8,548		8,711
3128GYLA0	FHLMC GOLD		5.00		1/1/2018		28,125		29,655		30,214
3128GYLX0	FHLMC GOLD		5.00		1/1/2018		3,434		3,621		3,690
3128GYLZ5	FHLMC GOLD		5.00		2/1/2018		12,576		13,261		13,514
3128GYNT7	FHLMC GOLD		5.00		2/1/2018		2,447		2,580		2,629
3128GYPS7	FHLMC GOLD		5.00		2/1/2018		7,593		8,007		8,158
3128GYQC1	FHLMC GOLD		5.00		2/1/2018		21,708		22,890		23,328
3128GYQH0	FHLMC GOLD		5.00		2/1/2018		28,652		30,212		30,790
3128GYQR8	FHLMC GOLD		5.00		1/1/2018		3,338		3,520		3,586
3128GYQV9	FHLMC GOLD		5.00		1/1/2018		23,475		24,753		25,219
3128GYQW7	FHLMC GOLD		5.00		1/1/2018		22,332		23,549		23,991
3128GYRS5	FHLMC GOLD		5.00		2/1/2018		9,379		9,889		10,078
3128GYRU0	FHLMC GOLD		5.00		2/1/2018		10,017		10,563		10,767
3128GYS39	FHLMC GOLD		5.00		1/1/2018		32,781		34,563		35,227
3128GYS88	FHLMC GOLD		5.00		2/1/2018		2,304		2,430		2,476
3128GYSH8	FHLMC GOLD		5.00		1/1/2018		7,120		7,507		7,651
3128GYSJ4	FHLMC GOLD		5.00		1/1/2018		8,922		9,408		9,585
3128GYSS4	FHLMC GOLD		5.00		2/1/2018		4,704		4,961		5,055
3128GYSY1	FHLMC GOLD		5.00		1/1/2018		23,831		25,124		25,609
3128GYT46	FHLMC GOLD		5.50		2/1/2018		129,111		129,508		140,218
3128GYTW4	FHLMC GOLD		5.00		2/1/2018		2,319		2,445		2,492
3128GYTY0	FHLMC GOLD		5.00		2/1/2018		4,230		4,461		4,547
3128GYU44	FHLMC GOLD		5.00		2/1/2018		18,334		19,329		19,702
3128GYU51	FHLMC GOLD		5.00		2/1/2018		17,197		18,131		18,480
3128GYUA0	FHLMC GOLD		5.00		1/1/2018		8,550		9,016		9,191
3128GYUR3	FHLMC GOLD		5.00		2/1/2018		2,448		2,581		2,631
3128GYV35	FHLMC GOLD		5.00		2/1/2018		36,012		37,970		38,687
3128GYVB7	FHLMC GOLD		5.50		2/1/2018		70,354		70,595		76,295
3128GYVC5	FHLMC GOLD		5.50		2/1/2018		58,996		59,183		64,071
3128GYVZ4	FHLMC GOLD		5.00		2/1/2018		25,594		26,984		27,480
3128GYW42	FHLMC GOLD		5.00		2/1/2018		7,611		8,025		8,182
3128GYXN9	FHLMC GOLD		5.50		2/1/2018		133,908		134,330		145,428
3128GYYA6	FHLMC GOLD		5.00		2/1/2018		4,261		4,494		4,579
3128GYYV0	FHLMC GOLD		5.00		2/1/2018		4,498		4,743		4,835
3128GYZ64	FHLMC GOLD		5.00		2/1/2018		13,127		13,841		14,110
3128GYZE7	FHLMC GOLD		5.00		2/1/2018		13,211		13,930		14,201
3128H22V4	FHLMC GOLD		5.00		4/1/2018		10,430		10,999		11,212
3128H23F8	FHLMC GOLD		5.00		3/1/2018		31,404		33,117		33,757

11

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

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
3128H24B6	FHLMC GOLD		5.00		4/1/2018		3,525		3,718		3,789
3128H24C4	FHLMC GOLD		5.00		4/1/2018		8,702		9,176		9,354
3128H24E0	FHLMC GOLD		5.00		3/1/2018		29,504		31,112		31,714
3128H24F7	FHLMC GOLD		5.00		3/1/2018		13,395		14,125		14,391
3128H24M2	FHLMC GOLD		5.00		3/1/2018		19,226		20,274		20,661
3128H25H2	FHLMC GOLD		5.00		4/1/2018		8,243		8,692		8,860
3128H25K5	FHLMC GOLD		5.00		4/1/2018		2,626		2,769		2,822
3128H26F5	FHLMC GOLD		5.00		3/1/2018		2,201		2,321		2,361
3128H26M0	FHLMC GOLD		5.50		3/1/2018		1,294,942		1,299,399		1,404,284
3128H26W8	FHLMC GOLD		5.50		2/1/2018		497,807		499,520		539,841
3128H26Z1	FHLMC GOLD		5.00		3/1/2018		47,312		49,895		50,842
3128H27K3	FHLMC GOLD		5.00		4/1/2018		7,951		8,383		8,541
3128H27M9	FHLMC GOLD		5.00		4/1/2018		22,100		23,307		23,755
3128H2B44	FHLMC GOLD		5.00		2/1/2018		1,548		1,632		1,663
3128H2B69	FHLMC GOLD		5.00		2/1/2018		29,426		31,025		31,622
3128H2B77	FHLMC GOLD		5.00		2/1/2018		26,371		27,805		28,338
3128H2B85	FHLMC GOLD		5.00		2/1/2018		23,642		24,928		25,399
3128H2C84	FHLMC GOLD		5.00		2/1/2018		4,864		5,129		5,227
3128H2E41	FHLMC GOLD		5.00		3/1/2018		30,710		32,383		33,002
3128H2ED1	FHLMC GOLD		5.00		2/1/2018		64,634		68,151		69,476
3128H2EG4	FHLMC GOLD		5.00		2/1/2018		35,198		37,116		37,813
3128H2EU3	FHLMC GOLD		5.00		3/1/2018		6,727		7,094		7,231
3128H2GB3	FHLMC GOLD		5.50		2/1/2018		28,270		28,357		30,702
3128H2H30	FHLMC GOLD		5.00		3/1/2018		38,172		40,251		41,032
3128H2JA2	FHLMC GOLD		5.00		3/1/2018		6,103		6,436		6,559
3128H2JR5	FHLMC GOLD		5.00		2/1/2018		23,800		25,098		25,583
3128H2JT1	FHLMC GOLD		5.00		2/1/2018		4,127		4,352		4,434
3128H2K28	FHLMC GOLD		5.00		2/1/2018		9,653		10,179		10,376
3128H2KB8	FHLMC GOLD		5.00		2/1/2018		24,531		25,867		26,354
3128H2KH5	FHLMC GOLD		5.00		3/1/2018		23,784		25,081		25,566
3128H2KP7	FHLMC GOLD		5.00		3/1/2018		8,397		8,855		9,026
3128H2KZ5	FHLMC GOLD		5.00		2/1/2018		16,050		16,924		17,252
3128H2L27	FHLMC GOLD		5.00		3/1/2018		25,406		26,794		27,309
3128H2LC5	FHLMC GOLD		5.00		3/1/2018		32,893		34,687		35,357
3128H2LV3	FHLMC GOLD		5.00		2/1/2018		32,552		34,320		34,970
3128H2LY7	FHLMC GOLD		5.00		3/1/2018		13,325		14,051		14,323
3128H2LZ4	FHLMC GOLD		5.00		3/1/2018		33,708		35,547		36,213
3128H2M26	FHLMC GOLD		5.00		3/1/2018		20,271		21,377		21,777
3128H2MB6	FHLMC GOLD		5.00		3/1/2018		28,415		29,965		30,544
3128H2NY5	FHLMC GOLD		5.00		3/1/2018		24,860		26,216		26,722
3128H2PE7	FHLMC GOLD		5.00		3/1/2018		31,026		32,716		33,350
3128H2PG2	FHLMC GOLD		5.50		3/1/2018		546,054		547,773		593,028
3128H2PP2	FHLMC GOLD		5.00		3/1/2018		25,167		26,539		27,052
3128H2QR7	FHLMC GOLD		5.00		3/1/2018		21,211		22,368		22,800
3128H2QV8	FHLMC GOLD		5.00		3/1/2018		33,218		35,020		35,686
3128H2R21	FHLMC GOLD		5.00		4/1/2018		35,552		37,491		38,194
3128H2RJ4	FHLMC GOLD		5.00		3/1/2018		78,977		83,285		84,894
3128H2RP0	FHLMC GOLD		5.00		3/1/2018		28,861		30,437		31,023
3128H2SJ3	FHLMC GOLD		5.00		3/1/2018		23,205		24,470		24,937
3128H2SX2	FHLMC GOLD		5.00		3/1/2018		8,523		8,988		9,161
3128H2SY0	FHLMC GOLD		5.00		3/1/2018		7,563		7,977		8,130
3128H2SZ7	FHLMC GOLD		5.00		3/1/2018		15,611		16,462		16,771
3128H2T86	FHLMC GOLD		5.00		3/1/2018		4,730		4,987		5,084
3128H2TF0	FHLMC GOLD		5.00		3/1/2018		32,306		34,065		34,717
3128H2TH6	FHLMC GOLD		5.00		3/1/2018		6,990		7,372		7,511
3128H2TJ2	FHLMC GOLD		5.00		3/1/2018		12,763		13,459		13,716
3128H2TW3	FHLMC GOLD		5.00		3/1/2018		28,301		29,844		30,403
3128H2TX1	FHLMC GOLD		5.00		3/1/2018		10,687		11,271		11,481
3128H2UB7	FHLMC GOLD		5.00		3/1/2018		19,089		20,131		20,514
3128H2UK7	FHLMC GOLD		5.50		3/1/2018		44,919		45,058		48,784
3128H2VT7	FHLMC GOLD		5.00		3/1/2018		3,978		4,195		4,273

12

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

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
3128H2VW0	FHLMC GOLD		5.00		3/1/2018		40,942		43,174		43,984
3128H2WE9	FHLMC GOLD		5.00		3/1/2018		10,583		11,159		11,373
3128H2WF6	FHLMC GOLD		5.00		3/1/2018		13,620		14,362		14,637
3128H2WM1	FHLMC GOLD		5.00		3/1/2018		12,964		13,671		13,931
3128H2WS8	FHLMC GOLD		5.00		3/1/2018		21,261		22,421		22,847
3128H2WU3	FHLMC GOLD		5.50		3/1/2018		139,252		139,694		151,231
3128H2X32	FHLMC GOLD		5.00		3/1/2018		7,543		7,954		8,105
3128H2XA6	FHLMC GOLD		5.00		3/1/2018		5,396		5,690		5,797
3128H2YM9	FHLMC GOLD		5.00		3/1/2018		10,863		11,455		11,671
3128H2YN7	FHLMC GOLD		5.00		3/1/2018		12,461		13,140		13,390
3128H2YS6	FHLMC GOLD		5.00		3/1/2018		13,912		14,669		14,945
3128H2YW7	FHLMC GOLD		5.00		3/1/2018		7,327		7,727		7,874
3128H2Z30	FHLMC GOLD		5.00		3/1/2018		18,962		19,995		20,377
3128H2ZJ5	FHLMC GOLD		5.00		3/1/2018		9,264		9,770		9,956
3128H2ZT3	FHLMC GOLD		5.00		4/1/2018		16,236		17,120		17,448
3128H2ZU0	FHLMC GOLD		5.00		4/1/2018		21,264		22,424		22,851
3128H32S9	FHLMC GOLD		5.00		5/1/2018		7,009		7,392		7,532
3128H32V2	FHLMC GOLD		5.00		4/1/2018		8,153		8,598		8,759
3128H32W0	FHLMC GOLD		5.00		4/1/2018		19,143		20,184		20,566
3128H33X7	FHLMC GOLD		5.00		5/1/2018		36,640		38,641		39,363
3128H33Z2	FHLMC GOLD		5.00		5/1/2018		9,695		10,224		10,419
3128H3AG6	FHLMC GOLD		5.00		4/1/2018		34,257		36,126		36,803
3128H3AH4	FHLMC GOLD		5.00		4/1/2018		39,646		41,807		42,591
3128H3AY7	FHLMC GOLD		5.00		4/1/2018		29,910		31,534		32,132
3128H3BD2	FHLMC GOLD		5.00		4/1/2018		36,607		38,608		39,338
3128H3BE0	FHLMC GOLD		5.00		4/1/2018		38,857		40,981		41,757
3128H3C25	FHLMC GOLD		5.00		4/1/2018		3,863		4,074		4,152
3128H3CD1	FHLMC GOLD		5.00		4/1/2018		4,626		4,878		4,971
3128H3CN9	FHLMC GOLD		5.00		4/1/2018		10,939		11,536		11,755
3128H3DJ7	FHLMC GOLD		5.00		4/1/2018		22,625		23,861		24,313
3128H3DX6	FHLMC GOLD		5.00		4/1/2018		7,899		8,330		8,488
3128H3EQ0	FHLMC GOLD		5.00		4/1/2018		8,206		8,653		8,816
3128H3EY3	FHLMC GOLD		5.00		4/1/2018		7,638		8,054		8,206
3128H3F48	FHLMC GOLD		5.00		4/1/2018		26,560		28,011		28,542
3128H3F63	FHLMC GOLD		5.00		4/1/2018		20,637		21,758		22,170
3128H3F71	FHLMC GOLD		5.00		4/1/2018		15,927		16,794		17,115
3128H3FG1	FHLMC GOLD		5.00		4/1/2018		19,526		20,591		20,983
3128H3FP1	FHLMC GOLD		5.00		4/1/2018		14,939		15,755		16,054
3128H3GB1	FHLMC GOLD		5.50		4/1/2018		346,617		347,725		376,435
3128H3GE5	FHLMC GOLD		5.00		4/1/2018		13,579		14,319		14,588
3128H3GH8	FHLMC GOLD		5.00		4/1/2018		6,955		7,335		7,472
3128H3GR6	FHLMC GOLD		5.00		4/1/2018		10,029		10,572		10,777
3128H3GY1	FHLMC GOLD		5.00		4/1/2018		8,363		8,817		8,984
3128H3H20	FHLMC GOLD		5.00		4/1/2018		15,278		16,111		16,418
3128H3H87	FHLMC GOLD		5.00		4/1/2018		13,011		13,722		13,981
3128H3HZ7	FHLMC GOLD		5.00		4/1/2018		13,354		14,083		14,351
3128H3JS1	FHLMC GOLD		5.00		4/1/2018		22,130		23,337		23,781
3128H3JT9	FHLMC GOLD		5.00		4/1/2018		29,088		30,673		31,249
3128H3K59	FHLMC GOLD		5.00		5/1/2018		12,055		12,713		12,951
3128H3KA8	FHLMC GOLD		5.00		4/1/2018		15,473		16,316		16,628
3128H3KF7	FHLMC		5.00		4/1/2018		11,417		12,040		12,272
3128H3KL4	FHLMC GOLD		5.00		4/1/2018		29,052		30,637		31,228
3128H3KN0	FHLMC GOLD		5.00		4/1/2018		4,315		4,550		4,637
3128H3L90	FHLMC GOLD		5.00		5/1/2018		29,602		31,220		31,811
3128H3LP4	FHLMC GOLD		5.00		3/1/2018		25,692		27,093		27,617
3128H3LR0	FHLMC GOLD		5.00		3/1/2018		10,261		10,821		11,027
3128H3LS8	FHLMC GOLD		5.00		3/1/2018		27,546		29,050		29,592
3128H3MG3	FHLMC GOLD		5.00		4/1/2018		14,048		14,816		15,101
3128H3ML2	FHLMC GOLD		5.00		4/1/2018		6,300		6,645		6,770
3128H3MN8	FHLMC GOLD		5.00		4/1/2018		36,000		37,963		38,675
3128H3N56	FHLMC GOLD		5.00		4/1/2018		8,221		8,671		8,837

13

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

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
3128H3N72	FHLMC GOLD		5.00		4/1/2018		11,398		12,019		12,245
3128H3NC1	FHLMC GOLD		5.00		4/1/2018		14,337		15,119		15,406
3128H3NR8	FHLMC GOLD		5.00		4/1/2018		13,360		14,090		14,357
3128H3NW7	FHLMC GOLD		5.00		4/1/2018		5,609		5,915		6,027
3128H3PT2	FHLMC GOLD		5.00		5/1/2018		6,074		6,405		6,529
3128H3Q87	FHLMC GOLD		5.00		4/1/2018		29,634		31,247		31,845
3128H3QJ3	FHLMC GOLD		5.00		4/1/2018		10,402		10,971		11,178
3128H3QL8	FHLMC GOLD		5.50		4/1/2018		142,385		142,852		154,633
3128H3QM6	FHLMC GOLD		5.00		4/1/2018		9,139		9,637		9,821
3128H3R29	FHLMC GOLD		5.00		4/1/2018		8,174		8,620		8,786
3128H3RY9	FHLMC GOLD		5.00		5/1/2018		37,048		39,068		39,812
3128H3S36	FHLMC GOLD		5.00		4/1/2018		12,027		12,683		12,920
3128H3SB8	FHLMC GOLD		5.00		5/1/2018		22,502		23,733		24,188
3128H3SZ5	FHLMC GOLD		5.00		5/1/2018		20,396		21,510		21,912
3128H3UA7	FHLMC GOLD		5.00		5/1/2018		2,651		2,796		2,849
3128H3V65	FHLMC GOLD		5.00		5/1/2018		7,431		7,836		7,983
3128H3WF4	FHLMC GOLD		5.00		4/1/2018		15,062		15,883		16,182
3128H3XU0	FHLMC GOLD		5.00		5/1/2018		13,662		14,405		14,677
3128H3XW6	FHLMC GOLD		5.00		5/1/2018		16,678		17,586		17,917
3128H3YG0	FHLMC GOLD		5.00		4/1/2018		5,085		5,362		5,464
3128H3YJ4	FHLMC GOLD		5.00		5/1/2018		12,884		13,587		13,845
3128H45V7	FHLMC GOLD		5.00		6/1/2018		23,392		24,670		25,137
3128H4AZ2	FHLMC GOLD		5.00		5/1/2018		9,996		10,541		10,745
3128H4BS7	FHLMC GOLD		5.00		5/1/2018		33,943		35,793		36,476
3128H4CF4	FHLMC GOLD		5.00		5/1/2018		7,268		7,666		7,812
3128H4CH0	FHLMC GOLD		5.00		5/1/2018		27,612		29,124		29,680
3128H4DB2	FHLMC GOLD		5.50		5/1/2018		59,921		60,113		65,075
3128H4ES4	FHLMC GOLD		5.00		6/1/2018		12,562		13,249		13,499
3128H4HQ5	FHLMC GOLD		5.00		5/1/2018		55,649		58,684		59,783
3128H4HS1	FHLMC GOLD		5.00		5/1/2018		63,589		67,064		68,313
3128H4J59	FHLMC GOLD		5.00		6/1/2018		14,329		15,112		15,399
3128H4JG5	FHLMC GOLD		5.00		5/1/2018		16,200		17,083		17,408
3128H4JT7	FHLMC GOLD		5.00		6/1/2018		32,765		34,554		35,209
3128H4KQ1	FHLMC GOLD		5.00		6/1/2018		18,072		19,060		19,421
3128H4ST7	FHLMC GOLD		5.00		6/1/2018		37,363		39,408		40,150
3128H5JX5	FHLMC GOLD		5.00		7/1/2018		25,415		26,803		27,311
3128H5RP3	FHLMC GOLD		5.00		7/1/2018		14,697		15,501		15,794
3128H5TK2	FHLMC GOLD		5.00		7/1/2018		38,883		41,007		41,784
3128H5VJ2	FHLMC GOLD		5.50		7/1/2018		36,536		36,652		39,679
3128H62N3	FHLMC GOLD		5.00		9/1/2018		28,612		30,182		30,747
3128H6BG8	FHLMC GOLD		5.00		7/1/2018		31,640		33,370		34,001
3128H6CZ5	FHLMC GOLD		5.00		7/1/2018		31,886		33,631		34,265
3128H6FR0	FHLMC GOLD		5.00		8/1/2018		21,155		22,311		22,733
3128H6FU3	FHLMC GOLD		5.00		8/1/2018		17,033		17,965		18,304
3128H6SY1	FHLMC GOLD		5.50		8/1/2018		1,600,932		1,606,005		1,738,651
3128H6WU4	FHLMC GOLD		5.50		8/1/2018		314,030		315,039		341,044
3128H6XM1	FHLMC GOLD		5.00		8/1/2018		9,024		9,518		9,698
3128H6ZC1	FHLMC GOLD		5.50		7/1/2018		112,003		112,376		121,638
3128H77K2	FHLMC GOLD		5.50		10/1/2018		212,362		213,078		230,631
3128H7PN6	FHLMC GOLD		4.00		9/1/2013		2,159,041		2,116,844		2,284,273
3128H7QL9	FHLMC GOLD		5.50		9/1/2018		880,924		883,782		956,705
3128H7R95	FHLMC GOLD		5.50		9/1/2018		772,779		775,353		839,257
3128H7YH9	FHLMC GOLD		5.50		10/1/2018		157,995		158,530		171,586
3128JLDM8	FHLMC		3.41		9/1/2033		2,993,266		2,944,574		3,141,279
3128JLEY1	FHLMC		3.40		9/1/2033		5,271,052		5,185,688		5,532,027
3128JLHB8	FHLMC		3.35		9/1/2033		180,616		177,483		187,150
3128JM6N2	FHLMC		2.74		2/1/2035		578,874		569,294		593,681
3128JM7E1	FHLMC		2.71		2/1/2035		454,762		447,333		466,759
3128JMW45	FHLMC		3.35		11/1/2034		234,340		231,485		245,563
3128JMY68	FHLMC		3.18		11/1/2034		320,267		316,266		332,655
3128JMZG5	FHLMC		3.28		11/1/2034		427,207		422,121		447,691

14

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

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
3128JNAL9	FHLMC		3.06		2/1/2035		468,845		461,052		492,165
3128JRP26	FHLMC		3.31		12/1/2033		2,405,525		2,386,653		2,544,189
3128K17K1	FHLMC GOLD		5.00		1/1/2036		6,617,131		6,763,302		7,017,533
3128KA4Z1	FHLMC GOLD		6.00		6/1/2036		96,910		101,744		105,426
3128KE5H2	FHLMC GOLD		6.50		9/1/2036		209,883		212,561		230,383
3128KVAR6	FHLMC GOLD		6.50		8/1/2037		218,421		221,211		239,833
3128KWBZ5	FHLMC GOLD		6.00		9/1/2037		22,464		23,323		24,755
3128KWFX6	FHLMC GOLD		6.00		9/1/2037		42,571		44,199		46,914
3128KWFY4	FHLMC GOLD		6.00		9/1/2037		61,748		64,110		68,046
3128KWT29	FHLMC GOLD		6.00		9/1/2037		34,603		35,926		38,132
3128KWTK9	FHLMC GOLD		6.00		9/1/2037		54,097		56,164		59,614
3128KWTP8	FHLMC GOLD		6.00		9/1/2037		46,215		47,982		50,929
3128KWTZ6	FHLMC GOLD		6.00		9/1/2037		35,523		36,881		39,146
3128KYXE4	FHLMC GOLD		6.00		4/1/2037		22,420		23,277		24,707
3128M4XA6	FHLMC GOLD		5.50		7/1/2037		4,408,759		4,426,796		4,741,246
3128M4ZG1	FHLMC GOLD		6.00		7/1/2037		4,397		4,565		4,845
3128M6UB2	FHLMC GOLD		6.00		7/1/2038		112,932		117,257		124,451
3128M7AZ9	FHLMC GOLD		6.00		12/1/2038		314,811		326,865		346,921
3128M7HL3	FHLMC GOLD		5.00		3/1/2039		168,776		175,756		179,444
3128M7PN0	FHLMC GOLD		5.00		7/1/2039		1,434,854		1,477,709		1,523,762
3128M7W51	FHLMC GOLD		5.00		12/1/2039		34,074,642		34,901,609		36,186,023
3128MMAC7	FHLMC GOLD		5.00		7/1/2019		980,602		965,272		1,054,080
3128MMLD3	FHLMC GOLD		4.50		9/1/2024		3,878,610		3,969,605		4,096,419
3128NCBF0	FHLMC		2.92		1/1/2035		483,154		475,693		500,189
3128NCBH6	FHLMC		2.65		1/1/2035		870,240		854,567		896,056
3128NCBW3	FHLMC		2.81		2/1/2035		581,288		572,249		596,137
3128NCDH4	FHLMC		2.86		2/1/2035		290,889		286,089		306,417
3128QLP54	FHLMC		4.52		11/1/2035		16,787,358		16,469,295		17,286,838
3128QLPD7	FHLMC		2.65		6/1/2035		27,422,889		27,141,160		28,378,460
3128S4E52	FHLMC		3.63		10/1/2035		8,938,577		8,852,164		9,336,070
312929CM2	FHLMC GOLD		6.00		1/1/2039		10,699		11,107		11,790
31292KJH1	FHLMC GOLD		6.00		7/1/2037		2,393		2,485		2,638
31292KX93	FHLMC GOLD		4.50		9/1/2039		5,777,046		5,830,344		5,992,992
312930LH1	FHLMC GOLD		6.00		1/1/2039		41,871		43,473		46,141
312930LQ1	FHLMC GOLD		6.00		1/1/2039		45,159		46,888		49,766
312930RC6	FHLMC GOLD		6.00		1/1/2039		29,543		30,675		32,103
312930RV4	FHLMC GOLD		6.00		1/1/2039		15,846		16,453		17,462
312930TB6	FHLMC GOLD		6.00		1/1/2039		13,353		13,864		14,509
312931D62	FHLMC GOLD		4.00		2/1/2039		4,685,061		4,579,828		4,747,286
312931TJ7	FHLMC GOLD		5.00		3/1/2039		4,354,479		4,451,135		4,612,525
3129326W1	FHLMC GOLD		5.00		5/1/2039		37,258		38,440		39,466
312932CX2	FHLMC GOLD		4.50		4/1/2039		3,721,133		3,783,884		3,860,177
312932XE1	FHLMC GOLD		5.00		5/1/2039		42,468		43,815		44,984
312932ZE9	FHLMC GOLD		5.00		5/1/2039		102,074		105,313		108,527
312933E83	FHLMC GOLD		—		5/1/2039		35,392		36,515		37,629
312933F41	FHLMC GOLD		4.50		6/1/2039		5,276,334		5,264,004		5,473,563
312933F66	FHLMC GOLD		5.00		6/1/2039		37,616		38,809		39,845
3129345K4	FHLMC GOLD		5.00		8/1/2039		192,875		198,639		204,826
312934JJ2	FHLMC GOLD		5.00		7/1/2039		80,752		83,314		85,537
312934MM1	FHLMC GOLD		5.00		7/1/2039		78,454		80,944		83,103
312934PJ5	FHLMC GOLD		5.00		8/1/2039		102,665		105,923		109,155
312934R38	FHLMC GOLD		5.00		8/1/2039		87,824		90,611		93,375
312934WP3	FHLMC GOLD		5.00		8/1/2039		75,916		78,184		80,620
312934Z47	FHLMC GOLD		5.00		8/1/2039		61,921		63,886		65,590
3129353B3	FHLMC GOLD		4.50		9/1/2039		766,402		772,879		795,050
3129356Q7	FHLMC GOLD		4.50		9/1/2039		192,996		194,627		200,210
312935AT6	FHLMC GOLD		5.00		8/1/2039		214,404		220,812		227,689
312935BW8	FHLMC GOLD		5.00		8/1/2039		98,783		102,869		104,637
312935JT7	FHLMC GOLD		4.50		9/1/2039		295,418		298,348		306,460
312935KN8	FHLMC GOLD		5.00		9/1/2039		125,859		129,619		133,657
312935KY4	FHLMC GOLD		4.50		9/1/2039		290,871		293,755		301,744

15

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

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
312935LV9	FHLMC GOLD		4.50		9/1/2039		197,046		199,000		204,411
312935MQ9	FHLMC GOLD		4.50		9/1/2039		969,264		980,258		1,008,208
312935MV8	FHLMC GOLD		4.50		9/1/2039		1,951,030		1,971,133		2,023,959
312935S59	FHLMC GOLD		5.00		9/1/2039		1,166,568		1,213,322		1,238,853
312935S75	FHLMC GOLD		5.00		9/1/2039		455,564		474,412		484,362
3129365C7	FHLMC GOLD		5.00		11/1/2039		1,599,315		1,663,495		1,698,414
312936AM9	FHLMC GOLD		5.00		9/1/2039		122,566		127,480		130,161
312936AP2	FHLMC GOLD		5.00		9/1/2039		94,434		98,341		100,031
312936GU5	FHLMC GOLD		5.00		10/1/2039		160,222		166,855		170,350
312936LH8	FHLMC GOLD		5.00		10/1/2039		384,472		400,450		407,256
312936LM7	FHLMC GOLD		5.00		10/1/2039		684,126		711,177		726,517
3129383Y7	FHLMC GOLD		5.00		1/1/2040		162,668		169,198		172,747
3129385D1	FHLMC GOLD		5.00		1/1/2040		105,588		109,818		111,800
312938GP2	FHLMC GOLD		5.00		12/1/2039		539,960		561,612		573,417
312938XT5	FHLMC GOLD		5.00		1/1/2040		736,142		765,656		779,455
3129394R9	FHLMC GOLD		5.00		4/1/2040		4,560,313		4,715,821		4,830,558
312939RM5	FHLMC GOLD		5.00		3/1/2040		4,808,929		4,972,975		5,093,907
312939T43	FHLMC GOLD		5.00		3/1/2040		2,278,247		2,355,931		2,413,256
312939U82	FHLMC GOLD		5.00		3/1/2040		7,934,526		8,205,077		8,404,725
312939WP2	FHLMC GOLD		5.00		3/1/2040		2,785,757		2,880,791		2,950,841
312939XT3	FHLMC GOLD		5.00		3/1/2040		3,359,310		3,473,844		3,558,383
312940A82	FHLMC GOLD		5.00		4/1/2040		2,612,827		2,701,922		2,767,664
312940DF3	FHLMC GOLD		5.00		4/1/2040		4,930,678		5,098,853		5,222,870
312940E54	FHLMC GOLD		—		4/1/2040		4,456,116		4,608,137		4,720,185
312940GK9	FHLMC GOLD		5.00		4/1/2040		1,306,189		1,350,724		1,383,594
31294KDZ5	FHLMC GOLD		5.00		9/1/2016		2,155		2,270		2,314
31294KFJ9	FHLMC GOLD		5.00		11/1/2016		3,889		4,097		4,172
31294KHD0	FHLMC GOLD		5.00		2/1/2017		8,291		8,736		8,906
31294KHL2	FHLMC GOLD		5.00		3/1/2017		16,085		16,949		17,280
31294KJT3	FHLMC GOLD		5.00		5/1/2017		5,368		5,657		5,763
31294KKU8	FHLMC GOLD		5.00		9/1/2017		8,957		9,442		9,621
31294KN43	FHLMC GOLD		5.50		2/1/2018		1,558,292		1,563,238		1,692,344
31294KNY7	FHLMC GOLD		5.00		2/1/2018		83,651		88,208		89,918
31294KP25	FHLMC GOLD		5.50		3/1/2018		2,277,941		2,285,206		2,473,901
31294KQ73	FHLMC GOLD		5.00		5/1/2018		178,625		188,381		192,007
31294KUR4	FHLMC GOLD		5.50		10/1/2018		1,049,085		1,052,599		1,139,332
31294KUT0	FHLMC GOLD		5.50		9/1/2018		9,214,078		9,244,748		10,006,717
3129624Q3	FHLMC GOLD		5.50		11/1/2018		122,584		122,977		133,129
3129624X8	FHLMC GOLD		5.00		11/1/2018		8,395		8,857		9,024
312962BY8	FHLMC GOLD		5.00		10/1/2018		25,974		27,403		27,919
312962CK7	FHLMC GOLD		5.00		10/1/2018		11,440		12,067		12,293
312962CQ4	FHLMC GOLD		5.00		8/1/2018		12,793		13,492		13,743
312962CT8	FHLMC GOLD		5.00		8/1/2018		2,196		2,317		2,358
312962DE0	FHLMC GOLD		5.00		10/1/2018		13,512		14,255		14,520
312962EY5	FHLMC GOLD		5.00		10/1/2018		22,357		23,585		24,032
312962FM0	FHLMC GOLD		5.00		10/1/2018		20,546		21,672		22,079
312962FN8	FHLMC GOLD		5.00		10/1/2018		9,567		10,092		10,281
312962FW8	FHLMC GOLD		5.00		10/1/2018		31,672		33,414		34,035
312962J53	FHLMC GOLD		5.50		10/1/2018		1,130,682		1,134,516		1,227,949
312962JW4	FHLMC GOLD		5.00		11/1/2018		28,830		30,415		30,981
312962KD4	FHLMC GOLD		5.50		10/1/2018		132,802		133,244		144,227
312962KP7	FHLMC GOLD		5.00		10/1/2018		20,718		21,859		22,264
312962KT9	FHLMC GOLD		5.00		10/1/2018		20,520		21,645		22,051
312962MD2	FHLMC GOLD		5.00		11/1/2018		38,058		40,143		40,897
312962MT7	FHLMC GOLD		5.00		11/1/2018		21,292		22,454		22,880
312962MV2	FHLMC GOLD		5.00		11/1/2018		19,518		20,587		20,975
312962NJ8	FHLMC GOLD		5.00		10/1/2018		26,931		28,415		28,941
312962Q63	FHLMC GOLD		5.50		10/1/2018		22,867		22,943		24,835
312962T86	FHLMC GOLD		5.00		11/1/2018		19,102		20,151		20,527
312962TL7	FHLMC GOLD		5.00		11/1/2018		26,045		27,479		27,988
312962UJ0	FHLMC GOLD		5.00		11/1/2018		12,102		12,768		13,005

16

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

Cusip	Security Description	Coupon		Maturity		Par			Book Value $			Market Value $
312962UW1	FHLMC GOLD		5.50		11/1/2018		1,832,438			1,838,633			1,990,073
312962WC3	FHLMC GOLD		5.00		11/1/2018		22,884			24,145			24,599
312963BP5	FHLMC GOLD		5.50		12/1/2018		116,545			116,943			126,571
312963CK5	FHLMC GOLD		5.00		11/1/2018		19,344			20,407			20,793
312963G70	FHLMC GOLD		5.50		11/1/2018		687,873			690,145			747,048
312963L66	FHLMC GOLD		5.00		12/1/2018		9,681			10,214			10,403
312963L74	FHLMC GOLD		5.50		11/1/2018		30,265			30,369			32,869
312963LA7	FHLMC GOLD		5.00		12/1/2018		15,338			16,182			16,483
312963MS7	FHLMC GOLD		5.00		12/1/2018		27,648			29,169			29,719
312963RG8	FHLMC GOLD		5.00		12/1/2018		34,283			36,173			36,852
312963RR4	FHLMC GOLD		5.00		12/1/2018		26,789			28,260			28,787
312963UB5	FHLMC GOLD		5.00		12/1/2018		16,418			17,321			17,643
312963V40	FHLMC GOLD		5.00		1/1/2019		20,312			21,430			21,834
312963VY4	FHLMC GOLD		5.50		12/1/2018		261,770			262,664			284,289
312963WH0	FHLMC GOLD		5.50		12/1/2018		29,680			29,782			32,233
312963XT3	FHLMC GOLD		5.00		12/1/2018		6,025			6,355			6,476
312963Z53	FHLMC GOLD		5.00		1/1/2019		12,968			13,681			13,935
312963ZG9	FHLMC GOLD		5.50		11/1/2018		119,706			120,098			130,003
3129642B4	FHLMC GOLD		5.50		3/1/2019		336,111			336,941			364,954
312964AU3	FHLMC GOLD		5.00		1/1/2019		11,618			12,257			12,488
312964CQ0	FHLMC GOLD		5.00		1/1/2019		9,990			10,540			10,735
312964EJ4	FHLMC GOLD		5.00		1/1/2019		12,096			12,761			13,002
312964EK1	FHLMC GOLD		5.00		1/1/2019		24,114			25,442			25,920
312964FV6	FHLMC GOLD		5.00		1/1/2019		12,503			13,191			13,440
312964GZ6	FHLMC GOLD		5.00		2/1/2019		11,244			11,865			12,119
312964KG3	FHLMC GOLD		5.00		2/1/2019		7,909			8,345			8,499
312964QW2	FHLMC GOLD		5.50		2/1/2019		452,582			454,064			491,515
312964RW1	FHLMC GOLD		4.00		2/1/2014		945,539			913,428			999,206
312964WX3	FHLMC GOLD		5.50		10/1/2018		532,396			534,160			578,196
312965A71	FHLMC GOLD		4.00		3/1/2014		1,831,979			1,792,786			1,935,957
312965CF1	FHLMC GOLD		5.00		1/1/2019		10,194			10,754			10,951
312965CH7	FHLMC GOLD		4.00		3/1/2014		1,976,634			1,909,273			2,088,822
312965DX1	FHLMC GOLD		4.00		3/1/2014		1,465,778			1,415,816			1,548,972
312965DY9	FHLMC GOLD		4.00		3/1/2014		1,734,585			1,697,380			1,833,035
312965FY7	FHLMC GOLD		4.00		3/1/2014		1,576,848			1,522,634			1,666,346
312965GT7	FHLMC GOLD		4.00		3/1/2014		1,211,156			1,169,551			1,279,898
312965GU4	FHLMC GOLD		4.00		3/1/2014		1,241,445			1,199,131			1,311,907
312965HK5	FHLMC GOLD		5.00		3/1/2019		26,952			28,435			28,972
312965MP8	FHLMC GOLD		4.00		3/1/2014		6,092,462			5,961,613			6,438,254
312965QA7	FHLMC GOLD		5.50		11/1/2018		355,698			356,866			386,297
312965WC6	FHLMC GOLD		4.00		4/1/2014		851,000			821,313			899,301
312965WD4	FHLMC GOLD		4.00		4/1/2014		1,084,406			1,046,684			1,145,954
312965WU6	FHLMC GOLD		4.00		4/1/2014		1,034,719			998,880			1,093,447
312965WV4	FHLMC GOLD		4.00		4/1/2014		1,254,773			1,211,236			1,325,991
312966WU4	FHLMC GOLD		5.50		5/1/2019		1,613,800			1,617,593			1,752,287
312967MC3	FHLMC GOLD		4.50		6/1/2014		1,549,968			1,527,742			1,650,388
312967MH2	FHLMC GOLD		4.00		5/1/2014		2,830,067			2,777,880			2,990,694
312968QL7	FHLMC GOLD		5.50		12/1/2018		2,552,453			2,561,595			2,767,976
3129696M5	FHLMC GOLD		4.00		11/1/2014		3,396,813			3,337,694			3,589,607
312969VY1	FHLMC GOLD		4.50		10/1/2014		5,579,607			5,500,315			5,941,099
3129714D3	FHLMC GOLD		4.00		3/1/2015		4,601,767			4,519,055			4,854,122
31335H2K8	FHLMC GOLD		4.50		11/1/2023		2,709,625			2,592,390			2,863,884
31342A6F1	FHLMC		2.74		9/1/2033		1,079,263			1,060,395			1,127,565
31349UCW6	FHLMC		2.61		10/1/2034		526,926			520,041			548,271
31349UEJ3	FHLMC		2.66		11/1/2034		927,497			914,445			971,136
31349ULB2	FHLMC		2.62		2/1/2035		946,419			934,368			984,529
31349ULF3	FHLMC		2.48		2/1/2035		580,693			570,993			596,382
31349UMF2	FHLMC		2.63		3/1/2035		7,059,051			6,988,411			7,284,145
31393M5X5	FHLMC CMO		5.00		12/15/2016		459,860			4,951			2,796
01F050650	FNMA TBA		5.00		5/1/2033		14,000,000			14,442,940			14,809,375
01F050650	FNMA TBA		5.00		5/1/2033		(14,000,000	)		(14,465,085	)		(14,809,375	)

17

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

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
01F062671	FNMA TBA		6.50		7/1/2033		10,000,000		10,889,063		10,951,563
02R040474	FHLMC GOLD		4.00		7/1/2021		3,500,000		3,613,750		3,633,164
							912,241,044		921,238,387		961,823,273
Non Agency RMBS
000780ET9	AMAC		5.00		4/25/2018		880,915		856,871		857,676
04271AAA9	ARRMF		0.57		9/16/2036		26,715		26,715		26,665
04271AAB7	ARRMF		0.60		9/16/2056		719,000		719,000		694,482
059469AA4	BOAA		5.90		10/25/2036		128,832		128,832		128,449
05948X6X4	BANK OF AMERICA MTG SEC		4.75		6/25/2019		6,873,093		6,908,891		7,038,803
05951KAX1	BAFC		5.88		10/25/2036		558,390		348,622		359,039
07384MWF5	BSARM		3.35		8/25/2033		156,005		160,760		151,409
126380AB0	CSMC		5.50		11/25/2036		2,307,226		1,854,400		1,868,853
126384AJ5	CSMC		5.00		3/25/2037		1,391,691		1,269,513		1,256,447
12638PBU2	CSMC		5.00		4/25/2037		1,368,960		1,175,681		1,122,492
12669E5B8	CWHL		5.00		11/25/2018		1,085,805		1,043,202		1,116,773
12669EYQ3	COUNTRYWIDE HOME LOANS TR		3.85		8/25/2033		119,505		123,714		95,018
16162WLM9	CHASE		5.50		10/25/2035		15,258,775		12,754,649		14,527,422
161630AC2	CHASE		3.29		2/25/2037		14,881,919		15,056,961		14,845,458
161630AG3	CHASE		2.98		2/25/2037		26,498,992		26,921,886		24,803,056
161630AN8	CHASE		3.22		2/25/2037		4,161,401		4,201,377		4,084,124
161630AQ1	CHASE		3.00		2/25/2037		3,369,214		3,314,646		3,088,222
1729733P2	CMSI		5.00		10/25/2035		15,803,589		13,537,715		15,312,572
22882MAA6	CRGT		0.73		9/18/2034		62,798		62,798		50,062
32029GAB0	FFML		0.40		3/25/2037		741		741		737
38405JAD1	GMFM		0.51		11/20/2056		22,195		22,195		22,140
38405JCD9	GMFM		0.50		11/20/2056		75,193		75,193		75,002
38741QAC0	GRAN		0.56		7/20/2043		100,276		100,276		93,297
38741SAF9	GRAN		0.68		9/20/2044		41,862		41,862		38,220
449670EQ7	IMC HOME EQUITY LOAN TRUST		6.84		8/20/2029		211,358		212,210		206,793
46070MAA7	IMT		1.07		7/7/2034		18,042		18,042		18,042
46630GAA3	JPMMT		3.59		7/25/2035		8,516,244		8,658,737		7,957,664
46630GAD7	JPMMT		3.55		7/25/2035		3,242,380		3,286,046		3,005,654
46630GAN5	JPMMT_07-A1		3.45		7/25/2035		2,266,052		2,316,924		2,132,627
46630GAS4	JPMMT		3.44		7/25/2035		8,925,666		8,841,341		8,332,645
525170BL9	LABS		5.00		12/25/2033		14,336,394		13,302,859		14,219,911
55265K5Q8	MASTR		4.75		1/25/2034		1,033,166		1,004,427		1,037,256
576433QQ2	MARM_04-8		1.83		9/25/2034		1,155,366		1,106,652		837,548
576433QQ2	MARM_04-8		1.83		9/25/2034		128,374		130,667		93,061
58403GAB1	MEDL		0.58		2/27/2039		409,491		409,491		395,895
589929W53	MLMI		3.03		7/25/2033		217,266		217,317		223,597
76110H2P3	RES ASSET SEC		3.34		3/25/2035		1,816,069		1,687,577		1,124,837
76110HHG7	RFMSI_03-Q16		5.00		8/25/2018		8,595,211		8,321,729		8,839,573
863579KY3	SARM		2.74		2/25/2035		2,810,763		2,609,548		1,970,204
86359BGD7	STRUCTURED ASSET SEC CORP		2.91		2/25/2034		36,395		36,943		31,398
86359BGD7	STRUCTURED ASSET SEC CORP		2.91		2/25/2034		109,185		115,385		94,195
86359BVE8	STRUCTURED ASSET SEC CORP		2.53		6/25/2034		10,609,538		10,120,770		9,548,584
88522AAC5	THORNBURG MORTGAGE SECURITIES		0.47		7/25/2036		3,428,485		3,240,021		3,366,987
88522AAC5	THORNBURG MORTGAGE SECURITIES		0.47		7/25/2036		6,594,392		6,231,897		6,476,105
92922F4M7	WASHINGTON MUTUAL		0.64		10/25/2045		1,341,144		742,367		1,055,480
92922F4P0	WAMU		1.13		10/25/2045		6,604,335		3,576,812		5,283,468
92922FB49	WASHINGTON MUTUAL		0.71		11/25/2034		429,674		234,639		358,933
92922FZF8	WAMU_04-A12		0.74		10/25/2044		8,076,486		4,546,869		5,693,454
949781AA6	WFMBS		2.87		2/25/2035		2,033,553		2,004,937		1,891,205
949781AA6	WFMBS		2.87		2/25/2035		2,033,553		2,013,789		1,891,205
94982BAG5	WFMBS		2.92		6/25/2035		5,888,631		5,961,848		5,504,574
							196,760,305		181,656,341		183,247,313
Non-agency RMBS — Non investment grade strategy
751153AA5	RALI_06-Q010		0.51		1/25/2037		4,603,170		2,670,865		2,531,744
008684AA0	AHMA		0.54		12/25/2046		11,583,179		4,749,214		6,139,305
02660BAA0	AHMA_07-1		1.12		2/25/2047		9,879,242		4,819,512		4,838,457
02660UAE0	AHMA_06-3		1.36		10/25/2046		11,521,893		4,935,878		6,075,033

18

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

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
05954DAG1	BAFC		5.72		7/20/2047		7,861,306		4,809,246		5,404,658
07384MWF5	BSARM		3.35		8/25/2033		31,201		18,997		30,282
073868AA9	BALTA_06-6		0.50		11/25/2036		18,998,750		7,266,721		7,552,459
07401AAA5	BSMF		0.54		9/25/2046		10,589,403		5,131,539		5,492,999
07401YAQ8	BEAR STEARNS MORTGAGE FUNDING		0.56		6/25/2037		23,475,013		12,463,193		12,577,208
12566XAK4	CMA_07-A7		0.75		7/25/2037		7,961,573		4,706,598		4,582,124
12667GNS8	COUNTRYWIDE ALTERNATIVE LOAN T		1.72		7/20/2035		1,066,656		462,149		575,994
12668BPY3	CWALT		5.50		4/25/2036		14,638,317		9,231,990		9,337,197
126694A32	COUNTRYWIDE HOME LOANS		0.56		3/20/2046		2,063,280		941,347		1,085,904
126694M96	COUNTRYWIDE HOME LOANS		0.55		4/25/2046		7,778,144		3,353,369		4,151,561
12669EYQ3	COUNTRYWIDE HOME LOANS TR		3.85		8/25/2033		39,835		24,861		31,673
22541NQ77	CSFB_03-AR9		2.78		3/25/2033		82,789		47,742		72,140
22541QUJ9	CS FIRST BOSTON MORTGAGE SECUR		2.72		10/25/2033		167,702		85,255		141,634
22942KCD0	CSMC		6.00		8/25/2036		16,017,962		9,496,308		9,584,027
232434AE0	CWALT_06-OC8		0.60		11/25/2036		25,837,702		3,844,231		3,358,643
23245GAD3	CWALT_06-OC9		0.60		12/25/2046		6,407,546		1,183,198		961,965
23245QAA7	CWALT		0.54		3/20/2047		13,120,148		6,096,827		6,727,736
25151AAG6	DBALT		0.63		8/25/2036		31,612,470		5,209,237		3,340,174
32052DAG6	FHAMS_06-FA8		6.00		2/25/2037		8,281,285		6,087,119		6,244,668
40431HAJ6	HALO		0.65		12/25/2036		6,067,577		1,434,876		2,040,223
41161VAC4	HVMLT		0.55		9/19/2036		6,034,413		3,364,262		3,343,547
41162CAC5	HVMLT_06-10		0.52		11/19/2036		8,831,953		5,022,995		4,786,850
41162DAF6	HVMLT_06-12		0.54		12/19/2036		7,780,456		4,230,366		4,746,078
41162NAC1	HVMLT		0.50		1/25/2047		5,247,679		2,562,081		2,849,448
45660NQ24	INDX		3.15		8/25/2034		453,369		266,100		291,329
45668WAC1	INX		0.60		2/25/2037		5,000,000		536,453		576,050
52520MBY8	LMT_05-2		1.10		12/25/2035		4,049,847		2,445,238		2,606,562
525221HA8	LXS		0.61		2/25/2046		4,924,214		2,081,504		2,653,934
52524GAA0	LXS_07-7N		0.57		6/25/2047		12,462,498		7,288,684		6,814,120
52524HAJ9	LXS		1.17		3/25/2047		2,854,094		1,487,265		1,627,062
52524PAG7	LXS_07-16N		0.51		5/25/2037		13,012,902		8,260,161		8,275,165
52524VAQ2	LXS_07-15N		1.25		8/25/2047		8,548,538		4,455,447		4,605,611
55027XAA8	LUM_06-5		0.54		7/25/2036		7,799,095		3,707,341		4,042,895
57643LLC8	MABS		5.65		11/25/2035		10,000,000		4,010,218		5,196,400
59024KAX1	MLA_07-AF1		5.42		6/25/2037		4,542,036		2,486,809		2,498,120
74958XAB0	RFMSI		5.63		4/25/2037		7,376,004		4,869,017		5,043,712
75115YAA7	RALI_07-Q01		0.50		2/25/2037		1,824,269		826,899		966,863
76110H2P3	RES ASSET SEC		3.34		3/25/2035		365,966		187,715		226,672
761118FG8	RALI		3.71		8/25/2035		4,355,454		2,476,962		2,765,491
761118QM3	RALI		1.42		1/25/2046		453,978		204,684		262,138
863579J90	SARM		5.25		12/25/2035		9,945,000		3,159,146		3,503,594
86359A5B5	SASC		2.60		11/25/2033		411,994		302,888		346,075
86359AH71	SASC		2.68		7/25/2033		617,899		476,540		564,562
86359BGD7	STRUCTURED ASSET SEC CORP		2.91		2/25/2034		36,395		22,832		31,398
86359LQM4	SAMI_06-AR1		2.57		3/25/2046		4,192,423		2,141,360		2,448,165
86364RAA7	SAMI_07-AR6		1.92		8/25/2047		16,696,002		6,775,426		9,373,469
92922F7P7	WASHINGTON MUTUAL		0.62		12/25/2045		9,417,282		5,596,141		7,345,480
92922FR75	WASHINGTON MUTUAL		0.64		7/25/2045		6,327,697		4,841,925		5,074,386
92925DAB6	WAMU		1.23		12/25/2046		3,972,014		1,883,473		2,537,402
92927BAA0	WAMU_07-OA6		1.23		7/25/2047		23,266,309		11,437,649		13,561,931
93363RAA4	EAST PACES FERRY LLC		1.30		10/25/2046		9,494,158		4,991,921		5,719,945
93936RAA2	WAL		1.26		5/25/2047		9,232,300		4,528,843		5,103,985
94981QAA6	WFMBS		3.00		10/25/2035		628,188		516,772		616,083
							449,840,566		206,515,382		223,282,328
CMBS
05947UDP0	BAFU		5.46		4/11/2037		386,568		386,844		397,769
07383FXJ2	BEAR STEARNS COMMERCIAL MORTGA		5.19		5/11/2039		4,000,000		4,125,323		4,240,417
07383FXN3	BSCMS		4.68		8/13/2039		4,000,000		4,023,295		4,227,382
17310MBQ2	CGCMT		5.50		10/15/2049		496,109		246,932		444,276
22540VGE6	CSFB		5.43		9/15/2034		37,344,697		37,468,069		38,469,314
22541QDG4	CSFB_03-C3		3.38		5/15/2038		75,879		71,637		75,828

19

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

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
22545BAA9	CSMC		5.25		3/15/2039		942,814		932,314		953,543
33736XAX7	FIRST UNION NAT BANK		7.20		10/15/2032		70,825		70,826		70,826
36158YDC0	GECMC		5.56		6/10/2038		83,904		82,442		84,803
36158YEK1	GECMC		5.99		12/10/2035		36,208		36,089		36,287
36158YFT1	GECCMC_02-2		5.35		8/11/2036		24,929,000		24,970,447		26,361,410
361849ZS4	GMACC		4.65		4/10/2040		379,550		374,590		385,081
361849ZT2	GMACC		5.02		4/10/2040		4,000,000		4,095,020		4,247,500
36228CVQ3	GSMS		4.61		7/10/2039		500,000		488,232		507,034
38376GDL1	GOV NATL MTGE ASSOC		3.10		12/16/2050		10,939,458		10,917,324		11,175,417
396789EQ8	GCCFC		4.02		1/5/2036		19,906		19,848		19,902
396789JS9	GCCFC		4.57		8/10/2042		500,000		498,268		506,214
52108HMU5	LBUBS COMM MTG TR		4.85		9/15/2031		88,000,000		87,463,018		92,519,733
52108HRB2	LBUBS		3.85		5/15/2027		477,386		454,373		488,286
52108MAF0	LBUBS		5.20		11/15/2030		1,450,000		1,242,339		1,539,941
61745M5G4	MSC		4.89		6/12/2047		500,000		469,485		529,519
61745ML27	MSC		4.69		6/13/2041		1,440,177		1,449,634		1,447,511
61745ML43	MSC		5.27		6/13/2041		4,000,000		4,081,842		4,206,900
61750HAE6	MSC		5.33		11/12/2041		2,500,000		2,023,671		2,596,549
79548CAB2	SBM7		6.59		12/18/2033		118,414		118,700		118,670
126175AH1	COMM_03-LB1A		—		6/10/2038		1,396,970		1,991		2,054
396789FH7	GCCFC		0.82		1/5/2036		15,295,014		34,524		62,557
52108HUG7	LBUBS		0.75		4/15/2037		41,654,202		9,210		8,964
							245,537,082		186,156,289		195,723,686
Corporate Securities — Financials
06050BAA9	BANK OF AMERICA CORP - GTD		3.13		6/15/2012		8,200,000		8,197,878		8,573,182
17313YAJ0	CITIGROUP FUNDING INC - GTD		2.25		12/10/2012		5,000,000		5,001,278		5,150,750
17313YAL5	CITIGROUP FUNDING INC - GTD		1.88		10/22/2012		37,000,000		37,042,404		37,789,951
17313YAN1	CITIGROUP FUNDING INC - GTD		1.88		11/15/2012		59,300,000		59,222,160		60,575,544
36186CBF9	GMAC LLC		2.20		12/19/2012		5,000,000		4,994,393		5,143,900
36967HAD9	GENERAL ELECTRIC CAPITAL CORPO		3.00		12/9/2011		2,750,000		2,754,968		2,844,325
481247AA2	JPMORGAN CHASE & CO-GTD		3.13		12/1/2011		6,000,000		6,072,348		6,214,860
61757UAB6	MORGAN STANLEY		3.25		12/1/2011		5,000,000		5,079,755		5,187,800
61757UAH3	MORGAN STANLEY-GTD		1.95		6/20/2012		1,250,000		1,249,688		1,278,788
846042AA7	SOVEREIGN BANK - GTD		2.75		1/17/2012		2,000,000		1,999,039		2,066,340
90345AAA0	US CENTRAL CREDIT UNION - (LT)		1.25		10/19/2011		27,200,000		27,190,690		27,459,491
90345AAC6	US CENTRAL CREDIT UNION - (LT)		1.90		10/19/2012		15,500,000		15,492,344		15,839,141
91160HAA5	US BANCORP - (LT) GTD		2.25		3/13/2012		4,100,000		4,099,717		4,210,331
008252AL2	AFFILIATED MANAGERS GROUP INC.		3.95		8/15/2038		1,500,000		1,482,791		1,462,500
02580ECC5	AMERICAN EXPRESS BANK FSB		6.00		9/13/2017		1,500,000		1,634,001		1,627,023
02580ECN1	AMERICAN EXPRESS BANK FSB		5.50		4/16/2013		1,500,000		1,491,918		1,623,169
0258M0BX6	AMERICAN EXPRESS CREDIT CO		0.53		12/2/2010		73,000		73,000		72,994
02666QF32	AMERICAN HONDA FINANCE		2.38		3/18/2013		2,150,000		2,149,221		2,169,001
02666QXM0	AMERICAN HONDA FINANCE		5.13		12/15/2010		1,250,000		1,243,891		1,271,557
060505DA9	BANK OF AMERICA CORP		5.42		3/15/2017		26,900,000		27,015,801		26,773,094
060505DK7	BANK OF AMERICA CORP		5.38		9/11/2012		2,625,000		2,629,322		2,763,594
06051GDY2	BANK OF AMERICA		7.38		5/15/2014		5,500,000		6,069,383		6,139,489
06406HBQ1	BANK OF NEW YORK CO		2.95		6/18/2015		4,000,000		3,994,874		4,050,723
06423AAG8	BANK ONE CO		7.88		8/1/2010		378,000		378,894		379,913
073928X73	BEAR STEARNS CO INC		6.95		8/10/2012		16,625,000		17,410,860		18,306,847
12572QAD7	CME GROUP INC		5.75		2/15/2014		2,000,000		2,005,178		2,220,374
14912L4F5	CATERPILLAR FINL SERV		6.13		2/17/2014		3,300,000		3,299,719		3,737,390
172967EU1	CITIGROUP INC		6.50		8/19/2013		4,000,000		4,201,033		4,274,730
172967EY3	CITIGROUP INC		6.38		8/12/2014		29,875,000		31,422,214		31,787,958
172967FE6	CITIGROUP INC		6.00		12/13/2013		2,000,000		2,035,377		2,097,569
244217BK0	JOHN DEERE CAPITAL CORPORATION		5.10		1/15/2013		4,000,000		3,918,185		4,363,878
24422EQV4	JOHN DEERE CAPITAL CORPORATION		5.75		9/10/2018		9,000,000		9,850,778		10,290,683
26441YAS6	DUKE REALTY LP		7.38		2/15/2015		725,000		721,517		806,418
302508BA3	FMR CORP.		4.75		3/1/2013		2,500,000		2,639,675		2,569,926
354613AE1	FRANKLIN RESOURCES INC.		2.00		5/20/2013		3,975,000		3,975,774		4,020,990
36962G3T9	GE CAPITAL CORP		4.80		5/1/2013		2,000,000		2,113,578		2,128,507
36962G4C5	GE CAPITAL CORP		5.90		5/13/2014		2,000,000		1,998,228		2,195,201

20

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

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
36962G4G6	GE CAPITAL CORP		3.75		11/14/2014		850,000		847,020		870,805
36962G4H4	GE CAPITAL CORP		2.80		1/8/2013		2,000,000		1,997,819		2,027,379
36962GYY4	GENERAL ELEC CAP CO		6.00		6/15/2012		16,300,000		15,867,794		17,504,056
38141EA33	GOLDMAN SACHS GROUP INC		6.00		5/1/2014		5,350,000		5,772,130		5,756,895
38141GDB7	GOLDMAN SACHS GROUP INC		5.25		4/1/2013		1,500,000		1,542,501		1,582,768
40429CAA0	HOUSEHOLD FINANCE CORPORATION		6.75		5/15/2011		18,000,000		18,204,221		18,746,755
40429CCR1	HSBC FINANCE CORP		5.25		4/15/2015		2,805,000		2,955,305		2,956,840
40429CFQ0	HSBC FINANCE CORP		5.70		6/1/2011		33,260,000		33,356,349		34,368,221
46625HAJ9	JP MORGAN CHASE & CO		6.75		2/1/2011		22,930,000		23,111,894		23,654,002
46625HGT1	JPMORGAN CHASE & CO		5.38		10/1/2012		3,250,000		3,488,823		3,488,334
46625HHB9	JPMORGAN CHASE & CO		4.75		5/1/2013		26,895,000		26,882,818		28,700,779
46625HHN3	JPMORGAN CHASE & CO		4.65		6/1/2014		3,000,000		3,169,948		3,193,520
46625HHP8	JPMORGAN CHASE & CO		3.70		1/20/2015		3,000,000		3,006,865		3,057,254
53117CAG7	LIBERTY PROPERTY TR		6.38		8/15/2012		2,500,000		2,671,973		2,676,231
592179JG1	METLIFE INC		5.13		4/10/2013		4,000,000		3,877,944		4,297,703
617446HR3	MORGAN STANLEY		5.30		3/1/2013		2,000,000		2,060,053		2,083,645
617446V71	MORGAN STANLEY		6.25		8/28/2017		22,500,000		23,117,698		23,212,757
61746SBR9	MORGAN STANLEY		5.38		10/15/2015		20,000,000		20,689,984		20,162,624
61747YCF0	MORGAN STANLEY		6.00		5/13/2014		6,500,000		6,842,155		6,843,178
63866EBL3	NATIONWIDE LIFE GLOBAL FUNDING		5.45		10/2/2012		600,000		603,232		622,536
64953BAP3	NY LIFE GLOBAL FUND		4.65		5/9/2013		4,000,000		3,932,479		4,311,427
665859AK0	NORTHERN TRUST COMPANY THE		4.63		5/1/2014		1,000,000		1,019,373		1,073,571
693476BE2	PNC FUNDING CORP		5.40		6/10/2014		2,000,000		2,179,391		2,181,400
693476BH5	PNC FUNDING CORP		3.63		2/8/2015		24,725,000		24,702,073		25,335,629
699490AA6	BANQUE NATIONALE DE PARIBAS/NY		6.95		7/22/2013		500,000		530,462		543,730
857477AE3	STATE STREET CORPORATION		4.30		5/30/2014		1,750,000		1,748,689		1,863,668
87244EAC6	TIAA GLOBAL MARKETS		5.13		10/10/2012		3,000,000		3,139,189		3,233,647
90331HKP7	U.S. BANK NATIONAL ASSOCIATION		4.95		10/30/2014		2,750,000		2,772,985		2,995,854
91159HGR5	US BANCORP		4.20		5/15/2014		3,700,000		3,740,420		3,938,379
92933WAA6	WEA FINANCE LLC/WT FINANCE AUS		5.75		9/2/2015		3,000,000		2,974,291		3,221,742
92976WBJ4	WACHOVIA CORPORATION		5.50		5/1/2013		5,000,000		5,281,358		5,402,231
929903DT6	WACHOVIA CORPORATION		5.75		6/15/2017		27,025,000		27,896,114		29,573,594
949746NJ6	WELLS FARGO & COMPANY		5.30		8/26/2011		6,000,000		6,004,983		6,280,020
949746NY3	WELLS FARGO & COMPANY		4.38		1/31/2013		1,500,000		1,574,834		1,570,296
94974BEP1	WELLS FARGO & COMPANY		0.77		1/24/2011		1,177,000		1,176,367		1,179,189
94974BET3	WELLS FARGO & COMPANY		3.75		10/1/2014		1,750,000		1,750,064		1,788,223
00279VCA1	ABBEY NATIONAL TREASURY SERVIC		3.88		11/10/2014		3,750,000		3,749,239		3,731,964
05565QBH0	BP CAPITAL MARKETS PLC		3.88		3/10/2015		3,000,000		3,047,213		2,557,500
05565QBL1	BP CAPITAL MARKETS PLC		3.63		5/8/2014		9,000,000		8,989,440		7,740,000
064149B97	BANK OF NOVA SCOTIA		2.38		12/17/2013		5,000,000		4,982,684		5,069,420
064255AB8	BANK OF TOKYO-MITSUBISHI UFJ L		3.85		1/22/2015		18,500,000		18,493,029		19,248,851
06739FFZ9	BARCLAYS BANK PLC		5.20		7/10/2014		2,950,000		2,947,154		3,114,566
06739FGP0	BARCLAYS BANK PLC		2.50		1/23/2013		12,000,000		11,826,539		11,929,623
10778XAA4	BRFKREDIT AS		2.05		4/15/2013		29,700,000		29,669,562		30,284,936
2027A0EM7	COMMONWEALTH BANK OF AUSTRALIA		3.50		3/19/2015		3,000,000		2,988,120		3,039,626
22546QAA5	CREDIT SUISSE GROUP		5.50		5/1/2014		3,000,000		3,272,762		3,247,445
2254C0TC1	CREDIT SUISSE NEW YORK NY		5.00		5/15/2013		6,500,000		6,959,719		6,949,722
249575AM3	DEPFA ACS BANK		5.50		6/28/2011		2,800,000		2,869,451		2,875,600
2515A0Q30	DEUTSCHE BK LDN		3.88		8/18/2014		9,500,000		9,620,337		9,710,742
40411EAB4	BANK OF SCOTLAND PLC		5.25		2/21/2017		2,000,000		1,777,318		2,115,080
44328MAB0	HSBC BANK PLC		3.50		6/28/2015		13,950,000		13,938,578		14,131,742
44914PAR8	HYPOTHEKENBANK IN ESSEN AG		5.00		1/20/2012		2,500,000		2,555,613		2,641,950
53947MAB2	LLOYDS TSB BANK PLC		5.80		1/13/2020		11,000,000		10,975,295		10,381,705
55608JAB4	MACQUARIE BK LTD		7.63		8/13/2019		3,000,000		3,034,486		3,371,071
6325C0AZ4	NATIONAL AUSTRALIA BANK LIMITE		2.50		1/8/2013		3,710,000		3,718,362		3,715,575
65557CAA1	NORDEA BANK AB		3.70		11/13/2014		31,250,000		31,209,981		31,823,206
71645WAP6	PETROBRAS INTERNATIONAL FINANC		5.75		1/20/2020		1,050,000		1,040,513		1,055,250
809326AC5	SCOTLAND INTERNATIONAL FINANCE		7.70		8/15/2010		600,000		599,882		603,858
86959LAA1	SVENSKA HANDELSBANKEN AB		4.88		6/10/2014		4,000,000		3,991,206		4,226,960
90466GAB8	UNICREDITO LUXEM FIN		5.58		1/13/2017		16,750,000		16,750,000		15,912,500
961214BH5	WESTPAC BANKING		4.20		2/27/2015		5,000,000		4,995,608		5,193,565

21

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

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
961214BJ1	WESTPAC BANKING		2.25		11/19/2012		5,000,000		5,007,380		5,020,426
06738CAF6	BARCLAYS BANK PLC		7.38		6/29/2049		16,777,000		12,108,184		15,099,300
00448MAA9	ACHMEA HYPOTHEEKBANK N.V. - LT		3.20		11/3/2014		34,000,000		33,985,096		35,129,477
20272BAF1	COMMONWEALTH BANK AUSTRALIA, G		3.63		6/25/2014		50,000,000		50,687,008		52,858,502
20272BAK0	COMMONWEALTH BANK OF AUSTRALIA		2.90		9/17/2014		7,500,000		7,614,889		7,699,874
45324QAB2	ING BANK NV - (LT) GTD		2.63		2/9/2012		26,700,000		27,160,660		27,316,502
52205VAA3	LEASEPLAN CORPORATION NV - GTD		3.00		5/7/2012		19,200,000		19,196,749		19,784,448
62914AAB8	NIBC BANK NV - GTD		2.80		12/2/2014		45,200,000		45,112,188		45,882,973
78011CAG1	ROYAL BK OF STLAND GRP PLC - (		1.50		3/30/2012		5,000,000		4,998,129		5,009,650
							1,006,680,000		1,012,513,847		1,038,240,422
Corporate Securities — Industrials
06846NAA2	BILL BARRETT		5.00		3/15/2028		1,750,000		1,741,310		1,736,875
159864AB3	CHARLES RIVER LABS INTL INC.		2.25		6/15/2013		1,100,000		1,043,779		1,050,097
457985AH2	INTEGRA LIFESCIENCES HLDGS COR		2.38		6/1/2012		750,000		727,263		707,813
470355AC2	JAMES RIVER COAL CO		4.50		12/1/2015		1,750,000		1,617,482		1,564,063
496902AD9	KINROSS GOLD CORP		1.75		3/15/2028		1,700,000		1,672,654		1,640,500
535919AF1	LIONS GATE ENTER		2.94		10/15/2024		1,600,000		1,560,944		1,564,000
66987EAA5	NOVAGOLD		5.50		5/1/2015		1,160,000		1,183,230		1,149,850
82934HAD3	SINO FOREST CORP		4.25		12/15/2016		1,000,000		962,923		918,750
896356AA0	TRINIDAD DRILING LTD		7.75		7/31/2012		1,100,000		1,088,226		1,050,675
00206RAR3	AT&T INC		5.80		2/15/2019		22,000,000		23,759,953		24,771,380
00209AAE6	AT&T WIRELESS SERVICES INC		7.88		3/1/2011		13,012,000		13,237,673		13,645,616
00209AAG1	NEW CINGULAR WIRELESS SERVICES		8.13		5/1/2012		13,425,000		14,308,542		15,020,998
002824AS9	ABBOTT LABORATORIES		5.60		5/15/2011		1,200,000		1,207,558		1,248,000
002824AX8	ABBOTT LABORATORIES		2.70		5/27/2015		2,300,000		2,297,696		2,348,289
020039DB6	ALLTEL CORPORATION		7.00		7/1/2012		29,225,000		29,665,829		32,396,920
035229CE1	ANHEUSER-BUSCH		7.50		3/15/2012		1,600,000		1,586,670		1,753,988
03523TAL2	ANHEUSER-BUSCH INBEV WORLDWIDE		3.00		10/15/2012		2,500,000		2,561,132		2,574,157
03523TAM0	ANHEUSER-BUSCH INBEV WORLDWIDE		4.13		1/15/2015		10,000,000		10,344,426		10,432,650
053611AC3	AVERY DENNISON CORP		4.88		1/15/2013		1,500,000		1,453,745		1,587,550
054303AS1	AVON PRODUCTS INC		5.13		1/15/2011		1,700,000		1,690,601		1,738,913
071813AZ2	BAXTER INTERNATIONAL INC		4.00		3/1/2014		6,400,000		6,464,277		6,827,915
097014AK0	BOEING CAPITAL CORPORATION		3.25		10/27/2014		250,000		249,519		260,810
097023AV7	BOEING CO		5.00		3/15/2014		1,500,000		1,494,939		1,657,340
097023AY1	BOEING CO		3.50		2/15/2015		1,250,000		1,246,672		1,321,288
10138MAH8	BOTTLING GROUP LLC		6.95		3/15/2014		3,000,000		3,331,542		3,524,735
126650AV2	CVS CAREMARK CORP		4.88		9/15/2014		12,160,000		11,989,304		13,282,607
134429AM1	CAMPBELL SOUP COMPANY		6.75		2/15/2011		1,550,000		1,565,573		1,603,508
166751AK3	CHEVRONTEXACO CORPORATION		3.45		3/3/2012		3,000,000		2,999,919		3,115,296
189054AC3	CLOROX COMPANY THE		6.13		2/1/2011		1,000,000		998,528		1,029,450
191216AL4	COCA-COLA COMPANY THE		3.63		3/15/2014		18,825,000		18,760,448		20,019,235
191219BU7	COCA-COLA ENTERPRISES INC.		3.75		3/1/2012		13,700,000		13,685,552		14,280,849
20030NAB7	COMCAST CORPORATION		6.50		1/15/2015		5,000,000		5,695,895		5,704,239
20030NAE1	COMCAST CORPORATION		5.30		1/15/2014		2,000,000		2,043,008		2,188,846
20030NAL5	COMCAST CORPORATION		5.90		3/15/2016		7,500,000		7,899,058		8,425,123
20825CAS3	CONOCOPHILLIPS		4.75		2/1/2014		25,000,000		24,947,861		27,369,747
20825CAT1	CONOCOPHILLIPS		4.60		1/15/2015		5,000,000		4,996,749		5,448,890
224044BF3	COX COMMUNICATIONS INC.		4.63		6/1/2013		1,225,000		1,271,493		1,299,961
244199BC8	DEERE & COMPANY		4.38		10/16/2019		15,400,000		15,321,028		16,268,065
24702RAH4	DELL INC		3.38		6/15/2012		14,600,000		14,593,414		15,162,021
25468PBX3	WALT DISNEY		6.38		3/1/2012		2,000,000		2,168,671		2,171,178
260003AD0	DOVER CORP		6.50		2/15/2011		1,000,000		1,005,510		1,032,385
26138EAK5	DR PEPPER SNAPPLE GROUP INC		1.70		12/21/2011		2,500,000		2,507,335		2,519,171
263534BS7	EI DUPONT DE NEMOURS & CO		5.00		1/15/2013		2,250,000		2,431,376		2,440,277
263534BZ1	EI DUPONT DE NEMOURS & CO		4.63		1/15/2020		7,200,000		7,172,413		7,699,044
26882PBD3	ERAC USA FINANCE COMPANY		5.80		10/15/2012		2,122,000		2,296,560		2,292,870
293791AN9	ENTERPRISE PROD OPER LP		5.60		10/15/2014		22,000,000		21,565,915		23,965,307
294429AH8	EQUIFAX INC		4.45		12/1/2014		2,000,000		2,009,920		2,094,149
31428XAQ9	FEDERAL EXPRESS CORP		7.38		1/15/2014		1,000,000		1,057,015		1,162,441
369550AK4	GENERAL DYNAMICS CORPORATION		4.25		5/15/2013		1,250,000		1,198,589		1,346,703
369604AY9	GENERAL ELEC CAP CO		5.00		2/1/2013		500,000		535,058		536,423

22

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

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
370334BG8	GENERAL MILLS INC.		5.25		8/15/2013		9,075,000		9,290,615		10,068,553
372917AP9	GENZYME CORPORATION		3.63		6/15/2015		15,000,000		14,952,932		15,142,107
377372AC1	GLAXOSK CAP INC		4.85		5/15/2013		24,603,000		25,820,217		26,861,677
406216AX9	HALLIBURTON COMPANY		6.15		9/15/2019		2,500,000		2,725,884		2,767,475
41283DAA1	HARLEY-DAVIDSON FUNDING CORPOR		5.25		12/15/2012		2,500,000		2,583,465		2,600,000
42809HAA5	AMERADA HESS CORPORATION		7.00		2/15/2014		1,000,000		998,036		1,143,846
428236AQ6	HEWLETT-PACKARD COMPANY		4.50		3/1/2013		4,000,000		4,288,933		4,324,702
428236AU7	HEWLETT-PACKARD COMPANY		4.25		2/24/2012		27,550,000		27,543,101		28,998,197
436440AA9	HOLOGIC, INC.		2.00		12/15/2037		1,650,000		1,463,555		1,404,563
440452AD2	HORMEL FOODS CORP		6.63		6/1/2011		1,500,000		1,531,124		1,580,100
44107TAE6	HOST MARRIOTT LP		2.63		4/15/2027		1,600,000		1,545,955		1,516,000
451055AB3	ICONIX BRAND GROUP INC		1.88		6/30/2012		1,550,000		1,466,869		1,441,500
452308AH2	ILLINOIS TOOL WORKS INC.		5.15		4/1/2014		5,000,000		5,232,968		5,595,868
459200BA8	IBM CORP		4.75		11/29/2012		20,000		19,940		21,621
459200GN5	IBM CORP		6.50		10/15/2013		20,810,000		22,577,867		23,999,881
459200GR6	IBM CORP		2.10		5/6/2013		3,900,000		3,897,413		3,955,336
50075NAX2	KRAFT FOODS INC.		6.75		2/19/2014		9,680,000		11,025,784		11,101,701
532457BD9	ELI LILLY AND COMPANY		3.55		3/6/2012		15,175,000		15,166,115		15,838,121
565849AG1	MARATHON OIL CORP		6.50		2/15/2014		2,000,000		2,102,969		2,264,543
579780AD9	MCCORMICK & CO INC		5.20		12/15/2015		1,500,000		1,455,921		1,671,765
582839AA4	MEAD JOHNSON NUTRITION CO		3.50		11/1/2014		2,000,000		2,000,285		2,057,086
585055AP1	MEDTRONIC INC		4.50		3/15/2014		2,750,000		2,837,561		3,005,835
589331AP2	MERCK & CO INC		4.00		6/30/2015		7,000,000		7,088,687		7,543,170
589331AR8	MERCK & CO INC		1.88		6/30/2011		750,000		750,192		758,940
594918AB0	MICROSOFT CORPORATION		2.95		6/1/2014		38,500,000		38,470,426		40,248,097
62875UAF2	NBC UNIVERSAL		3.65		4/30/2015		20,000,000		20,206,396		20,403,391
652482BG4	NEWS AMERICA INC		5.30		12/15/2014		10,000,000		9,942,729		11,042,285
654742AA3	NISSAN MOTOR ACCEPT CO		3.25		1/30/2013		2,500,000		2,540,198		2,549,125
66989HAA6	NOVARTIS CAPITAL CORP		4.13		2/10/2014		17,775,000		17,761,412		19,150,661
68389XAD7	ORACLE CORPORATION		4.95		4/15/2013		6,675,000		7,000,642		7,294,256
69373UAB3	PACCAR INC		6.38		2/15/2012		4,000,000		3,997,671		4,323,192
70336TAA2	PATRIOT COAL CORP		3.25		5/31/2013		1,850,000		1,621,712		1,507,750
713448BK3	PEPSICO INC		3.75		3/1/2014		21,350,000		21,315,949		22,706,736
717081CZ4	PFIZER INC.		4.45		3/15/2012		23,925,000		23,905,521		25,349,387
717081DA8	PFIZER INC.		5.35		3/15/2015		7,750,000		8,300,995		8,781,431
718172AB5	PHILIP MORRIS INTERNATIONAL IN		4.88		5/16/2013		25,875,000		25,957,709		28,004,677
74005PAJ3	PRAXAIR INC.		6.38		4/1/2012		1,000,000		1,010,763		1,090,739
74369LAF0	PROTEIN DESIGN LABS, INC.		2.00		2/15/2012		1,875,000		1,776,749		1,783,594
771196AN2	ROCHE HOLDINGS INC		4.50		3/1/2012		29,000,000		28,912,552		30,577,517
771196AQ5	ROCHE HOLDINGS INC		5.00		3/1/2014		5,000,000		5,235,885		5,515,449
78387GAP8	AT&T INC		5.10		9/15/2014		4,000,000		3,863,527		4,430,222
792228AD0	ST. MARY LAND & EXPLOR CO		3.50		4/1/2027		500,000		499,321		533,370
828807BZ9	SIMON PROPERTY GROUP L.P.		6.13		5/30/2018		4,000,000		2,742,241		4,399,663
828807CB1	SIMON PROPERTY GROUP L.P.		6.75		5/15/2014		17,675,000		18,416,442		19,945,462
832110AK6	SMITH INTERNATIONAL INC.		8.63		3/15/2014		2,000,000		1,994,843		2,353,505
833034AC5	SNAP-ON INCORPORATED		6.25		8/15/2011		1,400,000		1,424,788		1,455,622
855030AJ1	STAPLES INC.		9.75		1/15/2014		2,000,000		2,037,594		2,454,150
88732JAK4	TIME WARNER CABLE INC		6.20		7/1/2013		2,500,000		2,764,451		2,789,705
88732JAR9	TIME WARNER CABLE INC		7.50		4/1/2014		1,500,000		1,714,554		1,746,581
904764AJ6	UNILEVER CAPITAL CORP		3.65		2/15/2014		24,000,000		23,976,559		25,475,759
907818CV8	UNION PACIFIC CO		4.88		1/15/2015		1,150,000		1,157,160		1,248,715
91913YAQ3	VALERO ENERGY CORPORATION		4.50		2/1/2015		325,000		324,201		332,482
92343VAN4	VERIZON COMMUNICATIONS INC.		5.25		4/15/2013		4,000,000		3,925,874		4,369,265
92344SAJ9	CELLCO PARTNERSHIP/VERIZON WIR		7.38		11/15/2013		4,550,000		4,837,092		5,329,226
92344SAP5	CELLCO PARTNERSHIP/VERIZON WIR		5.55		2/1/2014		6,150,000		6,120,995		6,845,856
92344SAT7	CELLCO PARTNERSHIP/VERIZON WIR		3.75		5/20/2011		8,275,000		8,272,115		8,481,560
931142CN1	WAL-MART STORES INC		3.00		2/3/2014		4,000,000		3,986,542		4,172,397
931142CQ4	WAL-MART STORES INC		3.20		5/15/2014		29,800,000		29,796,843		31,404,415
98235TAA5	WRIGHT MEDICAL GRP INC.		2.63		12/1/2014		1,400,000		1,250,354		1,209,250
982526AF2	WM. WRIGLEY JR. COMPANY		2.45		6/28/2012		2,000,000		1,999,343		2,002,976
983024AA8	WYETH		5.50		3/15/2013		5,000,000		5,297,382		5,515,862

23

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

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
984121BS1	XEROX CREDIT CORPORATION		5.50		5/15/2012		1,550,000		1,648,557		1,648,485
034863AA8	ANGLO AMERICAN CAPITAL PLC		9.38		4/8/2014		6,980,000		7,813,936		8,354,170
055451AG3	BHP BILLITON FINANCE (USA) LTD		5.50		4/1/2014		3,000,000		2,992,285		3,350,311
067316AA7	BACARDI LTD		7.45		4/1/2014		12,100,000		12,091,416		14,020,969
15135UAA7	CENOVUS ENERGY INC		4.50		9/15/2014		1,350,000		1,348,873		1,435,694
22303QAJ9	COVIDIEN INTERNATIONAL FINANCE		1.88		6/15/2013		5,000,000		4,994,016		5,028,293
22303QAK6	COVIDIEN INTERNATIONAL FINANCE		2.80		6/15/2015		18,800,000		18,807,442		18,986,645
25243YAK5	DIAGEO CAPITAL PLC		5.13		1/30/2012		3,919,000		4,147,817		4,144,908
25244SAD3	DIAGEO FINANCE BV		5.50		4/1/2013		4,500,000		4,933,188		4,946,165
44920UAB4	HYUNDAI CAP SVC		6.00		5/5/2015		2,000,000		2,002,161		2,142,680
73755LAF4	POTASH CORPORATION OF SASKETCH		6.50		5/15/2019		1,000,000		1,020,720		1,170,167
75405UAE6	RAS LAFFAN LNG 3		4.50		9/30/2012		825,000		824,862		857,117
758202AF2	REED ELSEVIER PLC		7.75		1/15/2014		16,325,000		16,299,465		18,912,628
767201AE6	RIO TINTO FINANCE USA LIMITED		5.88		7/15/2013		2,500,000		2,724,035		2,735,569
77509NAD5	ROGERS CABLE INC.		7.88		5/1/2012		9,675,000		10,013,940		10,753,591
77509NAH6	ROGERS CABLE INC.		6.25		6/15/2013		625,000		691,741		696,318
77509NAK9	ROGERS COMMUN INC.		5.50		3/15/2014		10,000,000		10,950,616		11,000,884
822582AF9	SHELL INTL FINAN		4.00		3/21/2014		1,000,000		1,020,632		1,057,887
822582AG7	SHELL INTL FINAN		1.30		9/22/2011		1,250,000		1,249,969		1,257,249
822582AQ5	SHELL INTL FINAN		3.10		6/28/2015		19,500,000		19,486,566		19,784,053
85771SAB2	STATOIL ASA		3.88		4/15/2014		16,000,000		15,994,683		16,935,610
87938WAJ2	TLEFONICA EMISNS		4.95		1/15/2015		37,130,000		39,406,369		38,821,212
88166CAA6	TEVA PHARMACEUTICAL FINANCE II		3.00		6/15/2015		13,875,000		13,857,908		14,146,853
893526CC5	TRANSCANADA PIPELINES LIMITED		8.63		5/15/2012		11,675,000		12,421,533		13,191,065
92857WAP5	VODAFONE GROUP PLC		5.63		2/27/2017		25,000,000		26,949,399		27,346,552
							1,024,546,000		1,043,632,820		1,100,162,947
Corporate Securities — Utilities
037735CQ8	APPALACHIAN POWER COMPANY		3.40		5/24/2015		1,075,000		1,072,121		1,080,025
209111DJ9	CONSOLIDATED EDISON CO OF NY		7.50		9/1/2010		1,000,000		1,002,415		1,010,465
209111DZ3	CONSOLIDATED EDISON CO OF NY		5.63		7/1/2012		550,000		539,331		595,411
209111EA7	CONSOLIDATED EDISON CO OF NY		4.88		2/1/2013		3,000,000		3,239,545		3,240,648
22282EAA0	COVANTA HOLDING CORP		1.00		2/1/2027		2,000,000		1,888,508		1,855,000
264399EQ5	DUKE ENERGY CORP		6.30		2/1/2014		11,150,000		11,134,475		12,595,225
26875PAF8	EOG RESOURCES INC		2.95		6/1/2015		2,225,000		2,220,524		2,266,312
291011AT1	EMERSON ELECTRIC CO		4.50		5/1/2013		1,000,000		976,699		1,087,608
302570AV8	FPL GROUP CAPITAL INC		5.63		9/1/2011		1,000,000		988,383		1,049,621
373334FN6	GEORGIA POWER COMPANY		5.13		11/15/2012		1,250,000		1,247,114		1,355,344
373334JM4	GEORGIA POWER COMPANY		6.00		11/1/2013		1,000,000		1,128,622		1,128,747
45138LAK9	IDAHO POWER COMPANY		4.75		11/15/2012		1,750,000		1,708,861		1,865,255
461070AH7	INTERSTATE POWER & LIGHT CO		3.30		6/15/2015		3,000,000		2,990,894		3,034,800
494550BE5	KINDER MORGAN ENERGY PARTNERS		5.30		9/15/2020		1,375,000		1,374,464		1,412,832
559080AA4	MAGELLAN MIDSTREAM PARTNERS LP		6.45		6/1/2014		15,550,000		15,104,490		17,127,833
595620AD7	MIDAMERICAN ENERGY HOLDINGS CO		4.65		10/1/2014		25,800,000		25,953,251		27,811,285
67021CAB3	NSTAR ELEC CO		4.88		4/15/2014		5,000,000		5,260,637		5,446,341
69331CAE8	PG&E CORPORATION		5.75		4/1/2014		10,000,000		9,958,510		11,119,876
694308GP6	PACIFIC GAS AND ELECTRIC CO		6.25		12/1/2013		13,000,000		12,931,617		14,844,301
695114BU1	PACIFICORP		6.90		11/15/2011		1,000,000		1,006,702		1,076,283
737679CW8	POTOMAC ELECTRIC POWER COMPANY		4.95		11/15/2013		1,200,000		1,099,516		1,316,940
743263AD7	PROGRESS ENERGY INC		7.10		3/1/2011		10,700,000		10,862,866		11,115,735
743263AM7	PROGRESS ENERGY INC.		6.05		3/15/2014		10,000,000		10,168,216		11,175,012
744448BU4	PUBLIC SERVICE COLORADO		7.88		10/1/2012		8,770,000		9,357,791		9,986,761
74451PAA1	PUB SERV NC INC		6.63		2/15/2011		1,550,000		1,569,940		1,599,135
74456QAW6	PUBLIC SERVICE ELECTRIC & GAS		2.70		5/1/2015		1,075,000		1,073,126		1,084,951
806860AA0	SCHLUMBERGER TECH CORP		6.50		4/15/2012		5,150,000		5,542,415		5,611,990
842434CA8	SOUTHERN CALIFORNIA GAS CO		4.80		10/1/2012		700,000		683,608		747,478
842587CE5	SOUTHERN COMPANY		4.15		5/15/2014		13,675,000		13,685,375		14,453,070
84755TAB3	SPECTRA ENERGY CAPITAL LLC		5.90		9/15/2013		2,650,000		2,882,246		2,875,628
96950FAA2	WILLIAMS PRTNRS		3.80		2/15/2015		5,000,000		5,013,099		4,990,297
268317AA2	ELECTRICITE DE FRANCE		5.50		1/26/2014		19,900,000		19,841,440		22,037,194
29268BAA9	ENEL FINANCE INTERNATIONAL SA		5.70		1/15/2013		15,000,000		15,012,702		16,006,253
29268BAE1	ENEL FINANCE INTERNATIONAL SA		5.13		10/7/2019		28,000,000		27,883,856		27,837,762

24

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

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
50065LAA8	KOREA NATIONAL OIL CORP		5.38		7/30/2014		1,005,000		999,490		1,066,235
893526DH3	TRANSCANADA PIPELINES LIMITED		3.40		6/1/2015		4,250,000		4,249,181		4,377,080
89352HAA7	TRANS-CANADA PIPELINES		4.00		6/15/2013		5,300,000		5,296,225		5,612,411
500635AB3	KOREA GAS CORP		6.00		7/15/2014		675,000		670,315		732,251
							236,325,000		237,618,568		253,629,395
Asset-backed Securities — Credit Cards
05522RAR9	BACCT		4.72		5/15/2013		12,000,000		11,958,838		12,220,451
05522RBS6	BACCT		0.93		4/15/2013		1,701,000		1,701,000		1,703,211
161571AT1	CHAIT		0.39		10/15/2012		131,000		130,862		130,987
161571CH5	CHAIT		5.12		10/15/2014		15,600,000		16,085,117		16,949,088
17305ECU7	CCCIT		4.75		10/22/2012		500,000		506,571		505,716
17305EER2	CCCIT		2.25		12/23/2014		10,000,000		10,112,900		10,206,400
55264TCA7	MBNAS		0.54		12/17/2012		327,000		326,020		327,000
G0501WAD8	ARRAN		0.59		12/15/2012		240,000		240,000		238,056
							40,499,000		41,061,308		42,280,910
Asset-backed Securities — Auto receivables
06052FAC4	BAAT_09-2		2.13		9/15/2013		50,000,000		49,999,669		50,500,000
06052MAC9	BAAT		1.31		7/15/2014		2,300,000		2,299,937		2,300,460
09657MAC2	BMWLT_10-1		1.39		4/25/2014		1,350,000		1,349,974		1,347,246
13974CAE8	CARAT		5.39		2/18/2014		2,000,000		1,969,198		2,060,800
14312XAC5	CARMX		4.99		10/15/2012		4,000,000		3,996,751		4,129,760
14313CAC0	CARMX_10-1		1.56		7/15/2014		1,500,000		1,499,813		1,508,640
14313EAC6	CARMX_10-2		1.00		2/16/2015		10,000,000		9,999,815		9,999,800
233889AE4	DCAT		4.71		9/10/2012		4,759,039		4,697,204		4,842,465
34529GAF2	FORDO_09-D		2.17		10/15/2013		32,000,000		31,997,598		32,432,899
34529HAC7	FORDO		1.51		1/15/2014		2,650,000		2,649,652		2,654,611
43812BAG8	HAROT_10-1		1.25		10/21/2013		2,500,000		2,499,711		2,498,975
43812TAD6	HAROT		4.88		9/18/2014		2,250,000		2,181,852		2,338,605
43812WAC1	HONDA AUTO RECIEVABLES OWNER T		2.31		5/15/2013		1,750,000		1,749,827		1,777,086
587682AC9	MBART_10-A		1.42		8/15/2014		1,050,000		1,049,814		1,044,750
							118,109,039		117,940,816		119,436,097
Asset-backed Securities — Student Loans
00432CAZ4	AGSL_03-1		0.75		12/26/2035		4,100,000		3,701,357		3,695,125
00432CBB6	AGSL_03-1		0.53		12/26/2035		3,600,000		3,213,576		3,208,500
00432CBP5	AGSL_03-1		1.73		12/27/2032		5,350,000		4,684,895		4,661,188
194262CD1	COLLE_04-1		0.48		4/25/2021		20,500,000		20,318,215		20,295,000
28140VAB9	EFCT_04-1		0.70		12/15/2022		5,714,174		5,643,494		5,670,392
429827AB4	HEF_10-401		4.40		1/1/2044		2,100,000		1,735,277		1,827,000
429827AE8	HIGHER EDUCATION FUNDING HEF_0		4.44		1/1/2044		2,100,000		1,732,647		1,827,000
429827AF5	HEF_10-401		4.40		1/1/2044		2,100,000		1,731,422		1,827,000
429827AJ7	HIGHER EDUCATION FUNDING HEF_0		4.42		1/1/2044		2,100,000		1,732,955		1,827,000
429827AK4	HIGHER EDUCATION FUNDING HEF_0		0.99		1/1/2044		2,300,000		1,893,535		2,001,000
429827AN8	HEF_04-1		—		1/1/2044		2,100,000		1,733,624		1,722,000
429827AQ1	HEF_04-1		4.46		1/1/2044		2,950,000		2,422,716		2,419,000
64032EAA5	NELNET		0.51		11/27/2018		882,511		882,510		870,818
71722TAF1	PHEAA_04-1		1.73		4/25/2044		2,000,000		1,815,289		1,840,000
71722TAG9	PHEAA_04-1		1.85		4/25/2044		6,000,000		5,451,577		5,400,000
78442GHW9	SLMA		1.25		12/15/2016		22,350,000		22,298,227		22,337,672
78442GHZ2	SLMA		1.70		12/15/2016		5,000,000		5,000,000		4,997,242
78442GJA5	REP FHLP		1.84		12/15/2016		3,000,000		3,000,000		2,998,345
78442GJD9	REP FHLP		1.70		12/15/2016		54,650,000		54,163,444		54,619,855
78442GQR0	SLMA		1.07		1/25/2028		425,000		430,264		414,659
78443DAA0	SLMA		0.57		9/15/2022		356,394		356,394		345,086
78443YAA4	SLMA		0.31		10/27/2014		41,551		41,551		41,542
86386MAD6	STUDENT LOAN CON		—		3/1/2042		14,300,000		13,080,619		12,155,000
86386MAE4	STUDENT LOAN CON		0.10		3/1/2042		14,400,000		13,152,356		12,240,000
86386MAK0	STUDENT LOAN CON		1.85		7/1/2042		12,400,000		11,306,518		10,540,000
86386MAM6	STUDENT LOAN CON		—		7/1/2042		4,300,000		3,921,180		3,655,000
86386MAR5	STUDENT LOAN CON		1.85		7/1/2042		9,100,000		8,291,102		7,735,000
86386MAS3	STUDENT LOAN CON		1.85		7/1/2042		9,000,000		8,198,804		7,650,000
86386MAT1	SLCC_02-2		—		7/1/2042		11,000,000		10,020,805		9,350,000

25

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

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
86386MAU8	STUDENT LOAN CON		1.85		7/1/2042		8,900,000		8,104,123		7,565,000
90342NAW7	CNH		0.89		9/1/2019		38,593,158		38,520,062		38,593,158
							271,712,787		258,578,540		254,328,581
Asset-backed Securities — CLO’s
30250GAA6	SSGN_10-S1		0.90		2/25/2048		8,945,693		8,954,020		8,979,239
16208NAA3	CHAT		0.59		8/3/2019		29,707,265		26,984,444		27,844,946
48248CAA2	KKR FINANCIAL CLO LTD KKR_07-1		0.79		5/15/2021		12,619,306		11,538,191		11,388,924
BRS6DUE27	STANFIELD VEYRON		0.52		7/15/2018		25,000,000		23,866,795		23,142,500
00083VAA9	ACASC_07-1		0.54		4/20/2021		6,750,000		5,917,744		5,960,851
04010HAB8	ARES CLO FUNDS ARES		0.78		9/18/2017		9,862,007		8,972,503		9,078,057
04010HAC6	ARES_05-10A		0.78		9/18/2017		24,580,000		22,509,998		22,564,194
04011XAB2	ARES		0.73		2/24/2018		21,390,634		19,349,307		19,913,675
04011XAC0	ARES		0.73		2/24/2018		22,849,087		20,598,217		21,271,426
042423AA1	ARMST		0.89		8/1/2016		8,032,200		7,715,643		7,722,551
363206AF0	GALE		0.54		4/19/2021		10,000,000		8,752,126		9,105,550
482474AA1	KKR FINANCIAL CLO LTD KKR_05-1		0.59		4/26/2017		1,000,000		909,124		922,500
51506DAA1	LANDM_04-1A		0.89		12/15/2016		25,648,414		24,118,921		23,588,487
69510WAA5	PCDO		0.58		1/26/2020		7,651,489		6,939,645		7,024,962
							214,036,095		197,126,677		198,507,861
Asset-backed Securities — Other
12612AAC6	CNH_09-C		1.85		12/16/2013		1,400,000		1,399,981		1,414,472
12612BAC4	CNH_10-A		1.54		7/15/2014		1,900,000		1,899,745		1,910,982
15200MAA5	CNP		4.19		2/1/2020		3,341,201		3,612,804		3,585,109
15200NAA3	CNP		1.83		2/15/2016		2,500,000		2,499,957		2,508,000
29365KAA1	ETI		2.12		2/1/2016		1,400,000		1,399,945		1,415,638
36829KAC2	GESET		1.92		7/15/2016		4,000,000		3,999,652		4,021,160
477874AC5	JDOT_09		2.59		10/15/2013		1,667,120		1,685,734		1,687,559
47787AAD9	JDOT_10-A		1.32		5/15/2014		1,450,000		1,449,805		1,455,075
542388AD5	LBART_06-A		5.50		5/15/2013		13,612,231		13,720,682		13,703,790
57164TAA6	MVCOT		1.05		12/20/2024		95,200		95,200		91,814
57164XAA7	MVCOT 2009-2A		4.81		7/20/2031		8,249,503		8,249,381		8,356,087
705220AM3	PECO ENERGY TRANS TR		6.52		12/31/2010		243,134		243,520		245,575
75953MAD2	CENTERPOINT ENERGY TRANSITION		5.63		9/15/2015		7,120,993		7,357,536		7,646,665
826502AA4	SRFC		5.27		3/20/2019		658,906		581,412		676,440
82651KAA3	SRFC		4.52		8/20/2026		3,662,557		3,662,223		3,666,220
493897AB8	KDRE		0.60		12/10/2043		148,198		148,204		140,788
525221FY8	LXS		0.55		1/25/2036		177,101		173,718		160,759
82651AAA5	SRFC		5.37		9/20/2019		1,679,447		1,476,879		1,726,656
82651CAA1	SRFC		9.79		12/22/2025		942,192		942,126		966,755
							54,247,784		54,598,504		55,379,543
State and Municipal
021087QU8	ALPINE UTAH SCH DIST		4.00		3/15/2011		4,775,000		4,797,029		4,899,675
04057PFH6	ARIZONA SCH FACS BRD CTFS PART		5.00		9/1/2019		1,775,000		1,696,791		1,891,777
040654MP7	ARIZONA ST TRANSN BRD		5.00		7/1/2020		500,000		481,705		550,415
040654NY7	ARIZONA ST TRANSN BRD		5.00		7/1/2021		1,500,000		1,424,425		1,641,180
040688GV9	ARIZONA WTR INFRASTRUCTURE FIN		5.00		10/1/2021		1,000,000		953,780		1,109,950
044074BZ4	ASHEVILLE N C		5.00		8/1/2019		2,000,000		1,947,995		2,232,860
058508AN2	BALL ST UNIV IND		5.00		7/1/2018		1,900,000		1,878,255		2,080,842
071365ZL7	BATTLE CREEK MICH		5.00		5/1/2011		2,025,000		2,050,637		2,082,470
108151UZ2	BRIDGEPORT CONN		6.00		7/15/2017		750,000		751,033		758,565
126775RR8	CABARRUS CNTY N C		5.00		2/1/2018		500,000		499,374		585,710
13063A4V3	STATE OF CALIFORNIA		5.75		4/1/2031		1,250,000		1,295,174		1,325,063
144470AR2	CARRIER CREEK MICH DRAIN DIST		5.00		6/1/2022		1,000,000		922,735		1,080,580
162419AF2	CHATTANOOGA TENN INDL DEV BRD		5.00		10/1/2011		2,000,000		2,008,757		2,022,020
165573QR0	CHESTER CNTY PA		5.00		8/15/2022		1,000,000		954,211		1,090,750
181059BM7	CLARK CNTY NEV SCH DIST FOR IS		5.00		6/15/2017		1,500,000		1,495,909		1,653,240
184126UY4	CLAYTON CNTY & CLAYTON CNTY GA		5.00		5/1/2020		2,000,000		1,898,930		2,183,860
189194CL5	CLOVERDALE IND MULTI-SCH BLDG		5.00		7/15/2019		1,365,000		1,324,885		1,489,570
199491RW3	COLUMBUS OHIO		5.50		7/1/2012		500,000		516,859		549,020
20774UWJ0	CONNECTICUT ST HEALTH & EDL FA		5.00		7/1/2010		1,125,000		1,125,000		1,125,000

26

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

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
207758AY9	CONNECTICUT ST SPL TAX OBLIG R		5.00		7/1/2019		650,000		621,702		723,145
2131838D1	COOK CNTY ILL		5.00		11/15/2019		1,000,000		957,924		1,087,070
230822PL6	CUMBERLAND VALLEY PA SCH DIST		5.00		11/15/2020		1,300,000		1,239,242		1,395,784
231266DM6	CURATORS UNIV MO SYS FACS REV		5.00		11/1/2021		2,000,000		1,853,633		2,163,680
235308KE2	DALLAS TEX INDPT SCH DIST		5.00		8/15/2021		1,605,000		1,523,587		1,773,974
249164HG2	DENVER COLO CITY & CNTY		5.00		8/1/2021		2,000,000		1,904,520		2,246,360
2491817F9	DENVER COLO CITY & CNTY ARPT R		5.00		11/15/2010		3,000,000		2,998,470		3,039,390
250119BY9	DES MOINES IOWA MET WASTEWATER		5.00		6/1/2019		1,045,000		1,009,585		1,154,516
251255C94	DETROIT MICH WTR SUPPLY SYS		5.50		7/1/2033		2,000,000		2,047,603		2,124,420
294223LN0	EPHRATA PA AREA SCH DIST		5.00		3/1/2019		500,000		480,962		540,485
346604FJ5	FORSYTH CNTY GA SCH DIST		5.00		2/1/2020		1,430,000		1,373,984		1,571,756
349545C76	FORT ZUMWALT MO SCH DIST		5.00		3/1/2020		2,245,000		2,185,494		2,486,046
365653GZ1	GARFIELD CNTY COLO SCH DIST NO		5.00		12/1/2020		1,610,000		1,543,810		1,800,205
385244HG6	GRAND BLANC MICH CMNTY SCHS		5.00		5/1/2020		1,000,000		964,274		1,073,030
406036EP4	HALL CNTY NEB SCH DIST NO 2 GR		5.00		12/15/2019		1,080,000		1,049,371		1,205,485
4140033N1	HARRIS CNTY TEX		—		8/15/2011		8,140,000		7,800,305		8,071,787
41981VBQ0	HAWAII ST HSG & CMNTY DEV CORP		4.40		1/1/2033		305,000		254,613		312,900
438670VP3	HONOLULU HAWAII CITY & CNTY		3.00		7/1/2010		1,485,000		1,485,000		1,485,000
438670VQ1	HONOLULU HAWAII CITY & CNTY		3.00		7/1/2010		515,000		515,000		515,000
468312DN0	JACKSON MICH PUB SCHS		5.00		5/1/2020		1,000,000		958,396		1,061,600
48542KHX0	KANSAS ST DEV FIN AUTH REV		5.00		11/1/2020		2,000,000		1,903,061		2,202,480
48542KNH8	KANSAS ST DEV FIN AUTH REV		5.00		6/1/2012		500,000		511,149		539,475
49151EXA6	KENTUCKY ST PRP & BLDG COM		5.00		10/1/2017		565,000		561,880		643,586
49474EWA7	KING CNTY WASH		4.00		1/1/2011		3,000,000		3,008,515		3,055,710
508205GV7	LAKE COOK KANE AND MCHENRY CNT		5.00		12/1/2016		2,385,000		2,418,945		2,754,293
567505GY2	MARICOPA CNTY ARIZ UN HIGH SCH		5.13		7/1/2016		1,125,000		1,153,263		1,301,558
5741924V9	MARYLAND ST		5.00		11/1/2017		5,000,000		5,876,568		5,936,450
575579RS8	MASSACHUSETTS BAY TRANSN AUTH		5.00		7/1/2020		35,000		35,206		41,660
575579SL2	MASSACHUSETTS BAY TRANSN AUTH		5.00		7/1/2020		1,575,000		1,504,455		1,803,659
57582PDK3	MASSACHUSETTS ST		0.69		11/1/2018		2,000,000		1,484,117		1,787,500
57583PDB2	MASSACHUSETTS ST FED HWY		5.75		6/15/2011		3,250,000		3,280,060		3,326,635
576000AK9	MASSACHUSETTS ST SCH BLDG AUTH		5.00		8/15/2010		2,000,000		2,004,450		2,011,620
576000BE2	MASSACHUSETTS ST SCH BLDG AUTH		5.00		8/15/2022		2,000,000		1,878,637		2,182,540
586158KZ9	MEMPHIS TENN ELEC SYS REV		5.00		12/1/2014		2,000,000		2,021,080		2,263,920
602248AR7	MILWAUKEE CNTY WIS ARPT REV		6.00		12/1/2017		1,675,000		1,675,339		1,709,371
603827EJ1	MINN & ST PAUL MET ARPTS REV		5.25		1/1/2026		2,000,000		2,020,004		2,050,220
615401JW7	MOON AREA SCH DIST PA		5.00		11/15/2018		1,360,000		1,343,910		1,496,558
625574HL5	MULTNOMAH CNTY ORE SCH DIST NO		5.00		6/15/2018		500,000		491,110		577,480
644682UL8	NEW HAMPSHIRE ST		5.00		6/1/2017		1,730,000		1,723,205		2,037,162
64468TRZ2	NEW HAMPSHIRE ST HSG FIN AUTH		5.88		7/1/2021		60,000		53,401		61,995
64983QWY1	NEW YORK ST DORM AUTH REVS NON		5.00		8/1/2018		2,000,000		1,980,374		2,263,000
650013T21	NEW YORK ST TWY AUTH		5.00		4/1/2019		2,000,000		1,938,007		2,234,780
650034X89	NEW YORK ST URBAN DEV CORP		5.50		3/15/2017		2,050,000		2,111,104		2,422,301
656491KZ9	NORRISTOWN PA AREA SCH DIST		5.00		9/1/2021		1,000,000		1,025,514		1,111,370
658256E32	NORTH CAROLINA ST		—		5/1/2017		5,000,000		5,876,795		5,893,300
663903CA8	NORTHEAST OHIO REGL SWR DIST W		5.00		11/15/2016		1,900,000		1,940,475		2,219,086
677520SW9	OHIO ST		5.00		11/1/2020		2,000,000		1,906,748		2,209,800
677632HM6	OHIO ST UNIV		5.00		6/1/2011		2,000,000		2,024,527		2,084,340
67766WGU0	OHIO ST WTR DEV AUTH		5.25		12/1/2019		1,970,000		1,974,361		2,362,917
680616PF0	OLENTANGY LOC SCH DIST OHIO		5.00		12/1/2017		2,000,000		2,006,099		2,276,300
681793T88	OMAHA PUB PWR DIST NEB ELEC RE		5.00		2/1/2018		2,000,000		1,970,305		2,215,520
718814CX2	PHOENIX ARIZ		7.00		7/1/2010		1,350,000		1,350,000		1,350,000
721799PX6	PIMA CNTY ARIZ UNI SCH DIST NO		7.50		7/1/2010		500,000		500,000		500,000
742633PD6	PRIOR LAKE MINN INDPT SCH DIST		5.00		2/1/2020		1,195,000		1,165,722		1,307,007
759136LA0	REGIONAL TRANSN DIST COLO		5.00		11/1/2017		1,550,000		1,550,014		1,755,003
780427KA7	ROYAL OAK CITY MICH SCH DIST		5.00		5/1/2019		2,000,000		1,922,427		2,202,460
7832434J4	RUTHERFORD CNTY TENN		5.00		6/1/2018		1,430,000		1,431,463		1,621,005
795560AR2	SALT LAKE & SANDY UTAH		5.00		7/1/2020		1,820,000		1,730,286		1,952,059
802072KA5	SANTA FE N M GROSS RCPTS TAX		5.00		6/1/2019		2,000,000		1,925,401		2,136,220
806640PN2	SCHERTZ-CIBOLO-UNVL CITY TEX I		5.00		2/1/2020		2,025,000		1,930,115		2,215,229
837562KS5	SOUTH DAKOTA ST UNIV		5.00		4/1/2020		1,545,000		1,460,525		1,617,167

27

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

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
88283LCS3	TEXAS TRANSN COMMN ST HWY FD		5.00		4/1/2022		2,000,000		1,887,488		2,187,140
914119HX3	UNIVERSITY CINCINNATI OHIO		5.00		6/1/2018		2,015,000		1,947,155		2,190,466
914437PF9	UNIVERSITY MASS BLDG AUTH		5.00		11/1/2019		1,530,000		1,460,751		1,656,470
915506KJ7	UPPER ARLINGTON OHIO CITY SCH		5.00		12/1/2021		1,250,000		1,181,964		1,352,913
927749DT5	VIRGINIA BEACH VA		5.00		10/1/2019		1,735,000		1,694,200		1,911,692
92817LEM1	VIRGINIA ST RES AUTH CLEAN WTR		5.00		10/1/2010		2,000,000		2,010,498		2,023,880
938234MJ7	WASHINGTON CNTY ORE		5.00		6/1/2020		1,035,000		991,691		1,152,762
93974A7Q1	WASHINGTON STATE		5.00		1/1/2020		2,000,000		1,916,826		2,178,280
967338KS2	WICHITA KANS		5.00		10/1/2010		2,000,000		2,009,105		2,020,940
971567KU5	WILMINGTON DEL		5.00		6/1/2017		1,000,000		998,962		1,164,280
13063BFQ0	CALIFORNIA ST		5.75		3/1/2017		17,000,000		17,600,117		17,676,261
419791YH5	HAWAII ST		3.38		2/1/2016		2,575,000		2,587,711		2,674,138
4521518T3	ILLINOIS ST		3.32		1/1/2013		12,000,000		12,147,654		11,923,800
4521518V8	ILLINOIS ST		4.42		1/1/2015		12,620,000		12,647,000		12,536,835
606072KP0	MISSOURI HIGHER ED LN AUTH STU		1.45		11/26/2032		14,566,969		14,556,891		14,763,623
63968AQF5	NEBRASKA PUB PWR DIST		4.85		1/1/2014		6,500,000		6,500,000		6,939,595
83714RBA0	SOUTH CAROLINA STUDENT LN		0.63		12/2/2019		15,000,000		14,609,163		14,787,000
864784BK8	SUFFOLK CNTY N Y WTR AUTH WTRW		5.50		6/1/2035		500,000		485,471		504,805
98458PAB1	YALE UNIVERSITY		2.90		10/15/2014		1,400,000		1,397,477		1,448,866
							235,196,969		234,089,701		249,010,657
Total Fixed Income Securities							7,098,052,671		6,804,813,220		7,031,827,076
Equities
00163T109	AMB PROP CORP		—				76,000		1,976,378		1,801,960
018802108	ALLIANT ENERGY CORP		—				48,200		1,597,819		1,529,868
024835100	AMER CMPS COMM		—				61,900		1,711,750		1,689,251
03761U106	APOLLO INVSTMNT		—				150,900		1,725,532		1,407,897
03836W103	PHILADELPHIA SUBURBAN CORPORAT		—				82,500		1,498,542		1,458,600
053484101	AVALONBAY COMMUNITIES INC		—				12,200		1,113,525		1,139,114
098536105	BONAVISTA ENERGY TRUST		—				2,100		49,162		45,077
126132109	CNOOC LTD.		—				7,000		1,159,984		1,191,190
15135U109	CENOVUS ENERGY INC		—				56,300		1,581,900		1,451,977
16941M109	CHINA MOBILE HONG KONG LIMITED		—				26,000		1,285,532		1,284,660
17133Q106	CHUNGHWA TELECOM CO. LTD.		—				51,600		1,008,065		1,016,004
22576C101	CRESCENT POINT ENERGY CORP		—				47,100		1,824,598		1,644,068
253868103	DIGITAL REALTY		—				15,000		823,810		865,200
264411505	DUKE REALTY CORP		—				134,500		1,590,139		1,526,575
29250X103	ENBRIDGE ENERGY MANAGEMENT L.L		—				24,001		1,199,664		1,224,041
30161N101	EXELON CORPORATION		—				38,000		1,643,542		1,442,860
351858105	FRANCO NEVADA CORP		—				50,000		1,407,601		1,524,491
478160104	JOHNSON & JOHNSON		1.66				23,900		1,528,295		1,411,534
49455U100	KINDER MORGAN MANAGEMENT LLC		—				14,473		824,225		819,041
595017104	MICROCHIP TECHNOLOGY INC		—				45,000		1,290,929		1,248,300
636274300	NATIONAL GRID PLC		—				31,900		1,499,334		1,174,877
638620104	NATIONWIDE HLTH PROPERTIES INC		—				48,000		1,684,895		1,716,960
646025106	NEW JERSEY RESOURCES		1.72				35,000		1,299,929		1,232,000
649445103	NEW YORK COMMUNITY BANCORP INC		—				62,500		1,024,067		954,375
654445303	NINTENDO CO LTD		—				41,500		1,537,131		1,544,713
655844108	NORFOLK SOUTHERN CORPORATION		0.32				30,500		1,741,930		1,618,025
664397106	NORTHEAST UTILITIES		—				50,600		1,384,790		1,289,288
67019E107	NSTAR		—				32,900		1,184,929		1,151,500
69331C108	PG&E CORPORATION		—				37,500		1,596,238		1,541,250
718172109	PHILIP MORRIS INTERNATIONAL IN		—				35,000		1,720,910		1,604,400
718252604	PHILIPPINE LONG DISTANCE TEL C		—				23,000		1,296,628		1,172,310
743263105	PROGRESS ENERGY INC		—				30,300		1,193,303		1,188,366
754907103	RAYONIER INC.		1.08				36,000		1,653,544		1,584,720
780287108	ROYAL GOLD INC		—				35,800		1,775,980		1,718,400
847560109	SPECTRA ENERGY CORP		—				71,500		1,583,476		1,435,005
872375100	TECO ENERGY INC.		—				110,000		1,786,849		1,657,700
89151E109	TOTAL SA		—				28,300		1,536,221		1,263,312

28

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

Cusip	Security Description	Coupon		Maturity	Par		Book Value $		Market Value $
904784709	UNILEVER N.V.		1.19			69,000		2,014,051		1,885,080
911312106	UNITED PARCEL SERV INC		—			20,400		1,334,054		1,160,556
962166104	WEYERHAEUSER COMPANY		2.40			20,600		933,299		725,120
98156Q108	WORLD WRESTLING ENTERTAINMENT		—			99,200		1,716,523		1,543,552
98389B100	XCEL ENERGY INC		—			69,800		1,494,949		1,438,578
G5299G106	KNIGHTSBRIDGE TANKERS LTD		—			45,500		805,847		800,345
Q3944W187	FOSTERS GROUP LTD		—			400,000		1,967,938		1,908,909
S62435862	SINGAPORE AIRPORT TERMINAL SER		—			265,000		516,389		508,703
SB01CGS48	BONAVISTA ENERGY TRUST		—			56,900		1,354,768		1,224,602
SB01DC129	ARC ENERGY TRUST		—			67,100		1,436,319		1,244,705
SB01DF023	CDN OIL SAND		—			61,800		1,760,782		1,569,701
SB0D6P437	MAPLETREE LG TR		—			800,000		491,502		478,476
SB296MJ50	LIPPO MAPLETREE INDONESIA RETA		—			1,558,400		536,013		530,220
SB67C8W83	CRESCENT POINT ENERGY CORP		—			900		35,000		31,472
SBOTLGM70	GZI REAL ESTATE INVESTMENT TRU		—			3,373,000		1,437,217		1,425,062
Y0205X103	ASCENDAS REAL ESTATE INVESTMEN		—			1,246,700		1,733,541		1,625,237
91912F201	VALE CAPITAL II		—			3,000		218,945		210,750
G16962204	BUNGE LTD		—			14,900		1,302,683		1,235,955
313400657	FHLMC		1.50			160,000		46,400		52,800
						10,039,174		73,477,365		69,168,732

29