Exhibit 99.3
Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 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 | 3,786,896 | 4,804,901 | ||||||||||||||||
9128276R8 | UNITED STATES TREASURY | 3.50 | 1/15/2011 | 10,000,000 | 12,669,215 | 12,645,489 | ||||||||||||||||
912828CP3 | UNITED STATES TREASURY | 2.00 | 7/15/2014 | 11,000,000 | 11,195,093 | 13,752,098 | ||||||||||||||||
912828FB1 | UNITED STATES TREASURY | 2.38 | 4/15/2011 | 10,000,000 | 11,143,967 | 11,122,712 | ||||||||||||||||
912828GX2 | UNITED STATES TREASURY | 2.63 | 7/15/2017 | 19,400,000 | 22,405,148 | 23,521,871 | ||||||||||||||||
912833JY7 | UNITED STATES TREASURY | — | 5/15/2012 | 600,000 | 560,656 | 597,546 | ||||||||||||||||
912810DW5 | UNITED STATES TREASURY | 7.25 | 5/15/2016 | 310,000 | 362,786 | 406,590 | ||||||||||||||||
912810EZ7 | UNITED STATES TREASURY | 6.63 | 2/15/2027 | 2,475,000 | 3,045,060 | 3,572,935 | ||||||||||||||||
912810QK7 | UNITED STATES TREASURY | 3.88 | 8/15/2040 | 300,000 | 315,442 | 310,173 | ||||||||||||||||
9128277L0 | UNITED STATES TREASURY | 4.88 | 2/15/2012 | 1,155,000 | 1,190,665 | 1,227,268 | ||||||||||||||||
912828AJ9 | UNITED STATES TREASURY | 4.38 | 8/15/2012 | 500,000 | 511,179 | 537,555 | ||||||||||||||||
912828AP5 | UNITED STATES TREASURY | 4.00 | 11/15/2012 | 2,465,000 | 2,579,015 | 2,653,203 | ||||||||||||||||
912828BA7 | UNITED STATES TREASURY | 3.63 | 5/15/2013 | 7,565,000 | 7,957,266 | 8,185,935 | ||||||||||||||||
912828BR0 | UNITED STATES TREASURY | 4.25 | 11/15/2013 | 335,000 | 349,385 | 372,326 | ||||||||||||||||
912828CA6 | UNITED STATES TREASURY | 4.00 | 2/15/2014 | 990,000 | 1,057,430 | 1,097,217 | ||||||||||||||||
912828CT5 | UNITED STATES TREASURY | 4.25 | 8/15/2014 | 2,740,000 | 2,823,560 | 3,090,254 | ||||||||||||||||
912828DM9 | UNITED STATES TREASURY | 4.00 | 2/15/2015 | 1,500,000 | 1,621,070 | 1,686,960 | ||||||||||||||||
912828DV9 | UNITED STATES TREASURY | 4.13 | 5/15/2015 | 500,000 | 545,075 | 566,815 | ||||||||||||||||
912828EE6 | UNITED STATES TREASURY | 4.25 | 8/15/2015 | 1,000,000 | 1,098,408 | 1,143,200 | ||||||||||||||||
912828EM8 | UNITED STATES TREASURY | 4.50 | 11/15/2010 | 1,700,000 | 1,699,962 | 1,708,976 | ||||||||||||||||
912828EN6 | UNITED STATES TREASURY | 4.50 | 11/15/2015 | 250,000 | 287,277 | 290,260 | ||||||||||||||||
912828EW6 | UNITED STATES TREASURY | 4.50 | 2/15/2016 | 1,000,000 | 1,113,244 | 1,160,560 | ||||||||||||||||
912828FA3 | UNITED STATES TREASURY | 4.75 | 3/31/2011 | 1,090,000 | 1,111,096 | 1,114,427 | ||||||||||||||||
912828FN5 | UNITED STATES TREASURY | 4.88 | 7/31/2011 | 4,500,000 | 4,612,450 | 4,671,720 | ||||||||||||||||
912828FY1 | UNITED STATES TREASURY | 4.63 | 11/15/2016 | 5,235,000 | 5,512,307 | 6,150,968 | ||||||||||||||||
912828GA2 | UNITED STATES TREASURY | 4.50 | 11/30/2011 | 1,050,000 | 1,090,321 | 1,100,978 | ||||||||||||||||
912828GC8 | UNITED STATES TREASURY | 4.63 | 12/31/2011 | 500,000 | 515,952 | 527,215 | ||||||||||||||||
912828GM6 | UNITED STATES TREASURY | 4.50 | 3/31/2012 | 1,025,000 | 1,073,843 | 1,089,134 | ||||||||||||||||
912828HA1 | UNITED STATES TREASURY | 4.75 | 8/15/2017 | 4,000,000 | 4,210,896 | 4,749,840 | ||||||||||||||||
912828HC7 | UNITED STATES TREASURY | 4.13 | 8/31/2012 | 1,000,000 | 1,053,072 | 1,071,210 | ||||||||||||||||
912828HH6 | UNITED STATES TREASURY | 4.25 | 11/15/2017 | 1,000,000 | 1,099,097 | 1,157,050 | ||||||||||||||||
912828HT0 | UNITED STATES TREASURY | 2.75 | 2/28/2013 | 5,000,000 | 5,148,382 | 5,272,200 | ||||||||||||||||
912828HV5 | UNITED STATES TREASURY | 2.50 | 3/31/2013 | 22,600,000 | 23,208,256 | 23,725,252 | ||||||||||||||||
912828HY9 | UNITED STATES TREASURY | 3.13 | 4/30/2013 | 1,200,000 | 1,245,674 | 1,280,340 | ||||||||||||||||
912828JH4 | UNITED STATES TREASURY | 4.00 | 8/15/2018 | 7,600,000 | 7,819,247 | 8,643,099 | ||||||||||||||||
912828JK7 | UNITED STATES TREASURY | 3.13 | 8/31/2013 | 1,525,000 | 1,584,433 | 1,635,440 | ||||||||||||||||
912828JQ4 | UNITED STATES TREASURY | 2.75 | 10/31/2013 | 1,500,000 | 1,499,543 | 1,594,890 | ||||||||||||||||
912828JZ4 | UNITED STATES TREASURY | 1.75 | 1/31/2014 | 6,000,000 | 5,978,500 | 6,198,240 | ||||||||||||||||
912828KC3 | UNITED STATES TREASURY | 1.38 | 2/15/2012 | 44,225,000 | 44,646,510 | 44,862,283 | ||||||||||||||||
912828KN9 | UNITED STATES TREASURY | 1.88 | 4/30/2014 | 750,000 | 746,662 | 777,930 | ||||||||||||||||
912828KY5 | UNITED STATES TREASURY | 2.63 | 6/30/2014 | 36,495,000 | 36,731,441 | 38,859,145 | ||||||||||||||||
912828LJ7 | UNITED STATES TREASURY | 3.63 | 8/15/2019 | 340,000 | 350,530 | 373,888 | ||||||||||||||||
912828LL2 | UNITED STATES TREASURY | 3.00 | 8/31/2016 | 17,200,000 | 17,207,255 | 18,562,410 | ||||||||||||||||
912828LQ1 | UNITED STATES TREASURY | 2.38 | 9/30/2014 | 1,700,000 | 1,699,969 | 1,794,554 | ||||||||||||||||
912828LZ1 | UNITED STATES TREASURY | 2.13 | 11/30/2014 | 150,000,000 | 149,077,865 | 156,793,499 | ||||||||||||||||
912828MA5 | UNITED STATES TREASURY | 2.75 | 11/30/2016 | 72,000,000 | 71,033,410 | 76,506,482 | ||||||||||||||||
912828MG2 | UNITED STATES TREASURY | 1.38 | 1/15/2013 | 5,000,000 | 4,970,215 | 5,099,300 | ||||||||||||||||
912828MJ6 | UNITED STATES TREASURY | 0.88 | 1/31/2012 | 5,250,000 | 5,255,060 | 5,288,220 | ||||||||||||||||
912828MM9 | UNITED STATES TREASURY | 0.75 | 11/30/2011 | 27,600,000 | 27,602,225 | 27,736,897 | ||||||||||||||||
912828MR8 | UNITED STATES TREASURY | 2.38 | 2/28/2015 | 31,000,000 | 31,049,664 | 32,701,897 | ||||||||||||||||
912828MZ0 | UNITED STATES TREASURY | 2.50 | 4/30/2015 | 11,400,000 | 11,636,868 | 12,086,508 | ||||||||||||||||
912828NB2 | UNITED STATES TREASURY | 1.00 | 4/30/2012 | 37,400,000 | 37,500,599 | 37,776,243 | ||||||||||||||||
912828NC0 | UNITED STATES TREASURY | 1.38 | 5/15/2013 | 64,600,000 | 64,841,571 | 65,946,269 | ||||||||||||||||
912828NE6 | UNITED STATES TREASURY | 0.75 | 5/31/2012 | 60,250,000 | 60,262,098 | 60,616,923 | ||||||||||||||||
912828NH9 | UNITED STATES TREASURY | 1.13 | 6/15/2013 | 50,400,000 | 50,254,351 | 51,119,709 | ||||||||||||||||
912828NN6 | UNITED STATES TREASURY | 1.00 | 7/15/2013 | 72,100,000 | 72,489,713 | 72,889,491 | ||||||||||||||||
912828NQ9 | UNITED STATES TREASURY | 0.63 | 7/31/2012 | 53,900,000 | 54,052,724 | 54,124,228 |
Page 1
Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010 |
Cusip | Security Description | Coupon | Maturity | Par | Book Value $ | Market Value $ | ||||||||||||||||
912828NU0 | UNITED STATES TREASURY | 0.75 | 8/15/2013 | 600,000 | 599,683 | 602,262 | ||||||||||||||||
912795VE8 | UNITED STATES TREASURY | — | 9/30/2060 | 105,000,000 | 104,801,338 | 104,801,338 | ||||||||||||||||
991,820,000 | 1,001,890,619 | 1,033,756,322 | ||||||||||||||||||||
U.S. Governement Agencies | ||||||||||||||||||||||
30769PAA0 | FARMER MAC | 5.50 | 7/15/2011 | 15,900,000 | 15,889,391 | 16,503,483 | ||||||||||||||||
31331S4Z3 | FEDERAL FARM CREDIT BANK | 4.50 | 8/8/2011 | 1,600,000 | 1,600,602 | 1,656,864 | ||||||||||||||||
31331SH97 | FEDERAL FARM CREDIT BANK | 4.30 | 4/24/2012 | 1,000,000 | 1,000,878 | 1,059,140 | ||||||||||||||||
31331ST29 | FEDERAL FARM CREDIT BANK | 4.40 | 4/25/2012 | 1,400,000 | 1,397,017 | 1,485,106 | ||||||||||||||||
31331VPV2 | FFCB | 4.95 | 4/1/2016 | 2,975,000 | 2,960,552 | 3,469,415 | ||||||||||||||||
3133XCZJ5 | FHLB | 4.55 | 8/26/2013 | 1,000,000 | 1,002,146 | 1,107,470 | ||||||||||||||||
3133XUE41 | FHLB | 1.75 | 8/22/2012 | 5,000,000 | 4,995,742 | 5,117,250 | ||||||||||||||||
3133XVEM9 | FHLB | 1.63 | 11/21/2012 | 3,000,000 | 2,995,483 | 3,066,960 | ||||||||||||||||
3133XVNU1 | FHLB | 2.75 | 12/12/2014 | 74,500,000 | 74,873,031 | 78,449,241 | ||||||||||||||||
3134A4QD9 | FHLMC | 5.13 | 7/15/2012 | 300,000 | 306,072 | 324,450 | ||||||||||||||||
3136FMXJ8 | FNMA | 1.00 | 6/23/2015 | 12,000,000 | 11,965,921 | 12,013,440 | ||||||||||||||||
3137EACE7 | FHLMC | 2.13 | 9/21/2012 | 11,500,000 | 11,489,288 | 11,858,340 | ||||||||||||||||
3137EACH0 | FHLMC | 2.88 | 2/9/2015 | 3,500,000 | 3,571,582 | 3,723,230 | ||||||||||||||||
31398AJ94 | FNMA | 1.75 | 5/7/2013 | 5,000,000 | 4,993,278 | 5,128,650 | ||||||||||||||||
31398AYM8 | FNMA | 1.75 | 8/10/2012 | 3,700,000 | 3,698,320 | 3,787,579 | ||||||||||||||||
31398AYY2 | FNMA | 3.00 | 9/16/2014 | 2,000,000 | 2,025,380 | 2,137,040 | ||||||||||||||||
742651DG4 | PRIVATE EXPORT FUNDING CORP | 4.38 | 3/15/2019 | 20,000,000 | 19,909,226 | 22,342,799 | ||||||||||||||||
164,375,000 | 164,673,908 | 173,230,457 | ||||||||||||||||||||
Non-U.S. Government Securities & Agencies | ||||||||||||||||||||||
135087YN8 | CANADA GOVERNMENT | 3.50 | 6/1/2013 | 12,000,000 | 12,154,904 | 12,307,509 | ||||||||||||||||
135087YS7 | CANADA GOVERNMENT | 3.00 | 6/1/2014 | 2,715,000 | 2,619,152 | 2,767,739 | ||||||||||||||||
135087YU2 | CANADA GOVERNMENT | 2.00 | 12/1/2014 | 21,860,000 | 20,107,375 | 21,472,745 | ||||||||||||||||
135087YW8 | CANADA GOVERNMENT | 1.00 | 9/1/2011 | 17,140,000 | 16,003,562 | 16,671,725 | ||||||||||||||||
135087YX6 | CANADA GOVERNMENT | 2.00 | 9/1/2012 | 17,820,000 | 16,621,428 | 17,578,689 | ||||||||||||||||
135087ZB3 | CANADA GOVERNMENT | 1.50 | 3/1/2012 | 4,000,000 | 3,910,721 | 3,909,991 | ||||||||||||||||
135087ZC1 | CANADA GOVERNMENT | 2.50 | 6/1/2015 | 7,500,000 | 7,340,517 | 7,504,760 | ||||||||||||||||
135087ZD9 | CANADA GOVERNMENT | 1.75 | 3/1/2013 | 24,000,000 | 23,274,385 | 23,548,942 | ||||||||||||||||
038461AC3 | AID-EGYPT | 4.45 | 9/15/2015 | 25,000,000 | 26,143,067 | 28,225,990 | ||||||||||||||||
46513EGV8 | STATE OF ISRAEL | 5.50 | 12/4/2023 | 13,165,000 | 14,012,070 | 15,973,226 | ||||||||||||||||
D20658YB6 | GOVERNMENT OF GERMANY | 4.25 | 7/4/2014 | 19,060,000 | 29,446,366 | 28,916,557 | ||||||||||||||||
G92444AB7 | UNITED KINGDOM GILT | 4.25 | 3/7/2011 | 1,750,000 | 3,413,855 | 2,802,324 | ||||||||||||||||
G924507Q5 | UNITED KINGDOM GILT | 2.75 | 1/22/2015 | 575,000 | 905,034 | 949,215 | ||||||||||||||||
G92450NU8 | UNITED KINGDOM | 5.00 | 9/7/2014 | 8,950,000 | 16,139,843 | 16,032,756 | ||||||||||||||||
U45818RF7 | INTER-AMERICAN DEV BK | 1.00 | 3/24/2015 | 23,000,000 | 19,611,080 | 22,569,899 | ||||||||||||||||
U45942EV4 | INTERNATIONAL FINANCE CO | 5.61 | 5/20/2011 | 5,500,000 | 5,515,312 | 5,664,450 | ||||||||||||||||
V05973JU3 | AFRICAN DEVELOPMENT BANK | 0.50 | 2/27/2014 | 20,000,000 | 17,019,757 | 19,524,480 | ||||||||||||||||
Y0338TDY5 | ASIAN DEVELOPMENT BANK | 1.00 | 12/10/2014 | 10,000,000 | 8,460,538 | 9,758,220 | ||||||||||||||||
Y0338TGD8 | ASIAN DEVELOPMENT BANK | 1.00 | 5/22/2015 | 27,700,000 | 23,032,579 | 26,582,583 | ||||||||||||||||
013051DA2 | ALBERTA PROVINCE OF | 2.75 | 12/1/2014 | 950,000 | 927,475 | 952,886 | ||||||||||||||||
110709FD9 | BRITISH COLUMBIA PROVINCE OF | 5.75 | 1/9/2012 | 900,000 | 934,798 | 924,950 | ||||||||||||||||
563469EU5 | MANITOBA PROVINCE | 5.25 | 12/3/2012 | 900,000 | 946,215 | 945,025 | ||||||||||||||||
642866FT9 | NEW BRUNSWICK PROVINCE OF | 4.50 | 2/4/2015 | 900,000 | 942,910 | 960,528 | ||||||||||||||||
683234WM6 | ONTARIO PROVINCE | 4.50 | 3/8/2015 | 900,000 | 940,594 | 960,885 | ||||||||||||||||
748148RK1 | QUEBEC PROVINCE OF | 5.25 | 10/1/2013 | 850,000 | 904,947 | 910,112 | ||||||||||||||||
803854JF6 | SASKATCHEWAN PROVINCE | 5.25 | 6/3/2014 | 900,000 | 957,687 | 979,064 | ||||||||||||||||
W5194CEC3 | KOMMUNINVEST | 5.38 | 7/3/2012 | 50,000,000 | 53,192,511 | 54,023,499 | ||||||||||||||||
500769BM5 | KREDITANSTALT FUER WIDERAUFBAU | 4.38 | 2/9/2016 | 900,000 | 926,102 | 956,640 | ||||||||||||||||
D4085B7F2 | KREDITANSTALT FUER WIDERAUFBAU | 2.50 | 5/28/2013 | 42,000,000 | 42,304,359 | 43,887,058 | ||||||||||||||||
360,935,000 | 368,709,141 | 388,262,447 | ||||||||||||||||||||
Agency MBS | ||||||||||||||||||||||
31392JTP4 | FNMA | 4.00 | 10/25/2016 | 36,933 | 37,147 | 37,175 | ||||||||||||||||
31393DL74 | FNMA CMO | 4.00 | 4/25/2030 | 373,269 | 380,395 | 379,622 | ||||||||||||||||
31393EFX2 | FNMA CMO | 4.25 | 5/25/2022 | 814,493 | 828,397 | 830,936 |
Page 2
Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010 |
Cusip | Security Description | Coupon | Maturity | Par | Book Value $ | Market Value $ | ||||||||||||||||
31393KLM5 | FHLMC | 4.00 | 7/15/2017 | 434,562 | 449,060 | 449,543 | ||||||||||||||||
31393QVD1 | FHLMC | 4.00 | 6/15/2013 | 242,277 | 244,422 | 244,213 | ||||||||||||||||
31393VPH8 | FHLMC_2627 | 4.50 | 7/15/2017 | 31,560,900 | 32,484,995 | 32,475,535 | ||||||||||||||||
31394EK49 | FNMA_05-58 | — | 8/25/2035 | 6,601 | — | 58 | ||||||||||||||||
31395RAR9 | FHLMC | 4.38 | 4/15/2015 | 638,926 | 650,053 | 650,382 | ||||||||||||||||
31396A7E8 | FHLMC_3035 | — | 9/15/2035 | 410,283 | 403,394 | 390,848 | ||||||||||||||||
31396AFE9 | FHLMC_3035 | 5.00 | 12/15/2026 | 1,280,668 | 1,284,352 | 1,284,958 | ||||||||||||||||
31396VDA3 | FNMA_07-41 | — | 5/25/2035 | 18,858 | 18,658 | 18,727 | ||||||||||||||||
31396VV21 | FNMA_07-41 | — | 5/25/2037 | 82,304 | 82,295 | 81,567 | ||||||||||||||||
31396WCB0 | FNMA_07-53 | — | 6/25/2037 | 10,151 | 10,030 | 10,098 | ||||||||||||||||
31397F7E6 | FHLMC | — | 7/15/2036 | 49,223 | 49,196 | 48,944 | ||||||||||||||||
31397FES7 | FHLMC_3271 | — | 2/15/2037 | 164,461 | 162,732 | 163,685 | ||||||||||||||||
31398MFS0 | FNMA | 4.00 | 11/25/2023 | 2,631,855 | 2,728,762 | 2,761,974 | ||||||||||||||||
31398PQS1 | FNMA | 3.50 | 3/25/2028 | 3,023,564 | 3,075,208 | 3,118,485 | ||||||||||||||||
31398R3Q6 | FNMA_10-53 | 3.50 | 2/25/2028 | 4,622,252 | 4,743,630 | 4,781,349 | ||||||||||||||||
31398VYJ9 | FHLMC | 4.25 | 8/15/2038 | 4,593,797 | 4,821,742 | 4,819,537 | ||||||||||||||||
31398W2U7 | FHLMC | 4.50 | 1/15/2023 | 7,424,637 | 7,679,872 | 7,799,736 | ||||||||||||||||
31398W5H3 | FHLMC | 4.50 | 11/15/2037 | 9,311,617 | 9,631,701 | 9,735,761 | ||||||||||||||||
38373QGX3 | GNMA | 4.00 | 4/20/2033 | 437,796 | 454,259 | 459,673 | ||||||||||||||||
38376TBF8 | GNMA | 4.50 | 1/16/2040 | 448,585 | 478,787 | 479,717 | ||||||||||||||||
38376VDX2 | GNMA | 3.00 | 12/20/2038 | 5,141,910 | 5,233,426 | 5,341,262 | ||||||||||||||||
BRSAR9VJ4 | GNMA | — | 10/1/2041 | 2,500,000 | 2,575,000 | 2,575,000 | ||||||||||||||||
36206XC43 | GNMA | 7.00 | 5/15/2031 | 2,731 | 3,061 | 3,091 | ||||||||||||||||
3620A8NA7 | GNMA | 5.00 | 9/15/2039 | 1,758,998 | 1,822,124 | 1,875,813 | ||||||||||||||||
3620A9SW2 | GNMA | 4.50 | 9/15/2039 | 485,630 | 490,714 | 511,869 | ||||||||||||||||
3620AC6T6 | GNMA | 5.00 | 10/15/2039 | 1,647,049 | 1,714,969 | 1,754,492 | ||||||||||||||||
36212PPP1 | GNMA | 7.00 | 4/15/2031 | 11,472 | 12,858 | 12,985 | ||||||||||||||||
36212U5G2 | GNMA | 7.00 | 5/15/2031 | 18,997 | 21,288 | 21,502 | ||||||||||||||||
36213HGU7 | GNMA | 7.00 | 3/15/2031 | 1,724 | 1,932 | 1,951 | ||||||||||||||||
36225DM43 | GNMA | 1.88 | 3/20/2035 | 12,208,543 | 12,496,454 | 12,556,718 | ||||||||||||||||
36241KV39 | GNMA | 4.50 | 8/15/2038 | 10,042,495 | 10,482,632 | 10,591,418 | ||||||||||||||||
36241KV47 | GNMA | 4.50 | 9/15/2038 | 7,355,352 | 7,678,065 | 7,757,396 | ||||||||||||||||
36241KWA2 | GNMA | 4.50 | 10/15/2038 | 4,700,708 | 4,902,542 | 4,954,071 | ||||||||||||||||
36295QK82 | GNMA | 5.00 | 8/15/2038 | 3,718,419 | 3,958,587 | 3,959,613 | ||||||||||||||||
36296JCV5 | GNMA | 5.00 | 8/15/2039 | 1,904,987 | 1,965,586 | 2,029,256 | ||||||||||||||||
36297FYL0 | GNMA | 4.50 | 10/15/2039 | 98,438 | 99,621 | 103,756 | ||||||||||||||||
31371LZJ1 | FNMA | 4.00 | 1/1/2015 | 3,010,576 | 3,142,269 | 3,078,345 | ||||||||||||||||
31371MFY8 | FNMA | 2.82 | 8/1/2035 | 8,699,462 | 9,037,434 | 9,154,392 | ||||||||||||||||
31371NP25 | FNMA | 5.50 | 1/1/2038 | 5,078,275 | 5,405,189 | 5,394,540 | ||||||||||||||||
31376KKK1 | FNMA | 4.50 | 1/1/2015 | 1,274,588 | 1,324,640 | 1,320,575 | ||||||||||||||||
31379T6G4 | FNMA | 5.00 | 2/1/2014 | 26,508 | 27,981 | 28,125 | ||||||||||||||||
31382NR20 | FNMA | 5.50 | 4/1/2029 | 879 | 943 | 935 | ||||||||||||||||
31385RB58 | FNMA | 8.50 | 4/1/2030 | 1,524,207 | 1,696,347 | 1,699,490 | ||||||||||||||||
31385XK48 | FNMA | 2.63 | 7/1/2033 | 256,900 | 266,443 | 270,002 | ||||||||||||||||
31388XVV3 | FNMA | 3.05 | 8/1/2033 | 7,218,701 | 7,481,760 | 7,473,617 | ||||||||||||||||
31389EU78 | FNMA | 6.50 | 12/1/2011 | 173,293 | 180,426 | 179,651 | ||||||||||||||||
31389EVA0 | FNMA | 6.50 | 12/1/2016 | 2,276,341 | 2,462,830 | 2,461,248 | ||||||||||||||||
31389EVB8 | FNMA | 6.50 | 12/1/2016 | 2,408,604 | 2,610,286 | 2,604,303 | ||||||||||||||||
31389XHM8 | FNMA | 6.00 | 3/1/2012 | 194,863 | 209,242 | 210,918 | ||||||||||||||||
31391PUF1 | FNMA | 5.00 | 12/1/2017 | 420,837 | 451,099 | 449,134 | ||||||||||||||||
31391YV87 | FNMA | 6.00 | 1/1/2033 | 3,891 | 4,099 | 4,266 | ||||||||||||||||
31400JL98 | FNMA | 2.50 | 4/1/2033 | 6,575,136 | 6,864,034 | 6,882,944 | ||||||||||||||||
31400JM55 | FNMA | 5.50 | 5/1/2033 | 2,224 | 2,394 | 2,403 | ||||||||||||||||
31400QJ87 | FNMA | 2.52 | 3/1/2033 | 28,183 | 28,965 | 29,479 | ||||||||||||||||
31400UQV9 | FNMA | 5.50 | 4/1/2033 | 475,052 | 511,053 | 510,411 | ||||||||||||||||
31402GP98 | FNMA | 5.00 | 7/1/2033 | 7,413 | 7,675 | 7,888 | ||||||||||||||||
31402QXK2 | FNMA | 8.50 | 2/1/2031 | 800,240 | 882,159 | 884,265 | ||||||||||||||||
31402YSV7 | FNMA | 2.91 | 9/1/2033 | 27,324 | 28,670 | 28,811 |
Page 3
Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010 |
Cusip | Security Description | Coupon | Maturity | Par | Book Value $ | Market Value $ | ||||||||||||||||
31403CWU1 | FNMA | 2.61 | 9/1/2035 | 8,571,520 | 8,793,209 | 8,928,361 | ||||||||||||||||
31403DC56 | FNMA | 4.50 | 12/1/2020 | 3,805,762 | 4,045,915 | 4,043,451 | ||||||||||||||||
31403DC72 | FNMA | 4.50 | 11/1/2020 | 2,830,609 | 3,012,464 | 3,006,588 | ||||||||||||||||
31403DJG5 | FNMA | 5.50 | 8/1/2034 | 28,346 | 30,377 | 30,379 | ||||||||||||||||
31403KDB6 | FNMA | 2.33 | 12/1/2033 | 23,454 | 23,875 | 24,445 | ||||||||||||||||
31404NBP0 | FNMA | 2.80 | 2/1/2035 | 329,873 | 343,345 | 345,337 | ||||||||||||||||
31404SFP5 | FNMA | 5.50 | 4/1/2034 | 7,328 | 7,887 | 7,916 | ||||||||||||||||
31405QNR5 | FNMA | 5.50 | 10/1/2034 | 1,781 | 1,916 | 1,923 | ||||||||||||||||
31405UMM8 | FNMA | 2.89 | 10/1/2034 | 145,785 | 149,903 | 152,570 | ||||||||||||||||
31405UTZ2 | FNMA | 2.88 | 11/1/2034 | 40,704 | 42,382 | 42,549 | ||||||||||||||||
31406BB90 | FNMA | 2.87 | 1/1/2035 | 512,380 | 524,106 | 536,171 | ||||||||||||||||
31406BEZ9 | FNMA | 2.85 | 12/1/2034 | 444,286 | 458,617 | 464,452 | ||||||||||||||||
31406BJF8 | FNMA | 2.77 | 1/1/2035 | 528,637 | 545,915 | 552,882 | ||||||||||||||||
31406BQQ6 | FNMA | 2.63 | 1/1/2035 | 614,610 | 633,979 | 642,473 | ||||||||||||||||
31406DG67 | FNMA | 3.11 | 11/1/2034 | 1,074,425 | 1,115,864 | 1,122,116 | ||||||||||||||||
31406MYP5 | FNMA | 2.36 | 3/1/2035 | 508,618 | 519,894 | 528,125 | ||||||||||||||||
31406PD71 | FNMA | 2.69 | 5/1/2035 | 8,462,004 | 8,690,754 | 8,913,545 | ||||||||||||||||
31406TLC3 | FNMA | 2.81 | 4/1/2035 | 985,998 | 1,027,958 | 1,038,964 | ||||||||||||||||
31406TWR8 | FNMA | 2.12 | 1/1/2035 | 1,132,996 | 1,163,589 | 1,166,137 | ||||||||||||||||
31406VHE9 | FNMA | 2.58 | 5/1/2035 | 554,306 | 572,702 | 581,175 | ||||||||||||||||
31407CE29 | FNMA | 5.50 | 7/1/2035 | 1,124 | 1,209 | 1,214 | ||||||||||||||||
31407FG53 | FNMA | 5.50 | 8/1/2035 | 2,969 | 3,194 | 3,206 | ||||||||||||||||
31407FUW8 | FNMA | 2.60 | 8/1/2035 | 3,654,742 | 3,753,162 | 3,854,814 | ||||||||||||||||
31407JXG2 | FNMA | 2.82 | 8/1/2035 | 1,361,077 | 1,420,482 | 1,432,006 | ||||||||||||||||
31408AG53 | FNMA | 6.00 | 2/1/2036 | 65,404 | 68,896 | 70,841 | ||||||||||||||||
31408GFA0 | FNMA | 6.00 | 12/1/2035 | 576,452 | 607,248 | 623,125 | ||||||||||||||||
31409A5P0 | FNMA | 6.00 | 3/1/2036 | 216,355 | 227,903 | 234,341 | ||||||||||||||||
31409AYE3 | FNMA | 6.00 | 3/1/2036 | 492,584 | 518,861 | 532,030 | ||||||||||||||||
31409CRY3 | FNMA | 6.00 | 2/1/2036 | 370,609 | 390,254 | 401,420 | ||||||||||||||||
31409GML7 | FNMA | 6.50 | 7/1/2036 | 2,038,160 | 2,225,979 | 2,229,476 | ||||||||||||||||
31409UB38 | FNMA | 6.00 | 3/1/2036 | 73,995 | 77,946 | 79,634 | ||||||||||||||||
31409VYW7 | FNMA | 6.00 | 4/1/2036 | 96,581 | 101,738 | 103,941 | ||||||||||||||||
31410CJV5 | FNMA | 6.00 | 5/1/2036 | 28,679 | 30,210 | 30,975 | ||||||||||||||||
31410GC84 | FNMA | 2.80 | 7/1/2035 | 2,510,025 | 2,583,542 | 2,648,011 | ||||||||||||||||
31410GD83 | FNMA | 2.80 | 4/1/2034 | 89,222 | 93,283 | 93,963 | ||||||||||||||||
31410GDF7 | FNMA | 2.02 | 6/1/2033 | 347,872 | 362,885 | 357,346 | ||||||||||||||||
31410GDL4 | FNMA | 2.58 | 2/1/2035 | 1,631,381 | 1,689,614 | 1,711,278 | ||||||||||||||||
31410GDN0 | FNMA | 2.59 | 6/1/2033 | 232,468 | 242,695 | 244,068 | ||||||||||||||||
31410GDP5 | FNMA | 4.95 | 6/1/2035 | 5,982,636 | 6,318,236 | 6,307,286 | ||||||||||||||||
31410GDS9 | FNMA | 2.66 | 2/1/2034 | 320,791 | 333,779 | 335,002 | ||||||||||||||||
31410GDY6 | FNMA | 2.84 | 1/1/2035 | 189,523 | 195,848 | 198,113 | ||||||||||||||||
31410KLD4 | FNMA | 5.50 | 5/1/2038 | 4,279,919 | 4,555,438 | 4,545,691 | ||||||||||||||||
31410KMQ4 | FNMA | 5.50 | 6/1/2038 | 2,267,240 | 2,413,194 | 2,408,031 | ||||||||||||||||
31410KNA8 | FNMA | 5.50 | 7/1/2038 | 1,049,133 | 1,116,671 | 1,114,281 | ||||||||||||||||
31410KPC2 | FNMA | 5.50 | 7/1/2038 | 840,194 | 894,412 | 893,890 | ||||||||||||||||
31410KS47 | FNMA | 5.50 | 12/1/2035 | 13,759 | 14,744 | 14,746 | ||||||||||||||||
31410KX74 | FNMA | 5.50 | 9/1/2036 | 9,243,781 | 9,921,699 | 9,919,206 | ||||||||||||||||
31410MMX5 | FNMA | 6.00 | 4/1/2036 | 484,570 | 510,453 | 524,854 | ||||||||||||||||
31412ESY3 | FNMA | 6.00 | 1/1/2037 | 56,966 | 59,987 | 61,702 | ||||||||||||||||
31412MYZ5 | FNMA | 5.50 | 6/1/2038 | 2,074,069 | 2,207,588 | 2,202,864 | ||||||||||||||||
31412N6G6 | FNMA | 4.50 | 3/1/2039 | 103,074 | 103,982 | 108,277 | ||||||||||||||||
31412N6J0 | FNMA | 4.50 | 3/1/2039 | 15,757,891 | 16,232,640 | 16,604,986 | ||||||||||||||||
31412NUL8 | FNMA | 5.00 | 1/1/2039 | 2,004,984 | 2,122,513 | 2,131,617 | ||||||||||||||||
31412NUP9 | FNMA | 5.00 | 1/1/2039 | 1,944,363 | 2,058,449 | 2,051,731 | ||||||||||||||||
31412NUQ7 | FNMA | 5.00 | 1/1/2039 | 216,812 | 229,516 | 230,506 | ||||||||||||||||
31412NUT1 | FNMA | 5.00 | 1/1/2039 | 130,791 | 138,433 | 137,780 | ||||||||||||||||
31412NXB7 | FNMA | 5.00 | 1/1/2039 | 1,596,139 | 1,689,665 | 1,696,950 | ||||||||||||||||
31412NXE1 | FNMA | 5.00 | 1/1/2039 | 2,603,646 | 2,765,713 | 2,764,499 |
Page 4
Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010 |
Cusip | Security Description | Coupon | Maturity | Par | Book Value $ | Market Value $ | ||||||||||||||||
31412NZ33 | FNMA | 5.00 | 2/1/2039 | 99,258 | 102,411 | 106,085 | ||||||||||||||||
31412NZW9 | FNMA | 4.50 | 2/1/2039 | 34,823 | 35,872 | 36,695 | ||||||||||||||||
31412P5R8 | FNMA | 4.50 | 7/1/2039 | 45,010 | 46,366 | 47,429 | ||||||||||||||||
31412PP88 | FNMA | 5.00 | 5/1/2039 | 308,036 | 317,388 | 327,684 | ||||||||||||||||
31412PXF3 | FNMA | 4.50 | 6/1/2039 | 139,317 | 140,361 | 145,262 | ||||||||||||||||
31412Q2V0 | FNMA | 4.50 | 1/1/2040 | 4,191,669 | 4,286,244 | 4,372,498 | ||||||||||||||||
31412QE62 | FNMA | 4.50 | 8/1/2039 | 162,082 | 166,969 | 168,998 | ||||||||||||||||
31412QE70 | FNMA | 5.00 | 8/1/2039 | 5,590,468 | 5,811,233 | 5,888,663 | ||||||||||||||||
31412QHF9 | FNMA | 5.50 | 8/1/2039 | 1,094,072 | 1,164,674 | 1,163,225 | ||||||||||||||||
31412QNE5 | FNMA | 4.50 | 9/1/2039 | 3,749,218 | 3,862,184 | 3,950,764 | ||||||||||||||||
31412QSQ3 | FNMA | 4.50 | 11/1/2039 | 6,720,446 | 6,922,982 | 7,081,716 | ||||||||||||||||
31412QUC1 | FNMA | 4.50 | 11/1/2039 | 133,434 | 137,457 | 139,191 | ||||||||||||||||
31412QXZ7 | FNMA | 4.50 | 12/1/2039 | 861,771 | 881,212 | 898,947 | ||||||||||||||||
31412RG76 | FNMA | 4.00 | 4/1/2025 | 9,625,705 | 9,814,295 | 10,080,327 | ||||||||||||||||
31412RGG6 | FNMA | 5.00 | 4/1/2040 | 426,063 | 444,013 | 448,790 | ||||||||||||||||
31412RH42 | FNMA | 5.00 | 4/1/2040 | 12,261,317 | 12,777,813 | 12,915,335 | ||||||||||||||||
31412TM26 | FNMA | 5.50 | 6/1/2038 | 6,945,617 | 7,446,490 | 7,389,512 | ||||||||||||||||
31412U7E4 | FNMA | 4.50 | 11/1/2039 | 236,620 | 243,755 | 246,717 | ||||||||||||||||
31412UEQ9 | FNMA | 4.50 | 9/1/2039 | 490,759 | 505,552 | 517,140 | ||||||||||||||||
31412UY53 | FNMA | 4.50 | 8/1/2039 | 349,944 | 353,812 | 368,756 | ||||||||||||||||
31413CLH0 | FNMA | 6.00 | 7/1/2037 | 6,334,936 | 6,864,917 | 6,816,454 | ||||||||||||||||
31413NY66 | FNMA | 6.00 | 11/1/2037 | 5,600,624 | 6,068,607 | 6,026,328 | ||||||||||||||||
31413R2P0 | FNMA | 6.00 | 12/1/2037 | 6,421,343 | 6,976,055 | 6,955,174 | ||||||||||||||||
31413TWV0 | FNMA | 5.50 | 1/1/2038 | 1,915,770 | 2,039,098 | 2,035,081 | ||||||||||||||||
31414ANH1 | FNMA | 5.50 | 12/1/2037 | 2,382,052 | 2,535,397 | 2,530,402 | ||||||||||||||||
31414CJS8 | FNMA | 5.50 | 3/1/2038 | 3,018,658 | 3,214,399 | 3,206,109 | ||||||||||||||||
31414DWZ5 | FNMA | 5.50 | 6/1/2038 | 993,745 | 1,058,183 | 1,055,454 | ||||||||||||||||
31414HZ67 | FNMA | 5.50 | 12/1/2037 | 953,542 | 1,014,926 | 1,012,927 | ||||||||||||||||
31414NCH5 | FNMA | 6.00 | 12/1/2038 | 2,931,385 | 3,184,662 | 3,175,082 | ||||||||||||||||
31414NH31 | FNMA | 5.00 | 2/1/2039 | 2,552,954 | 2,709,261 | 2,730,152 | ||||||||||||||||
31414NH49 | FNMA | 5.00 | 2/1/2039 | 3,221,752 | 3,414,473 | 3,427,248 | ||||||||||||||||
31415WA60 | FNMA | 4.50 | 1/1/2039 | 94,419 | 97,261 | 99,495 | ||||||||||||||||
31415YXR5 | FNMA | 4.50 | 5/1/2039 | 124,203 | 125,297 | 130,472 | ||||||||||||||||
31416CEZ5 | FNMA | 4.50 | 5/1/2039 | 6,447,445 | 6,437,222 | 6,772,883 | ||||||||||||||||
31416JZM6 | FNMA | 5.00 | 2/1/2039 | 4,343,319 | 4,594,960 | 4,575,426 | ||||||||||||||||
31416M5A8 | FNMA | 5.00 | 3/1/2039 | 9,442,330 | 9,969,885 | 9,979,683 | ||||||||||||||||
31416MLA0 | FNMA | 4.50 | 3/1/2039 | 76,510 | 77,181 | 80,372 | ||||||||||||||||
31416MVP6 | FNMA | 4.50 | 4/1/2039 | 96,620 | 97,471 | 101,497 | ||||||||||||||||
31416N5T5 | FNMA | 4.50 | 4/1/2039 | 241,958 | 244,630 | 254,171 | ||||||||||||||||
31416NRD6 | FNMA | 4.50 | 3/1/2039 | 46,743 | 47,149 | 49,103 | ||||||||||||||||
31416PZR1 | FNMA | 5.00 | 5/1/2039 | 73,833 | 76,180 | 77,771 | ||||||||||||||||
31416QJZ9 | FNMA | 5.00 | 5/1/2039 | 107,374 | 110,787 | 114,827 | ||||||||||||||||
31416QTH8 | FNMA | 5.00 | 5/1/2039 | 93,839 | 96,823 | 98,845 | ||||||||||||||||
31416QV51 | FNMA | 4.50 | 8/1/2039 | 42,369 | 42,686 | 44,177 | ||||||||||||||||
31416RNK5 | FNMA | 4.50 | 7/1/2039 | 67,379 | 69,409 | 71,001 | ||||||||||||||||
31416RUU5 | FNMA | 4.50 | 7/1/2039 | 395,720 | 407,648 | 416,993 | ||||||||||||||||
31416S6B2 | FNMA | 4.50 | 7/1/2039 | 118,491 | 119,378 | 123,546 | ||||||||||||||||
31416SD40 | FNMA | 4.50 | 7/1/2039 | 129,244 | 130,212 | 134,759 | ||||||||||||||||
31416SED9 | FNMA | 5.00 | 7/1/2039 | 88,450 | 91,262 | 93,167 | ||||||||||||||||
31416SFL0 | FNMA | 4.50 | 7/1/2039 | 63,319 | 63,725 | 66,021 | ||||||||||||||||
31416SLA7 | FNMA | 4.50 | 6/1/2039 | 66,775 | 67,276 | 69,625 | ||||||||||||||||
31416SLC3 | FNMA | 4.50 | 6/1/2039 | 142,143 | 143,208 | 148,209 | ||||||||||||||||
31416T3D9 | FNMA | 4.50 | 7/1/2039 | 467,231 | 472,393 | 492,348 | ||||||||||||||||
31416T7K9 | FNMA | 4.50 | 7/1/2039 | 66,993 | 67,495 | 69,851 | ||||||||||||||||
31416TAG4 | FNMA | 4.50 | 7/1/2039 | 169,990 | 172,691 | 177,244 | ||||||||||||||||
31416TAL3 | FNMA | 5.00 | 7/1/2039 | 100,349 | 103,540 | 107,314 | ||||||||||||||||
31416TB65 | FNMA | 4.50 | 8/1/2039 | 235,556 | 242,658 | 245,607 | ||||||||||||||||
31416TE39 | FNMA | 4.50 | 8/1/2039 | 68,017 | 68,526 | 70,919 |
Page 5
Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010 |
Cusip | Security Description | Coupon | Maturity | Par | Book Value $ | Market Value $ | ||||||||||||||||
31416TE47 | FNMA | 4.50 | 8/1/2039 | 115,119 | 115,857 | 120,930 | ||||||||||||||||
31416TEE5 | FNMA | 4.50 | 8/1/2039 | 174,342 | 176,762 | 181,781 | ||||||||||||||||
31416TEF2 | FNMA | 4.50 | 8/1/2039 | 122,744 | 123,531 | 128,939 | ||||||||||||||||
31416TEP0 | FNMA | 5.00 | 8/1/2039 | 99,155 | 102,308 | 104,444 | ||||||||||||||||
31416TFQ7 | FNMA | 4.50 | 8/1/2039 | 63,528 | 64,004 | 66,239 | ||||||||||||||||
31416TKG3 | FNMA | �� | 5.00 | 6/1/2039 | 102,114 | 105,361 | 107,571 | |||||||||||||||
31416UDB9 | FNMA | 5.00 | 8/1/2039 | 32,783 | 33,825 | 34,531 | ||||||||||||||||
31416WD66 | FNMA | 5.00 | 5/1/2040 | 738,892 | 770,021 | 778,304 | ||||||||||||||||
31416WE57 | FNMA | 5.00 | 5/1/2040 | 12,698,720 | 13,233,734 | 13,376,069 | ||||||||||||||||
31417J2B5 | FNMA | 5.00 | 9/1/2039 | 62,648 | 64,978 | 65,989 | ||||||||||||||||
31417JFK1 | FNMA | 5.00 | 8/1/2039 | 181,157 | 188,538 | 193,731 | ||||||||||||||||
31417JPT1 | FNMA | 4.50 | 10/1/2039 | 67,823 | 69,868 | 70,717 | ||||||||||||||||
31417JSB7 | FNMA | 4.50 | 7/1/2039 | 37,501 | 37,741 | 39,101 | ||||||||||||||||
31417JYM6 | FNMA | 4.50 | 9/1/2024 | 4,058,563 | 4,160,112 | 4,272,473 | ||||||||||||||||
31417JYR5 | FNMA | 4.50 | 8/1/2039 | 105,100 | 106,491 | 109,585 | ||||||||||||||||
31417JZ94 | FNMA | 4.50 | 9/1/2039 | 310,885 | 320,255 | 324,150 | ||||||||||||||||
31417KAZ0 | FNMA | 4.50 | 7/1/2039 | 37,706 | 37,988 | 39,315 | ||||||||||||||||
31417KL47 | FNMA | 4.50 | 8/1/2039 | 1,618,813 | 1,667,615 | 1,705,836 | ||||||||||||||||
31417KS73 | FNMA | 5.00 | 9/1/2039 | 947,575 | 986,171 | 1,013,345 | ||||||||||||||||
31417KXH5 | FNMA | 4.50 | 8/1/2039 | 3,604,194 | 3,712,844 | 3,797,944 | ||||||||||||||||
31417LLX1 | FNMA | 5.00 | 7/1/2039 | 183,760 | 189,603 | 196,515 | ||||||||||||||||
31417M2V4 | FNMA | 4.50 | 8/1/2039 | 104,632 | 107,782 | 110,257 | ||||||||||||||||
31417M2W2 | FNMA | 4.50 | 8/1/2039 | 23,307 | 23,512 | 24,483 | ||||||||||||||||
31417MAD5 | FNMA | 4.50 | 11/1/2039 | 233,857 | 236,443 | 246,429 | ||||||||||||||||
31417MFB4 | FNMA | 4.50 | 8/1/2039 | 233,875 | 235,375 | 243,855 | ||||||||||||||||
31417MFE8 | FNMA | 4.50 | 8/1/2039 | 315,557 | 319,045 | 332,521 | ||||||||||||||||
31417MLH4 | FNMA | 5.00 | 10/1/2039 | 93,461 | 97,298 | 98,446 | ||||||||||||||||
31417MPN7 | FNMA | 5.00 | 9/1/2039 | 107,673 | 111,678 | 113,416 | ||||||||||||||||
31417MQT3 | FNMA | 5.00 | 10/1/2039 | 73,314 | 76,041 | 77,224 | ||||||||||||||||
31417MSY0 | FNMA | 5.00 | 9/1/2039 | 944,527 | 983,014 | 1,010,086 | ||||||||||||||||
31417MTC7 | FNMA | 4.50 | 9/1/2039 | 516,766 | 524,273 | 538,816 | ||||||||||||||||
31417MTD5 | FNMA | 4.50 | 10/1/2039 | 667,421 | 672,934 | 695,899 | ||||||||||||||||
31417MVC4 | FNMA | 4.50 | 10/1/2039 | 469,878 | 478,064 | 489,928 | ||||||||||||||||
31417MVD2 | FNMA | 4.50 | 10/1/2039 | 671,307 | 676,852 | 699,951 | ||||||||||||||||
31417MVJ9 | FNMA | 5.00 | 10/1/2039 | 890,881 | 920,329 | 938,400 | ||||||||||||||||
31417MWB5 | FNMA | 5.00 | 8/1/2039 | 35,466 | 36,593 | 37,358 | ||||||||||||||||
31417NB42 | FNMA | 4.50 | 10/1/2039 | 116,644 | 120,160 | 121,621 | ||||||||||||||||
31417NB75 | FNMA | 5.00 | 10/1/2039 | 1,120,415 | 1,166,065 | 1,198,181 | ||||||||||||||||
31417NCL3 | FNMA | 4.50 | 10/1/2024 | 6,276,542 | 6,650,755 | 6,686,061 | ||||||||||||||||
31417NDN8 | FNMA | 4.50 | 11/1/2024 | 6,954,647 | 7,340,541 | 7,320,671 | ||||||||||||||||
31417NKD2 | FNMA | 5.00 | 12/1/2039 | 327,179 | 340,519 | 349,888 | ||||||||||||||||
31417NL41 | FNMA | 4.50 | 1/1/2040 | 258,061 | 263,886 | 269,073 | ||||||||||||||||
31417NRJ2 | FNMA | 4.50 | 8/1/2039 | 44,671 | 45,006 | 46,578 | ||||||||||||||||
31417NZV6 | FNMA | 4.50 | 9/1/2039 | 97,348 | 100,283 | 101,502 | ||||||||||||||||
31417QR55 | FNMA | 4.50 | 1/1/2040 | 481,791 | 487,120 | 502,349 | ||||||||||||||||
31417QTZ7 | FNMA | 4.50 | 10/1/2024 | 6,964,906 | 7,350,600 | 7,331,469 | ||||||||||||||||
31417QU93 | FNMA | 4.50 | 10/1/2039 | 303,712 | 312,869 | 316,672 | ||||||||||||||||
31417QUG7 | FNMA | 4.50 | 10/1/2039 | 998,530 | 1,009,570 | 1,052,208 | ||||||||||||||||
31417SDJ6 | FNMA | 5.00 | 11/1/2039 | 124,601 | 129,683 | 131,247 | ||||||||||||||||
31417SY95 | FNMA | 4.50 | 11/1/2039 | 45,684 | 47,061 | 47,633 | ||||||||||||||||
31417SYT1 | FNMA | 4.50 | 11/1/2039 | 94,025 | 94,854 | 98,037 | ||||||||||||||||
31417TB98 | FNMA | 4.50 | 1/1/2040 | 138,792 | 141,923 | 144,714 | ||||||||||||||||
31417TKX5 | FNMA | 4.50 | 11/1/2039 | 24,602 | 25,157 | 25,651 | ||||||||||||||||
31417TL97 | FNMA | 4.50 | 12/1/2039 | 433,309 | 438,100 | 456,603 | ||||||||||||||||
31417TQE1 | FNMA | 4.50 | 1/1/2040 | 632,448 | 639,441 | 666,446 | ||||||||||||||||
31417UBK0 | FNMA | 4.50 | 11/1/2039 | 618,605 | 625,442 | 651,860 | ||||||||||||||||
31417UMZ5 | FNMA | 4.50 | 2/1/2040 | 298,522 | 305,261 | 311,260 | ||||||||||||||||
31417UNB7 | FNMA | 4.50 | 11/1/2039 | 171,140 | 175,003 | 178,442 |
Page 6
Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010 |
Cusip | Security Description | Coupon | Maturity | Par | Book Value $ | Market Value $ | ||||||||||||||||
31417UYN9 | FNMA | 4.50 | 4/1/2040 | 165,021 | 168,744 | 172,036 | ||||||||||||||||
31417VJE4 | FNMA | 4.50 | 12/1/2039 | 126,003 | 128,846 | 131,379 | ||||||||||||||||
31417VJS3 | FNMA | 4.50 | 12/1/2039 | 32,783 | 33,072 | 34,182 | ||||||||||||||||
31417VKE2 | FNMA | 4.50 | 1/1/2040 | 129,972 | 132,905 | 135,518 | ||||||||||||||||
31417VNP4 | FNMA | 4.50 | 2/1/2040 | 625,139 | 639,247 | 651,814 | ||||||||||||||||
31417VQT3 | FNMA | 4.50 | 1/1/2040 | 1,927,732 | 1,971,219 | 2,031,361 | ||||||||||||||||
31417VSU8 | FNMA | 4.50 | 1/1/2040 | 342,922 | 345,801 | 357,555 | ||||||||||||||||
31417VXY4 | FNMA | 4.50 | 1/1/2040 | 61,876 | 62,421 | 64,516 | ||||||||||||||||
31417VY64 | FNMA | 4.50 | �� | 12/1/2039 | 243,463 | 248,958 | 253,851 | |||||||||||||||
31417W4W8 | FNMA | 4.50 | 2/1/2040 | 273,519 | 279,695 | 285,147 | ||||||||||||||||
31417WSS1 | FNMA | 4.50 | 1/1/2040 | 294,626 | 295,976 | 307,198 | ||||||||||||||||
31417WTE1 | FNMA | 4.50 | 1/1/2040 | 234,063 | 236,058 | 244,051 | ||||||||||||||||
31417WTG6 | FNMA | 4.50 | 1/1/2040 | 195,290 | 196,170 | 203,624 | ||||||||||||||||
31418MT93 | FNMA | 4.50 | 1/1/2040 | 1,930,890 | 1,951,638 | 2,012,354 | ||||||||||||||||
31418MUK6 | FNMA | 4.50 | 12/1/2039 | 1,712,978 | 1,712,779 | 1,786,876 | ||||||||||||||||
31418MUL4 | FNMA | 4.50 | 12/1/2039 | 855,367 | 862,902 | 892,268 | ||||||||||||||||
31418NG95 | FNMA | 4.50 | 1/1/2040 | 168,191 | 171,986 | 175,340 | ||||||||||||||||
31418NJ92 | FNMA | 4.50 | 2/1/2040 | 26,372 | 26,605 | 27,493 | ||||||||||||||||
31418NKA7 | FNMA | 4.50 | 2/1/2040 | 25,127 | 25,349 | 26,195 | ||||||||||||||||
31418NKU3 | FNMA | 4.50 | 2/1/2040 | 139,435 | 142,581 | 145,363 | ||||||||||||||||
31418NMY3 | FNMA | 5.00 | 1/1/2040 | 111,477 | 116,019 | 117,423 | ||||||||||||||||
31418NPF1 | FNMA | 4.50 | 2/1/2040 | 668,820 | 683,918 | 697,358 | ||||||||||||||||
31418NPM6 | FNMA | 4.50 | 2/1/2040 | 189,001 | 193,267 | 197,066 | ||||||||||||||||
31418NQJ2 | FNMA | 4.50 | 1/1/2040 | 51,473 | 51,927 | 53,662 | ||||||||||||||||
31418NZT0 | FNMA | 4.50 | 3/1/2040 | 2,910,758 | 2,976,447 | 3,034,494 | ||||||||||||||||
31418PD44 | FNMA | 4.50 | 1/1/2040 | 261,030 | 266,917 | 272,291 | ||||||||||||||||
31418PJH9 | FNMA | 4.50 | 3/1/2040 | 140,814 | 143,993 | 148,428 | ||||||||||||||||
31418PNY7 | FNMA | 5.00 | 2/1/2040 | 74,709 | 77,754 | 78,694 | ||||||||||||||||
31418QP31 | FNMA | 4.50 | 4/1/2040 | 4,453,571 | 4,554,104 | 4,642,892 | ||||||||||||||||
31418REP2 | FNMA | 4.50 | 3/1/2040 | 133,211 | 136,218 | 138,895 | ||||||||||||||||
31418RR60 | FNMA | 5.00 | 5/1/2040 | 19,042,417 | 19,726,300 | 20,268,918 | ||||||||||||||||
31418RSG7 | FNMA | 5.00 | 5/1/2040 | 7,647,055 | 7,927,563 | 8,054,948 | ||||||||||||||||
31418RSJ1 | FNMA | 5.00 | 5/1/2040 | 7,894,250 | 8,201,337 | 8,315,330 | ||||||||||||||||
31418RWX5 | FNMA | 4.50 | 3/1/2040 | 288,538 | 295,045 | 300,850 | ||||||||||||||||
31418RXL0 | FNMA | 4.50 | 4/1/2040 | 692,057 | 707,674 | 721,477 | ||||||||||||||||
31418TL39 | FNMA | 5.00 | 4/1/2040 | 1,462,645 | 1,510,937 | 1,540,662 | ||||||||||||||||
31418TUF2 | FNMA | 5.00 | 5/1/2040 | 3,696,269 | 3,836,524 | 3,893,428 | ||||||||||||||||
31418UWE0 | FNMA | 5.00 | 6/1/2040 | 21,389,140 | 22,092,165 | 22,530,037 | ||||||||||||||||
31418UWX8 | FNMA | 5.00 | 7/1/2040 | 15,911,482 | 16,469,651 | 16,760,200 | ||||||||||||||||
31418VUJ9 | FNMA | 5.00 | 7/1/2040 | 22,903,380 | 24,360,552 | 24,125,046 | ||||||||||||||||
31418XF52 | FNMA | 4.50 | 9/1/2040 | 20,924,763 | 21,947,596 | 21,814,275 | ||||||||||||||||
31419ANK9 | FNMA | 5.50 | 10/1/2039 | 5,000,000 | 5,320,276 | 5,311,398 | ||||||||||||||||
31419B5A9 | FNMA | 5.00 | 9/1/2040 | 10,921,409 | 11,609,459 | 11,503,957 | ||||||||||||||||
31421AAU7 | FNMA | 5.50 | 12/1/2038 | 4,744 | 5,092 | 5,047 | ||||||||||||||||
31283K4C9 | FHLMC GOLD | 5.00 | 6/1/2020 | 10,504,610 | 11,282,434 | 11,232,752 | ||||||||||||||||
31283K6U7 | FHLMC GOLD | 4.50 | 8/1/2015 | 2,187,240 | 2,317,551 | 2,318,095 | ||||||||||||||||
31283KJU3 | FHLMC GOLD | 6.50 | 12/1/2014 | 737,802 | 798,489 | 803,282 | ||||||||||||||||
31283KN87 | FHLMC GOLD | 5.00 | 9/1/2017 | 3,734 | 3,934 | 3,985 | ||||||||||||||||
3128GNW87 | FHLMC GOLD | 5.00 | 11/1/2016 | 2,956 | 3,111 | 3,155 | ||||||||||||||||
3128GNY77 | FHLMC GOLD | 5.00 | 11/1/2016 | 18,315 | 19,275 | 19,548 | ||||||||||||||||
3128GP3U5 | FHLMC GOLD | 5.00 | 1/1/2017 | 4,772 | 5,023 | 5,093 | ||||||||||||||||
3128GP3V3 | FHLMC GOLD | 5.00 | 1/1/2017 | 20,435 | 21,513 | 21,811 | ||||||||||||||||
3128GP4U4 | FHLMC GOLD | 5.00 | 1/1/2017 | 4,436 | 4,670 | 4,735 | ||||||||||||||||
3128GP7M9 | FHLMC GOLD | 5.00 | 1/1/2017 | 4,941 | 5,202 | 5,273 | ||||||||||||||||
3128GPSA2 | FHLMC GOLD | 5.00 | 12/1/2016 | 4,655 | 4,899 | 4,968 | ||||||||||||||||
3128GPVH3 | FHLMC GOLD | 5.00 | 12/1/2016 | 1,491 | 1,568 | 1,589 | ||||||||||||||||
3128GQ3Q2 | FHLMC GOLD | 5.00 | 2/1/2017 | 7,472 | 7,867 | 7,975 | ||||||||||||||||
3128GQ6E6 | FHLMC GOLD | 5.00 | 2/1/2017 | 6,301 | 6,633 | 6,725 |
Page 7
Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010 |
Cusip | Security Description | Coupon | Maturity | Par | Book Value $ | Market Value $ | ||||||||||||||||
3128GQGA3 | FHLMC GOLD | 5.00 | 1/1/2017 | 13,724 | 14,448 | 14,648 | ||||||||||||||||
3128GQJT9 | FHLMC GOLD | 5.00 | 1/1/2017 | 8,021 | 8,446 | 8,561 | ||||||||||||||||
3128GQK26 | FHLMC GOLD | 5.00 | 1/1/2017 | 12,410 | 13,059 | 13,245 | ||||||||||||||||
3128GQK34 | FHLMC GOLD | 5.00 | 1/1/2017 | 2,004 | 2,108 | 2,138 | ||||||||||||||||
3128GQKB6 | FHLMC GOLD | 5.00 | 1/1/2017 | 5,390 | 5,668 | 5,753 | ||||||||||||||||
3128GQP54 | FHLMC GOLD | 5.00 | 1/1/2017 | 7,123 | 7,498 | 7,602 | ||||||||||||||||
3128GQQQ7 | FHLMC GOLD | 5.00 | 2/1/2017 | 7,795 | 8,198 | 8,320 | ||||||||||||||||
3128GQQZ7 | FHLMC GOLD | 5.00 | 2/1/2017 | 25,966 | 27,334 | 27,715 | ||||||||||||||||
3128GQSG7 | FHLMC GOLD | 5.00 | 2/1/2017 | 4,503 | 4,738 | 4,806 | ||||||||||||||||
3128GQU58 | FHLMC GOLD | 5.00 | 2/1/2017 | 8,145 | 8,566 | 8,693 | ||||||||||||||||
3128GQU90 | FHLMC GOLD | 5.00 | 2/1/2017 | 2,911 | 3,064 | 3,106 | ||||||||||||||||
3128GQVB4 | FHLMC GOLD | 5.00 | 2/1/2017 | 5,095 | 5,364 | 5,438 | ||||||||||||||||
3128GQW31 | FHLMC GOLD | 5.00 | 2/1/2017 | 12,604 | 13,272 | 13,452 | ||||||||||||||||
3128GQW49 | FHLMC GOLD | 5.00 | 2/1/2017 | 20,400 | 21,480 | 21,774 | ||||||||||||||||
3128GR3Y3 | FHLMC GOLD | 5.00 | 2/1/2017 | 19,779 | 20,826 | 21,111 | ||||||||||||||||
3128GR6N4 | FHLMC GOLD | 5.00 | 4/1/2017 | 24,455 | 25,755 | 26,101 | ||||||||||||||||
3128GRBH1 | FHLMC GOLD | 5.00 | 2/1/2017 | 7,417 | 7,810 | 7,916 | ||||||||||||||||
3128GRBJ7 | FHLMC GOLD | 5.00 | 2/1/2017 | 2,147 | 2,260 | 2,291 | ||||||||||||||||
3128GRFT1 | FHLMC GOLD | 5.00 | 3/1/2017 | 15,894 | 16,733 | 16,964 | ||||||||||||||||
3128GRJD2 | FHLMC GOLD | 5.00 | 3/1/2017 | 5,739 | 6,040 | 6,125 | ||||||||||||||||
3128GRK81 | FHLMC GOLD | 5.00 | 3/1/2017 | 6,721 | 7,074 | 7,173 | ||||||||||||||||
3128GRLA5 | FHLMC GOLD | 5.00 | 3/1/2017 | 26,800 | 28,219 | 28,604 | ||||||||||||||||
3128GRM71 | FHLMC GOLD | 5.00 | 3/1/2017 | 2,694 | 2,837 | 2,875 | ||||||||||||||||
3128GRP94 | FHLMC GOLD | 5.00 | 3/1/2017 | 2,780 | 2,925 | 2,967 | ||||||||||||||||
3128GRQA0 | FHLMC GOLD | 5.00 | 3/1/2017 | 7,775 | 8,188 | 8,298 | ||||||||||||||||
3128GRSP5 | FHLMC GOLD | 5.00 | 3/1/2017 | 6,693 | 7,040 | 7,144 | ||||||||||||||||
3128GRSY6 | FHLMC GOLD | 5.00 | 3/1/2017 | 13,194 | 13,888 | 14,083 | ||||||||||||||||
3128GRUF4 | FHLMC GOLD | 5.00 | 3/1/2017 | 1,336 | 1,406 | 1,426 | ||||||||||||||||
3128GRUT4 | FHLMC GOLD | 5.00 | 3/1/2017 | 8,169 | 8,591 | 8,719 | ||||||||||||||||
3128GRWQ8 | FHLMC GOLD | 5.00 | 2/1/2017 | 545 | 573 | 580 | ||||||||||||||||
3128GRYD5 | FHLMC GOLD | 5.00 | 4/1/2017 | 3,792 | 3,990 | 4,047 | ||||||||||||||||
3128GS5Y9 | FHLMC GOLD | 5.00 | 4/1/2017 | 6,248 | 6,578 | 6,669 | ||||||||||||||||
3128GSDJ3 | FHLMC GOLD | 5.00 | 4/1/2017 | 11,049 | 11,634 | 11,792 | ||||||||||||||||
3128GSGB7 | FHLMC GOLD | 5.00 | 4/1/2017 | 15,307 | 16,117 | 16,338 | ||||||||||||||||
3128GSGU5 | FHLMC GOLD | 5.00 | 4/1/2017 | 29,778 | 31,360 | 31,783 | ||||||||||||||||
3128GSKE6 | FHLMC GOLD | 5.00 | 4/1/2017 | 31,019 | 32,663 | 33,107 | ||||||||||||||||
3128GSKV8 | FHLMC GOLD | 5.00 | 4/1/2017 | 10,180 | 10,717 | 10,866 | ||||||||||||||||
3128GSLX3 | FHLMC GOLD | 5.00 | 4/1/2017 | 8,468 | 8,915 | 9,038 | ||||||||||||||||
3128GSLY1 | FHLMC GOLD | 5.00 | 4/1/2017 | 16,052 | 16,902 | 17,132 | ||||||||||||||||
3128GSNL7 | FHLMC GOLD | 5.00 | 4/1/2017 | 8,000 | 8,419 | 8,539 | ||||||||||||||||
3128GSQN0 | FHLMC GOLD | 5.00 | 4/1/2017 | 8,914 | 9,378 | 9,514 | ||||||||||||||||
3128GSSN8 | FHLMC GOLD | 5.00 | 4/1/2017 | 23,766 | 25,033 | 25,366 | ||||||||||||||||
3128GV2N9 | FHLMC GOLD | 5.00 | 10/1/2017 | 34,922 | 36,782 | 37,273 | ||||||||||||||||
3128GV3C2 | FHLMC GOLD | 5.00 | 10/1/2017 | 17,330 | 18,243 | 18,497 | ||||||||||||||||
3128GV3D0 | FHLMC GOLD | 5.00 | 10/1/2017 | 29,172 | 30,709 | 31,136 | ||||||||||||||||
3128GV3Z1 | FHLMC GOLD | 5.00 | 10/1/2017 | 32,366 | 34,103 | 34,545 | ||||||||||||||||
3128GV7G9 | FHLMC GOLD | 5.00 | 10/1/2017 | 7,029 | 7,400 | 7,503 | ||||||||||||||||
3128GVBY5 | FHLMC GOLD | 5.00 | 8/1/2017 | 2,299 | 2,422 | 2,454 | ||||||||||||||||
3128GVH94 | FHLMC GOLD | 5.00 | 9/1/2017 | 3,674 | 3,866 | 3,921 | ||||||||||||||||
3128GVJA9 | FHLMC GOLD | 5.00 | 9/1/2017 | 14,964 | 15,751 | 15,971 | ||||||||||||||||
3128GVJB7 | FHLMC GOLD | 5.00 | 9/1/2017 | 8,671 | 9,126 | 9,255 | ||||||||||||||||
3128GVJQ4 | FHLMC GOLD | 5.00 | 9/1/2017 | 21,973 | 23,143 | 23,452 | ||||||||||||||||
3128GVLF5 | FHLMC GOLD | 5.00 | 9/1/2017 | 10,416 | 10,962 | 11,117 | ||||||||||||||||
3128GVLH1 | FHLMC GOLD | 5.00 | 9/1/2017 | 14,456 | 15,231 | 15,429 | ||||||||||||||||
3128GVLJ7 | FHLMC GOLD | 5.00 | 9/1/2017 | 21,275 | 22,393 | 22,708 | ||||||||||||||||
3128GVMM9 | FHLMC GOLD | 5.00 | 8/1/2017 | 5,147 | 5,421 | 5,493 | ||||||||||||||||
3128GVNL0 | FHLMC GOLD | 5.00 | 9/1/2017 | 8,626 | 9,080 | 9,207 | ||||||||||||||||
3128GVNM8 | FHLMC GOLD | 5.00 | 9/1/2017 | 11,580 | 12,191 | 12,359 |
Page 8
Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010 |
Cusip | Security Description | Coupon | Maturity | Par | Book Value $ | Market Value $ | ||||||||||||||||
3128GVNN6 | FHLMC GOLD | 5.00 | 9/1/2017 | 17,963 | 18,912 | 19,580 | ||||||||||||||||
3128GVNV8 | FHLMC GOLD | 5.00 | 9/1/2017 | 7,922 | 8,341 | 8,455 | ||||||||||||||||
3128GVNX4 | FHLMC GOLD | 5.00 | 9/1/2017 | 86,633 | 91,264 | 92,465 | ||||||||||||||||
3128GVPM6 | FHLMC GOLD | 5.00 | 9/1/2017 | 7,491 | 7,885 | 7,995 | ||||||||||||||||
3128GVPN4 | FHLMC GOLD | 5.00 | 9/1/2017 | 6,086 | 6,406 | 6,495 | ||||||||||||||||
3128GVPP9 | FHLMC GOLD | 5.00 | 9/1/2017 | 29,177 | 30,741 | 31,141 | ||||||||||||||||
3128GVQH6 | FHLMC GOLD | 5.00 | 9/1/2017 | 30,333 | 31,956 | 32,375 | ||||||||||||||||
3128GVRA0 | FHLMC GOLD | 5.00 | 9/1/2017 | 6,565 | 6,911 | 7,007 | ||||||||||||||||
3128GVRC6 | FHLMC GOLD | 5.00 | 9/1/2017 | 13,902 | 14,642 | 14,838 | ||||||||||||||||
3128GVRE2 | FHLMC GOLD | 5.00 | 9/1/2017 | 9,982 | 10,513 | 10,654 | ||||||||||||||||
3128GVRS1 | FHLMC GOLD | 5.00 | 9/1/2017 | 5,568 | 5,862 | 5,943 | ||||||||||||||||
3128GVRT9 | FHLMC GOLD | 5.00 | 9/1/2017 | 15,901 | 16,740 | 16,971 | ||||||||||||||||
3128GVRY8 | FHLMC GOLD | 5.00 | 9/1/2017 | 74,207 | 78,165 | 79,202 | ||||||||||||||||
3128GVT83 | FHLMC GOLD | 5.00 | 9/1/2017 | 32,367 | 34,091 | 34,546 | ||||||||||||||||
3128GVTN0 | FHLMC GOLD | 5.00 | 9/1/2017 | 7,369 | 7,761 | 7,865 | ||||||||||||||||
3128GVTW0 | FHLMC GOLD | 5.00 | 9/1/2017 | 21,883 | 23,056 | 23,356 | ||||||||||||||||
3128GVUD0 | FHLMC GOLD | 5.00 | 9/1/2017 | 3,568 | 3,759 | 3,808 | ||||||||||||||||
3128GVUE8 | FHLMC GOLD | 5.00 | 9/1/2017 | 19,632 | 20,684 | 20,953 | ||||||||||||||||
3128GVUX6 | FHLMC GOLD | 5.00 | 10/1/2017 | 6,544 | 6,887 | 6,985 | ||||||||||||||||
3128GVVE7 | FHLMC GOLD | 5.00 | 10/1/2017 | 44,633 | 46,981 | 47,637 | ||||||||||||||||
3128GVVF4 | FHLMC GOLD | 5.00 | 10/1/2017 | 21,420 | 22,551 | 22,862 | ||||||||||||||||
3128GVVJ6 | FHLMC GOLD | 5.00 | 10/1/2017 | 32,580 | 34,312 | 34,773 | ||||||||||||||||
3128GVVY3 | FHLMC GOLD | 5.00 | 10/1/2017 | 19,583 | 20,636 | 20,900 | ||||||||||||||||
3128GVW22 | FHLMC GOLD | 5.00 | 9/1/2017 | 6,733 | 7,094 | 7,186 | ||||||||||||||||
3128GVW89 | FHLMC GOLD | 5.00 | 10/1/2017 | 11,089 | 11,673 | 11,835 | ||||||||||||||||
3128GVZV5 | FHLMC GOLD | 5.00 | 10/1/2017 | 26,496 | 27,918 | 28,279 | ||||||||||||||||
3128GW5Q7 | FHLMC GOLD | 5.00 | 11/1/2017 | 14,264 | 15,017 | 15,224 | ||||||||||||||||
3128GW6G8 | FHLMC GOLD | 5.00 | 11/1/2017 | 7,408 | 7,800 | 7,907 | ||||||||||||||||
3128GWAQ1 | FHLMC GOLD | 5.00 | 10/1/2017 | 5,488 | 5,777 | 5,857 | ||||||||||||||||
3128GWAT5 | FHLMC GOLD | 5.00 | 10/1/2017 | 34,563 | 36,418 | 36,888 | ||||||||||||||||
3128GWAU2 | FHLMC GOLD | 5.00 | 10/1/2017 | 35,092 | 36,944 | 37,454 | ||||||||||||||||
3128GWB49 | FHLMC GOLD | 5.00 | 10/1/2017 | 4,015 | 4,230 | 4,285 | ||||||||||||||||
3128GWB80 | FHLMC GOLD | 5.00 | 10/1/2017 | 22,276 | 23,447 | 23,776 | ||||||||||||||||
3128GWBH0 | FHLMC GOLD | 5.00 | 10/1/2017 | 31,529 | 33,222 | 33,651 | ||||||||||||||||
3128GWC89 | FHLMC GOLD | 5.00 | 10/1/2017 | 11,007 | 11,598 | 11,748 | ||||||||||||||||
3128GWCL0 | FHLMC GOLD | 5.00 | 10/1/2017 | 19,704 | 20,747 | 21,030 | ||||||||||||||||
3128GWCW6 | FHLMC GOLD | 5.00 | 10/1/2017 | 5,961 | 6,275 | 6,362 | ||||||||||||||||
3128GWDP0 | FHLMC GOLD | 5.00 | 10/1/2017 | 14,276 | 15,030 | 15,237 | ||||||||||||||||
3128GWEG9 | FHLMC GOLD | 5.00 | 10/1/2017 | 43,545 | 45,846 | 46,477 | ||||||||||||||||
3128GWEK0 | FHLMC GOLD | 5.00 | 10/1/2017 | 11,597 | 12,207 | 12,377 | ||||||||||||||||
3128GWEP9 | FHLMC GOLD | 5.00 | 10/1/2017 | 6,861 | 7,229 | 7,323 | ||||||||||||||||
3128GWF86 | FHLMC GOLD | 5.00 | 10/1/2017 | 15,942 | 16,784 | 17,016 | ||||||||||||||||
3128GWFN3 | FHLMC GOLD | 5.00 | 10/1/2017 | 12,474 | 13,131 | 13,313 | ||||||||||||||||
3128GWHH4 | FHLMC GOLD | 5.00 | 10/1/2017 | 14,320 | 15,074 | 15,284 | ||||||||||||||||
3128GWJG4 | FHLMC GOLD | 5.00 | 11/1/2017 | 33,306 | 35,087 | 35,546 | ||||||||||||||||
3128GWK31 | FHLMC GOLD | 5.00 | 10/1/2017 | 19,334 | 20,355 | 20,636 | ||||||||||||||||
3128GWK56 | FHLMC GOLD | 5.00 | 11/1/2017 | 20,742 | 21,839 | 22,139 | ||||||||||||||||
3128GWMS4 | FHLMC GOLD | 5.00 | 11/1/2017 | 10,827 | 11,398 | 11,556 | ||||||||||||||||
3128GWP85 | FHLMC GOLD | 5.00 | 11/1/2017 | 11,172 | 11,772 | 11,924 | ||||||||||||||||
3128GWQ27 | FHLMC GOLD | 5.00 | 11/1/2017 | 20,365 | 21,441 | 21,736 | ||||||||||||||||
3128GWQ92 | FHLMC GOLD | 5.00 | 11/1/2017 | 17,370 | 18,286 | 18,539 | ||||||||||||||||
3128GWQN1 | FHLMC GOLD | 5.00 | 11/1/2017 | 17,801 | 18,737 | 18,999 | ||||||||||||||||
3128GWQY7 | FHLMC GOLD | 5.00 | 11/1/2017 | 8,194 | 8,625 | 8,746 | ||||||||||||||||
3128GWR42 | FHLMC GOLD | 5.00 | 11/1/2017 | 20,722 | 21,817 | 22,117 | ||||||||||||||||
3128GWRF7 | FHLMC GOLD | 5.00 | 11/1/2017 | 15,145 | 15,959 | 16,163 | ||||||||||||||||
3128GWV21 | FHLMC GOLD | 5.00 | 11/1/2017 | 31,828 | 33,535 | 33,971 | ||||||||||||||||
3128GWVL9 | FHLMC GOLD | 5.00 | 11/1/2017 | 5,437 | 5,728 | 5,803 | ||||||||||||||||
3128GWWM6 | FHLMC GOLD | 5.00 | 11/1/2017 | 4,101 | 4,322 | 4,376 |
Page 9
Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010 |
Cusip | Security Description | Coupon | Maturity | Par | Book Value $ | Market Value $ | ||||||||||||||||
3128GWXD5 | FHLMC GOLD | 5.00 | 11/1/2017 | 13,212 | 13,909 | 14,101 | ||||||||||||||||
3128GWXW3 | FHLMC GOLD | 5.00 | 11/1/2017 | 25,766 | 27,152 | 27,499 | ||||||||||||||||
3128GWYS1 | FHLMC GOLD | 5.00 | 11/1/2017 | 6,629 | 6,980 | 7,075 | ||||||||||||||||
3128GWZQ4 | FHLMC GOLD | 5.00 | 11/1/2017 | 15,206 | 16,008 | 16,229 | ||||||||||||||||
3128GX3H7 | FHLMC GOLD | 5.00 | 12/1/2017 | 25,418 | 26,790 | 27,128 | ||||||||||||||||
3128GX5V4 | FHLMC | 5.00 | 12/1/2017 | 29,838 | 31,450 | 31,846 | ||||||||||||||||
3128GXAX4 | FHLMC GOLD | 5.00 | 11/1/2017 | 36,304 | 38,223 | 38,748 | ||||||||||||||||
3128GXBC9 | FHLMC GOLD | 5.00 | 11/1/2017 | 7,694 | 8,099 | 8,212 | ||||||||||||||||
3128GXEA0 | FHLMC GOLD | 5.00 | 12/1/2017 | 17,250 | 18,180 | 18,410 | ||||||||||||||||
3128GXEK8 | FHLMC GOLD | 5.00 | 12/1/2017 | 8,612 | 9,076 | 9,191 | ||||||||||||||||
3128GXFT8 | FHLMC GOLD | 5.00 | 12/1/2017 | 18,804 | 19,800 | 20,070 | ||||||||||||||||
3128GXHA7 | FHLMC GOLD | 5.00 | 12/1/2017 | 27,971 | 29,471 | 29,854 | ||||||||||||||||
3128GXHQ2 | FHLMC GOLD | 5.00 | 12/1/2017 | 31,890 | 33,599 | 34,037 | ||||||||||||||||
3128GXN36 | FHLMC GOLD | 5.00 | 12/1/2017 | 33,312 | 35,110 | 35,555 | ||||||||||||||||
3128GY2H6 | FHLMC GOLD | 5.00 | 2/1/2018 | 18,847 | 19,848 | 20,116 | ||||||||||||||||
3128GYF66 | FHLMC GOLD | 5.00 | 1/1/2018 | 4,730 | 4,982 | 5,048 | ||||||||||||||||
3128GYFK5 | FHLMC GOLD | 5.00 | 1/1/2018 | 740 | 779 | 790 | ||||||||||||||||
3128GYG73 | FHLMC GOLD | 5.00 | 1/1/2018 | 26,163 | 27,546 | 27,924 | ||||||||||||||||
3128GYKK9 | FHLMC GOLD | 5.00 | 1/1/2018 | 2,988 | 3,147 | 3,189 | ||||||||||||||||
3128GYLX0 | FHLMC GOLD | 5.00 | 1/1/2018 | 3,120 | 3,286 | 3,330 | ||||||||||||||||
3128GYNT7 | FHLMC GOLD | 5.00 | 2/1/2018 | 2,379 | 2,506 | 2,539 | ||||||||||||||||
3128GYQC1 | FHLMC GOLD | 5.00 | 2/1/2018 | 21,020 | 22,137 | 22,435 | ||||||||||||||||
3128GYS88 | FHLMC GOLD | 5.00 | 2/1/2018 | 2,230 | 2,351 | 2,381 | ||||||||||||||||
3128GYTW4 | FHLMC GOLD | 5.00 | 2/1/2018 | 2,243 | 2,363 | 2,394 | ||||||||||||||||
3128GYU44 | FHLMC GOLD | 5.00 | 2/1/2018 | 17,694 | 18,627 | 18,885 | ||||||||||||||||
3128GYU51 | FHLMC GOLD | 5.00 | 2/1/2018 | 15,942 | 16,784 | 17,015 | ||||||||||||||||
3128GYV35 | FHLMC GOLD | 5.00 | 2/1/2018 | 33,643 | 35,431 | 35,908 | ||||||||||||||||
3128GYVB7 | FHLMC GOLD | 5.50 | 2/1/2018 | 68,252 | 73,762 | 73,493 | ||||||||||||||||
3128GYVZ4 | FHLMC GOLD | 5.00 | 2/1/2018 | 22,578 | 23,776 | 24,098 | ||||||||||||||||
3128GYZE7 | FHLMC GOLD | 5.00 | 2/1/2018 | 12,804 | 13,487 | 13,676 | ||||||||||||||||
3128H22V4 | FHLMC GOLD | 5.00 | 4/1/2018 | 9,821 | 10,344 | 10,490 | ||||||||||||||||
3128H25K5 | FHLMC GOLD | 5.00 | 4/1/2018 | 2,557 | 2,694 | 2,729 | ||||||||||||||||
3128H26F5 | FHLMC GOLD | 5.00 | 3/1/2018 | 2,027 | 2,135 | 2,160 | ||||||||||||||||
3128H26M0 | FHLMC GOLD | 5.50 | 3/1/2018 | 1,208,859 | 1,306,417 | 1,301,696 | ||||||||||||||||
3128H26W8 | FHLMC GOLD | 5.50 | 2/1/2018 | 476,143 | 514,517 | 512,709 | ||||||||||||||||
3128H27K3 | FHLMC GOLD | 5.00 | 4/1/2018 | 7,595 | 8,000 | 8,106 | ||||||||||||||||
3128H2B69 | FHLMC GOLD | 5.00 | 2/1/2018 | 27,798 | 29,270 | 29,670 | ||||||||||||||||
3128H2B77 | FHLMC GOLD | 5.00 | 2/1/2018 | 24,921 | 26,243 | 26,599 | ||||||||||||||||
3128H2B85 | FHLMC GOLD | 5.00 | 2/1/2018 | 22,218 | 23,397 | 23,714 | ||||||||||||||||
3128H2C84 | FHLMC GOLD | 5.00 | 2/1/2018 | 4,718 | 4,968 | 5,035 | ||||||||||||||||
3128H2E41 | FHLMC GOLD | 5.00 | 3/1/2018 | 29,596 | 31,166 | 31,589 | ||||||||||||||||
3128H2ED1 | FHLMC GOLD | 5.00 | 2/1/2018 | 58,925 | 62,042 | 62,940 | ||||||||||||||||
3128H2EG4 | FHLMC GOLD | 5.00 | 2/1/2018 | 31,053 | 32,700 | 33,144 | ||||||||||||||||
3128H2LV3 | FHLMC GOLD | 5.00 | 2/1/2018 | 29,936 | 31,523 | 31,951 | ||||||||||||||||
3128H2LY7 | FHLMC GOLD | 5.00 | 3/1/2018 | 12,493 | 13,161 | 13,345 | ||||||||||||||||
3128H2QV8 | FHLMC GOLD | 5.00 | 3/1/2018 | 31,796 | 33,477 | 33,936 | ||||||||||||||||
3128H2T86 | FHLMC GOLD | 5.00 | 3/1/2018 | 4,568 | 4,812 | 4,880 | ||||||||||||||||
3128H2TF0 | FHLMC GOLD | 5.00 | 3/1/2018 | 30,900 | 32,544 | 32,980 | ||||||||||||||||
3128H2TJ2 | FHLMC GOLD | 5.00 | 3/1/2018 | 12,359 | 13,018 | 13,191 | ||||||||||||||||
3128H2TW3 | FHLMC GOLD | 5.00 | 3/1/2018 | 25,558 | 26,919 | 27,279 | ||||||||||||||||
3128H2VW0 | FHLMC GOLD | 5.00 | 3/1/2018 | 38,175 | 40,206 | 40,745 | ||||||||||||||||
3128H2YM9 | FHLMC GOLD | 5.00 | 3/1/2018 | 10,432 | 10,984 | 11,134 | ||||||||||||||||
3128H2YN7 | FHLMC GOLD | 5.00 | 3/1/2018 | 11,356 | 11,959 | 12,121 | ||||||||||||||||
3128H2YS6 | FHLMC GOLD | 5.00 | 3/1/2018 | 12,390 | 13,048 | 13,224 | ||||||||||||||||
3128H2ZJ5 | FHLMC GOLD | 5.00 | 3/1/2018 | 8,991 | 9,469 | 9,596 | ||||||||||||||||
3128H2ZT3 | FHLMC GOLD | 5.00 | 4/1/2018 | 15,148 | 15,950 | 16,168 | ||||||||||||||||
3128H2ZU0 | FHLMC GOLD | 5.00 | 4/1/2018 | 19,936 | 20,995 | 21,278 | ||||||||||||||||
3128H32W0 | FHLMC GOLD | 5.00 | 4/1/2018 | 18,469 | 19,461 | 19,713 |
Page 10
Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010 |
Cusip | Security Description | Coupon | Maturity | Par | Book Value $ | Market Value $ | ||||||||||||||||
3128H3C25 | FHLMC GOLD | 5.00 | 4/1/2018 | 3,600 | 3,792 | 3,842 | ||||||||||||||||
3128H3CD1 | FHLMC GOLD | 5.00 | 4/1/2018 | 4,504 | 4,746 | 4,808 | ||||||||||||||||
3128H3FG1 | FHLMC GOLD | 5.00 | 4/1/2018 | 18,978 | 19,990 | 20,255 | ||||||||||||||||
3128H3KN0 | FHLMC GOLD | 5.00 | 4/1/2018 | 4,168 | 4,392 | 4,449 | ||||||||||||||||
3128H3MN8 | FHLMC GOLD | 5.00 | 4/1/2018 | 34,085 | 35,899 | 36,379 | ||||||||||||||||
3128H3N72 | FHLMC GOLD | 5.00 | 4/1/2018 | 10,226 | 10,770 | 10,914 | ||||||||||||||||
3128H3RY9 | FHLMC GOLD | 5.00 | 5/1/2018 | 35,653 | 37,546 | 38,053 | ||||||||||||||||
3128H3S36 | FHLMC GOLD | 5.00 | 4/1/2018 | 11,667 | 12,287 | 12,452 | ||||||||||||||||
3128H3SZ5 | FHLMC GOLD | 5.00 | 5/1/2018 | 19,281 | 20,306 | 20,580 | ||||||||||||||||
3128H3V65 | FHLMC GOLD | 5.00 | 5/1/2018 | 7,109 | 7,486 | 7,587 | ||||||||||||||||
3128H3WF4 | FHLMC GOLD | 5.00 | 4/1/2018 | 13,605 | 14,328 | 14,521 | ||||||||||||||||
3128H3XU0 | FHLMC GOLD | 5.00 | 5/1/2018 | 13,122 | 13,818 | 14,006 | ||||||||||||||||
3128H45V7 | FHLMC GOLD | 5.00 | 6/1/2018 | 21,569 | 22,721 | 23,021 | ||||||||||||||||
3128H4J59 | FHLMC GOLD | 5.00 | 6/1/2018 | 13,411 | 14,127 | 14,314 | ||||||||||||||||
3128H4JG5 | FHLMC GOLD | 5.00 | 5/1/2018 | 15,162 | 15,970 | 16,182 | ||||||||||||||||
3128H4JT7 | FHLMC GOLD | 5.00 | 6/1/2018 | 30,895 | 32,539 | 32,974 | ||||||||||||||||
3128H5JX5 | FHLMC GOLD | 5.00 | 7/1/2018 | 23,824 | 25,095 | 25,428 | ||||||||||||||||
3128H5RP3 | FHLMC GOLD | 5.00 | 7/1/2018 | 13,350 | 14,063 | 14,249 | ||||||||||||||||
3128H5TK2 | FHLMC GOLD | 5.00 | 7/1/2018 | 36,931 | 38,902 | 39,417 | ||||||||||||||||
3128H6BG8 | FHLMC GOLD | 5.00 | 7/1/2018 | 29,447 | 31,020 | 31,429 | ||||||||||||||||
3128H6CZ5 | FHLMC GOLD | 5.00 | 7/1/2018 | 30,144 | 31,757 | 32,173 | ||||||||||||||||
3128H6FR0 | FHLMC GOLD | 5.00 | 8/1/2018 | 20,078 | 21,151 | 21,429 | ||||||||||||||||
3128H6FU3 | FHLMC GOLD | 5.00 | 8/1/2018 | 16,562 | 17,449 | 17,677 | ||||||||||||||||
3128H6WU4 | FHLMC GOLD | 5.50 | 8/1/2018 | 305,634 | 330,864 | 329,598 | ||||||||||||||||
3128H6XM1 | FHLMC GOLD | 5.00 | 8/1/2018 | 8,186 | 8,623 | 8,737 | ||||||||||||||||
3128H6ZC1 | FHLMC GOLD | 5.50 | 7/1/2018 | 104,644 | 113,284 | 112,849 | ||||||||||||||||
3128H77K2 | FHLMC GOLD | 5.50 | 10/1/2018 | 206,724 | 223,762 | 222,933 | ||||||||||||||||
3128JLDM8 | FHLMC | 2.96 | 9/1/2033 | 2,839,208 | 2,976,276 | 2,980,394 | ||||||||||||||||
3128JLEY1 | FHLMC | 2.95 | 9/1/2033 | 4,999,447 | 5,241,147 | 5,246,820 | ||||||||||||||||
3128JLHB8 | FHLMC | 2.92 | 9/1/2033 | 171,321 | 177,370 | 179,586 | ||||||||||||||||
3128JM6N2 | FHLMC | 2.74 | 2/1/2035 | 542,917 | 556,504 | 568,020 | ||||||||||||||||
3128JM7E1 | FHLMC | 2.70 | 2/1/2035 | 430,428 | 441,546 | 450,384 | ||||||||||||||||
3128JMW45 | FHLMC | 3.13 | 11/1/2034 | 232,900 | 243,837 | 244,520 | ||||||||||||||||
3128JMY68 | FHLMC | 3.18 | 11/1/2034 | 310,495 | 322,265 | 325,876 | ||||||||||||||||
3128JMZG5 | FHLMC | 3.23 | 11/1/2034 | 420,432 | 440,189 | 441,336 | ||||||||||||||||
3128JNAL9 | FHLMC | 3.06 | 2/1/2035 | 451,189 | 473,167 | 473,740 | ||||||||||||||||
3128JRP26 | FHLMC | 3.30 | 12/1/2033 | 2,353,072 | 2,485,668 | 2,463,756 | ||||||||||||||||
3128K17K1 | FHLMC GOLD | 5.00 | 1/1/2036 | 6,239,063 | 6,600,837 | 6,593,317 | ||||||||||||||||
3128KA4Z1 | FHLMC GOLD | 6.00 | 6/1/2036 | 96,503 | 101,298 | 103,975 | ||||||||||||||||
3128KE5H2 | FHLMC GOLD | 6.50 | 9/1/2036 | 153,288 | 167,750 | 167,080 | ||||||||||||||||
3128KVAR6 | FHLMC GOLD | 6.50 | 8/1/2037 | 211,829 | 231,888 | 231,000 | ||||||||||||||||
3128KWBZ5 | FHLMC GOLD | 6.00 | 9/1/2037 | 19,975 | 21,962 | 21,878 | ||||||||||||||||
3128KWFX6 | FHLMC GOLD | 6.00 | 9/1/2037 | 41,015 | 45,086 | 44,923 | ||||||||||||||||
3128KWFY4 | FHLMC GOLD | 6.00 | 9/1/2037 | 59,989 | 65,943 | 65,704 | ||||||||||||||||
3128KWT29 | FHLMC GOLD | 6.00 | 9/1/2037 | 34,435 | 37,855 | 37,716 | ||||||||||||||||
3128KWTK9 | FHLMC GOLD | 6.00 | 9/1/2037 | 50,918 | 55,971 | 55,770 | ||||||||||||||||
3128KWTP8 | FHLMC GOLD | 6.00 | 9/1/2037 | 43,061 | 47,338 | 47,164 | ||||||||||||||||
3128KWTZ6 | FHLMC GOLD | 6.00 | 9/1/2037 | 34,701 | 38,149 | 38,008 | ||||||||||||||||
3128KYXE4 | FHLMC GOLD | 6.00 | 4/1/2037 | 22,297 | 24,513 | 24,422 | ||||||||||||||||
3128M4XA6 | FHLMC GOLD | 5.50 | 7/1/2037 | 4,159,045 | 4,465,296 | 4,443,638 | ||||||||||||||||
3128M4ZG1 | FHLMC GOLD | 6.00 | 7/1/2037 | 4,189 | 4,605 | 4,588 | ||||||||||||||||
3128M5R93 | FHLMC GOLD | 5.50 | 2/1/2038 | 1,255,795 | 1,334,086 | 1,331,125 | ||||||||||||||||
3128M6UB2 | FHLMC GOLD | 6.00 | 7/1/2038 | 108,395 | 119,184 | 118,723 | ||||||||||||||||
3128M7AZ9 | FHLMC GOLD | 6.00 | 12/1/2038 | 301,011 | 330,962 | 329,690 | ||||||||||||||||
3128M7B88 | FHLMC GOLD | 5.50 | 2/1/2039 | 824,100 | 875,478 | 873,280 | ||||||||||||||||
3128M7FG6 | FHLMC GOLD | 5.50 | 12/1/2038 | 3,811,020 | 4,048,613 | 4,038,447 | ||||||||||||||||
3128M7HL3 | FHLMC GOLD | 5.00 | 3/1/2039 | 158,774 | 165,312 | 169,538 | ||||||||||||||||
3128M7PN0 | FHLMC GOLD | 5.00 | 7/1/2039 | 1,363,769 | 1,404,365 | 1,448,555 |
Page 11
Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010 |
Cusip | Security Description | Coupon | Maturity | Par | Book Value $ | Market Value $ | ||||||||||||||||
3128MMAC7 | FHLMC GOLD | 5.00 | 7/1/2019 | 906,831 | 971,993 | 969,690 | ||||||||||||||||
3128MMLD3 | FHLMC GOLD | 4.50 | 9/1/2024 | 3,580,494 | 3,774,034 | 3,767,192 | ||||||||||||||||
3128NCBF0 | FHLMC | 2.92 | 1/1/2035 | 476,426 | 492,871 | 499,423 | ||||||||||||||||
3128NCBH6 | FHLMC | 2.65 | 1/1/2035 | 868,561 | 893,743 | 900,473 | ||||||||||||||||
3128NCBW3 | FHLMC | 2.81 | 2/1/2035 | 557,414 | 571,346 | 584,376 | ||||||||||||||||
3128NCDH4 | FHLMC | 2.77 | 2/1/2035 | 274,809 | 289,182 | 287,538 | ||||||||||||||||
3128PR7G8 | FHLMC GOLD | 4.37 | 8/1/2025 | 1,992,090 | 2,073,475 | 2,082,074 | ||||||||||||||||
3128PRVD8 | FHLMC GOLD | 4.00 | 6/1/2025 | 2,466,728 | 2,560,126 | 2,583,232 | ||||||||||||||||
3128PRWK1 | FHLMC GOLD | 4.00 | 7/1/2025 | 1,727,294 | 1,782,640 | 1,805,317 | ||||||||||||||||
3128PRWU9 | FHLMC GOLD | 4.00 | 7/1/2025 | 5,381,734 | 5,585,550 | 5,635,914 | ||||||||||||||||
3128PRZ85 | FHLMC GOLD | 4.00 | 7/1/2025 | 1,712,937 | 1,767,760 | 1,790,311 | ||||||||||||||||
3128PSBA4 | FHLMC GOLD | 4.00 | 8/1/2025 | 4,481,927 | 4,665,012 | 4,684,377 | ||||||||||||||||
3128QLPD7 | FHLMC | 2.63 | 6/1/2035 | 26,231,524 | 27,142,430 | 27,556,303 | ||||||||||||||||
3128S4E52 | FHLMC | 2.83 | 10/1/2035 | 8,576,525 | 8,952,289 | 9,028,105 | ||||||||||||||||
312929CM2 | FHLMC GOLD | 6.00 | 1/1/2039 | 10,658 | 11,717 | 11,674 | ||||||||||||||||
31292KJH1 | FHLMC GOLD | 6.00 | 7/1/2037 | 2,295 | 2,523 | 2,514 | ||||||||||||||||
31292KX93 | FHLMC GOLD | 4.50 | 9/1/2039 | 5,654,863 | 5,706,917 | 5,887,277 | ||||||||||||||||
312930LH1 | FHLMC GOLD | 6.00 | 1/1/2039 | 37,446 | 41,166 | 41,013 | ||||||||||||||||
312930LQ1 | FHLMC GOLD | 6.00 | 1/1/2039 | 44,190 | 48,587 | 48,400 | ||||||||||||||||
312930RC6 | FHLMC GOLD | 6.00 | 1/1/2039 | 28,762 | 31,203 | 30,854 | ||||||||||||||||
312930RV4 | FHLMC GOLD | 6.00 | 1/1/2039 | 13,826 | 15,202 | 15,143 | ||||||||||||||||
312930TB6 | FHLMC GOLD | 6.00 | 1/1/2039 | 13,296 | 14,419 | 14,263 | ||||||||||||||||
312931D62 | FHLMC GOLD | 4.00 | 2/1/2039 | 4,394,007 | 4,450,301 | 4,512,869 | ||||||||||||||||
312931TJ7 | FHLMC GOLD | 5.00 | 3/1/2039 | 3,798,972 | 4,016,872 | 3,993,290 | ||||||||||||||||
3129326W1 | FHLMC GOLD | 5.00 | 5/1/2039 | 37,108 | 38,283 | 39,006 | ||||||||||||||||
312932CX2 | FHLMC GOLD | 4.50 | 4/1/2039 | 3,649,836 | 3,783,044 | 3,813,769 | ||||||||||||||||
312932XE1 | FHLMC GOLD | 5.00 | 5/1/2039 | 42,300 | 43,639 | 44,464 | ||||||||||||||||
312932ZE9 | FHLMC GOLD | 5.00 | 5/1/2039 | 101,353 | 104,562 | 108,225 | ||||||||||||||||
312933E83 | FHLMC GOLD | 5.00 | 5/1/2039 | 35,217 | 36,333 | 37,605 | ||||||||||||||||
312933F41 | FHLMC GOLD | 4.50 | 6/1/2039 | 5,146,980 | 5,333,090 | 5,358,521 | ||||||||||||||||
312933F66 | FHLMC GOLD | 5.00 | 6/1/2039 | 37,452 | 38,638 | 39,368 | ||||||||||||||||
3129345K4 | FHLMC GOLD | 5.00 | 8/1/2039 | 190,351 | 196,021 | 202,185 | ||||||||||||||||
312934JJ2 | FHLMC GOLD | 5.00 | 7/1/2039 | 77,815 | 80,278 | 81,795 | ||||||||||||||||
312934MM1 | FHLMC GOLD | 5.00 | 7/1/2039 | 77,975 | 80,444 | 81,964 | ||||||||||||||||
312934PJ5 | FHLMC GOLD | 5.00 | 8/1/2039 | 102,000 | 105,230 | 108,915 | ||||||||||||||||
312934R38 | FHLMC GOLD | 5.00 | 8/1/2039 | 86,729 | 89,475 | 92,608 | ||||||||||||||||
312934WP3 | FHLMC GOLD | 5.00 | 8/1/2039 | 75,514 | 77,764 | 80,209 | ||||||||||||||||
312934Z47 | FHLMC GOLD | 5.00 | 8/1/2039 | 61,567 | 63,517 | 64,716 | ||||||||||||||||
3129353B3 | FHLMC GOLD | 4.50 | 9/1/2039 | 759,879 | 766,287 | 791,110 | ||||||||||||||||
3129356Q7 | FHLMC GOLD | 4.50 | 9/1/2039 | 192,026 | 193,646 | 199,919 | ||||||||||||||||
312935AT6 | FHLMC GOLD | 5.00 | 8/1/2039 | 206,210 | 212,355 | 219,030 | ||||||||||||||||
312935BW8 | FHLMC GOLD | 5.00 | 8/1/2039 | 94,972 | 98,885 | 99,830 | ||||||||||||||||
312935JT7 | FHLMC GOLD | 4.50 | 9/1/2039 | 284,338 | 287,152 | 296,024 | ||||||||||||||||
312935KN8 | FHLMC GOLD | 5.00 | 9/1/2039 | 123,169 | 126,839 | 130,826 | ||||||||||||||||
312935KY4 | FHLMC GOLD | 4.50 | 9/1/2039 | 283,326 | 286,130 | 294,970 | ||||||||||||||||
312935LV9 | FHLMC GOLD | 4.50 | 9/1/2039 | 193,341 | 195,254 | 201,287 | ||||||||||||||||
312935MQ9 | FHLMC GOLD | 4.50 | 9/1/2039 | 949,809 | 960,560 | 998,999 | ||||||||||||||||
312935MV8 | FHLMC GOLD | 4.50 | 9/1/2039 | 1,924,131 | 1,943,913 | 2,003,213 | ||||||||||||||||
312935S75 | FHLMC GOLD | 5.00 | 9/1/2039 | 447,323 | 465,757 | 477,650 | ||||||||||||||||
3129365C7 | FHLMC GOLD | 5.00 | 11/1/2039 | 1,574,371 | 1,637,246 | 1,672,250 | ||||||||||||||||
312936AM9 | FHLMC GOLD | 5.00 | 9/1/2039 | 122,018 | 126,887 | 129,604 | ||||||||||||||||
312936AP2 | FHLMC GOLD | 5.00 | 9/1/2039 | 90,386 | 94,112 | 95,010 | ||||||||||||||||
312936GU5 | FHLMC GOLD | 5.00 | 10/1/2039 | 159,113 | 165,675 | 169,900 | ||||||||||||||||
312936LH8 | FHLMC GOLD | 5.00 | 10/1/2039 | 376,163 | 391,756 | 395,404 | ||||||||||||||||
312936LM7 | FHLMC GOLD | 5.00 | 10/1/2039 | 673,839 | 700,399 | 715,732 | ||||||||||||||||
3129383Y7 | FHLMC GOLD | 5.00 | 1/1/2040 | 158,897 | 165,244 | 168,776 | ||||||||||||||||
3129385D1 | FHLMC GOLD | 5.00 | 1/1/2040 | 105,027 | 109,209 | 111,294 | ||||||||||||||||
312938GP2 | FHLMC GOLD | 5.00 | 12/1/2039 | 529,540 | 550,692 | 562,461 |
Page 12
Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010 |
Cusip | Security Description | Coupon | Maturity | Par | Book Value $ | Market Value $ | ||||||||||||||||
312938XT5 | FHLMC GOLD | 5.00 | 1/1/2040 | 717,903 | 746,504 | 760,292 | ||||||||||||||||
3129394R9 | FHLMC GOLD | 5.00 | 4/1/2040 | 4,408,216 | 4,557,947 | 4,633,696 | ||||||||||||||||
312939RM5 | FHLMC GOLD | 5.00 | 3/1/2040 | 4,702,836 | 4,862,580 | 4,943,386 | ||||||||||||||||
312939T43 | FHLMC GOLD | 5.00 | 3/1/2040 | 2,269,810 | 2,346,821 | 2,385,911 | ||||||||||||||||
312939U82 | FHLMC GOLD | 5.00 | 3/1/2040 | 7,779,016 | 8,043,234 | 8,176,913 | ||||||||||||||||
312939WP2 | FHLMC GOLD | 5.00 | 3/1/2040 | 2,679,649 | 2,770,681 | 2,816,713 | ||||||||||||||||
312939XT3 | FHLMC GOLD | 5.00 | 3/1/2040 | 3,255,529 | 3,366,047 | 3,422,050 | ||||||||||||||||
312940A82 | FHLMC GOLD | 5.00 | 4/1/2040 | 2,601,866 | 2,690,215 | 2,734,951 | ||||||||||||||||
312940DF3 | FHLMC GOLD | 5.00 | 4/1/2040 | 4,813,453 | 4,976,800 | 5,059,661 | ||||||||||||||||
312940E54 | FHLMC GOLD | 5.00 | 4/1/2040 | 4,433,010 | 4,583,857 | 4,659,759 | ||||||||||||||||
312940GK9 | FHLMC GOLD | 5.00 | 4/1/2040 | 1,297,936 | 1,341,995 | 1,364,325 | ||||||||||||||||
31294KDZ5 | FHLMC GOLD | 5.00 | 9/1/2016 | 1,905 | 2,004 | 2,033 | ||||||||||||||||
31294KFJ9 | FHLMC GOLD | 5.00 | 11/1/2016 | 3,592 | 3,780 | 3,828 | ||||||||||||||||
31294KHD0 | FHLMC GOLD | 5.00 | 2/1/2017 | 7,631 | 8,034 | 8,144 | ||||||||||||||||
31294KHL2 | FHLMC GOLD | 5.00 | 3/1/2017 | 15,027 | 15,822 | 16,038 | ||||||||||||||||
31294KJT3 | FHLMC GOLD | 5.00 | 5/1/2017 | 4,830 | 5,086 | 5,155 | ||||||||||||||||
31294KKU8 | FHLMC GOLD | 5.00 | 9/1/2017 | 8,089 | 8,523 | 8,633 | ||||||||||||||||
31294MAK7 | FHLMC GOLD | 4.00 | 8/1/2025 | 5,942,268 | 6,185,010 | 6,210,683 | ||||||||||||||||
312962CQ4 | FHLMC GOLD | 5.00 | 8/1/2018 | 11,457 | 12,075 | 12,228 | ||||||||||||||||
312962CT8 | FHLMC GOLD | 5.00 | 8/1/2018 | 2,029 | 2,137 | 2,166 | ||||||||||||||||
312962KD4 | FHLMC GOLD | 5.50 | 10/1/2018 | 125,852 | 136,224 | 135,720 | ||||||||||||||||
312962KT9 | FHLMC GOLD | 5.00 | 10/1/2018 | 19,904 | 20,973 | 21,244 | ||||||||||||||||
312962MD2 | FHLMC GOLD | 5.00 | 11/1/2018 | 35,310 | 37,206 | 37,687 | ||||||||||||||||
312962Q63 | FHLMC GOLD | 5.50 | 10/1/2018 | 22,170 | 23,999 | 23,909 | ||||||||||||||||
312962UW1 | FHLMC GOLD | 5.50 | 11/1/2018 | 1,665,019 | 1,802,104 | 1,795,568 | ||||||||||||||||
312963VY4 | FHLMC GOLD | 5.50 | 12/1/2018 | 255,890 | 276,994 | 275,954 | ||||||||||||||||
312963WH0 | FHLMC GOLD | 5.50 | 12/1/2018 | 28,929 | 31,316 | 31,198 | ||||||||||||||||
312963ZG9 | FHLMC GOLD | 5.50 | 11/1/2018 | 108,383 | 117,336 | 116,881 | ||||||||||||||||
3129642B4 | FHLMC GOLD | 5.50 | 3/1/2019 | 326,753 | 353,658 | 352,570 | ||||||||||||||||
312964KG3 | FHLMC GOLD | 5.00 | 2/1/2019 | 6,645 | 7,007 | 7,092 | ||||||||||||||||
312964WX3 | FHLMC GOLD | 5.50 | 10/1/2018 | 491,648 | 532,238 | 530,196 | ||||||||||||||||
312965QA7 | FHLMC GOLD | 5.50 | 11/1/2018 | 264,859 | 286,738 | 285,626 | ||||||||||||||||
312966WU4 | FHLMC GOLD | 5.50 | 5/1/2019 | 1,543,172 | 1,670,612 | 1,665,101 | ||||||||||||||||
312968QL7 | FHLMC GOLD | 5.50 | 12/1/2018 | 2,465,052 | 2,664,579 | 2,654,361 | ||||||||||||||||
3129696M5 | FHLMC GOLD | 4.00 | 11/1/2014 | 3,034,445 | 3,193,886 | 3,212,771 | ||||||||||||||||
312969VY1 | FHLMC GOLD | 4.50 | 10/1/2014 | 4,974,845 | 5,272,787 | 5,282,850 | ||||||||||||||||
3129714D3 | FHLMC GOLD | 4.00 | 3/1/2015 | 4,133,247 | 4,348,688 | 4,362,578 | ||||||||||||||||
31342A6F1 | FHLMC | 2.57 | 9/1/2033 | 1,050,493 | 1,096,453 | 1,103,522 | ||||||||||||||||
31349UCW6 | FHLMC | 2.51 | 10/1/2034 | 493,837 | 513,438 | 516,032 | ||||||||||||||||
31349UEJ3 | FHLMC | 2.65 | 11/1/2034 | 887,280 | 928,209 | 923,300 | ||||||||||||||||
31349ULB2 | FHLMC | 2.62 | 2/1/2035 | 894,251 | 929,542 | 939,245 | ||||||||||||||||
31349ULF3 | FHLMC | 2.48 | 2/1/2035 | 533,407 | 547,494 | 557,586 | ||||||||||||||||
31349UMF2 | FHLMC | 2.63 | 3/1/2035 | 6,713,139 | 6,922,878 | 7,050,381 | ||||||||||||||||
31393M5X5 | FHLMC CMO | 5.00 | 12/15/2016 | 111,773 | 231 | 396 | ||||||||||||||||
01N0406A1 | GNMA | 4.00 | 10/1/2040 | 63,000,000 | 65,105,117 | 65,155,781 | ||||||||||||||||
01N0406B9 | GNMA | 4.00 | 11/1/2040 | 2,000,000 | 2,061,563 | 2,062,188 | ||||||||||||||||
01F0324A9 | FNMA | 3.50 | 10/1/2025 | 27,000,000 | 27,748,125 | 27,860,625 | ||||||||||||||||
01F0324A9 | FNMA | 3.50 | 10/1/2025 | (27,000,000 | ) | (27,798,203 | ) | (27,860,625 | ) | |||||||||||||
01F0324B7 | FNMA | 3.50 | 11/1/2025 | 80,000,000 | 82,312,969 | 82,296,875 | ||||||||||||||||
01F0324B7 | FNMA | 3.50 | 11/1/2025 | (34,000,000 | ) | (34,869,414 | ) | (34,976,172 | ) | |||||||||||||
01F0324C5 | FNMA | 3.50 | 12/1/2025 | 25,000,000 | 25,557,813 | 25,637,695 | ||||||||||||||||
01F0326A7 | FNMA | 3.50 | 10/1/2040 | 7,000,000 | 7,061,250 | 7,052,500 | ||||||||||||||||
01F0406A0 | FNMA | 4.00 | 10/1/2039 | 17,000,000 | 17,454,531 | 17,478,125 | ||||||||||||||||
01F0406A0 | FNMA | 4.00 | 10/1/2039 | (17,000,000 | ) | (17,502,188 | ) | (17,478,125 | ) | |||||||||||||
01F0426A6 | FNMA | 4.50 | 10/1/2037 | 115,000,000 | 119,388,594 | 119,779,688 | ||||||||||||||||
01F0426A6 | FNMA | 4.50 | 10/1/2037 | (74,000,000 | ) | (77,324,219 | ) | (77,075,625 | ) | |||||||||||||
01F0506A9 | FNMA TBA | 5.00 | 10/1/2034 | 15,000,000 | 15,778,125 | 15,789,844 | ||||||||||||||||
01F0506A9 | FNMA TBA | 5.00 | 10/1/2034 | (15,000,000 | ) | (15,826,172 | ) | (15,789,844 | ) |
Page 13
Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010 |
Cusip | Security Description | Coupon | Maturity | Par | Book Value $ | Market Value $ | ||||||||||||||||
01F0526A5 | FNMA TBA | 5.50 | 10/1/2034 | 118,000,000 | 125,583,906 | 125,393,438 | ||||||||||||||||
01F0526A5 | FNMA TBA | 5.50 | 10/1/2034 | (57,000,000 | ) | (60,653,750 | ) | (60,571,406 | ) | |||||||||||||
01F0606A8 | FNMA TBA | 6.00 | 10/1/2032 | 3,000,000 | 3,223,594 | 3,221,719 | ||||||||||||||||
01F0606A8 | FNMA TBA | 6.00 | 10/1/2032 | (3,000,000 | ) | (3,225,469 | ) | (3,221,719 | ) | |||||||||||||
01F0606B6 | FNMA TBA | 6.00 | 11/1/2034 | 3,000,000 | 3,220,781 | 3,217,266 | ||||||||||||||||
01F0626A4 | FNMA TBA | 6.50 | 10/1/2034 | 10,000,000 | 10,853,516 | 10,909,375 | ||||||||||||||||
02R0506A4 | FHLMC TBA | 5.00 | 10/1/2034 | 34,000,000 | 35,726,563 | 35,718,594 | ||||||||||||||||
02R0506A4 | FHLMC TBA | 5.00 | 10/1/2034 | (34,000,000 | ) | (35,814,219 | ) | (35,718,594 | ) | |||||||||||||
1,059,221,727 | 1,103,687,408 | 1,112,192,244 | ||||||||||||||||||||
Non Agency RMBS | ||||||||||||||||||||||
000780ET9 | AMAC | 5.00 | 4/25/2018 | 823,740 | 803,048 | 845,157 | ||||||||||||||||
04271AAB7 | ARRMF | 0.35 | 9/16/2056 | 686,665 | 664,970 | 673,344 | ||||||||||||||||
059469AA4 | BOAA | 5.90 | 10/25/2036 | 40,392 | 40,392 | 40,341 | ||||||||||||||||
05948X6X4 | BANK OF AMERICA MTG SEC | 4.75 | 6/25/2019 | 6,364,551 | 6,397,685 | 6,606,468 | ||||||||||||||||
05951KAX1 | BAFC | 5.88 | 10/25/2036 | 521,514 | 337,272 | 355,918 | ||||||||||||||||
07384MWF5 | BSARM | 3.07 | 8/25/2033 | 135,066 | 123,042 | 129,091 | ||||||||||||||||
126380AB0 | CSMC | 5.50 | 11/25/2036 | 2,282,817 | 1,854,212 | 1,917,567 | ||||||||||||||||
126384AJ5 | CSMC | 5.00 | 3/25/2037 | 1,267,334 | 1,160,068 | 1,154,123 | ||||||||||||||||
12638PBU2 | CSMC | 5.00 | 4/25/2037 | 1,256,795 | 1,035,361 | 1,060,559 | ||||||||||||||||
12669E5B8 | CWHL | 5.00 | 11/25/2018 | 974,667 | 1,000,912 | 1,010,037 | ||||||||||||||||
12669EYQ3 | COUNTRYWIDE HOME LOANS TR | 3.32 | 8/25/2033 | 97,076 | 73,311 | 80,641 | ||||||||||||||||
16162WLM9 | CHASE | 5.50 | 10/25/2035 | 14,399,939 | 13,711,013 | 14,428,883 | ||||||||||||||||
161630AC2 | CHASE | 3.15 | 2/25/2037 | 14,186,466 | 14,151,766 | 14,151,851 | ||||||||||||||||
161630AG3 | CHASE | 2.89 | 2/25/2037 | 25,233,353 | 23,628,947 | 24,034,769 | ||||||||||||||||
161630AN8 | CHASE | 3.15 | 2/25/2037 | 3,978,834 | 3,906,468 | 3,997,893 | ||||||||||||||||
161630AQ1 | CHASE | 2.90 | 2/25/2037 | 3,200,707 | 2,939,250 | 2,977,938 | ||||||||||||||||
1729733P2 | CMSI | 5.00 | 10/25/2035 | 14,678,640 | 14,232,588 | 14,864,618 | ||||||||||||||||
22882MAA6 | CRGT | 0.48 | 9/18/2034 | 58,529 | 52,674 | 58,207 | ||||||||||||||||
38741QAC0 | GRAN | 1.02 | 7/20/2043 | 94,757 | 88,475 | 88,687 | ||||||||||||||||
38741SAF9 | GRAN | 0.43 | 9/20/2044 | 39,459 | 36,174 | 36,914 | ||||||||||||||||
449670EQ7 | IMC HOME EQUITY LOAN TRUST | 6.84 | 8/20/2029 | 189,794 | 185,737 | 187,177 | ||||||||||||||||
46070MAA7 | IMT | 0.83 | 7/7/2034 | 15,205 | 15,205 | 15,106 | ||||||||||||||||
46630GAA3 | JPMMT | 3.01 | 7/25/2035 | 8,283,980 | 7,753,280 | 7,832,254 | ||||||||||||||||
46630GAD7 | JPMMT | 3.31 | 7/25/2035 | 3,058,269 | 2,839,557 | 2,878,382 | ||||||||||||||||
46630GAN5 | JPMMT_07-A1 | 2.97 | 7/25/2035 | 2,169,812 | 2,045,071 | 2,103,632 | ||||||||||||||||
46630GAS4 | JPMMT | 3.28 | 7/25/2035 | 8,389,742 | 7,834,128 | 7,887,280 | ||||||||||||||||
525170BL9 | LABS | 5.00 | 12/25/2033 | 13,434,182 | 13,326,157 | 13,639,893 | ||||||||||||||||
55265K5Q8 | MASTR | 4.75 | 1/25/2034 | 992,421 | 994,327 | 1,017,621 | ||||||||||||||||
576433QQ2 | MARM_04-8 | 1.95 | 9/25/2034 | 1,246,386 | 910,659 | 920,930 | ||||||||||||||||
58403GAB1 | MEDL | 0.34 | 2/27/2039 | 372,847 | 360,848 | 361,081 | ||||||||||||||||
589929W53 | MLMI | 2.80 | 7/25/2033 | 215,604 | 217,839 | 214,189 | ||||||||||||||||
76110H2P3 | RES ASSET SEC | 3.38 | 3/25/2035 | 1,807,754 | 1,094,652 | 1,132,034 | ||||||||||||||||
76110HHG7 | RFMSI_03-Q16 | 5.00 | 8/25/2018 | 8,097,904 | 7,845,084 | 8,387,485 | ||||||||||||||||
863579KY3 | SARM | 2.82 | 2/25/2035 | 2,745,774 | 1,934,020 | 1,959,521 | ||||||||||||||||
86359BGD7 | STRUCTURED ASSET SEC CORP | 4.12 | 2/25/2034 | 141,260 | 115,445 | 125,586 | ||||||||||||||||
86359BVE8 | STRUCTURED ASSET SEC CORP | 2.53 | 6/25/2034 | 10,294,559 | 9,289,377 | 9,419,521 | ||||||||||||||||
88522AAC5 | THORNBURG MORTGAGE SECURITIES | 0.38 | 7/25/2036 | 9,521,957 | 9,107,081 | 9,459,293 | ||||||||||||||||
92922F4M7 | WASHINGTON MUTUAL | 0.55 | 10/25/2045 | 1,305,053 | 729,630 | 1,056,441 | ||||||||||||||||
92922F4P0 | WAMU | 1.04 | 10/25/2045 | 6,426,613 | 5,148,271 | 5,583,441 | ||||||||||||||||
92922FB49 | WASHINGTON MUTUAL | 0.62 | 11/25/2034 | 416,565 | 228,037 | 333,459 | ||||||||||||||||
92922FZF8 | WAMU_04-A12 | 0.70 | 10/25/2044 | 7,702,503 | 4,346,789 | 6,192,566 | ||||||||||||||||
949781AA6 | WFMBS | 2.85 | 2/25/2035 | 3,924,425 | 3,656,424 | 3,649,716 | ||||||||||||||||
94982BAG5 | WFMBS | 2.89 | 6/25/2035 | 5,588,854 | 5,231,280 | 5,285,211 | ||||||||||||||||
186,662,763 | 171,446,525 | 178,154,825 | ||||||||||||||||||||
Non Agency RMBS — Non investment grade strategy | ||||||||||||||||||||||
751153AA5 | RALI_06-Q010 | 0.42 | 1/25/2037 | 4,482,783 | 2,612,822 | 2,555,187 | ||||||||||||||||
92922FR67 | WASHINGTON MUTUAL | 0.53 | 7/25/2045 | 604,859 | 482,210 | 484,976 | ||||||||||||||||
86361HAA2 | SAMI_06-AR7 | 0.47 | 8/25/2036 | 10,607,963 | 6,321,648 | 6,618,393 |
Page 14
Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010 |
Cusip | Security Description | Coupon | Maturity | Par | Book Value $ | Market Value $ | ||||||||||||||||
008684AA0 | AHMA | 0.45 | 12/25/2046 | 11,363,794 | 4,668,098 | 6,131,187 | ||||||||||||||||
02660BAA0 | AHMA_07-1 | 1.07 | 2/25/2047 | 9,662,015 | 4,720,901 | 4,874,970 | ||||||||||||||||
02660UAE0 | AHMA_06-3 | 1.33 | 10/25/2046 | 11,292,067 | 4,845,545 | 6,170,663 | ||||||||||||||||
05954DAG1 | BAFC | 5.72 | 7/20/2047 | 7,069,548 | 4,326,087 | 4,923,792 | ||||||||||||||||
07384MWF5 | BSARM | 3.07 | 8/25/2033 | 27,013 | 24,608 | 25,818 | ||||||||||||||||
073868AA9 | BALTA_06-6 | 0.42 | 11/25/2036 | 18,151,678 | 6,960,611 | 8,248,395 | ||||||||||||||||
07401AAA5 | BSMF | 0.46 | 9/25/2046 | 10,382,182 | 5,044,656 | 5,734,847 | ||||||||||||||||
07401YAQ8 | BEAR STEARNS MORTGAGE FUNDING | 0.47 | 6/25/2037 | 22,960,538 | 12,214,936 | 13,085,899 | ||||||||||||||||
12566XAK4 | CMA_07-A7 | 0.66 | 7/25/2037 | 7,836,635 | 4,642,432 | 4,637,172 | ||||||||||||||||
12667GNS8 | COUNTRYWIDE ALTERNATIVE LOAN T | 1.70 | 7/20/2035 | 1,039,668 | 452,737 | 624,040 | ||||||||||||||||
12668BPY3 | CWALT | 5.50 | 4/25/2036 | 14,638,317 | 9,246,769 | 10,537,685 | ||||||||||||||||
126694A32 | COUNTRYWIDE HOME LOANS | 0.47 | 3/20/2046 | 2,010,916 | 921,991 | 1,065,785 | ||||||||||||||||
126694M96 | COUNTRYWIDE HOME LOANS | 0.46 | 4/25/2046 | 7,689,197 | 3,321,753 | 4,446,417 | ||||||||||||||||
12669EYQ3 | COUNTRYWIDE HOME LOANS TR | 3.32 | 8/25/2033 | 32,359 | 24,437 | 26,880 | ||||||||||||||||
22541NQ77 | CSFB_03-AR9 | 2.63 | 3/25/2033 | 82,456 | 47,614 | 72,894 | ||||||||||||||||
22541QUJ9 | CS FIRST BOSTON MORTGAGE SECUR | 2.43 | 10/25/2033 | 166,413 | 84,751 | 150,146 | ||||||||||||||||
22942KCD0 | CSMC | 6.00 | 8/25/2036 | 15,801,905 | 9,419,594 | 10,343,769 | ||||||||||||||||
232434AE0 | CWALT_06-OC8 | 0.51 | 11/25/2036 | 25,540,207 | 3,905,323 | 3,366,710 | ||||||||||||||||
23245GAD3 | CWALT_06-OC9 | 0.51 | 12/25/2046 | 6,336,460 | 1,231,013 | 970,619 | ||||||||||||||||
23245QAA7 | CWALT | 0.45 | 3/20/2047 | 12,954,567 | 6,032,011 | 7,072,857 | ||||||||||||||||
25151AAG6 | DBALT | 0.54 | 8/25/2036 | 31,024,259 | 5,505,487 | 5,897,091 | ||||||||||||||||
32052DAG6 | FHAMS_06-FA8 | 6.00 | 2/25/2037 | 7,486,234 | 5,505,809 | 5,855,058 | ||||||||||||||||
40431HAJ6 | HALO | 0.56 | 12/25/2036 | 5,781,542 | 1,369,922 | 1,956,416 | ||||||||||||||||
41161VAC4 | HVMLT | 0.46 | 9/19/2036 | 5,819,993 | 3,256,968 | 3,327,756 | ||||||||||||||||
41162CAC5 | HVMLT_06-10 | 0.44 | 11/19/2036 | 8,605,406 | 4,906,761 | 5,121,564 | ||||||||||||||||
41162DAF6 | HVMLT_06-12 | 0.45 | 12/19/2036 | 7,553,265 | 4,137,648 | 4,890,739 | ||||||||||||||||
41162NAC1 | HVMLT | 0.41 | 1/25/2047 | 5,019,571 | 2,458,877 | 2,809,931 | ||||||||||||||||
45660NQ24 | INDX | 2.99 | 8/25/2034 | 432,113 | 254,059 | 280,489 | ||||||||||||||||
45668WAC1 | INX | 0.51 | 2/25/2037 | 5,000,000 | 589,620 | 520,400 | ||||||||||||||||
52520MBY8 | LMT_05-2 | 1.01 | 12/25/2035 | 3,998,922 | 2,418,458 | 2,751,498 | ||||||||||||||||
525221HA8 | LXS | 0.52 | 2/25/2046 | 4,767,324 | 2,022,348 | 2,515,198 | ||||||||||||||||
52524GAA0 | LXS_07-7N | 0.48 | 6/25/2047 | 12,124,501 | 7,105,599 | 7,591,150 | ||||||||||||||||
52524HAJ9 | LXS | 1.12 | 3/25/2047 | 2,764,795 | 1,485,610 | 1,666,038 | ||||||||||||||||
52524PAG7 | LXS_07-16N | 0.42 | 5/25/2037 | 12,458,227 | 8,113,565 | 8,090,746 | ||||||||||||||||
52524VAQ2 | LXS_07-15N | 1.16 | 8/25/2047 | 8,318,369 | 4,357,112 | 4,954,504 | ||||||||||||||||
55027WAA0 | LUM_07-2 | 0.49 | 5/25/2037 | 5,156,128 | 2,889,555 | 2,851,545 | ||||||||||||||||
55027XAA8 | LUM_06-5 | 0.45 | 7/25/2036 | 7,554,100 | 3,607,846 | 4,139,269 | ||||||||||||||||
57643LLC8 | MABS | 5.65 | 11/25/2035 | 10,000,000 | 4,034,580 | 5,470,500 | ||||||||||||||||
59024KAX1 | MLA_07-AF1 | 5.33 | 6/25/2037 | 4,426,460 | 2,425,699 | 2,274,342 | ||||||||||||||||
74958XAB0 | RFMSI | 5.63 | 4/25/2037 | 6,878,318 | 4,549,041 | 4,838,003 | ||||||||||||||||
75115YAA7 | RALI_07-Q01 | 0.41 | 2/25/2037 | 1,757,276 | 799,033 | 1,028,006 | ||||||||||||||||
76110H2P3 | RES ASSET SEC | 3.38 | 3/25/2035 | 364,290 | 220,589 | 228,122 | ||||||||||||||||
761118FG8 | RALI | 3.45 | 8/25/2035 | 4,302,541 | 2,456,888 | 2,809,344 | ||||||||||||||||
761118QM3 | RALI | 1.37 | 1/25/2046 | 4,644,818 | 2,490,688 | 2,537,660 | ||||||||||||||||
863579J90 | SARM | 5.18 | 12/25/2035 | 9,945,000 | 3,220,953 | 3,383,567 | ||||||||||||||||
86359A5B5 | SASC | 2.66 | 11/25/2033 | 401,961 | 295,759 | 358,188 | ||||||||||||||||
86359AH71 | SASC | 2.56 | 7/25/2033 | 613,562 | 473,533 | 573,515 | ||||||||||||||||
86359BGD7 | STRUCTURED ASSET SEC CORP | 4.12 | 2/25/2034 | 35,315 | 28,861 | 31,396 | ||||||||||||||||
86359LQM4 | SAMI_06-AR1 | 2.52 | 3/25/2046 | 4,184,246 | 2,139,482 | 2,406,276 | ||||||||||||||||
86364RAA7 | SAMI_07-AR6 | 1.89 | 8/25/2047 | 16,293,313 | 6,618,242 | 9,815,418 | ||||||||||||||||
92922F7P7 | WASHINGTON MUTUAL | 0.53 | 12/25/2045 | 9,106,235 | 5,422,667 | 7,284,988 | ||||||||||||||||
92922FJ25 | WASHINGTON MUTUAL | 0.49 | 4/25/2045 | 1,877,408 | 1,491,237 | 1,546,384 | ||||||||||||||||
92922FR75 | WASHINGTON MUTUAL | 0.55 | 7/25/2045 | 6,119,425 | 4,683,096 | 4,955,381 | ||||||||||||||||
92925DAB6 | WAMU | 1.18 | 12/25/2046 | 3,885,981 | 1,845,022 | 2,633,296 | ||||||||||||||||
92927BAA0 | WAMU_07-OA6 | 1.18 | 7/25/2047 | 22,766,424 | 11,205,223 | 14,593,278 | ||||||||||||||||
93363RAA4 | EAST PACES FERRY LLC | 1.25 | 10/25/2046 | 9,197,566 | 4,841,937 | 5,748,295 | ||||||||||||||||
93936RAA2 | WAL | 1.21 | 5/25/2047 | 9,104,010 | 4,471,624 | 5,472,603 | ||||||||||||||||
94981QAA6 | WFMBS | 2.95 | 10/25/2035 | 596,154 | 492,155 | 592,124 | ||||||||||||||||
461,098,591 | 215,744,106 | 245,969,176 | ||||||||||||||||||||
Page 15
Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010 |
Cusip | Security Description | Coupon | Maturity | Par | Book Value $ | Market Value $ | ||||||||||||||
CMBS | ||||||||||||||||||||
05947UDP0 | BAFU | 5.46 | 4/11/2037 | 383,698 | 391,666 | 392,672 | ||||||||||||||
05950EAE8 | BACM | 5.93 | 5/10/2045 | 5,865,000 | 6,447,242 | 6,433,109 | ||||||||||||||
07383FXJ2 | BEAR STEARNS COMMERCIAL MORTGA | 5.19 | 5/11/2039 | 4,000,000 | 4,126,546 | 4,329,270 | ||||||||||||||
07383FXN3 | BSCMS | 4.68 | 8/13/2039 | 4,000,000 | 4,022,991 | 4,302,006 | ||||||||||||||
07388LAE0 | BEAR STEARNS | 5.54 | 9/11/2041 | 7,500,000 | 8,179,498 | 8,199,809 | ||||||||||||||
17310MAE0 | CITIGROUP | 5.43 | 10/15/2049 | 1,000,000 | 1,070,142 | 1,081,188 | ||||||||||||||
17310MBQ2 | CGCMT | 5.50 | 10/15/2049 | 493,869 | 451,928 | 465,950 | ||||||||||||||
22540VGE6 | CSFB | 5.43 | 9/15/2034 | 36,711,975 | 37,481,658 | 37,666,255 | ||||||||||||||
22545BAA9 | CSMC | 5.25 | 3/15/2039 | 816,309 | 821,455 | 822,431 | ||||||||||||||
36158YDC0 | GECMC | 5.56 | 6/10/2038 | 71,712 | 72,123 | 72,141 | ||||||||||||||
36158YFT1 | GECCMC_02-2 | 5.35 | 8/11/2036 | 24,929,000 | 26,173,736 | 26,333,909 | ||||||||||||||
361849ZS4 | GMACC | 4.65 | 4/10/2040 | 270,715 | 274,184 | 275,437 | ||||||||||||||
361849ZT2 | GMACC | 5.02 | 4/10/2040 | 4,000,000 | 4,092,500 | 4,342,978 | ||||||||||||||
36228CVQ3 | GSMS | 4.61 | 7/10/2039 | 500,000 | 506,448 | 509,295 | ||||||||||||||
38376GDL1 | GOV NATL MTGE ASSOC | 3.10 | 12/16/2050 | 10,892,173 | 10,870,196 | 11,393,041 | ||||||||||||||
396789JS9 | GCCFC | 4.57 | 8/10/2042 | 500,000 | 505,856 | 514,476 | ||||||||||||||
52108HMU5 | LBUBS COMM MTG TR | 4.85 | 9/15/2031 | 88,000,000 | 92,088,915 | 93,245,513 | ||||||||||||||
52108HRB2 | LBUBS | 3.85 | 5/15/2027 | 443,135 | 452,260 | 457,624 | ||||||||||||||
52108MAF0 | LBUBS | 5.20 | 11/15/2030 | 1,450,000 | 1,536,434 | 1,585,401 | ||||||||||||||
61745M5G4 | MSC | 4.89 | 6/12/2047 | 500,000 | 528,044 | 543,950 | ||||||||||||||
61745ML27 | MSC | 4.69 | 6/13/2041 | 1,312,131 | 1,315,458 | 1,315,505 | ||||||||||||||
61745ML43 | MSC | 5.27 | 6/13/2041 | 4,000,000 | 4,076,305 | 4,360,646 | ||||||||||||||
61750HAE6 | MSC | 5.33 | 11/12/2041 | 4,250,000 | 4,444,510 | 4,552,762 | ||||||||||||||
79548CAB2 | SBM7 | 6.59 | 12/18/2033 | 61,408 | 61,289 | 61,334 | ||||||||||||||
396789FH7 | GCCFC | 0.88 | 1/5/2036 | 15,295,014 | 17,696 | 25,084 | ||||||||||||||
217,246,137 | 210,009,080 | 213,281,783 | ||||||||||||||||||
Corporate Securities — Financials | ||||||||||||||||||||
06050BAA9 | BANK OF AMERICA CORP — GTD | 3.13 | 6/15/2012 | 6,000,000 | 5,998,504 | 6,264,660 | ||||||||||||||
17313YAJ0 | CITIGROUP FUNDING INC — GTD | 2.25 | 12/10/2012 | 5,000,000 | 5,001,150 | 5,175,450 | ||||||||||||||
17313YAL5 | CITIGROUP FUNDING INC — GTD | 1.88 | 10/22/2012 | 37,000,000 | 37,037,877 | 37,961,260 | ||||||||||||||
17313YAN1 | CITIGROUP FUNDING INC — GTD | 1.88 | 11/15/2012 | 59,300,000 | 59,230,198 | 60,855,440 | ||||||||||||||
36186CBF9 | GMAC LLC | 2.20 | 12/19/2012 | 5,000,000 | 4,994,951 | 5,171,200 | ||||||||||||||
36967HAD9 | GENERAL ELECTRIC CAPITAL CORPO | 3.00 | 12/9/2011 | 2,750,000 | 2,754,112 | 2,834,507 | ||||||||||||||
481247AA2 | JPMORGAN CHASE & CO-GTD | 3.13 | 12/1/2011 | 1,000,000 | 999,752 | 1,031,620 | ||||||||||||||
61757UAH3 | MORGAN STANLEY-GTD | 1.95 | 6/20/2012 | 1,250,000 | 1,249,727 | 1,280,575 | ||||||||||||||
846042AA7 | SOVEREIGN BANK — GTD | 2.75 | 1/17/2012 | 2,000,000 | 1,999,193 | 2,059,920 | ||||||||||||||
90345AAA0 | US CENTRAL CREDIT UNION — (LT) | 1.25 | 10/19/2011 | 27,200,000 | 27,192,477 | 27,450,511 | ||||||||||||||
90345AAC6 | US CENTRAL CREDIT UNION — (LT) | 1.90 | 10/19/2012 | 15,500,000 | 15,493,163 | 15,905,480 | ||||||||||||||
91160HAA5 | US BANCORP — (LT) GTD | 2.25 | 3/13/2012 | 4,100,000 | 4,099,758 | 4,206,600 | ||||||||||||||
008252AL2 | AFFILIATED MANAGERS GROUP INC. | 3.95 | 8/15/2038 | 1,950,000 | 1,924,194 | 1,974,375 | ||||||||||||||
02580ECN1 | AMERICAN EXPRESS BANK FSB | 5.50 | 4/16/2013 | 1,500,000 | 1,492,592 | 1,635,681 | ||||||||||||||
0258M0BX6 | AMERICAN EXPRESS CREDIT CO | 0.44 | 12/2/2010 | 73,000 | 73,000 | 73,008 | ||||||||||||||
0258M0DA4 | AMERICAN EXPRESS CREDIT CO | 2.75 | 9/15/2015 | 4,000,000 | 3,976,854 | 4,027,839 | ||||||||||||||
02666QF32 | AMERICAN HONDA FINANCE | 2.38 | 3/18/2013 | 2,150,000 | 2,149,292 | 2,201,088 | ||||||||||||||
02666QXM0 | AMERICAN HONDA FINANCE | 5.13 | 12/15/2010 | 1,250,000 | 1,247,257 | 1,260,273 | ||||||||||||||
060505DA9 | BANK OF AMERICA CORP | 5.42 | 3/15/2017 | 26,900,000 | 27,012,182 | 27,864,332 | ||||||||||||||
060505DK7 | BANK OF AMERICA CORP | 5.38 | 9/11/2012 | 2,625,000 | 2,628,849 | 2,791,657 | ||||||||||||||
06051GDY2 | BANK OF AMERICA | 7.38 | 5/15/2014 | 5,500,000 | 6,035,466 | 6,324,063 | ||||||||||||||
06406HBQ1 | BANK OF NEW YORK CO | 2.95 | 6/18/2015 | 4,000,000 | 3,995,117 | 4,220,079 | ||||||||||||||
073928X73 | BEAR STEARNS CO INC | 6.95 | 8/10/2012 | 16,625,000 | 17,320,842 | 18,399,742 | ||||||||||||||
12572QAD7 | CME GROUP INC | 5.75 | 2/15/2014 | 2,000,000 | 2,004,850 | 2,251,768 | ||||||||||||||
14912L4F5 | CATERPILLAR FINL SERV | 6.13 | 2/17/2014 | 3,300,000 | 3,299,737 | 3,791,466 | ||||||||||||||
172967EU1 | CITIGROUP INC | 6.50 | 8/19/2013 | 4,000,000 | 4,186,156 | 4,419,884 | ||||||||||||||
172967EY3 | CITIGROUP INC | 6.38 | 8/12/2014 | 29,875,000 | 31,336,704 | 33,147,100 | ||||||||||||||
172967EZ0 | CITIGROUP INC | 5.50 | 10/15/2014 | 10,650,000 | 11,188,242 | 11,537,735 |
Page 16
Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010 |
Cusip | Security Description | Coupon | Maturity | Par | Book Value $ | Market Value $ | ||||||||||||||||
172967FD8 | CITIGROUP INC | 4.75 | 5/19/2015 | 750,000 | 775,567 | 793,200 | ||||||||||||||||
172967FE6 | CITIGROUP INC | 6.00 | 12/13/2013 | 2,000,000 | 2,033,001 | 2,195,108 | ||||||||||||||||
244217BK0 | JOHN DEERE CAPITAL CORPORATION | 5.10 | 1/15/2013 | 4,000,000 | 3,925,769 | 4,356,748 | ||||||||||||||||
24422EQV4 | JOHN DEERE CAPITAL CORPORATION | 5.75 | 9/10/2018 | 9,000,000 | 9,828,987 | 10,654,966 | ||||||||||||||||
26441YAS6 | DUKE REALTY LP | 7.38 | 2/15/2015 | �� | 725,000 | 721,678 | 822,859 | |||||||||||||||
302508BA3 | FMR CORP. | 4.75 | 3/1/2013 | 2,500,000 | 2,627,696 | 2,607,701 | ||||||||||||||||
354613AE1 | FRANKLIN RESOURCES INC. | 2.00 | 5/20/2013 | 3,975,000 | 3,975,710 | 4,063,450 | ||||||||||||||||
36962G3T9 | GE CAPITAL CORP | 4.80 | 5/1/2013 | 2,000,000 | 2,103,936 | 2,156,524 | ||||||||||||||||
36962G4C5 | GE CAPITAL CORP | 5.90 | 5/13/2014 | 2,000,000 | 1,998,331 | 2,261,125 | ||||||||||||||||
36962G4G6 | GE CAPITAL CORP | 3.75 | 11/14/2014 | 850,000 | 847,178 | 898,874 | ||||||||||||||||
36962G4H4 | GE CAPITAL CORP | 2.80 | 1/8/2013 | 2,000,000 | 1,998,029 | 2,055,941 | ||||||||||||||||
36962G4L5 | GE CAPITAL CORP | 3.50 | 6/29/2015 | 8,000,000 | 8,280,842 | 8,352,236 | ||||||||||||||||
36962GYY4 | GENERAL ELEC CAP CO | 6.00 | 6/15/2012 | 16,300,000 | 15,920,244 | 17,565,289 | ||||||||||||||||
38141EA33 | GOLDMAN SACHS GROUP INC | 6.00 | 5/1/2014 | 5,350,000 | 5,746,442 | 5,972,435 | ||||||||||||||||
38141EA74 | GOLDMAN SACHS GROUP INC | 3.70 | 8/1/2015 | 4,400,000 | 4,399,777 | 4,505,729 | ||||||||||||||||
38141GDB7 | GOLDMAN SACHS GROUP INC | 5.25 | 4/1/2013 | 1,500,000 | 1,538,904 | 1,620,573 | ||||||||||||||||
40429CCR1 | HSBC FINANCE CORP | 5.25 | 4/15/2015 | 2,805,000 | 2,948,223 | 3,098,592 | ||||||||||||||||
40429CFQ0 | HSBC FINANCE CORP | 5.70 | 6/1/2011 | 33,260,000 | 33,330,348 | 34,317,649 | ||||||||||||||||
46623EJD2 | JPMORGAN CHASE & CO | 1.65 | 9/30/2013 | 3,000,000 | 2,999,640 | 3,009,584 | ||||||||||||||||
46625HAJ9 | JP MORGAN CHASE & CO | 6.75 | 2/1/2011 | 22,930,000 | 23,034,208 | 23,387,814 | ||||||||||||||||
46625HGT1 | JPMORGAN CHASE & CO | 5.38 | 10/1/2012 | 3,250,000 | 3,462,856 | 3,512,114 | ||||||||||||||||
46625HHB9 | JPMORGAN CHASE & CO | 4.75 | 5/1/2013 | 26,895,000 | 26,883,827 | 29,108,191 | ||||||||||||||||
46625HHN3 | JPMORGAN CHASE & CO | 4.65 | 6/1/2014 | 3,000,000 | 3,159,635 | 3,265,301 | ||||||||||||||||
46625HHP8 | JPMORGAN CHASE & CO | 3.70 | 1/20/2015 | 3,000,000 | 3,006,514 | 3,167,366 | ||||||||||||||||
53117CAG7 | LIBERTY PROPERTY TR | 6.38 | 8/15/2012 | 2,500,000 | 2,652,265 | 2,688,073 | ||||||||||||||||
592179JG1 | METLIFE INC | 5.13 | 4/10/2013 | 4,000,000 | 3,888,090 | 4,348,534 | ||||||||||||||||
6174467N3 | MORGAN STANLEY | 4.00 | 7/24/2015 | 9,000,000 | 8,969,975 | 9,165,755 | ||||||||||||||||
617446V71 | MORGAN STANLEY | 6.25 | 8/28/2017 | 20,500,000 | 21,158,399 | 22,367,550 | ||||||||||||||||
61746SBR9 | MORGAN STANLEY | 5.38 | 10/15/2015 | 20,000,000 | 20,660,947 | 21,356,989 | ||||||||||||||||
61747YCF0 | MORGAN STANLEY | 6.00 | 5/13/2014 | 5,500,000 | 5,816,253 | 6,035,739 | ||||||||||||||||
61747YCK9 | MORGAN STANLEY | 4.20 | 11/20/2014 | 2,150,000 | 2,128,502 | 2,234,363 | ||||||||||||||||
63866EBL3 | NATIONWIDE LIFE GLOBAL FUNDING | 5.45 | 10/2/2012 | 600,000 | 602,892 | 624,042 | ||||||||||||||||
64953BAP3 | NY LIFE GLOBAL FUND | 4.65 | 5/9/2013 | 4,000,000 | 3,937,992 | 4,348,552 | ||||||||||||||||
665859AK0 | NORTHERN TRUST COMPANY THE | 4.63 | 5/1/2014 | 1,000,000 | 1,018,200 | 1,092,888 | ||||||||||||||||
693476BE2 | PNC FUNDING CORP | 5.40 | 6/10/2014 | 2,000,000 | 2,168,543 | 2,223,472 | ||||||||||||||||
693476BH5 | PNC FUNDING CORP | 3.63 | 2/8/2015 | 24,725,000 | 24,703,232 | 25,782,588 | ||||||||||||||||
699490AA6 | BANQUE NATIONALE DE PARIBAS/NY | 6.95 | 7/22/2013 | 500,000 | 528,117 | 559,370 | ||||||||||||||||
857477AE3 | STATE STREET CORPORATION | 4.30 | 5/30/2014 | 1,750,000 | 1,748,767 | 1,899,278 | ||||||||||||||||
87244EAC6 | TIAA GLOBAL MARKETS | 5.13 | 10/10/2012 | 3,000,000 | 3,124,314 | 3,242,545 | ||||||||||||||||
90331HKP7 | U.S. BANK NATIONAL ASSOCIATION | 4.95 | 10/30/2014 | 2,750,000 | 2,771,776 | 3,051,591 | ||||||||||||||||
91159HGR5 | US BANCORP | 4.20 | 5/15/2014 | 3,700,000 | 3,737,967 | 4,006,023 | ||||||||||||||||
91159HGY0 | US BANCORP | 1.38 | 9/13/2013 | 3,000,000 | 2,996,193 | 3,018,602 | ||||||||||||||||
92933DAA8 | WEA FINANCE LLC | 7.50 | 6/2/2014 | 1,580,000 | 1,796,725 | 1,835,412 | ||||||||||||||||
92933WAA6 | WEA FINANCE LLC/WT FINANCE AUS | 5.75 | 9/2/2015 | 3,000,000 | 2,975,367 | 3,348,578 | ||||||||||||||||
92976WBJ4 | WACHOVIA CORPORATION | 5.50 | 5/1/2013 | 5,000,000 | 5,257,632 | 5,512,833 | ||||||||||||||||
929903DT6 | WACHOVIA CORPORATION | 5.75 | 6/15/2017 | 27,025,000 | 27,869,601 | 30,598,936 | ||||||||||||||||
949746NJ6 | WELLS FARGO & COMPANY | 5.30 | 8/26/2011 | 6,000,000 | 6,003,919 | 6,251,785 | ||||||||||||||||
949746NY3 | WELLS FARGO & COMPANY | 4.38 | 1/31/2013 | 1,500,000 | 1,567,775 | 1,611,249 | ||||||||||||||||
94974BEP1 | WELLS FARGO & COMPANY | 0.95 | 1/24/2011 | 1,177,000 | 1,176,648 | 1,178,907 | ||||||||||||||||
94974BET3 | WELLS FARGO & COMPANY | 3.75 | 10/1/2014 | 1,750,000 | 1,750,060 | 1,858,207 | ||||||||||||||||
94974BEU0 | WELLS FARGO & COMPANY | 3.63 | 4/15/2015 | 250,000 | 262,047 | 264,428 | ||||||||||||||||
00279VCA1 | ABBEY NATIONAL TREASURY SERVIC | 3.88 | 11/10/2014 | 3,750,000 | 3,749,280 | 3,849,651 | ||||||||||||||||
05565QBH0 | BP CAPITAL MARKETS PLC | 3.88 | 3/10/2015 | 22,675,000 | 21,388,726 | 23,513,879 | ||||||||||||||||
05565QBL1 | BP CAPITAL MARKETS PLC | 3.63 | 5/8/2014 | 9,000,000 | 8,990,080 | 9,290,308 | ||||||||||||||||
064149B97 | BANK OF NOVA SCOTIA | 2.38 | 12/17/2013 | 5,000,000 | 4,983,895 | 5,166,780 | ||||||||||||||||
064149C39 | BANK OF NOVA SCOTIA | 1.45 | 7/26/2013 | 71,600,000 | 71,749,996 | 72,359,674 | ||||||||||||||||
064255AB8 | BANK OF TOKYO-MITSUBISHI UFJ L | 3.85 | 1/22/2015 | 18,500,000 | 18,493,383 | 19,882,487 | ||||||||||||||||
06739FGP0 | BARCLAYS BANK PLC | 2.50 | 1/23/2013 | 12,000,000 | 11,843,178 | 12,301,652 |
Page 17
Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010 |
Cusip | Security Description | Coupon | Maturity | Par | Book Value $ | Market Value $ | ||||||||||||||
06739GBB4 | BARCLAYS BANK PLC | 3.90 | 4/7/2015 | 3,250,000 | 3,400,368 | 3,436,164 | ||||||||||||||
10778XAA4 | BRFKREDIT AS | 2.05 | 4/15/2013 | 29,700,000 | 29,672,229 | 30,538,653 | ||||||||||||||
136069DF5 | CANADIAN IMPERIAL BK COMRC | 2.00 | 2/4/2013 | 21,200,000 | 21,553,532 | 21,729,578 | ||||||||||||||
136069DM0 | CANADIAN IMPERIAL BK COMRC | 2.60 | 7/2/2015 | 10,500,000 | 10,618,244 | 10,910,550 | ||||||||||||||
2027A0EM7 | COMMONWEALTH BANK OF AUSTRALIA | 3.50 | 3/19/2015 | 3,000,000 | 2,988,697 | 3,135,179 | ||||||||||||||
204279AA1 | CIE FIN FONC | 2.13 | 4/22/2013 | 12,700,000 | 12,828,792 | 12,923,012 | ||||||||||||||
20428AAA7 | CIE FIN FONC | 1.63 | 7/23/2012 | 23,375,000 | 23,389,536 | 23,592,388 | ||||||||||||||
22546QAA5 | CREDIT SUISSE GROUP | 5.50 | 5/1/2014 | 3,000,000 | 3,255,989 | 3,336,073 | ||||||||||||||
2254C0TC1 | CREDIT SUISSE NEW YORK NY | 5.00 | 5/15/2013 | 26,500,000 | 28,373,863 | 28,775,344 | ||||||||||||||
249575AM3 | DEPFA ACS BANK | 5.50 | 6/28/2011 | 2,800,000 | 2,851,979 | 2,868,040 | ||||||||||||||
2515A0Q30 | DEUTSCHE BK LDN | 3.88 | 8/18/2014 | 9,500,000 | 9,613,458 | 10,096,164 | ||||||||||||||
2515A0U76 | DEUTSCHE BK LDN | 3.45 | 3/30/2015 | 2,500,000 | 2,608,778 | 2,618,978 | ||||||||||||||
40411EAB4 | BANK OF SCOTLAND PLC | 5.25 | 2/21/2017 | 2,000,000 | 1,783,956 | 2,173,260 | ||||||||||||||
44328MAB0 | HSBC BANK PLC | 3.50 | 6/28/2015 | 13,950,000 | 13,939,109 | 14,614,842 | ||||||||||||||
44914PAR8 | HYPOTHEKENBANK IN ESSEN AG | 5.00 | 1/20/2012 | 2,500,000 | 2,546,804 | 2,619,925 | ||||||||||||||
53947MAB2 | LLOYDS TSB BANK PLC | 5.80 | 1/13/2020 | 11,000,000 | 10,975,791 | 11,383,625 | ||||||||||||||
6325C0AZ4 | NATIONAL AUSTRALIA BANK LIMITE | 2.50 | 1/8/2013 | 3,710,000 | 3,717,559 | 3,772,383 | ||||||||||||||
65557CAA1 | NORDEA BANK AB | 3.70 | 11/13/2014 | 31,250,000 | 31,212,101 | 32,858,870 | ||||||||||||||
78010XAD3 | ROYAL BANK OF SCOTLAND PLC THE | 3.40 | 8/23/2013 | 3,825,000 | 3,823,002 | 3,900,015 | ||||||||||||||
865622AD6 | SUMITOMO MITSUI BANKING CORPOR | 2.15 | 7/22/2013 | 30,400,000 | 30,389,171 | 30,991,261 | ||||||||||||||
86959LAA1 | SVENSKA HANDELSBANKEN AB | 4.88 | 6/10/2014 | 4,000,000 | 3,991,720 | 4,344,200 | ||||||||||||||
90261XGF3 | UBS AG STAMFORD BRANCH | 2.25 | 8/12/2013 | 2,325,000 | 2,322,111 | 2,338,456 | ||||||||||||||
90466GAB8 | UNICREDITO LUXEM FIN | 5.58 | 1/13/2017 | 16,750,000 | 16,750,000 | 16,163,750 | ||||||||||||||
96008YAB1 | WESTFIELD CAPITAL CORP LTD | 5.13 | 11/15/2014 | 9,650,000 | 10,265,197 | 10,505,989 | ||||||||||||||
961214BH5 | WESTPAC BANKING | 4.20 | 2/27/2015 | 5,000,000 | 4,995,825 | 5,367,708 | ||||||||||||||
961214BJ1 | WESTPAC BANKING | 2.25 | 11/19/2012 | 5,000,000 | 5,006,632 | 5,086,032 | ||||||||||||||
06738CAF6 | BARCLAYS BANK PLC | 7.38 | 6/29/2049 | 16,777,000 | 12,110,630 | 16,860,885 | ||||||||||||||
00448MAA9 | ACHMEA HYPOTHEEKBANK N.V. — LT | 3.20 | 11/3/2014 | 34,000,000 | 33,985,899 | 36,090,661 | ||||||||||||||
20272BAF1 | COMMONWEALTH BANK AUSTRALIA, G | 3.63 | 6/25/2014 | 50,000,000 | 50,646,076 | 54,136,502 | ||||||||||||||
20272BAK0 | COMMONWEALTH BANK OF AUSTRALIA | 2.90 | 9/17/2014 | 7,500,000 | 7,608,499 | 7,921,575 | ||||||||||||||
45324QAB2 | ING BANK NV — (LT) GTD | 2.63 | 2/9/2012 | 26,700,000 | 27,089,236 | 27,391,531 | ||||||||||||||
52205VAA3 | LEASEPLAN CORPORATION NV — GTD | 3.00 | 5/7/2012 | 700,000 | 699,897 | 724,507 | ||||||||||||||
62914AAB8 | NIBC BANK NV — GTD | 2.80 | 12/2/2014 | 8,600,000 | 8,584,189 | 8,972,553 | ||||||||||||||
78011CAG1 | ROYAL BK OF STLAND GRP PLC — ( | 1.50 | 3/30/2012 | 5,000,000 | 4,998,398 | 5,048,450 | ||||||||||||||
1,185,132,000 | 1,192,537,537 | 1,243,964,503 | ||||||||||||||||||
Corporate Securities - Industrial | ||||||||||||||||||||
06846NAA2 | BILL BARRETT | 5.00 | 3/15/2028 | 1,850,000 | 1,842,411 | 1,877,750 | ||||||||||||||
159864AB3 | CHARLES RIVER LABS INTL INC. | 2.25 | 6/15/2013 | 2,450,000 | 2,340,915 | 2,397,938 | ||||||||||||||
436440AA9 | HOLOGIC, INC. | 2.00 | 12/15/2037 | 2,370,000 | 2,109,727 | 2,192,250 | ||||||||||||||
451055AB3 | ICONIX BRAND GROUP INC | 1.88 | 6/30/2012 | 2,360,000 | 2,259,488 | 2,283,831 | ||||||||||||||
457985AH2 | INTEGRA LIFESCIENCES HLDGS COR | 2.38 | 6/1/2012 | 1,800,000 | 1,739,315 | 1,734,750 | ||||||||||||||
470355AC2 | JAMES RIVER COAL CO | 4.50 | 12/1/2015 | 2,050,000 | 1,912,331 | 2,062,813 | ||||||||||||||
496902AD9 | KINROSS GOLD CORP | 1.75 | 3/15/2028 | 2,150,000 | 2,108,774 | 2,190,313 | ||||||||||||||
535919AF1 | LIONS GATE ENTER | 2.94 | 10/15/2024 | 1,600,000 | 1,561,504 | 1,578,000 | ||||||||||||||
66987EAA5 | NOVAGOLD | 5.50 | 5/1/2015 | 1,160,000 | 1,182,196 | 1,310,800 | ||||||||||||||
82934HAD3 | SINO FOREST CORP | 4.25 | 12/15/2016 | 1,750,000 | 1,695,710 | 1,822,188 | ||||||||||||||
896356AA0 | TRINIDAD DRILING LTD | 7.75 | 7/31/2012 | 1,420,000 | 1,394,402 | 1,411,902 | ||||||||||||||
00206RAR3 | AT&T INC | 5.80 | 2/15/2019 | 22,000,000 | 23,717,813 | 26,139,351 | ||||||||||||||
00209AAG1 | NEW CINGULAR WIRELESS SERVICES | 8.13 | 5/1/2012 | 13,425,000 | 14,192,313 | 14,928,685 | ||||||||||||||
002824AS9 | ABBOTT LABORATORIES | 5.60 | 5/15/2011 | 1,200,000 | 1,205,422 | 1,238,961 | ||||||||||||||
00846UAF8 | AGILENT TECHNOLOGIES INC. | 2.50 | 7/15/2013 | 7,000,000 | 6,987,877 | 7,124,852 | ||||||||||||||
020039DB6 | ALLTEL CORPORATION | 7.00 | 7/1/2012 | 29,225,000 | 29,613,218 | 32,135,986 | ||||||||||||||
035229CE1 | ANHEUSER-BUSCH | 7.50 | 3/15/2012 | 1,600,000 | 1,588,509 | 1,745,739 | ||||||||||||||
03523TAL2 | ANHEUSER-BUSCH INBEV WORLDWIDE | 3.00 | 10/15/2012 | 2,500,000 | 2,554,562 | 2,591,499 | ||||||||||||||
03523TAM0 | ANHEUSER-BUSCH INBEV WORLDWIDE | 4.13 | 1/15/2015 | 10,000,000 | 10,326,853 | 10,728,652 | ||||||||||||||
053611AC3 | AVERY DENNISON CORP | 4.88 | 1/15/2013 | 1,500,000 | 1,458,023 | 1,603,268 |
Page 18
Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010 |
Cusip | Security Description | Coupon | Maturity | Par | Book Value $ | Market Value $ | ||||||||||||||||
054303AS1 | AVON PRODUCTS INC | 5.13 | 1/15/2011 | 1,700,000 | 1,694,963 | 1,722,865 | ||||||||||||||||
071813AZ2 | BAXTER INTERNATIONAL INC | 4.00 | 3/1/2014 | 6,400,000 | 6,460,286 | 6,957,848 | ||||||||||||||||
097014AK0 | BOEING CAPITAL CORPORATION | 3.25 | 10/27/2014 | 250,000 | 249,546 | 267,226 | ||||||||||||||||
097023AV7 | BOEING CO | 5.00 | 3/15/2014 | 1,500,000 | 1,495,251 | 1,679,952 | ||||||||||||||||
097023AY1 | BOEING CO | 3.50 | 2/15/2015 | 1,250,000 | 1,246,840 | 1,352,134 | ||||||||||||||||
10138MAH8 | BOTTLING GROUP LLC | 6.95 | 3/15/2014 | 3,000,000 | 3,310,575 | 3,556,451 | ||||||||||||||||
126650AV2 | CVS CAREMARK CORP | 4.88 | 9/15/2014 | 12,160,000 | 11,998,093 | 13,517,788 | ||||||||||||||||
134429AM1 | CAMPBELL SOUP COMPANY | 6.75 | 2/15/2011 | 1,550,000 | 1,559,333 | 1,585,960 | ||||||||||||||||
166751AK3 | CHEVRONTEXACO CORPORATION | 3.45 | 3/3/2012 | 3,000,000 | 2,999,931 | 3,121,858 | ||||||||||||||||
189054AC3 | CLOROX COMPANY THE | 6.13 | 2/1/2011 | 1,000,000 | 999,156 | 1,018,260 | ||||||||||||||||
191216AL4 | COCA-COLA COMPANY THE | 3.63 | 3/15/2014 | 18,825,000 | 18,764,530 | 20,246,759 | ||||||||||||||||
191219BU7 | COCA-COLA ENTERPRISES INC. | 3.75 | 3/1/2012 | 13,700,000 | 13,687,669 | 14,252,699 | ||||||||||||||||
20030NAB7 | COMCAST CORPORATION | 6.50 | 1/15/2015 | 5,000,000 | 5,659,926 | 5,857,423 | ||||||||||||||||
20030NAE1 | COMCAST CORPORATION | 5.30 | 1/15/2014 | 2,000,000 | 2,040,175 | 2,230,715 | ||||||||||||||||
20030NAL5 | COMCAST CORPORATION | 5.90 | 3/15/2016 | 7,500,000 | 7,883,764 | 8,697,731 | ||||||||||||||||
20825CAS3 | CONOCOPHILLIPS | 4.75 | 2/1/2014 | 25,000,000 | 24,951,241 | 27,778,965 | ||||||||||||||||
20825CAT1 | CONOCOPHILLIPS | 4.60 | 1/15/2015 | 5,000,000 | 4,996,912 | 5,590,771 | ||||||||||||||||
224044BF3 | COX COMMUNICATIONS INC. | 4.63 | 6/1/2013 | 1,225,000 | 1,267,652 | 1,319,985 | ||||||||||||||||
244199BC8 | DEERE & COMPANY | 4.38 | 10/16/2019 | 15,400,000 | 15,322,761 | 16,978,811 | ||||||||||||||||
24702RAH4 | DELL INC | 3.38 | 6/15/2012 | 14,600,000 | 14,594,238 | 15,190,388 | ||||||||||||||||
24702RAK7 | DELL INC | 1.40 | 9/10/2013 | 5,200,000 | 5,194,185 | 5,225,373 | ||||||||||||||||
24702RAL5 | DELL INC | 2.30 | 9/10/2015 | 4,650,000 | 4,648,942 | 4,676,148 | ||||||||||||||||
25459HAV7 | DIRECTV HOLDINGS LLC | 3.13 | 2/15/2016 | 12,125,000 | 12,117,277 | 12,241,973 | ||||||||||||||||
25468PBX3 | WALT DISNEY | 6.38 | 3/1/2012 | 2,000,000 | 2,143,594 | 2,160,956 | ||||||||||||||||
260003AD0 | DOVER CORP | 6.50 | 2/15/2011 | 1,000,000 | 1,003,303 | 1,022,485 | ||||||||||||||||
26138EAK5 | DR PEPPER SNAPPLE GROUP INC | 1.70 | 12/21/2011 | 2,500,000 | 2,506,093 | 2,523,394 | ||||||||||||||||
263534BS7 | EI DUPONT DE NEMOURS & CO | 5.00 | 1/15/2013 | 2,250,000 | 2,413,787 | 2,450,952 | ||||||||||||||||
26882PBD3 | ERAC USA FINANCE COMPANY | 5.80 | 10/15/2012 | 2,122,000 | 2,277,839 | 2,294,366 | ||||||||||||||||
293791AN9 | ENTERPRISE PROD OPER LP | 5.60 | 10/15/2014 | 22,000,000 | 21,587,889 | 24,622,979 | ||||||||||||||||
294429AH8 | EQUIFAX INC | 4.45 | 12/1/2014 | 2,000,000 | 2,009,403 | 2,126,497 | ||||||||||||||||
29444UAG1 | EQUINIX, INC. | 3.00 | 10/15/2014 | 1,040,000 | 1,013,615 | 1,151,228 | ||||||||||||||||
31428XAQ9 | FEDERAL EXPRESS CORP | 7.38 | 1/15/2014 | 1,000,000 | 1,053,313 | 1,167,464 | ||||||||||||||||
369550AK4 | GENERAL DYNAMICS CORPORATION | 4.25 | 5/15/2013 | 1,250,000 | 1,202,735 | 1,353,499 | ||||||||||||||||
369604AY9 | GENERAL ELEC CAP CO | 5.00 | 2/1/2013 | 500,000 | 531,758 | 543,333 | ||||||||||||||||
370334BG8 | GENERAL MILLS INC. | 5.25 | 8/15/2013 | 9,075,000 | 9,274,287 | 10,112,068 | ||||||||||||||||
377372AC1 | GLAXOSK CAP INC | 4.85 | 5/15/2013 | 10,000,000 | 10,766,131 | 10,996,468 | ||||||||||||||||
406216AX9 | HALLIBURTON COMPANY | 6.15 | 9/15/2019 | 2,500,000 | 2,721,145 | 2,969,995 | ||||||||||||||||
41283DAA1 | HARLEY-DAVIDSON FUNDING CORPOR | 5.25 | 12/15/2012 | 2,500,000 | 2,575,248 | 2,600,000 | ||||||||||||||||
42809HAA5 | AMERADA HESS CORPORATION | 7.00 | 2/15/2014 | 1,000,000 | 998,157 | 1,162,974 | ||||||||||||||||
428236AQ6 | HEWLETT-PACKARD COMPANY | 4.50 | 3/1/2013 | 4,000,000 | 4,262,324 | 4,339,384 | ||||||||||||||||
428236AU7 | HEWLETT-PACKARD COMPANY | 4.25 | 2/24/2012 | 17,550,000 | 17,546,258 | 18,407,634 | ||||||||||||||||
440452AD2 | HORMEL FOODS CORP | 6.63 | 6/1/2011 | 1,500,000 | 1,522,701 | 1,557,957 | ||||||||||||||||
44107TAE6 | HOST MARRIOTT LP | 2.63 | 4/15/2027 | 1,600,000 | 1,546,585 | 1,560,000 | ||||||||||||||||
452308AH2 | ILLINOIS TOOL WORKS INC. | 5.15 | 4/1/2014 | 5,000,000 | 5,218,430 | 5,642,055 | ||||||||||||||||
459200BA8 | IBM CORP | 4.75 | 11/29/2012 | 20,000 | 19,946 | 21,677 | ||||||||||||||||
459200GN5 | IBM CORP | 6.50 | 10/15/2013 | 20,810,000 | 22,450,599 | 24,165,732 | ||||||||||||||||
459200GR6 | IBM CORP | 2.10 | 5/6/2013 | 3,900,000 | 3,897,633 | 4,020,825 | ||||||||||||||||
459284AA3 | INTERNATIONAL CCE INC | 2.13 | 9/15/2015 | 3,000,000 | 2,989,058 | 3,010,647 | ||||||||||||||||
50075NAX2 | KRAFT FOODS INC. | 6.75 | 2/19/2014 | 9,680,000 | 10,937,200 | 11,235,581 | ||||||||||||||||
532457BD9 | ELI LILLY AND COMPANY | 3.55 | 3/6/2012 | 15,175,000 | 15,167,407 | 15,750,136 | ||||||||||||||||
565849AG1 | MARATHON OIL CORP | 6.50 | 2/15/2014 | 2,000,000 | 2,096,379 | 2,286,446 | ||||||||||||||||
579780AD9 | MCCORMICK & CO INC | 5.20 | 12/15/2015 | 1,500,000 | 1,457,670 | 1,713,300 | ||||||||||||||||
582839AD8 | MEAD JOHNSON NUTRITION CO | 3.50 | 11/1/2014 | 2,000,000 | 2,000,318 | 2,110,666 | ||||||||||||||||
58405UAF9 | MEDCO HEALTH SOLUTIONS INC. | 2.75 | 9/15/2015 | 2,225,000 | 2,224,272 | 2,261,239 | ||||||||||||||||
585055AP1 | MEDTRONIC INC | 4.50 | 3/15/2014 | 2,750,000 | 2,832,008 | 3,027,718 | ||||||||||||||||
589331AP2 | MERCK & CO INC | 4.00 | 6/30/2015 | 7,000,000 | 7,084,585 | 7,654,385 | ||||||||||||||||
589331AR8 | MERCK & CO INC | 1.88 | 6/30/2011 | 750,000 | 750,144 | 758,579 | ||||||||||||||||
594918AB0 | MICROSOFT CORPORATION | 2.95 | 6/1/2014 | 16,500,000 | 16,488,096 | 17,545,324 |
Page 19
Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010 |
Cusip | Security Description | Coupon | Maturity | Par | Book Value $ | Market Value $ | ||||||||||||||||
62875UAF2 | NBC UNIVERSAL | 3.65 | 4/30/2015 | 20,000,000 | 20,196,811 | 21,025,446 | ||||||||||||||||
62875UAM7 | NBC UNIVERSAL | 2.10 | 4/1/2014 | 3,500,000 | 3,499,545 | 3,519,940 | ||||||||||||||||
652482BG4 | NEWS AMERICA INC | 5.30 | 12/15/2014 | 10,000,000 | 9,945,620 | 11,290,247 | ||||||||||||||||
654742AA3 | NISSAN MOTOR ACCEPT CO | 3.25 | 1/30/2013 | 2,500,000 | 2,536,413 | 2,574,000 | ||||||||||||||||
66989HAA6 | NOVARTIS CAPITAL CORP | 4.13 | 2/10/2014 | 17,775,000 | 17,762,296 | 19,450,819 | ||||||||||||||||
68389XAD7 | ORACLE CORPORATION | 4.95 | 4/15/2013 | 6,675,000 | 6,972,501 | 7,362,606 | ||||||||||||||||
69373UAB3 | PACCAR INC | 6.38 | 2/15/2012 | 4,000,000 | 3,998,017 | 4,284,928 | ||||||||||||||||
70336TAA2 | PATRIOT COAL CORP | 3.25 | 5/31/2013 | 2,540,000 | 2,247,852 | 2,279,650 | ||||||||||||||||
713448BK3 | PEPSICO INC | 3.75 | 3/1/2014 | 21,350,000 | 21,318,132 | 23,070,596 | ||||||||||||||||
717081CZ4 | PFIZER INC. | 4.45 | 3/15/2012 | 23,925,000 | 23,908,284 | 25,194,046 | ||||||||||||||||
717081DA8 | PFIZER INC. | 5.35 | 3/15/2015 | 7,750,000 | 8,274,018 | 8,930,293 | ||||||||||||||||
718172AB5 | PHILIP MORRIS INTERNATIONAL IN | 4.88 | 5/16/2013 | 25,875,000 | 25,950,686 | 28,437,328 | ||||||||||||||||
74005PAJ3 | PRAXAIR INC. | 6.38 | 4/1/2012 | 1,000,000 | 1,009,292 | 1,082,523 | ||||||||||||||||
74369LAF0 | PROTEIN DESIGN LABS, INC. | 2.00 | 2/15/2012 | 1,875,000 | 1,791,320 | 1,816,406 | ||||||||||||||||
771196AQ5 | ROCHE HOLDINGS INC | 5.00 | 3/1/2014 | 5,000,000 | 5,220,631 | 5,591,451 | ||||||||||||||||
78387GAP8 | AT&T INC | 5.10 | 9/15/2014 | 4,000,000 | 3,870,709 | 4,497,006 | ||||||||||||||||
792228AD0 | ST. MARY LAND & EXPLOR CO | 3.50 | 4/1/2027 | 500,000 | 499,328 | 521,775 | ||||||||||||||||
828807BZ9 | SIMON PROPERTY GROUP L.P. | 6.13 | 5/30/2018 | 4,000,000 | 2,766,401 | 4,613,702 | ||||||||||||||||
828807CB1 | SIMON PROPERTY GROUP L.P. | 6.75 | 5/15/2014 | 17,675,000 | 18,361,272 | 20,507,089 | ||||||||||||||||
832110AK6 | SMITH INTERNATIONAL INC. | 8.63 | 3/15/2014 | 2,000,000 | 1,995,141 | 2,419,406 | ||||||||||||||||
833034AC5 | SNAP-ON INCORPORATED | 6.25 | 8/15/2011 | 1,400,000 | 1,419,336 | 1,459,878 | ||||||||||||||||
855030AJ1 | STAPLES INC. | 9.75 | 1/15/2014 | 2,000,000 | 2,035,280 | 2,452,859 | ||||||||||||||||
88732JAK4 | TIME WARNER CABLE INC | 6.20 | 7/1/2013 | 2,500,000 | 2,743,096 | 2,812,398 | ||||||||||||||||
88732JAR9 | TIME WARNER CABLE INC | 7.50 | 4/1/2014 | 1,500,000 | 1,701,064 | 1,764,780 | ||||||||||||||||
904764AJ6 | UNILEVER CAPITAL CORP | 3.65 | 2/15/2014 | 24,000,000 | 23,978,091 | 25,789,433 | ||||||||||||||||
907818CV8 | UNION PACIFIC CO | 4.88 | 1/15/2015 | 1,150,000 | 1,156,802 | 1,273,758 | ||||||||||||||||
91913YAQ3 | VALERO ENERGY CORPORATION | 4.50 | 2/1/2015 | 325,000 | 324,240 | 341,564 | ||||||||||||||||
92343VAN4 | VERIZON COMMUNICATIONS INC. | 5.25 | 4/15/2013 | 4,000,000 | 3,932,037 | 4,399,598 | ||||||||||||||||
92344SAJ9 | CELLCO PARTNERSHIP/VERIZON WIR | 7.38 | 11/15/2013 | 4,550,000 | 4,817,501 | 5,371,381 | ||||||||||||||||
92344SAP5 | CELLCO PARTNERSHIP/VERIZON WIR | 5.55 | 2/1/2014 | 6,150,000 | 6,122,848 | 6,950,482 | ||||||||||||||||
92344SAT7 | CELLCO PARTNERSHIP/VERIZON WIR | 3.75 | 5/20/2011 | 8,275,000 | 8,272,920 | 8,441,895 | ||||||||||||||||
931142CN1 | WAL-MART STORES INC | 3.00 | 2/3/2014 | 4,000,000 | 3,987,438 | 4,242,960 | ||||||||||||||||
931142CQ4 | WAL-MART STORES INC | 3.20 | 5/15/2014 | 29,800,000 | 29,797,035 | 32,026,451 | ||||||||||||||||
98235TAA5 | WRIGHT MEDICAL GRP INC. | 2.63 | 12/1/2014 | 1,450,000 | 1,301,571 | 1,288,688 | ||||||||||||||||
982526AF2 | WM. WRIGLEY JR. COMPANY | 2.45 | 6/28/2012 | 2,000,000 | 1,999,424 | 2,017,772 | ||||||||||||||||
983024AA8 | WYETH | 5.50 | 3/15/2013 | 5,000,000 | 5,270,949 | 5,539,177 | ||||||||||||||||
984121BS1 | XEROX CREDIT CORPORATION | 5.50 | 5/15/2012 | 1,550,000 | 1,635,607 | 1,650,832 | ||||||||||||||||
034863AA8 | ANGLO AMERICAN CAPITAL PLC | 9.38 | 4/8/2014 | 6,980,000 | 7,764,037 | 8,566,077 | ||||||||||||||||
034863AC4 | ANGLO AMERICAN CAPITAL PLC | 2.15 | 9/27/2013 | 1,800,000 | 1,798,493 | 1,817,699 | ||||||||||||||||
055451AG3 | BHP BILLITON FINANCE (USA) LTD | 5.50 | 4/1/2014 | 3,000,000 | 2,992,751 | 3,373,882 | ||||||||||||||||
067316AA7 | BACARDI LTD | 7.45 | 4/1/2014 | 12,100,000 | 12,091,916 | 14,282,819 | ||||||||||||||||
22303QAJ9 | COVIDIEN INTERNATIONAL FINANCE | 1.88 | 6/15/2013 | 5,000,000 | 4,994,505 | 5,084,124 | ||||||||||||||||
22303QAK6 | COVIDIEN INTERNATIONAL FINANCE | 2.80 | 6/15/2015 | 18,800,000 | 18,807,027 | 19,404,203 | ||||||||||||||||
25243YAK5 | DIAGEO CAPITAL PLC | 5.13 | 1/30/2012 | 3,919,000 | 4,111,684 | 4,134,886 | ||||||||||||||||
25243YAL3 | DIAGEO CAPITAL PLC | 5.20 | 1/30/2013 | 1,000,000 | 1,081,791 | 1,092,599 | ||||||||||||||||
25244SAD3 | DIAGEO FINANCE BV | 5.50 | 4/1/2013 | 4,500,000 | 4,894,736 | 4,972,752 | ||||||||||||||||
44920UAB4 | HYUNDAI CAP SVC | 6.00 | 5/5/2015 | 2,000,000 | 2,002,064 | 2,182,780 | ||||||||||||||||
75405UAE6 | RAS LAFFAN LNG 3 | 4.50 | 9/30/2012 | 825,000 | 824,877 | 868,015 | ||||||||||||||||
758202AF2 | REED ELSEVIER PLC | 7.75 | 1/15/2014 | 16,325,000 | 16,301,065 | 19,053,823 | ||||||||||||||||
767201AE6 | RIO TINTO FINANCE USA LIMITED | 5.88 | 7/15/2013 | 2,500,000 | 2,706,216 | 2,785,185 | ||||||||||||||||
77509NAD5 | ROGERS CABLE INC. | 7.88 | 5/1/2012 | 9,675,000 | 9,969,886 | 10,683,446 | ||||||||||||||||
77509NAH6 | ROGERS CABLE INC. | 6.25 | 6/15/2013 | 625,000 | 686,242 | 701,802 | ||||||||||||||||
77509NAK9 | ROGERS COMMUN INC. | 5.50 | 3/15/2014 | 10,000,000 | 10,889,612 | 11,223,688 | ||||||||||||||||
822582AF9 | SHELL INTL FINAN | 4.00 | 3/21/2014 | 1,000,000 | 1,019,327 | 1,080,418 | ||||||||||||||||
822582AG7 | SHELL INTL FINAN | 1.30 | 9/22/2011 | 1,250,000 | 1,249,975 | 1,260,718 | ||||||||||||||||
822582AQ5 | SHELL INTL FINAN | 3.10 | 6/28/2015 | 19,500,000 | 19,487,196 | 20,502,239 | ||||||||||||||||
85771SAB2 | STATOIL ASA | 3.88 | 4/15/2014 | 16,000,000 | 15,994,998 | 17,305,319 | ||||||||||||||||
87938WAJ2 | TLEFONICA EMISNS | 4.95 | 1/15/2015 | 37,130,000 | 39,289,382 | 40,632,099 |
Page 20
Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010 |
Cusip | Security Description | Coupon | Maturity | Par | Book Value $ | Market Value $ | ||||||||||||||||
88166CAA6 | TEVA PHARMACEUTICAL FINANCE II | 3.00 | 6/15/2015 | 13,875,000 | 13,858,705 | 14,448,870 | ||||||||||||||||
893526CC5 | TRANSCANADA PIPELINES LIMITED | 8.63 | 5/15/2012 | 11,675,000 | 12,325,754 | 13,077,418 | ||||||||||||||||
92857WAP5 | VODAFONE GROUP PLC | 5.63 | 2/27/2017 | 25,000,000 | 26,885,077 | 28,769,810 | ||||||||||||||||
980888AC5 | WOOLWORTHS LTD | 2.55 | 9/22/2015 | 2,750,000 | 2,746,798 | 2,783,532 | ||||||||||||||||
959,961,000 | 976,898,143 | 1,046,876,914 | ||||||||||||||||||||
Corporate Securities — Utilities | ||||||||||||||||||||||
037735CQ8 | APPALACHIAN POWER COMPANY | 3.40 | 5/24/2015 | 1,075,000 | 1,072,257 | 1,106,247 | ||||||||||||||||
209111DZ3 | CONSOLIDATED EDISON CO OF NY | 5.63 | 7/1/2012 | 550,000 | 540,600 | 591,234 | ||||||||||||||||
209111EA7 | CONSOLIDATED EDISON CO OF NY | 4.88 | 2/1/2013 | 3,000,000 | 3,216,829 | 3,242,730 | ||||||||||||||||
22282EAA0 | COVANTA HOLDING CORP | 1.00 | 2/1/2027 | 2,530,000 | 2,393,979 | 2,444,613 | ||||||||||||||||
264399EQ5 | DUKE ENERGY CORP | 6.30 | 2/1/2014 | 11,150,000 | 11,135,456 | 12,715,668 | ||||||||||||||||
291011AT1 | EMERSON ELECTRIC CO | 4.50 | 5/1/2013 | 1,000,000 | 978,613 | 1,087,946 | ||||||||||||||||
29364GAE3 | ENTERGY CORPORATION | 3.63 | 9/15/2015 | 1,675,000 | 1,673,720 | 1,693,623 | ||||||||||||||||
302570AV8 | FPL GROUP CAPITAL INC | 5.63 | 9/1/2011 | 1,000,000 | 990,805 | 1,043,992 | ||||||||||||||||
340711AR1 | FL GAS TSMN CO | 4.00 | 7/15/2015 | 700,000 | 699,878 | 731,649 | ||||||||||||||||
373334FN6 | GEORGIA POWER COMPANY | 5.13 | 11/15/2012 | 1,250,000 | 1,247,402 | 1,357,376 | ||||||||||||||||
373334JM4 | GEORGIA POWER COMPANY | 6.00 | 11/1/2013 | 1,000,000 | 1,119,297 | 1,132,151 | ||||||||||||||||
391164AD2 | GREAT PLAINS ENERGY INCORPORAT | 2.75 | 8/15/2013 | 3,000,000 | 2,998,678 | 3,013,106 | ||||||||||||||||
45138LAK9 | IDAHO POWER COMPANY | 4.75 | 11/15/2012 | 1,750,000 | 1,712,949 | 1,880,743 | ||||||||||||||||
461070AH7 | INTERSTATE POWER & LIGHT CO | 3.30 | 6/15/2015 | 3,000,000 | 2,991,322 | 3,124,950 | ||||||||||||||||
494550BE5 | KINDER MORGAN ENERGY PARTNERS | 5.30 | 9/15/2020 | 1,375,000 | 1,374,464 | 1,471,822 | ||||||||||||||||
559080AA4 | MAGELLAN MIDSTREAM PARTNERS LP | 6.45 | 6/1/2014 | 15,550,000 | 15,129,550 | 17,642,291 | ||||||||||||||||
595620AD7 | MIDAMERICAN ENERGY HOLDINGS CO | 4.65 | 10/1/2014 | 25,800,000 | 25,945,016 | 28,489,786 | ||||||||||||||||
67021CAB3 | NSTAR ELEC CO | 4.88 | 4/15/2014 | 5,000,000 | 5,244,403 | 5,501,470 | ||||||||||||||||
69331CAE8 | PG&E CORPORATION | 5.75 | 4/1/2014 | 10,000,000 | 9,961,000 | 11,197,038 | ||||||||||||||||
694308GP6 | PACIFIC GAS AND ELECTRIC CO | 6.25 | 12/1/2013 | 13,000,000 | 12,936,172 | 14,819,774 | ||||||||||||||||
695114BU1 | PACIFICORP | 6.90 | 11/15/2011 | 1,000,000 | 1,005,523 | 1,065,921 | ||||||||||||||||
737679CW8 | POTOMAC ELECTRIC POWER COMPANY | 4.95 | 11/15/2013 | 1,200,000 | 1,106,107 | 1,333,572 | ||||||||||||||||
743263AM7 | PROGRESS ENERGY INC. | 6.05 | 3/15/2014 | 10,000,000 | 10,157,464 | 11,371,031 | ||||||||||||||||
744448BU4 | PUBLIC SERVICE COLORADO | 7.88 | 10/1/2012 | 8,770,000 | 9,295,117 | 9,908,890 | ||||||||||||||||
74451PAA1 | PUB SERV NC INC | 6.63 | 2/15/2011 | 1,550,000 | 1,561,943 | 1,581,636 | ||||||||||||||||
74456QAW6 | PUBLIC SERVICE ELECTRIC & GAS | 2.70 | 5/1/2015 | 1,075,000 | 1,073,212 | 1,118,376 | ||||||||||||||||
779382AN0 | ROWAN CO | 5.00 | 9/1/2017 | 1,625,000 | 1,617,021 | 1,681,350 | ||||||||||||||||
842434CA8 | SOUTHERN CALIFORNIA GAS CO | 4.80 | 10/1/2012 | 700,000 | 685,322 | 752,221 | ||||||||||||||||
842587CE5 | SOUTHERN COMPANY | 4.15 | 5/15/2014 | 13,675,000 | 13,684,751 | 14,757,229 | ||||||||||||||||
84755TAB3 | SPECTRA ENERGY CAPITAL LLC | 5.90 | 9/15/2013 | 2,650,000 | 2,864,958 | 2,909,849 | ||||||||||||||||
96950FAB0 | WILLIAMS PRTNRS | 3.80 | 2/15/2015 | 5,000,000 | 5,012,616 | 5,240,178 | ||||||||||||||||
15135UAB5 | CENOVUS ENERGY INC | 4.50 | 9/15/2014 | 1,350,000 | 1,349,010 | 1,484,257 | ||||||||||||||||
268317AA2 | ELECTRICITE DE FRANCE | 5.50 | 1/26/2014 | 19,900,000 | 19,845,207 | 22,447,554 | ||||||||||||||||
29268BAA9 | ENEL FINANCE INTERNATIONAL SA | 5.70 | 1/15/2013 | 15,000,000 | 15,011,521 | 16,168,415 | ||||||||||||||||
29268BAE1 | ENEL FINANCE INTERNATIONAL SA | 5.13 | 10/7/2019 | 28,000,000 | 27,886,321 | 29,565,917 | ||||||||||||||||
65504LAB3 | NOBLE HOLDING INTERNATIONAL CA | 3.45 | 8/1/2015 | 825,000 | 825,000 | 857,426 | ||||||||||||||||
893526DH3 | TRANSCANADA PIPELINES LIMITED | 3.40 | 6/1/2015 | 4,250,000 | 4,249,221 | 4,508,069 | ||||||||||||||||
89352HAA7 | TRANS-CANADA PIPELINES | 4.00 | 6/15/2013 | 5,300,000 | 5,295,378 | 5,673,210 | ||||||||||||||||
94707VAA8 | WEATHERFORD INTL INC | 5.13 | 9/15/2020 | 1,650,000 | 1,647,726 | 1,689,708 | ||||||||||||||||
500635AB3 | KOREA GAS CORP | 6.00 | 7/15/2014 | 675,000 | 670,575 | 749,162 | ||||||||||||||||
227,600,000 | 228,206,379 | 249,152,177 | ||||||||||||||||||||
Asset Backed Securities — Credit Cards | ||||||||||||||||||||||
05522RAR9 | BACCT | 4.72 | 5/15/2013 | 3,500,000 | 3,529,214 | 3,531,167 | ||||||||||||||||
05522RBS6 | BACCT | 0.84 | 4/15/2013 | 1,701,000 | 1,702,865 | 1,701,851 | ||||||||||||||||
126802BM8 | CABMT_10-IA | 2.29 | 9/17/2018 | 2,000,000 | 1,999,184 | 2,002,180 | ||||||||||||||||
161571CH5 | CHAIT | 5.12 | 10/15/2014 | 15,600,000 | 16,805,769 | 16,951,428 | ||||||||||||||||
17305ECU7 | CCCIT | 4.75 | 10/22/2012 | 500,000 | 504,781 | 500,910 | ||||||||||||||||
17305EER2 | CCCIT | 2.25 | 12/23/2014 | 10,000,000 | 10,101,628 | 10,288,200 | ||||||||||||||||
G0501WAD8 | ARRAN | 0.34 | 12/15/2012 | 240,000 | 238,237 | 239,160 | ||||||||||||||||
33,541,000 | 34,881,678 | 35,214,896 | ||||||||||||||||||||
Page 21
Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010 |
Cusip | Security Description | Coupon | Maturity | Par | Book Value $ | Market Value $ | ||||||||||||||||
Asset Backed Securities — Auto Receivables | ||||||||||||||||||||||
06052FAC4 | BAAT_09-2 | 2.13 | 9/15/2013 | 50,000,000 | 49,999,725 | 50,616,650 | ||||||||||||||||
06052MAC9 | BAAT | 1.31 | 7/15/2014 | 2,300,000 | 2,299,944 | 2,318,630 | ||||||||||||||||
09657MAC2 | BMWLT_10-1 | 1.39 | 4/25/2014 | 1,350,000 | 1,349,977 | 1,363,797 | ||||||||||||||||
14313CAC0 | CARMX_10-1 | 1.56 | 7/15/2014 | 1,500,000 | 1,499,837 | 1,517,145 | ||||||||||||||||
14313EAC6 | CARMX_10-2 | 1.41 | 2/16/2015 | 10,000,000 | 9,999,835 | 10,104,200 | ||||||||||||||||
34529GAF2 | FORDO_09-D | 2.17 | 10/15/2013 | 32,000,000 | 31,997,936 | 32,463,283 | ||||||||||||||||
34529HAC7 | FORDO | 1.51 | 1/15/2014 | 2,650,000 | 2,649,698 | 2,665,635 | ||||||||||||||||
43812BAG8 | HAROT_10-1 | 1.25 | 10/21/2013 | 2,500,000 | 2,499,731 | 2,510,400 | ||||||||||||||||
43812WAC1 | HONDA AUTO RECIEVABLES OWNER T | 2.31 | 5/15/2013 | 1,750,000 | 1,771,927 | 1,776,188 | ||||||||||||||||
44923YAC1 | HART_10-B | 0.97 | 4/15/2015 | 2,150,000 | 2,149,638 | 2,140,970 | ||||||||||||||||
587682AC9 | MBART_10-A | 1.42 | 8/15/2014 | 1,050,000 | 1,049,834 | 1,063,225 | ||||||||||||||||
107,250,000 | 107,268,082 | 108,540,123 | ||||||||||||||||||||
Asset Backed Securities — Student Loans | ||||||||||||||||||||||
00432CAZ4 | AGSL_03-1 | 1.74 | 12/26/2035 | 4,100,000 | 3,705,685 | 3,741,250 | ||||||||||||||||
00432CBB6 | AGSL_03-1 | 1.58 | 12/26/2035 | 3,600,000 | 3,217,158 | 3,249,000 | ||||||||||||||||
00432CBP5 | AGSL_03-1 | — | 12/27/2032 | 5,350,000 | 4,711,828 | 4,721,375 | ||||||||||||||||
194262CD1 | COLLE_04-1 | 0.66 | 4/25/2021 | 20,500,000 | 20,309,678 | 20,397,500 | ||||||||||||||||
28140VAB9 | EFCT_04-1 | 0.45 | 12/15/2022 | 5,362,994 | 5,301,845 | 5,294,347 | ||||||||||||||||
429827AB4 | HEF_10-401 | 1.79 | 1/1/2044 | 2,100,000 | 1,743,952 | 1,827,000 | ||||||||||||||||
429827AE8 | HIGHER EDUCATION FUNDING HEF_0 | 1.31 | 1/1/2044 | 2,100,000 | 1,741,194 | 1,827,000 | ||||||||||||||||
429827AF5 | HEF_10-401 | 1.79 | 1/1/2044 | 2,100,000 | 1,738,540 | 1,785,000 | ||||||||||||||||
429827AJ7 | HIGHER EDUCATION FUNDING HEF_0 | 1.77 | 1/1/2044 | 2,100,000 | 1,739,860 | 1,827,000 | ||||||||||||||||
429827AK4 | HIGHER EDUCATION FUNDING HEF_0 | 1.76 | 1/1/2044 | 2,300,000 | 1,913,310 | 2,001,000 | ||||||||||||||||
429827AN8 | HEF_04-1 | — | 1/1/2044 | 2,100,000 | 1,737,290 | 1,722,000 | ||||||||||||||||
429827AQ1 | HEF_04-1 | 1.30 | 1/1/2044 | 2,950,000 | 2,430,353 | 2,419,000 | ||||||||||||||||
71722TAF1 | PHEAA_04-1 | 1.78 | 4/25/2044 | 2,000,000 | 1,818,895 | 1,850,000 | ||||||||||||||||
71722TAG9 | PHEAA_04-1 | 0.05 | 4/25/2044 | 6,000,000 | 5,469,504 | 5,430,000 | ||||||||||||||||
78442GHW9 | SLMA | 1.73 | 12/15/2016 | 22,350,000 | 22,305,814 | 22,306,903 | ||||||||||||||||
78442GHZ2 | SLMA | 1.71 | 12/15/2016 | 16,900,000 | 16,900,000 | 16,867,412 | ||||||||||||||||
78442GJA5 | SLM STUDENT LOAN TR 2003-10A | 1.78 | 12/15/2016 | 3,000,000 | 3,000,000 | 2,994,215 | ||||||||||||||||
78442GJD9 | SLM STUDENT LOAN TR 2003-10A | 1.71 | 12/15/2016 | 54,650,000 | 54,232,191 | 54,544,618 | ||||||||||||||||
78442GQR0 | SLMA | 1.25 | 1/25/2028 | 425,000 | 414,993 | 417,387 | ||||||||||||||||
78443DAA0 | SLMA | 0.32 | 9/15/2022 | 291,836 | 283,946 | 285,390 | ||||||||||||||||
86386MAD6 | STUDENT LOAN CON | — | 3/1/2042 | 14,300,000 | 13,110,736 | 13,050,023 | ||||||||||||||||
86386MAE4 | STUDENT LOAN CON | 0.10 | 3/1/2042 | 14,400,000 | 13,204,908 | 13,141,397 | ||||||||||||||||
86386MAK0 | STUDENT LOAN CON | 1.77 | 7/1/2042 | 12,400,000 | 11,334,169 | 11,316,624 | ||||||||||||||||
86386MAM6 | STUDENT LOAN CON | — | 7/1/2042 | 10,100,000 | 9,299,817 | 9,217,573 | ||||||||||||||||
86386MAR5 | STUDENT LOAN CON | 1.85 | 7/1/2042 | 9,100,000 | 8,303,606 | 8,304,633 | ||||||||||||||||
86386MAS3 | STUDENT LOAN CON | 1.36 | 7/1/2042 | 9,000,000 | 8,208,148 | 8,213,679 | ||||||||||||||||
86386MAT1 | SLCC_02-2 | — | 7/1/2042 | 11,000,000 | 10,031,036 | 10,038,941 | ||||||||||||||||
86386MAU8 | STUDENT LOAN CON | 0.02 | 7/1/2042 | 8,900,000 | 8,113,071 | 8,122,416 | ||||||||||||||||
90342NAW7 | CNH | 0.65 | 9/1/2019 | 33,614,562 | 33,558,661 | 33,622,294 | ||||||||||||||||
283,094,392 | 269,880,189 | 270,534,976 | ||||||||||||||||||||
Asset Backed Securities — CLOs | ||||||||||||||||||||||
00083VAA9 | ACASC_07-1 | 0.75 | 4/20/2021 | 6,750,000 | 5,946,278 | 5,883,307 | ||||||||||||||||
04010HAB8 | ARES CLO FUNDS ARES | 0.53 | 9/18/2017 | 9,862,007 | 9,000,803 | 9,120,069 | ||||||||||||||||
04010HAC6 | ARES_05-10A | 0.53 | 9/18/2017 | 24,580,000 | 22,621,114 | 22,668,241 | ||||||||||||||||
04011XAB2 | ARES | 0.58 | 2/24/2018 | 21,390,634 | 19,396,714 | 19,936,734 | ||||||||||||||||
04011XAC0 | ARES | 0.58 | 2/24/2018 | 22,849,087 | 20,658,519 | 21,167,302 | ||||||||||||||||
042423AA1 | ARMST | 1.02 | 8/1/2016 | 6,728,053 | 6,480,579 | 6,476,888 | ||||||||||||||||
16208NAA3 | CHAT | 0.70 | 8/3/2019 | 29,707,265 | 27,078,954 | 27,659,692 | ||||||||||||||||
30250GAA6 | SSGN_10-S1 | 0.81 | 2/25/2048 | 8,346,911 | 8,353,814 | 8,378,212 | ||||||||||||||||
363206AF0 | GALE | 0.76 | 4/19/2021 | 10,000,000 | 8,778,305 | 9,016,200 | ||||||||||||||||
482474AA1 | KKR FINANCIAL CLO LTD KKR_05-1 | 0.77 | 4/26/2017 | 1,000,000 | 912,211 | 925,000 | ||||||||||||||||
48248CAA2 | KKR FINANCIAL CLO LTD KKR_07-1 | 0.73 | 5/15/2021 | 12,619,306 | 11,601,065 | 11,231,183 | ||||||||||||||||
51506DAA1 | LANDM_04-1A | 0.64 | 12/15/2016 | 25,648,414 | 24,191,721 | 23,702,443 |
Page 22
Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010 |
Cusip | Security Description | Coupon | Maturity | Par | Book Value $ | Market Value $ | ||||||||||||||||
69510WAA5 | PCDO | 0.76 | 1/26/2020 | 7,651,489 | 6,976,311 | 7,077,941 | ||||||||||||||||
BRS6DUE27 | STANFIELD VEYRON | 0.75 | 7/15/2018 | 25,000,000 | 23,959,119 | 23,142,500 | ||||||||||||||||
212,133,165 | 195,955,504 | 196,385,711 | ||||||||||||||||||||
Asset Backed Securities — Other | ||||||||||||||||||||||
12612AAC6 | CNH_09-C | 1.85 | 12/16/2013 | 1,400,000 | 1,399,984 | 1,416,641 | ||||||||||||||||
12612BAC4 | CNH_10-A | 1.54 | 7/15/2014 | 1,900,000 | 1,899,769 | 1,922,876 | ||||||||||||||||
12621UAC1 | CNH_10-B | 1.03 | 11/17/2014 | 5,000,000 | 4,999,013 | 5,017,100 | ||||||||||||||||
12621UAD9 | CNH_10-B | 1.74 | 1/17/2017 | 4,750,000 | 4,748,918 | 4,787,905 | ||||||||||||||||
15200MAA5 | CNP | 4.19 | 2/1/2020 | 3,156,442 | 3,396,372 | 3,474,012 | ||||||||||||||||
15200NAA3 | CNP | 1.83 | 2/15/2016 | 2,277,836 | 2,277,817 | 2,314,920 | ||||||||||||||||
15200NAB1 | CNP | 3.46 | 8/15/2019 | 2,400,000 | 2,493,436 | 2,573,064 | ||||||||||||||||
29365KAA1 | ETI | 2.12 | 2/1/2016 | 1,302,317 | 1,302,274 | 1,331,841 | ||||||||||||||||
36829KAC2 | GESET | 1.92 | 7/15/2016 | 4,000,000 | 3,999,714 | 4,030,080 | ||||||||||||||||
477874AC5 | JDOT_09 | 2.59 | 10/15/2013 | 2,661,221 | 2,689,724 | 2,693,502 | ||||||||||||||||
47787AAD9 | JDOT_10-A | 1.32 | 5/15/2014 | 1,450,000 | 1,449,825 | 1,463,920 | ||||||||||||||||
493897AB8 | KDRE | 0.35 | 12/10/2043 | 133,959 | 127,943 | 126,693 | ||||||||||||||||
525221FY8 | LXS | 0.46 | 1/25/2036 | 88,158 | 85,246 | 82,105 | ||||||||||||||||
542388AD5 | LBART_06-A | 5.50 | 5/15/2013 | 10,680,440 | 10,739,715 | 10,698,121 | ||||||||||||||||
57164TAA6 | MVCOT | 0.96 | 12/20/2024 | 79,167 | 77,665 | 78,386 | ||||||||||||||||
57164XAA7 | MVCOT 2009-2A | 4.81 | 7/20/2031 | 7,663,733 | 7,663,622 | 7,953,422 | ||||||||||||||||
693401AE1 | PERF | 4.47 | 12/25/2014 | 2,900,000 | 3,090,211 | 3,115,731 | ||||||||||||||||
75953MAD2 | CENTERPOINT ENERGY TRANSITION | 5.63 | 9/15/2015 | 6,036,683 | 6,479,780 | 6,557,407 | ||||||||||||||||
826502AA4 | SRFC | 5.27 | 3/20/2019 | 612,753 | 627,939 | 634,193 | ||||||||||||||||
82651AAA5 | SRFC | 5.37 | 9/20/2019 | 1,571,573 | 1,613,540 | 1,631,732 | ||||||||||||||||
82651CAA1 | SRFC | 9.79 | 12/22/2025 | 594,733 | 610,104 | 606,016 | ||||||||||||||||
82651KAA3 | SRFC | 4.52 | 8/20/2026 | 3,117,628 | 3,117,362 | 3,127,574 | ||||||||||||||||
63,776,643 | 64,889,972 | 65,637,240 | ||||||||||||||||||||
State and Municipal | ||||||||||||||||||||||
04057PFH6 | ARIZONA SCH FACS BRD CTFS PART | 5.00 | 9/1/2019 | 1,775,000 | 1,698,444 | 1,906,528 | ||||||||||||||||
040654MP7 | ARIZONA ST TRANSN BRD | 5.00 | 7/1/2020 | 500,000 | 482,054 | 557,410 | ||||||||||||||||
040654NY7 | ARIZONA ST TRANSN BRD | 5.00 | 7/1/2021 | 1,500,000 | 1,425,689 | 1,671,735 | ||||||||||||||||
040688GV9 | ARIZONA WTR INFRASTRUCTURE FIN | 5.00 | 10/1/2021 | 1,000,000 | 954,527 | 1,148,820 | ||||||||||||||||
058508AN2 | BALL ST UNIV IND | 5.00 | 7/1/2018 | 1,900,000 | 1,878,813 | 2,120,647 | ||||||||||||||||
071365ZL7 | BATTLE CREEK MICH | 5.00 | 5/1/2011 | 2,025,000 | 2,043,033 | 2,070,745 | ||||||||||||||||
126775RR8 | CABARRUS CNTY N C | 5.00 | 2/1/2018 | 500,000 | 499,391 | 599,800 | ||||||||||||||||
13063A4V3 | STATE OF CALIFORNIA | 5.75 | 4/1/2031 | 1,250,000 | 1,294,147 | 1,378,875 | ||||||||||||||||
144470AR2 | CARRIER CREEK MICH DRAIN DIST | 5.00 | 6/1/2022 | 1,000,000 | 923,875 | 1,096,740 | ||||||||||||||||
162419AF2 | CHATTANOOGA TENN INDL DEV BRD | 5.00 | 10/1/2011 | 2,000,000 | 2,000,000 | 2,000,260 | ||||||||||||||||
165573QR0 | CHESTER CNTY PA | 5.00 | 8/15/2022 | 1,000,000 | 954,887 | 1,103,840 | ||||||||||||||||
181059BM7 | CLARK CNTY NEV SCH DIST FOR IS | 5.00 | 6/15/2017 | 1,500,000 | 1,496,034 | 1,715,010 | ||||||||||||||||
184126UY4 | CLAYTON CNTY & CLAYTON CNTY GA | 5.00 | 5/1/2020 | 2,000,000 | 1,900,866 | 2,200,400 | ||||||||||||||||
189194CL5 | CLOVERDALE IND MULTI-SCH BLDG | 5.00 | 7/15/2019 | 1,365,000 | 1,325,760 | 1,498,361 | ||||||||||||||||
196632HT3 | COLORADO SPRINGS COLO UTILS | 5.00 | 11/15/2022 | 1,000,000 | 1,181,108 | 1,177,890 | ||||||||||||||||
196632HU0 | COLORADO SPRINGS COLO UTILS | 5.00 | 11/15/2023 | 1,250,000 | 1,462,039 | 1,460,325 | ||||||||||||||||
196632HV8 | COLORADO SPRINGS UTILS REV | 5.00 | 11/15/2024 | 1,500,000 | 1,741,677 | 1,739,490 | ||||||||||||||||
199491RW3 | COLUMBUS OHIO | 5.50 | 7/1/2012 | 500,000 | 514,809 | 544,215 | ||||||||||||||||
207758AY9 | CONNECTICUT ST SPL TAX OBLIG R | 5.00 | 7/1/2019 | 650,000 | 622,317 | 739,869 | ||||||||||||||||
2131838D1 | COOK CNTY ILL | 5.00 | 11/15/2019 | 1,000,000 | 958,788 | 1,110,180 | ||||||||||||||||
230822PL6 | CUMBERLAND VALLEY PA SCH DIST | 5.00 | 11/15/2020 | 1,300,000 | 1,240,335 | 1,448,330 | ||||||||||||||||
231266DM6 | CURATORS UNIV MO SYS FACS REV | 5.00 | 11/1/2021 | 2,000,000 | 1,855,925 | 2,271,660 | ||||||||||||||||
235308KE2 | DALLAS TEX INDPT SCH DIST | 5.00 | 8/15/2021 | 1,605,000 | 1,524,931 | 1,822,269 | ||||||||||||||||
249164HG2 | DENVER COLO CITY & CNTY | 5.00 | 8/1/2021 | 2,000,000 | 1,906,106 | 2,286,760 | ||||||||||||||||
2491817F9 | DENVER COLO CITY & CNTY ARPT R | 5.00 | 11/15/2010 | 3,000,000 | 2,999,497 | 3,016,080 | ||||||||||||||||
250119BY9 | DES MOINES IOWA MET WASTEWATER | 5.00 | 6/1/2019 | 1,045,000 | 1,010,369 | 1,166,178 | ||||||||||||||||
251255C94 | DETROIT MICH WTR SUPPLY SYS | 5.50 | 7/1/2033 | 2,000,000 | 2,035,793 | 2,097,780 | ||||||||||||||||
294223LN0 | EPHRATA PA AREA SCH DIST | 5.00 | 3/1/2019 | 500,000 | 481,395 | 549,880 | ||||||||||||||||
346604FJ5 | FORSYTH CNTY GA SCH DIST | 5.00 | 2/1/2020 | 1,430,000 | 1,375,113 | 1,594,808 | ||||||||||||||||
3494602Z7 | FORT WORTH TEX INDPT SCH DIST | 5.00 | 2/15/2026 | 1,000,000 | 1,132,770 | 1,134,360 |
Page 23
Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010 |
Cusip | Security Description | Coupon | Maturity | Par | Book Value $ | Market Value $ | ||||||||||||||||
365653GZ1 | GARFIELD CNTY COLO SCH DIST NO | 5.00 | 12/1/2020 | 1,610,000 | 1,545,008 | 1,854,140 | ||||||||||||||||
385244HG6 | GRAND BLANC MICH CMNTY SCHS | 5.00 | 5/1/2020 | 1,000,000 | 964,965 | 1,098,560 | ||||||||||||||||
406036EP4 | HALL CNTY NEB SCH DIST NO 2 GR | 5.00 | 12/15/2019 | 1,080,000 | 1,050,004 | 1,226,502 | ||||||||||||||||
4140033N1 | HARRIS CNTY TEX | — | 8/15/2011 | 2,000,000 | 1,934,823 | 1,991,720 | ||||||||||||||||
41981VBQ0 | HAWAII ST HSG & CMNTY DEV CORP | 4.40 | 1/1/2033 | 190,000 | 158,723 | 196,386 | ||||||||||||||||
468312DN0 | JACKSON MICH PUB SCHS | 5.00 | 5/1/2020 | 1,000,000 | 959,198 | 1,078,870 | ||||||||||||||||
48542KHX0 | KANSAS ST DEV FIN AUTH REV | 5.00 | 11/1/2020 | 2,000,000 | 1,904,806 | 2,253,300 | ||||||||||||||||
48542KNH8 | KANSAS ST DEV FIN AUTH REV | 5.00 | 6/1/2012 | 500,000 | 509,730 | 535,065 | ||||||||||||||||
49151EXA6 | KENTUCKY ST PRP & BLDG COM | 5.00 | 10/1/2017 | 565,000 | 561,969 | 660,163 | ||||||||||||||||
49474EWA7 | KING CNTY WASH | 4.00 | 1/1/2011 | 3,000,000 | 3,004,257 | 3,028,260 | ||||||||||||||||
508205GV7 | LAKE COOK KANE AND MCHENRY CNT | 5.00 | 12/1/2016 | 2,385,000 | 2,417,796 | 2,830,828 | ||||||||||||||||
567505GY2 | MARICOPA CNTY ARIZ UN HIGH SCH | 5.13 | 7/1/2016 | 1,125,000 | 1,152,229 | 1,331,224 | ||||||||||||||||
5741924V9 | MARYLAND ST | 5.00 | 11/1/2017 | 5,000,000 | 5,849,268 | 6,065,450 | ||||||||||||||||
575579RS8 | MASSACHUSETTS BAY TRANSN AUTH | 5.00 | 7/1/2020 | 35,000 | 35,201 | 43,070 | ||||||||||||||||
575579SL2 | MASSACHUSETTS BAY TRANSN AUTH | 5.00 | 7/1/2020 | 1,575,000 | 1,505,795 | 1,848,452 | ||||||||||||||||
57582PDK3 | MASSACHUSETTS ST | 0.77 | 11/1/2018 | 2,000,000 | 1,496,686 | 1,796,560 | ||||||||||||||||
57583PDB2 | MASSACHUSETTS ST FED HWY | 5.75 | 6/15/2011 | 3,250,000 | 3,263,500 | 3,285,198 | ||||||||||||||||
586158KZ9 | MEMPHIS TENN ELEC SYS REV | 5.00 | 12/1/2014 | 2,000,000 | 2,019,637 | 2,264,760 | ||||||||||||||||
602248AR7 | MILWAUKEE CNTY WIS ARPT REV | 6.00 | 12/1/2017 | 1,675,000 | 1,675,135 | 1,687,211 | ||||||||||||||||
603827EJ1 | MINN & ST PAUL MET ARPTS REV | 5.25 | 1/1/2026 | 2,000,000 | 2,010,002 | 2,025,080 | ||||||||||||||||
615401JW7 | MOON AREA SCH DIST PA | 5.00 | 11/15/2018 | 1,360,000 | 1,344,297 | 1,547,789 | ||||||||||||||||
625574HL5 | MULTNOMAH CNTY ORE SCH DIST NO | 5.00 | 6/15/2018 | 500,000 | 491,339 | 593,525 | ||||||||||||||||
644682UL8 | NEW HAMPSHIRE ST | 5.00 | 6/1/2017 | 1,730,000 | 1,723,414 | 2,071,640 | ||||||||||||||||
64468TRZ2 | NEW HAMPSHIRE ST HSG FIN AUTH | 5.88 | 7/1/2021 | 60,000 | 53,501 | 60,055 | ||||||||||||||||
64983QWY1 | NEW YORK ST DORM AUTH REVS NON | 5.00 | 8/1/2018 | 2,000,000 | 1,980,872 | 2,306,740 | ||||||||||||||||
650013T21 | NEW YORK ST TWY AUTH | 5.00 | 4/1/2019 | 2,000,000 | 1,939,402 | 2,283,260 | ||||||||||||||||
650034X89 | NEW YORK ST URBAN DEV CORP | 5.50 | 3/15/2017 | 2,050,000 | 2,109,171 | 2,484,313 | ||||||||||||||||
656491KZ9 | NORRISTOWN PA AREA SCH DIST | 5.00 | 9/1/2021 | 1,000,000 | 1,023,227 | 1,105,270 | ||||||||||||||||
658256E32 | NORTH CAROLINA ST | 5.00 | 5/1/2017 | 5,000,000 | 5,847,100 | 6,020,800 | ||||||||||||||||
662835QT7 | NORTH TEX MUN WTR DIST TEX | 5.00 | 6/1/2025 | 1,050,000 | 1,180,600 | 1,176,830 | ||||||||||||||||
663903CA8 | NORTHEAST OHIO REGL SWR DIST W | 5.00 | 11/15/2016 | 1,900,000 | 1,939,099 | 2,264,439 | ||||||||||||||||
677520SW9 | OHIO ST | 5.00 | 11/1/2020 | 2,000,000 | 1,908,429 | 2,246,480 | ||||||||||||||||
677632HM6 | OHIO ST UNIV | 5.00 | 6/1/2011 | 2,000,000 | 2,017,877 | 2,062,160 | ||||||||||||||||
680616PF0 | OLENTANGY LOC SCH DIST OHIO | 5.00 | 12/1/2017 | 2,000,000 | 2,005,874 | 2,322,780 | ||||||||||||||||
681793T88 | OMAHA PUB PWR DIST NEB ELEC RE | 5.00 | 2/1/2018 | 2,000,000 | 1,971,116 | 2,245,440 | ||||||||||||||||
709223YW5 | PA ST TPK COMM | 5.00 | 12/1/2023 | 4,500,000 | 5,114,065 | 5,121,045 | ||||||||||||||||
742633PD6 | PRIOR LAKE MINN INDPT SCH DIST | 5.00 | 2/1/2020 | 1,195,000 | 1,166,318 | 1,322,841 | ||||||||||||||||
759136LA0 | REGIONAL TRANSN DIST COLO | 5.00 | 11/1/2017 | 1,550,000 | 1,550,014 | 1,784,314 | ||||||||||||||||
780427KA7 | ROYAL OAK CITY MICH SCH DIST | 5.00 | 5/1/2019 | 2,000,000 | 1,924,141 | 2,235,760 | ||||||||||||||||
7832434J4 | RUTHERFORD CNTY TENN | 5.00 | 6/1/2018 | 1,430,000 | 1,431,409 | 1,712,396 | ||||||||||||||||
795560AR2 | SALT LAKE & SANDY UTAH | 5.00 | 7/1/2020 | 1,820,000 | 1,731,985 | 1,990,916 | ||||||||||||||||
802072KA5 | SANTA FE N M GROSS RCPTS TAX | 5.00 | 6/1/2019 | 2,000,000 | 1,927,048 | 2,175,900 | ||||||||||||||||
806640PN2 | SCHERTZ-CIBOLO-UNVL CITY TEX I | 5.00 | 2/1/2020 | 2,025,000 | 1,932,017 | 2,289,647 | ||||||||||||||||
837562KS5 | SOUTH DAKOTA ST UNIV | 5.00 | 4/1/2020 | 1,545,000 | 1,462,157 | 1,651,389 | ||||||||||||||||
88283LCS3 | TEXAS TRANSN COMMN ST HWY FD | 5.00 | 4/1/2022 | 2,000,000 | 1,889,191 | 2,257,800 | ||||||||||||||||
914119HX3 | UNIVERSITY CINCINNATI OHIO | 5.00 | 6/1/2018 | 2,015,000 | 1,948,893 | 2,217,326 | ||||||||||||||||
914437PF9 | UNIVERSITY MASS BLDG AUTH | 5.00 | 11/1/2019 | 1,530,000 | 1,462,173 | 1,689,105 | ||||||||||||||||
915506KJ7 | UPPER ARLINGTON OHIO CITY SCH | 5.00 | 12/1/2021 | 1,250,000 | 1,183,046 | 1,369,775 | ||||||||||||||||
927749GJ4 | VIRGINIA BEACH VA | 5.00 | 10/1/2019 | 790,000 | 771,873 | 939,587 | ||||||||||||||||
927749GP0 | VIRGINIA BEACH VA | 5.00 | 10/1/2019 | 945,000 | 923,317 | 1,074,153 | ||||||||||||||||
92817LEM1 | VIRGINIA ST RES AUTH CLEAN WTR | 5.00 | 10/1/2010 | 2,000,000 | 2,000,000 | 2,000,260 | ||||||||||||||||
938234MJ7 | WASHINGTON CNTY ORE | 5.00 | 6/1/2020 | 1,035,000 | 992,525 | 1,178,109 | ||||||||||||||||
93974A7Q1 | WASHINGTON STATE | 5.00 | 1/1/2020 | 2,000,000 | 1,918,516 | 2,249,480 | ||||||||||||||||
967338KS2 | WICHITA KANS | 5.00 | 10/1/2010 | 2,000,000 | 2,000,000 | 2,000,240 | ||||||||||||||||
971567KU5 | WILMINGTON DEL | 5.00 | 6/1/2017 | 1,000,000 | 998,994 | 1,191,510 | ||||||||||||||||
13063BFQ0 | CALIFORNIA ST | 5.75 | 3/1/2017 | 17,000,000 | 17,580,895 | 18,598,510 | ||||||||||||||||
419791YH5 | HAWAII ST | 3.38 | 2/1/2016 | 2,575,000 | 2,587,181 | 2,689,588 | ||||||||||||||||
4521518T3 | ILLINOIS ST | 3.32 | 1/1/2013 | 12,000,000 | 12,133,297 | 12,184,080 |
Page 24
Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010 |
Cusip | Security Description | Coupon | Maturity | Par | Book Value $ | Market Value $ | ||||||||||||||||
4521518V8 | ILLINOIS ST | 4.42 | 1/1/2015 | 12,620,000 | 12,645,621 | 13,152,060 | ||||||||||||||||
63968AQF5 | NEBRASKA PUB PWR DIST | 4.85 | 1/1/2014 | 6,500,000 | 6,500,000 | 6,963,775 | ||||||||||||||||
650035TC2 | NEW YORK ST URBAN DEV CORP REV | 2.48 | 12/15/2013 | 4,250,000 | 4,337,896 | 4,375,630 | ||||||||||||||||
83714RBA0 | SOUTH CAROLINA STUDENT LN | 0.39 | 12/2/2019 | 15,000,000 | 14,619,454 | 14,674,500 | ||||||||||||||||
864784BK8 | SUFFOLK CNTY N Y WTR AUTH WTRW | 5.50 | 6/1/2035 | 500,000 | 485,527 | 520,450 | ||||||||||||||||
98458PAB1 | YALE UNIVERSITY | 2.90 | 10/15/2014 | 1,400,000 | 1,397,616 | 1,482,223 | ||||||||||||||||
606072KP0 | MISSOURI HIGHER ED LN | 1.27 | 11/26/2032 | 14,099,559 | 14,089,889 | 14,134,069 | ||||||||||||||||
222,309,559 | 223,179,600 | 240,347,998 | ||||||||||||||||||||
Total Fixed Income Securities | 6,736,156,977 | 6,529,857,872 | 6,801,501,793 | |||||||||||||||||||
Equities | ||||||||||||||||||||||
00163T109 | AMB PROP CORP | — | 87,000 | 2,254,532 | 2,302,890 | |||||||||||||||||
018802108 | ALLIANT ENERGY CORP | — | 56,500 | 1,898,060 | 2,053,775 | |||||||||||||||||
024835100 | AMER CMPS COMM | — | 86,000 | 2,380,065 | 2,617,840 | |||||||||||||||||
03761U106 | APOLLO INVSTMNT | — | 221,500 | 2,441,075 | 2,265,945 | |||||||||||||||||
03836W103 | PHILADELPHIA SUBURBAN CORPORAT | — | �� | 112,300 | 2,066,447 | 2,290,920 | ||||||||||||||||
053484101 | AVALONBAY COMMUNITIES INC | — | 27,000 | 2,780,386 | 2,806,110 | |||||||||||||||||
098536105 | BONAVISTA ENERGY TRUST | — | 2,100 | 49,162 | 48,905 | |||||||||||||||||
126132109 | CNOOC LTD. | — | 12,700 | 2,127,678 | 2,467,610 | |||||||||||||||||
15135U109 | CENOVUS ENERGY INC | — | 86,700 | 2,414,717 | 2,494,359 | |||||||||||||||||
15189T107 | CENTERPOINT ENERGY INC. | 1.50 | 156,100 | 2,328,616 | 2,453,892 | |||||||||||||||||
16941M109 | CHINA MOBILE HONG KONG LIMITED | — | 48,600 | 2,452,207 | 2,484,918 | |||||||||||||||||
17133Q106 | CHUNGHWA TELECOM CO. LTD. | — | 102,900 | 2,080,758 | 2,307,018 | |||||||||||||||||
188021083 | ALLIANT ENERGY CORP | — | 10,000 | 351,387 | 363,500 | |||||||||||||||||
22576C101 | CRESCENT POINT ENERGY CORP | — | 85,100 | 3,188,979 | 3,134,233 | |||||||||||||||||
253868103 | DIGITAL REALTY | — | 17,000 | 947,961 | 1,048,900 | |||||||||||||||||
264411505 | DUKE REALTY CORP | — | 192,000 | 2,231,638 | 2,225,280 | |||||||||||||||||
29250X103 | ENBRIDGE ENERGY MANAGEMENT L.L | — | 26,443 | 1,306,930 | 1,458,860 | |||||||||||||||||
30161N101 | EXELON CORPORATION | — | 60,300 | 2,571,810 | 2,567,574 | |||||||||||||||||
351858105 | FRANCO NEVADA CORP | — | 73,400 | 2,126,199 | 2,316,087 | |||||||||||||||||
478160104 | JOHNSON & JOHNSON | 1.66 | 36,200 | 2,268,108 | 2,242,952 | |||||||||||||||||
49455U100 | KINDER MORGAN MANAGEMENT LLC | — | 31,086 | 1,797,140 | 1,872,932 | |||||||||||||||||
595017104 | MICROCHIP TECHNOLOGY INC | — | 81,900 | 2,403,504 | 2,575,755 | |||||||||||||||||
638620104 | NATIONWIDE HLTH PROPERTIES INC | — | 66,800 | 2,375,258 | 2,583,156 | |||||||||||||||||
646025106 | NEW JERSEY RESOURCES | 1.72 | 54,300 | 2,019,067 | 2,129,646 | |||||||||||||||||
649445103 | NEW YORK COMMUNITY BANCORP INC | — | 140,000 | 2,322,391 | 2,275,000 | |||||||||||||||||
654445303 | NINTENDO CO LTD | — | 69,400 | 2,525,803 | 2,166,182 | |||||||||||||||||
655844108 | NORFOLK SOUTHERN CORPORATION | 0.32 | 41,100 | 2,318,436 | 2,445,861 | |||||||||||||||||
664397106 | NORTHEAST UTILITIES | — | 57,200 | 1,574,466 | 1,691,404 | |||||||||||||||||
67019E107 | NSTAR | 1.98 | 46,400 | 1,688,948 | 1,825,840 | |||||||||||||||||
69331C108 | PG&E CORPORATION | — | 53,800 | 2,313,586 | 2,443,596 | |||||||||||||||||
718172109 | PHILIP MORRIS INTERNATIONAL IN | — | 45,900 | 2,274,512 | 2,571,318 | |||||||||||||||||
718252604 | PHILIPPINE LONG DISTANCE TEL C | — | 44,200 | 2,446,983 | 2,645,812 | |||||||||||||||||
743263105 | PROGRESS ENERGY INC | — | 41,800 | 1,672,451 | 1,856,756 | |||||||||||||||||
754907103 | RAYONIER INC. | 1.08 | 49,700 | 2,308,702 | 2,490,964 | |||||||||||||||||
780287108 | ROYAL GOLD INC | — | 47,600 | 2,298,598 | 2,372,384 | |||||||||||||||||
80105N105 | SANOFI AVENTIS | — | 78,800 | 2,320,482 | 2,620,100 | |||||||||||||||||
847560109 | SPECTRA ENERGY CORP | — | 110,200 | 2,411,284 | 2,485,010 | |||||||||||||||||
872375100 | TECO ENERGY INC. | — | 150,500 | 2,445,726 | 2,606,660 | |||||||||||||||||
89151E109 | TOTAL SA | — | 45,100 | 2,380,555 | 2,327,160 | |||||||||||||||||
904784709 | UNILEVER N.V. | 1.19 | 78,000 | 2,273,425 | 2,330,640 | |||||||||||||||||
911312106 | UNITED PARCEL SERV INC | — | 35,000 | 2,248,854 | 2,334,150 | |||||||||||||||||
962166104 | WEYERHAEUSER COMPANY | 2.40 | 120,634 | 2,543,811 | 1,901,192 | |||||||||||||||||
98156Q108 | WORLD WRESTLING ENTERTAINMENT | — | 165,500 | 2,757,746 | 2,302,105 | |||||||||||||||||
98389B100 | XCEL ENERGY INC | — | 100,400 | 2,170,732 | 2,306,188 | |||||||||||||||||
G5299G106 | KNIGHTSBRIDGE TANKERS LTD | — | 93,500 | 1,683,876 | 1,767,150 | |||||||||||||||||
Q3944W187 | FOSTERS GROUP LTD | — | 449,000 | 2,224,974 | 2,664,982 |
Page 25
Allied World Assurance Company Holdings, Ltd. Securities Listing as at September 30, 2010 |
Cusip | Security Description | Coupon | Maturity | Par | Book Value $ | Market Value $ | ||||||||||||||||
S62435862 | SINGAPORE AIRPORT TERMINAL SER | — | 741,000 | 1,507,564 | 1,605,542 | |||||||||||||||||
SB01CGS48 | BONAVISTA ENERGY TRUST | — | 83,600 | 1,971,062 | 1,942,028 | |||||||||||||||||
SB01DC129 | ARC ENERGY TRUST | — | 108,900 | 2,236,256 | 2,180,178 | |||||||||||||||||
SB01DF023 | CDN OIL SAND | — | 77,200 | 2,171,220 | 1,910,700 | |||||||||||||||||
SB0D6P437 | MAPLETREE LG TR | — | 2,257,000 | 1,403,267 | 1,492,827 | |||||||||||||||||
SB296MJ50 | LIPPO MAPLETREE INDONESIA RETA | — | 2,627,900 | 908,912 | 998,936 | |||||||||||||||||
SB3KH7113 | GENERAL MARITIME CORP | — | 350,000 | 1,688,859 | 1,718,500 | |||||||||||||||||
SB67C8W83 | CRESCENT POINT ENERGY CORP | — | 900 | 35,000 | 33,259 | |||||||||||||||||
SBOTLGM70 | GZI REAL ESTATE INVESTMENT TRU | — | 4,768,000 | 2,064,752 | 2,389,159 | |||||||||||||||||
Y0205X103 | ASCENDAS REAL ESTATE INVESTMEN | — | 1,411,700 | 1,994,422 | 2,350,419 | |||||||||||||||||
91912F201 | VALE CAPITAL II | — | 13,000 | 958,435 | 1,144,520 | |||||||||||||||||
G16962204 | BUNGE LTD | — | 26,700 | 2,282,325 | 2,376,300 | |||||||||||||||||
313400657 | FHLMC | 1.50 | 150,500 | 43,645 | 54,180 | |||||||||||||||||
16,414,063 | 117,333,739 | 121,740,059 | ||||||||||||||||||||
Page 26