Allied World Assurance 8-K Allied World Reports Net Income for 1ST Quarter 2011 Despite Major Global Catastrophe Activity

Exhibit 99.3

Allied World Assurance Company Holdings, AG
Securities Listing as at March 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
U.S. Government Securities
912828GX2	UNITED STATES TREASURY		2.63		7/15/2017		8,800,000		10,201,408		10,731,192
912810DW5	UNITED STATES TREASURY		7.25		5/15/2016		310,000		358,530		385,346
912810EZ7	UNITED STATES TREASURY		6.63		2/15/2027		2,475,000		3,033,288		3,203,887
912810QK7	UNITED STATES TREASURY		3.88		8/15/2040		300,000		315,327		268,446
912810QN1	UNITED STATES TREASURY		4.75		2/15/2041		700,000		723,584		727,559
9128277L0	UNITED STATES TREASURY		4.88		2/15/2012		1,155,000		1,177,896		1,201,339
912828AJ9	UNITED STATES TREASURY		4.38		8/15/2012		500,000		508,276		526,720
912828AP5	UNITED STATES TREASURY		4		11/15/2012		2,465,000		2,552,424		2,599,811
912828BA7	UNITED STATES TREASURY		3.63		5/15/2013		1,500,000		1,563,148		1,588,065
912828BR0	UNITED STATES TREASURY		4.25		11/15/2013		335,000		347,161		362,912
912828CA6	UNITED STATES TREASURY		4		2/15/2014		990,000		1,047,762		1,069,853
912828CT5	UNITED STATES TREASURY		4.25		8/15/2014		1,440,000		1,547,337		1,574,957
912828DM9	UNITED STATES TREASURY		4		2/15/2015		1,500,000		1,607,858		1,629,525
912828DV9	UNITED STATES TREASURY		4.13		5/15/2015		500,000		540,396		546,215
912828EE6	UNITED STATES TREASURY		4.25		8/15/2015		1,000,000		1,088,832		1,097,660
912828EW6	UNITED STATES TREASURY		4.5		2/15/2016		1,000,000		1,103,295		1,109,830
912828FN5	UNITED STATES TREASURY		4.88		7/31/2011		4,500,000		4,545,367		4,571,280
912828FY1	UNITED STATES TREASURY		4.63		11/15/2016		5,235,000		5,491,637		5,836,763
912828GA2	UNITED STATES TREASURY		4.5		11/30/2011		1,050,000		1,073,093		1,079,831
912828GC8	UNITED STATES TREASURY		4.63		12/31/2011		500,000		509,619		516,270
912828GM6	UNITED STATES TREASURY		4.5		3/31/2012		950,000		980,273		989,188
912828HC7	UNITED STATES TREASURY		4.13		8/31/2012		1,000,000		1,039,300		1,051,020
912828HH6	UNITED STATES TREASURY		4.25		11/15/2017		1,000,000		1,092,733		1,090,280
912828HT0	UNITED STATES TREASURY		2.75		2/28/2013		800,000		818,881		830,624
912828HV5	UNITED STATES TREASURY		2.5		3/31/2013		17,150,000		17,519,294		17,740,819
912828HY9	UNITED STATES TREASURY		3.13		4/30/2013		1,200,000		1,236,935		1,257,888
912828JK7	UNITED STATES TREASURY		3.13		8/31/2013		1,025,000		1,056,574		1,078,054
912828JQ4	UNITED STATES TREASURY		2.75		10/31/2013		1,500,000		1,499,691		1,565,220
912828JZ4	UNITED STATES TREASURY		1.75		1/31/2014		1,000,000		996,759		1,015,820
912828KC3	UNITED STATES TREASURY		1.38		2/15/2012		6,905,000		6,950,536		6,970,874
912828KN9	UNITED STATES TREASURY		1.88		4/30/2014		750,000		747,115		762,952
912828KY5	UNITED STATES TREASURY		2.63		6/30/2014		495,000		498,559		514,414
912828LC2	UNITED STATES TREASURY		2.63		7/31/2014		31,000,000		32,468,996		32,201,870
912828LL2	UNITED STATES TREASURY		3		8/31/2016		17,200,000		17,204,912		17,737,500
912828LQ1	UNITED STATES TREASURY		2.38		9/30/2014		1,700,000		1,699,972		1,749,215
912828LZ1	UNITED STATES TREASURY		2.13		11/30/2014		150,000,000		149,176,555		152,742,005
912828MA5	UNITED STATES TREASURY		2.75		11/30/2016		72,000,000		71,105,426		73,034,637
912828MG2	UNITED STATES TREASURY		1.38		1/15/2013		5,000,000		4,976,604		5,059,550
912828MM9	UNITED STATES TREASURY		0.75		11/30/2011		27,600,000		27,601,273		27,693,009
912828MR8	UNITED STATES TREASURY		2.38		2/28/2015		8,300,000		8,310,628		8,502,188
912828MZ0	UNITED STATES TREASURY		2.5		4/30/2015		11,400,000		11,612,150		11,711,789
912828NB2	UNITED STATES TREASURY		1		4/30/2012		13,050,000		13,072,122		13,141,742
912828NC0	UNITED STATES TREASURY		1.38		5/15/2013		64,600,000		64,796,033		65,306,730
912828NE6	UNITED STATES TREASURY		0.75		5/31/2012		53,700,000		53,700,743		53,928,767
912828NH9	UNITED STATES TREASURY		1.13		6/15/2013		45,000,000		44,892,736		45,221,402
912828NQ9	UNITED STATES TREASURY		0.63		7/31/2012		37,900,000		37,980,549		37,988,684
912828NU0	UNITED STATES TREASURY		0.75		8/15/2013		100,000		99,956		99,492
912828PD6	UNITED STATES TREASURY		0.38		10/31/2012		6,000,000		6,000,693		5,981,040
912828PE4	UNITED STATES TREASURY		1.25		10/31/2015		29,200,000		29,170,903		28,174,496
912828PJ3	UNITED STATES TREASURY		1.38		11/30/2015		18,200,000		17,671,321		17,624,515
912828PS3	UNITED STATES TREASURY		2		1/31/2016		19,000,000		18,884,099		18,862,440
912828PU8	UNITED STATES TREASURY		0.5		11/15/2013		23,325,000		23,127,177		22,973,258
912828PV6	UNITED STATES TREASURY		0.5		11/30/2012		3,750,000		3,751,331		3,742,837
912828PW4	UNITED STATES TREASURY		0.63		12/31/2012		26,000,000		26,011,487		25,980,761
912828PX2	UNITED STATES TREASURY		3.63		2/15/2021		24,700,000		25,068,904		25,051,233
912828QA1	UNITED STATES TREASURY		2.25		3/31/2016		400,000		400,000		400,452
912828QH6	UNITED STATES TREASURY		1.25		2/15/2014		24,000,000		23,998,253		24,017,758
912828QJ2	UNITED STATES TREASURY		2.13		2/29/2016		74,075,000		74,006,812		73,847,591
9127953B5	UNITED STATES TREASURY		0		3/31/2061		3,400,000		3,398,229		3,398,229
9127953G4	UNITED STATES TREASURY		0		3/31/2061		52,000,000		51,900,632		51,900,632
912795VE8	UNITED STATES TREASURY		0		3/31/2061		85,000,000		84,974,645		84,974,645
							997,630,000		1,000,836,032		1,008,543,080
U.S. Government Agencies
3133XVEM9	FHLB		1.63		11/21/2012		3,000,000		2,996,526		3,045,990
3133XVNU1	FHLB		2.75		12/12/2014		74,500,000		74,830,783		76,923,484
3135G0AR4	FNMA		1		2/17/2026		11,100,000		11,100,000		11,035,498
3137EACE7	FHLMC		2.13		9/21/2012		11,500,000		11,491,972		11,759,555
31398A4M1	FNMA		1.63		10/26/2015		21,500,000		21,729,586		20,944,655

Allied World Assurance Company Holdings, AG
Securities Listing as at March 31, 2011

Cusip	Security Description		Coupon		Maturity		Par		Book Value $		Market Value $
31398A6F4	FNMA			0.38		12/28/2012		8,500,000		8,461,383		8,449,680
31398AJ94	FNMA			1.75		5/7/2013		5,000,000		4,994,549		5,084,850
								135,100,000		135,604,799		137,243,712
Non-U.S. Government Securities & Agencies
135087YN8	CANADA GOVERNMENT			3.5		6/1/2013		7,850,000		7,893,891		8,342,722
135087YS7	CANADA GOVERNMENT			3		6/1/2014		2,015,000		1,940,144		2,118,427
135087YU2	CANADA GOVERNMENT			2		12/1/2014		9,860,000		9,188,842		9,990,778
135087YW8	CANADA GOVERNMENT			1		9/1/2011		550,000		510,757		565,238
135087YX6	CANADA GOVERNMENT			2		9/1/2012		4,320,000		4,025,627		4,465,605
135087ZB3	CANADA GOVERNMENT			1.5		3/1/2012		4,000,000		3,912,239		4,117,399
135087ZC1	CANADA GOVERNMENT			2.5		6/1/2015		2,500,000		2,444,865		2,565,713
135087ZD9	CANADA GOVERNMENT			1.75		3/1/2013		7,600,000		7,389,508		7,803,331
135087ZF4	CANADA GOVERNMENT			3		12/1/2015		1,100,000		1,129,809		1,147,167
135087ZG2	CANADA GOVERNMENT			2.5		9/1/2013		1,700,000		1,686,991		1,768,211
135087ZK3	CANADA GOVERNMENT			1.5		12/1/2012		450,000		437,109		461,008
135087ZN7	CANADA GOVERNMENT			2		3/1/2014		400,000		409,181		409,187
038461AC3	AID-EGYPT			4.45		9/15/2015		25,000,000		26,035,861		27,185,804
D20658J64	DEUTSCHE BUNDESREPUBLIK			3.5		1/4/2016		19,300,000		28,618,492		28,456,240
G924507Q5	UNITED KINGDOM GILT			2.75		1/22/2015		6,950,000		11,586,399		11,342,146
G92450NU8	UNITED KINGDOM GILT			5		9/7/2014		5,000,000		8,976,232		8,796,188
U45942EV4	INTERNATIONAL FINANCE CO			5.61		5/20/2011		5,500,000		5,503,277		5,530,009
013051DA2	ALBERTA PROVINCE OF			2.75		12/1/2014		950,000		927,976		982,255
110709FD9	BRITISH COLUMBIA PROVINCE OF			5.75		1/9/2012		900,000		916,388		956,096
563469EU5	MANITOBA PROVINCE			5.25		12/3/2012		900,000		933,005		976,698
642866FT9	NEW BRUNSWICK PROVINCE OF			4.5		2/4/2015		900,000		936,941		985,129
683234WM6	ONTARIO PROVINCE			4.5		3/8/2015		900,000		934,963		983,879
748148RK1	QUEBEC PROVINCE OF			5.25		10/1/2013		850,000		894,547		937,519
803854JF6	SASKATCHEWAN PROVINCE			5.25		6/3/2014		900,000		947,966		1,004,106
500769BM5	KREDITANSTALT FUER WIDERAUFBAU			4.38		2/9/2016		900,000		922,403		970,887
D4085B7F2	KREDITANSTALT FUER WIDERAUFBAU			2.5		5/28/2013		42,000,000		42,248,600		43,331,399
								153,295,000		171,352,015		176,193,141
Agency MBS
3137A1K36	FHLMC			0.57		7/15/2040		8,808,572		8,776,946		8,786,022
3137A6BR2	FHLMC_K010			0.72		10/15/2028		2,977,854		2,983,412		2,977,824
3137GATN7	FREDDIE MAC FHLMC_3740			4.5		4/15/2038		3,207,714		3,384,789		3,385,486
31393DL74	FNMA CMO	��		4		4/25/2030		312,520		317,751		321,520
31393EFX2	FNMA CMO			4.25		5/25/2022		550,802		558,777		562,754
31393KLM5	FHLMC			4		7/15/2017		278,611		286,201		283,993
31393QVD1	FHLMC			4		6/15/2013		175		175		175
31393VPH8	FHLMC_2627			4.5		7/15/2017		20,786,097		21,166,879		21,131,562
31395RAR9	FHLMC			4.38		4/15/2015		323,909		327,609		328,476
31396A7E8	FHLMC_3035			0		9/15/2035		157,280		155,326		156,245
31397QS66	FNMA			3.5		7/25/2024		3,176,094		3,256,702		3,271,980
31398MFS0	FNMA			4		11/25/2023		2,075,896		2,146,651		2,165,346
31398PQS1	FNMA			3.5		3/25/2028		2,712,749		2,756,022		2,802,392
31398R3Q6	FNMA_10-53			3.5		2/25/2028		4,036,902		4,137,397		4,147,634
31398S2F9	FNR10-152			0.75		5/25/2039		6,915,771		6,922,299		6,909,893
31398VYJ9	FHLMC			4.25		8/15/2038		3,815,566		3,992,596		4,001,880
31398W2U7	FHLMC			4.5		1/15/2023		5,377,354		5,552,594		5,627,963
31398W5H3	FHLMC			4.5		11/15/2037		7,123,806		7,340,574		7,451,786
38373QGX3	GNMA			4		4/20/2033		393,739		408,377		409,500
38376TBF8	GNMA			4.5		1/16/2040		400,211		426,277		425,789
38376VDX2	GNMA			3		12/20/2038		4,742,459		4,823,351		4,797,235
36206XC43	GNMA			7		5/15/2031		971		1,088		1,121
3620A8NA7	GNMA			5		9/15/2039		1,645,928		1,704,500		1,748,535
3620A9SW2	GNMA			4.5		9/15/2039		474,781		479,701		490,681
3620AC6T6	GNMA			5		10/15/2039		1,579,149		1,643,778		1,678,249
3620AQ7C1	GNMA			5		4/15/2040		10,887,618		11,589,410		11,574,473
3620ARAE1	GNMA			5		4/15/2040		2,048,825		2,180,402		2,178,077
36212PPP1	GNMA			7		4/15/2031		11,336		12,697		13,080
36212U5G2	GNMA			7		5/15/2031		16,161		18,101		18,647
36213HGU7	GNMA			7		3/15/2031		1,700		1,904		1,961
36225DM43	GNMA			1.88		3/20/2035		11,483,861		11,754,998		11,699,436
36241KV39	GNMA			4.5		8/15/2038		8,891,178		9,280,105		9,194,456
36241KV47	GNMA			4.5		9/15/2038		6,546,780		6,833,173		6,770,090
36241KWA2	GNMA			4.5		10/15/2038		4,200,094		4,379,913		4,354,676
36295QK82	GNMA			5		8/15/2038		3,144,867		3,349,524		3,341,382
36296JCV5	GNMA			5		8/15/2039		1,759,495		1,815,069		1,869,913
36297FYL0	GNMA			4.5		10/15/2039		96,815		97,969		100,058
31371LZJ1	FNMA			4		1/1/2015		2,404,770		2,500,728		2,501,754

Allied World Assurance Company Holdings, AG
Securities Listing as at March 31, 2011

Cusip	Security Description	Coupon		Maturity		Par			Book Value $		Market Value $
31371M5M5	FNMA		5.5		1/1/2037		410,378			439,755		439,528
31371NCJ2	FNMA		5.5		4/1/2037		12,305			13,185		13,169
31371NP25	FNMA		5.5		1/1/2038		2,286,495			2,430,081		2,447,061
31376KKK1	FNMA		4.5		1/1/2015		971,955			1,006,756		1,013,545
31379T6G4	FNMA		5		2/1/2014		19,531			20,468		20,766
31381QFF8	FNMA		3.75		3/1/2018		8,500,000			8,686,994		8,618,490
31382NR20	FNMA		5.5		4/1/2029		861			923		922
31385RB58	FNMA		8.5		4/1/2030		1,211,726			1,347,389		1,393,485
31385XK48	FNMA		2.59		7/1/2033		246,284			255,419		258,718
31388XVV3	FNMA		2.73		8/1/2033		6,836,551			7,085,050		7,024,759
31389EU78	FNMA		6.5		12/1/2011		88,034			90,138		90,031
31389EVA0	FNMA		6.5		12/1/2016		1,872,577			2,016,478		2,049,891
31389EVB8	FNMA		6.5		12/1/2016		2,155,053			2,323,277		2,359,115
31389XHM8	FNMA		6		3/1/2012		105,002			110,126		114,794
3138A1HR5	FNMA		4		12/1/2040		1,735,303			1,764,567		1,709,880
3138A2GJ2	FNMA		4.5		12/1/2040		1,673,437			1,717,670		1,705,708
3138A2PD5	FNMA		3.5		1/1/2026		9,904,330			9,853,541		9,944,245
3138NJAE8	FNMA		3.63		12/1/2020		2,300,000			2,231,320		2,222,168
3138NJAF5	FNMA		3.38		11/1/2020		4,400,000			4,191,868		4,178,636
3138NJAK4	FNMA		3.66		10/1/2020		3,100,000			2,965,662		2,955,323
31391YV87	FNMA		6		1/1/2033		2,601			2,740		2,862
31400JM55	FNMA		5.5		5/1/2033		2,126			2,288		2,293
31400QJ87	FNMA		2.35		3/1/2033		27,680			28,448		29,095
31400UQV9	FNMA		5.5		4/1/2033		409,312			440,422		440,756
31402GP98	FNMA		5		7/1/2033		6,407			6,632		6,758
31402QXK2	FNMA		8.5		2/1/2031		722,073			795,611		823,163
31402YSV7	FNMA		2.75		9/1/2033		26,870			28,189		28,380
31403DC56	FNMA		4.5		12/1/2020		3,098,026			3,288,580		3,281,332
31403DC72	FNMA		4.5		11/1/2020		2,345,249			2,491,889		2,478,928
31403DJG5	FNMA		5.5		8/1/2034		24,876			26,657		26,753
31403KDB6	FNMA		2.32		12/1/2033		11,217			11,417		11,527
31404NBP0	FNMA		2.38		2/1/2035		138,435			144,062		145,703
31404SFP5	FNMA		5.5		4/1/2034		6,768			7,283		7,300
31405QNR5	FNMA		5.5		10/1/2034		1,445			1,555		1,558
31405UMM8	FNMA		2.63		10/1/2034		139,218			143,129		146,460
31405UTZ2	FNMA		2.58		11/1/2034		39,652			41,280		41,674
31406BB90	FNMA		2.37		1/1/2035		213,693			218,564		224,811
31406BEZ9	FNMA		2.35		12/1/2034		189,461			195,545		199,107
31406BJF8	FNMA		2.36		1/1/2035		218,600			225,712		229,902
31406BQQ6	FNMA		2.34		1/1/2035		265,915			274,259		279,454
31406DG67	FNMA		2.69		11/1/2034		974,691			1,012,096		1,024,526
31406MYP5	FNMA		2.15		3/1/2035		448,916			458,821		466,633
31406TLC3	FNMA		2.69		4/1/2035		408,201			425,495		429,927
31406TWR8	FNMA		1.96		1/1/2035		903,279	��		927,354		932,442
31406VHE9	FNMA		2.44		5/1/2035		226,908			234,400		238,465
31407CE29	FNMA		5.5		7/1/2035		1,114			1,198		1,202
31407FG53	FNMA		5.5		8/1/2035		2,659			2,861		2,868
31407FUW8	FNMA		2.6		8/1/2035		3,392,613			3,483,189		3,518,636
31408AG53	FNMA		6		2/1/2036		55,039			57,976		60,333
31408GFA0	FNMA		6		12/1/2035		497,726			524,291		543,963
31409A5P0	FNMA		6		3/1/2036		185,427			195,321		203,264
31409AYE3	FNMA		6		3/1/2036		465,565			490,395		508,550
31409CRY3	FNMA		6		2/1/2036		328,027			345,436		359,581
31409GML7	FNMA		6.5		7/1/2036		1,730,501			1,890,379		1,943,039
31409UB38	FNMA		6		3/1/2036		65,346			68,832		71,265
31409VYW7	FNMA		6		4/1/2036		89,677			94,462		97,800
31410CJV5	FNMA		6		5/1/2036		23,909			25,185		26,116
31410FUS2	FNMA		5.5		12/1/2036		139,842			149,849		149,775
31410FVW2	FNMA		5.5		2/1/2037		9,304			9,970		9,965
31410GD83	FNMA		2.61		4/1/2034		82,246			85,984		86,848
31410GDF7	FNMA		1.92		6/1/2033		323,564			337,488		334,120
31410GDL4	FNMA		2.45		2/1/2035		1,467,389			1,519,502		1,537,495
31410GDN0	FNMA		2.54		6/1/2033		218,935			228,524		229,669
31410GDP5	FNMA		4.96		6/1/2035		4,777,918			5,044,526		5,101,413
31410GDY6	FNMA		2.36		1/1/2035		77,653			80,231		81,101
31410KEM2	FNMA		5.5		4/1/2038		8,812,041			9,436,938		9,430,857
31410KGQ1	FNMA		6		5/1/2038		9,059,408			9,819,006		9,867,507
31410KLD4	FNMA		5.5		5/1/2038		1,921,250			2,041,964		2,054,847
31410KMQ4	FNMA		5.5		6/1/2038		1,015,205			1,078,898		1,085,799

Allied World Assurance Company Holdings, AG
Securities Listing as at March 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
31410KNA8	FNMA		5.5		7/1/2038		472,188		501,874		505,022
31410KPC2	FNMA		5.5		7/1/2038		0		0		0
31410KS47	FNMA		5.5		12/1/2035		12,509		13,404		13,453
31410KX74	FNMA		5.5		9/1/2036		7,737,815		8,307,808		8,324,789
31410LBU5	FNMA		4		9/1/2025		3,740,781		3,909,609		3,856,736
31410MMX5	FNMA		6		4/1/2036		453,978		478,208		497,647
31410QR86	FNMA		5.5		11/1/2036		325,007		348,259		348,092
31411A5M3	FNMA		5.5		12/1/2036		19,226,334		20,601,340		20,591,978
31411A7C3	FNMA		5.5		12/1/2036		4,805,829		5,149,675		5,147,187
31411E2F3	FNMA		5.5		1/1/2037		41,887		44,881		44,862
31411EFN2	FNMA		5.5		12/1/2036		690,903		740,264		739,978
31411KLN1	FNMA		5.5		3/1/2037		505,198		541,320		540,675
31411NUT2	FNMA		5.5		2/1/2037		775,336		830,872		829,783
31411URL7	FNMA		5.5		4/1/2037		757,640		811,797		810,844
31411VMN6	FNMA		5.5		3/1/2037		26,553,673		28,489,756		28,418,376
31412ACH5	FNMA		5.5		4/1/2037		385,829		413,481		412,924
31412DXY9	FNMA		5.5		1/1/2037		132,349		141,814		141,750
31412ESY3	FNMA		6		1/1/2037		46,844		49,331		51,350
31412MC71	FNMA		5.5		1/1/2038		33,175,207		35,527,971		35,504,900
31412MYZ5	FNMA		5.5		6/1/2038		911,783		968,956		975,185
31412N6G6	FNMA		4.5		3/1/2039		93,214		94,030		95,413
31412NXE1	FNMA		5		1/1/2039		2,348,298		2,494,402		2,475,411
31412NZ33	FNMA		5		2/1/2039		87,915		90,697		92,841
31412P5R8	FNMA		4.5		7/1/2039		44,482		45,815		45,587
31412PBJ9	FNMA		4.5		3/1/2024		40,236,960		42,431,443		42,289,250
31412PP88	FNMA		5		5/1/2039		275,011		283,342		289,816
31412PRN3	FNMA		4		5/1/2024		8,814,422		9,211,806		9,087,648
31412PXF3	FNMA		4.5		6/1/2039		130,906		131,877		133,405
31412Q2V0	FNMA		4.5		1/1/2040		3,981,691		4,071,077		4,061,445
31412QE62	FNMA		4.5		8/1/2039		154,818		159,459		157,774
31412QE70	FNMA		5		8/1/2039		5,130,299		5,332,406		5,373,526
31412QHF9	FNMA		5.5		8/1/2039		898,657		955,077		962,082
31412QSQ3	FNMA		4.5		11/1/2039		6,335,719		6,525,755		6,493,110
31412RG76	FNMA		4		4/1/2025		8,964,076		9,135,943		9,234,918
31412RGG6	FNMA		5		4/1/2040		422,544		440,287		442,838
31412RH42	FNMA		5		4/1/2040		11,255,161		11,727,822		11,788,768
31412RLS4	FNMA		3		12/1/2025		9,787,183		9,696,666		9,553,466
31412TKJ1	FNMA		6		11/1/2038		8,361,147		9,061,668		9,110,555
31412TM26	FNMA		5.5		6/1/2038		5,929,472		6,358,995		6,347,915
31412UEQ9	FNMA		4.5		9/1/2039		486,076		500,652		498,151
31412URR3	FNMA		4		7/1/2024		9,665,339		10,101,857		9,964,942
31412UY53	FNMA		4.5		8/1/2039		331,460		335,098		339,694
31412V4G0	FNMA		5.5		7/1/2037		453,596		486,116		485,449
31413BTW1	FNMA		5.5		6/1/2037		7,834,967		8,406,232		8,385,169
31413CLH0	FNMA		6		7/1/2037		5,500,642		5,961,463		5,993,004
31413ES55	FNMA		5.5		8/1/2037		20,498		21,963		21,938
31413NY66	FNMA		6		11/1/2037		4,809,059		5,211,478		5,239,517
31413R2P0	FNMA		6		12/1/2037		5,858,292		6,364,772		6,421,815
31413TK68	FNMA		5.5		12/1/2037		410,225		439,626		439,033
31413TWV0	FNMA		5.5		1/1/2038		867,919		922,471		928,868
31413UUD9	FNMA		5.5		1/1/2038		167,813		179,850		179,597
31414ANH1	FNMA		5.5		12/1/2037		1,026,927		1,091,358		1,099,042
31414GWU9	FNMA		5.5		2/1/2038		671,168		719,290		717,838
31414HZ67	FNMA		5.5		12/1/2037		412,664		438,593		441,643
31414NCH5	FNMA		6		12/1/2038		2,473,680		2,687,659		2,711,630
31414NH31	FNMA		5		2/1/2039		2,309,541		2,451,076		2,438,924
31414NH49	FNMA		5		2/1/2039		2,855,219		3,026,314		3,008,926
31415QTY2	FNMA		6		7/1/2038		3,454,075		3,743,531		3,763,663
31415SRP9	FNMA		5.5		11/1/2038		705,887		756,491		754,972
31415WA60	FNMA		4.5		1/1/2039		87,000		89,609		89,161
31416CEZ5	FNMA		4.5		5/1/2039		6,057,860		6,048,226		6,200,776
31416JZM6	FNMA		5		2/1/2039		3,652,718		3,865,655		3,827,026
31416M5A8	FNMA		5		3/1/2039		7,050,184		7,446,926		7,392,268
31416MLA0	FNMA		4.5		3/1/2039		65,530		66,104		67,076
31416MVP6	FNMA		4.5		4/1/2039		93,780		94,601		95,992
31416N5T5	FNMA		4.5		4/1/2039		233,296		235,859		238,800
31416NHE5	FNMA		5		8/1/2040		1,151,483		1,224,439		1,206,789
31416NRD6	FNMA		4.5		3/1/2039		41,626		41,990		42,608

Allied World Assurance Company Holdings, AG
Securities Listing as at March 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
31416QJZ9	FNMA		5		5/1/2039		103,112		106,375		108,889
31416QV51	FNMA		4.5		8/1/2039		41,817		42,127		42,615
31416RNK5	FNMA		4.5		7/1/2039		66,009		67,988		67,649
31416S6B2	FNMA		4.5		7/1/2039		115,688		116,546		117,897
31416SD40	FNMA		4.5		7/1/2039		120,194		121,085		122,488
31416SED9	FNMA		5		7/1/2039		83,853		86,506		87,828
31416SLC3	FNMA		4.5		6/1/2039		133,552		134,544		136,101
31416T3D9	FNMA		4.5		7/1/2039		442,478		447,337		453,470
31416T7K9	FNMA		4.5		7/1/2039		61,986		62,446		63,526
31416TAG4	FNMA		4.5		7/1/2039		161,686		164,237		164,773
31416TAL3	FNMA		5		7/1/2039		94,413		97,400		99,702
31416TB65	FNMA		4.5		8/1/2039		232,717		239,694		237,160
31416TE47	FNMA		4.5		8/1/2039		114,037		114,763		116,728
31416TEE5	FNMA		4.5		8/1/2039		166,435		168,730		169,612
31416TEF2	FNMA		4.5		8/1/2039		120,984		121,753		123,839
31416TKG3	FNMA		5		6/1/2039		99,163		102,298		103,895
31416WD66	FNMA		5		5/1/2040		684,505		713,252		717,381
31416WE57	FNMA		5		5/1/2040		11,763,947		12,258,001		12,321,676
31416XLX6	FNMA		3.5		9/1/2025		8,780,112		8,842,145		8,815,496
31417J2B5	FNMA		5		9/1/2039		58,145		60,298		60,901
31417JSB7	FNMA		4.5		7/1/2039		37,144		37,380		37,853
31417KAZ0	FNMA		4.5		7/1/2039		35,214		35,475		35,887
31417KXH5	FNMA		4.5		8/1/2039		3,444,377		3,547,639		3,529,942
31417LLX1	FNMA		5		7/1/2039		163,063		168,223		172,198
31417M2V4	FNMA		4.5		8/1/2039		97,646		100,575		100,072
31417M2W2	FNMA		4.5		8/1/2039		21,625		21,814		22,135
31417MFB4	FNMA		4.5		8/1/2039		224,411		225,838		228,695
31417MPN7	FNMA		5		9/1/2039		103,488		107,320		108,394
31417MQT3	FNMA		5		10/1/2039		68,926		71,478		72,194
31417MTC7	FNMA		4.5		9/1/2039		499,364		506,563		511,769
31417MVC4	FNMA		4.5		10/1/2039		450,372		458,166		461,560
31417NB42	FNMA		4.5		10/1/2039		111,331		114,669		114,096
31417NCL3	FNMA		4.5		10/1/2024		5,928,955		6,276,037		6,276,340
31417NDN8	FNMA		4.5		11/1/2024		6,500,295		6,854,613		6,826,154
31417NL41	FNMA		4.5		1/1/2040		255,553		261,289		260,432
31417NZV6	FNMA		4.5		9/1/2039		95,980		98,858		97,812
31417QTZ7	FNMA		4.5		10/1/2024		6,608,301		6,968,639		6,939,575
31417QU93	FNMA		4.5		10/1/2039		289,479		298,159		296,670
31417QUG7	FNMA		4.5		10/1/2039		976,943		987,667		1,001,212
31417SY95	FNMA		4.5		11/1/2039		44,334		45,663		45,180
31417SYT1	FNMA		4.5		11/1/2039		92,212		93,020		94,387
31417TB98	FNMA		4.5		1/1/2040		137,043		140,120		139,659
31417TKX5	FNMA		4.5		11/1/2039		23,834		24,369		24,289
31417TL97	FNMA		4.5		12/1/2039		421,623		426,254		432,097
31417TQE1	FNMA		4.5		1/1/2040		609,004		615,693		624,133
31417UNB7	FNMA		4.5		11/1/2039		169,670		173,478		172,909
31417V3D3	FNMA		4.5		12/1/2039		4,047,696		4,124,222		4,126,739
31417VJE4	FNMA		4.5		12/1/2039		124,773		127,573		127,155
31417VJS3	FNMA		4.5		12/1/2039		30,638		30,906		31,223
31417VKE2	FNMA		4.5		1/1/2040		128,788		131,679		131,246
31417VQT3	FNMA		4.5		1/1/2040		1,868,577		1,910,530		1,914,996
31417VY64	FNMA		4.5		12/1/2039		239,358		244,731		243,928
31418MT93	FNMA		4.5		1/1/2040		1,818,831		1,838,256		1,854,349
31418MUL4	FNMA		4.5		12/1/2039		827,090		834,339		843,657
31418PCP8	FNMA		5		9/1/2040		287,518		305,733		301,327
31418PD44	FNMA		4.5		1/1/2040		254,115		259,821		259,205
31418W6Y1	FNMA		5		9/1/2040		537,427		571,405		563,240
31418W7J3	FNMA		5		9/1/2040		423,347		450,099		443,680
31418XF52	FNMA		4.5		9/1/2040		19,574,737		20,519,992		19,952,219
31419ADT1	FNMA		4		7/1/2040		15,675,010		15,754,015		15,465,459
31419ANK9	FNMA		5.5		10/1/2039		2,466,139		2,623,719		2,637,625
31419DL74	FNMA		4.5		9/1/2040		18,878,268		19,851,795		19,242,319
31419DTQ4	FNMA		5		9/1/2040		706,013		750,780		739,923
31419DV99	FNMA		4		10/1/2040		17,440,035		17,717,871		17,200,873
31419ENB1	FNMA		5		9/1/2040		1,514,778		1,610,493		1,591,590
31419EU80	FNMA		5		9/1/2040		273,758		291,158		286,906
31419GB94	FNMA		4		10/1/2040		24,468,101		25,328,633		24,109,590
31419GXN9	FNMA		4		10/1/2040		10,999,999		10,694,668		10,838,825

Allied World Assurance Company Holdings, AG
Securities Listing as at March 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
31419JET1	FNMA		3.5		11/1/2025		10,779,689		11,062,212		10,823,131
31419L5A7	FNMA		4		11/1/2040		1,662,446		1,688,934		1,639,648
31421AAU7	FNMA		5.5		12/1/2038		4,712		5,057		5,044
31283K4C9	FHLMC GOLD		5		6/1/2020		8,733,331		9,360,579		9,367,552
31283K6U7	FHLMC GOLD		4.5		8/1/2015		1,809,392		1,907,199		1,912,290
31283KJU3	FHLMC GOLD		6.5		12/1/2014		586,494		629,808		640,012
31283KN87	FHLMC GOLD		5		9/1/2017		2,871		3,016		3,072
3128GNW87	FHLMC GOLD		5		11/1/2016		2,744		2,878		2,915
3128GNY77	FHLMC GOLD		5		11/1/2016		16,147		16,933		17,150
3128GP3U5	FHLMC GOLD		5		1/1/2017		3,466		3,636		3,681
3128GP3V3	FHLMC GOLD		5		1/1/2017		17,582		18,446		18,674
3128GP4U4	FHLMC GOLD		5		1/1/2017		4,143		4,347		4,400
3128GP7M9	FHLMC GOLD		5		1/1/2017		2,907		3,050		3,111
3128GPSA2	FHLMC GOLD		5		12/1/2016		3,221		3,379		3,421
3128GPVH3	FHLMC GOLD		5		12/1/2016		1,309		1,372		1,396
3128GQ3Q2	FHLMC GOLD		5		2/1/2017		5,877		6,166		6,289
3128GQ6E6	FHLMC GOLD		5		2/1/2017		4,319		4,531		4,622
3128GQGA3	FHLMC GOLD		5		1/1/2017		8,644		9,070		9,252
3128GQJT9	FHLMC GOLD		5		1/1/2017		5,553		5,827		5,898
3128GQK26	FHLMC GOLD		5		1/1/2017		10,263		10,763		10,900
3128GQK34	FHLMC GOLD		5		1/1/2017		1,847		1,937		1,962
3128GQKB6	FHLMC GOLD		5		1/1/2017		4,203		4,404		4,464
3128GQP54	FHLMC GOLD		5		1/1/2017		6,610		6,935		7,075
3128GQQQ7	FHLMC GOLD		5		2/1/2017		6,955		7,290		7,387
3128GQQZ7	FHLMC GOLD		5		2/1/2017		20,531		21,536		21,806
3128GQSG7	FHLMC GOLD		5		2/1/2017		3,553		3,725		3,803
3128GQU58	FHLMC GOLD		5		2/1/2017		6,475		6,788		6,878
3128GQU90	FHLMC GOLD		5		2/1/2017		2,603		2,731		2,786
3128GQVB4	FHLMC GOLD		5		2/1/2017		4,143		4,346		4,400
3128GQW31	FHLMC GOLD		5		2/1/2017		10,051		10,547		10,748
3128GQW49	FHLMC GOLD		5		2/1/2017		18,511		19,426		19,811
3128GR3Y3	FHLMC GOLD		5		2/1/2017		14,285		14,991		15,172
3128GR6N4	FHLMC GOLD		5		4/1/2017		22,215		23,321		23,776
3128GRBH1	FHLMC GOLD		5		2/1/2017		5,547		5,820		5,937
3128GRBJ7	FHLMC GOLD		5		2/1/2017		2,001		2,100		2,142
3128GRFT1	FHLMC GOLD		5		3/1/2017		13,063		13,705		13,874
3128GRJD2	FHLMC GOLD		5		3/1/2017		3,359		3,524		3,568
3128GRK81	FHLMC GOLD		5		3/1/2017		5,810		6,095		6,218
3128GRLA5	FHLMC GOLD		5		3/1/2017		22,326		23,430		23,894
3128GRM71	FHLMC GOLD		5		3/1/2017		2,507		2,631		2,684
3128GRP94	FHLMC GOLD		5		3/1/2017		1,854		1,945		1,970
3128GRQA0	FHLMC GOLD		5		3/1/2017		6,035		6,334		6,459
3128GRSP5	FHLMC GOLD		5		3/1/2017		6,006		6,297		6,379
3128GRSY6	FHLMC GOLD		5		3/1/2017		11,210		11,758		11,997
3128GRUF4	FHLMC GOLD		5		3/1/2017		1,245		1,306		1,332
3128GRUT4	FHLMC GOLD		5		3/1/2017		7,527		7,889		7,994
3128GRWQ8	FHLMC GOLD		5		2/1/2017		505		529		536
3128GRYD5	FHLMC GOLD		5		4/1/2017		3,434		3,601		3,675
3128GS5Y9	FHLMC GOLD		5		4/1/2017		5,810		6,097		6,218
3128GSDJ3	FHLMC GOLD		5		4/1/2017		8,791		9,225		9,408
3128GSGB7	FHLMC GOLD		5		4/1/2017		13,991		14,684		14,974
3128GSGU5	FHLMC GOLD		5		4/1/2017		24,860		26,095		26,606
3128GSKE6	FHLMC GOLD		5		4/1/2017		22,192		23,291		23,750
3128GSKV8	FHLMC GOLD		5		4/1/2017		7,627		8,001		8,162
3128GSLX3	FHLMC GOLD		5		4/1/2017		6,941		7,283		7,429
3128GSLY1	FHLMC GOLD		5		4/1/2017		13,339		14,001		14,276
3128GSNL7	FHLMC GOLD		5		4/1/2017		7,346		7,705		7,861
3128GSQN0	FHLMC GOLD		5		4/1/2017		8,225		8,623		8,735
3128GSSN8	FHLMC GOLD		5		4/1/2017		18,643		19,573		19,952
3128GV2N9	FHLMC GOLD		5		10/1/2017		32,251		33,868		34,516
3128GV3C2	FHLMC GOLD		5		10/1/2017		14,858		15,593		15,901
3128GV3D0	FHLMC GOLD		5		10/1/2017		25,200		26,448		26,969
3128GV3Z1	FHLMC GOLD		5		10/1/2017		28,732		30,183		30,750
3128GV7G9	FHLMC GOLD		5		10/1/2017		6,413		6,731		6,863
3128GVBY5	FHLMC GOLD		5		8/1/2017		1,961		2,060		2,097
3128GVH94	FHLMC GOLD		5		9/1/2017		3,318		3,481		3,551
3128GVJA9	FHLMC GOLD		5		9/1/2017		13,364		14,025		14,303
3128GVJB7	FHLMC GOLD		5		9/1/2017		7,839		8,226		8,389
3128GVJQ4	FHLMC GOLD		5		9/1/2017		18,864		19,809		20,189
3128GVLF5	FHLMC GOLD		5		9/1/2017		8,344		8,754		8,862

Allied World Assurance Company Holdings, AG
Securities Listing as at March 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
3128GVLH1	FHLMC GOLD		5		9/1/2017		11,943		12,545		12,781
3128GVLJ7	FHLMC GOLD		5		9/1/2017		17,639		18,510		18,878
3128GVMM9	FHLMC GOLD		5		8/1/2017		3,059		3,212		3,274
3128GVNL0	FHLMC GOLD		5		9/1/2017		7,879		8,268		8,432
3128GVNM8	FHLMC GOLD		5		9/1/2017		10,592		11,118		11,336
3128GVNN6	FHLMC GOLD		5		9/1/2017		16,551		17,372		18,113
3128GVNV8	FHLMC GOLD		5		9/1/2017		5,210		5,468		5,576
3128GVNX4	FHLMC GOLD		5		9/1/2017		72,970		76,638		78,094
3128GVPM6	FHLMC GOLD		5		9/1/2017		6,288		6,599		6,729
3128GVPN4	FHLMC GOLD		5		9/1/2017		5,617		5,895		6,012
3128GVPP9	FHLMC GOLD		5		9/1/2017		25,381		26,663		27,163
3128GVQH6	FHLMC GOLD		5		9/1/2017		22,783		23,930		24,383
3128GVRA0	FHLMC GOLD		5		9/1/2017		6,063		6,363		6,489
3128GVRC6	FHLMC GOLD		5		9/1/2017		11,620		12,201		12,436
3128GVRE2	FHLMC GOLD		5		9/1/2017		8,226		8,637		8,803
3128GVRS1	FHLMC GOLD		5		9/1/2017		5,088		5,340		5,446
3128GVRT9	FHLMC GOLD		5		9/1/2017		13,633		14,309		14,590
3128GVRY8	FHLMC GOLD		5		9/1/2017		63,526		66,713		67,987
3128GVT83	FHLMC GOLD		5		9/1/2017		26,264		27,581		28,109
3128GVTN0	FHLMC GOLD		5		9/1/2017		6,842		7,183		7,322
3128GVTW0	FHLMC GOLD		5		9/1/2017		16,923		17,777		18,112
3128GVUD0	FHLMC GOLD		5		9/1/2017		2,698		2,835		2,888
3128GVUE8	FHLMC GOLD		5		9/1/2017		15,395		16,173		16,476
3128GVUX6	FHLMC GOLD		5		10/1/2017		5,879		6,167		6,292
3128GVVE7	FHLMC GOLD		5		10/1/2017		37,618		39,479		40,260
3128GVVF4	FHLMC GOLD		5		10/1/2017		17,615		18,488		18,852
3128GVVJ6	FHLMC GOLD		5		10/1/2017		27,147		28,502		29,054
3128GVVY3	FHLMC GOLD		5		10/1/2017		15,791		16,592		16,887
3128GVW22	FHLMC GOLD		5		9/1/2017		5,071		5,327		5,427
3128GVW89	FHLMC GOLD		5		10/1/2017		9,830		10,317		10,521
3128GVZV5	FHLMC GOLD		5		10/1/2017		20,547		21,583		21,990
3128GW5Q7	FHLMC GOLD		5		11/1/2017		13,200		13,856		14,127
3128GW6G8	FHLMC GOLD		5		11/1/2017		6,444		6,764		6,896
3128GWAQ1	FHLMC GOLD		5		10/1/2017		4,272		4,483		4,537
3128GWAT5	FHLMC GOLD		5		10/1/2017		28,220		29,645		30,178
3128GWAU2	FHLMC GOLD		5		10/1/2017		30,013		31,501		32,121
3128GWB49	FHLMC GOLD		5		10/1/2017		3,108		3,266		3,326
3128GWB80	FHLMC GOLD		5		10/1/2017		18,682		19,606		19,994
3128GWBH0	FHLMC GOLD		5		10/1/2017		25,673		26,971		27,476
3128GWC89	FHLMC GOLD		5		10/1/2017		9,191		9,655		9,836
3128GWCL0	FHLMC GOLD		5		10/1/2017		15,111		15,864		16,172
3128GWCW6	FHLMC GOLD		5		10/1/2017		5,335		5,599		5,709
3128GWDP0	FHLMC GOLD		5		10/1/2017		12,306		12,918		13,170
3128GWEG9	FHLMC GOLD		5		10/1/2017		36,970		38,812		39,567
3128GWEK0	FHLMC GOLD		5		10/1/2017		9,851		10,339		10,543
3128GWEP9	FHLMC GOLD		5		10/1/2017		5,498		5,776		5,884
3128GWF86	FHLMC GOLD		5		10/1/2017		13,222		13,878		14,150
3128GWFN3	FHLMC GOLD		5		10/1/2017		11,412		11,978		12,213
3128GWHH4	FHLMC GOLD		5		10/1/2017		11,729		12,310		12,553
3128GWJG4	FHLMC GOLD		5		11/1/2017		28,444		29,876		30,417
3128GWK31	FHLMC GOLD		5		10/1/2017		16,645		17,471		17,814
3128GWK56	FHLMC GOLD		5		11/1/2017		16,610		17,437		17,777
3128GWMS4	FHLMC GOLD		5		11/1/2017		8,859		9,299		9,481
3128GWP85	FHLMC GOLD		5		11/1/2017		9,323		9,795		9,977
3128GWQ27	FHLMC GOLD		5		11/1/2017		17,832		18,720		19,084
3128GWQ92	FHLMC GOLD		5		11/1/2017		13,379		14,043		14,318
3128GWQN1	FHLMC GOLD		5		11/1/2017		14,697		15,424		15,729
3128GWQY7	FHLMC GOLD		5		11/1/2017		7,150		7,503		7,652
3128GWR42	FHLMC GOLD		5		11/1/2017		17,875		18,764		19,131
3128GWRF7	FHLMC GOLD		5		11/1/2017		11,741		12,337		12,556
3128GWV21	FHLMC GOLD		5		11/1/2017		25,963		27,276		27,787
3128GWVL9	FHLMC GOLD		5		11/1/2017		4,621		4,855		4,946
3128GWWM6	FHLMC GOLD		5		11/1/2017		2,960		3,111		3,166
3128GWXD5	FHLMC GOLD		5		11/1/2017		10,325		10,838		11,050
3128GWXW3	FHLMC GOLD		5		11/1/2017		19,159		20,130		20,488
3128GWYS1	FHLMC GOLD		5		11/1/2017		4,239		4,449		4,537
3128GWZQ4	FHLMC GOLD		5		11/1/2017		12,929		13,570		13,837
3128GX3H7	FHLMC GOLD		5		12/1/2017		20,295		21,330		21,703
3128GX5V4	FHLMC		5		12/1/2017		23,780		24,995		25,430
3128GXAX4	FHLMC GOLD		5		11/1/2017		31,882		33,471		34,121

Allied World Assurance Company Holdings, AG
Securities Listing as at March 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
3128GXBC9	FHLMC GOLD		5		11/1/2017		6,237		6,547		6,675
3128GXEA0	FHLMC GOLD		5		12/1/2017		14,386		15,118		15,383
3128GXEK8	FHLMC GOLD		5		12/1/2017		6,861		7,210		7,337
3128GXFT8	FHLMC GOLD		5		12/1/2017		17,183		18,040		18,390
3128GXHA7	FHLMC GOLD		5		12/1/2017		24,053		25,271		25,742
3128GXHQ2	FHLMC GOLD		5		12/1/2017		26,473		27,810		28,333
3128GXN36	FHLMC GOLD		5		12/1/2017		25,446		26,743		27,233
3128GY2H6	FHLMC GOLD		5		2/1/2018		16,612		17,445		17,779
3128GYF66	FHLMC GOLD		5		1/1/2018		4,436		4,659		4,747
3128GYFK5	FHLMC GOLD		5		1/1/2018		680		714		728
3128GYG73	FHLMC GOLD		5		1/1/2018		22,452		23,571		24,029
3128GYKK9	FHLMC GOLD		5		1/1/2018		2,756		2,894		2,949
3128GYLX0	FHLMC GOLD		5		1/1/2018		2,853		2,996		3,053
3128GYNT7	FHLMC GOLD		5		2/1/2018		2,244		2,357		2,401
3128GYQC1	FHLMC GOLD		5		2/1/2018		18,941		19,892		20,271
3128GYS88	FHLMC GOLD		5		2/1/2018		2,076		2,182		2,222
3128GYTW4	FHLMC GOLD		5		2/1/2018		2,086		2,192		2,232
3128GYU44	FHLMC GOLD		5		2/1/2018		15,067		15,815		16,125
3128GYU51	FHLMC GOLD		5		2/1/2018		14,661		15,390		15,690
3128GYV35	FHLMC GOLD		5		2/1/2018		29,442		30,918		31,509
3128GYVB7	FHLMC GOLD		5.5		2/1/2018		63,907		68,818		69,128
3128GYVZ4	FHLMC GOLD		5		2/1/2018		19,034		19,986		20,216
3128GYZE7	FHLMC GOLD		5		2/1/2018		10,740		11,282		11,513
3128H22V4	FHLMC GOLD		5		4/1/2018		8,500		8,929		9,112
3128H25K5	FHLMC GOLD		5		4/1/2018		2,417		2,540		2,587
3128H26F5	FHLMC GOLD		5		3/1/2018		747		784		796
3128H26M0	FHLMC GOLD		5.5		3/1/2018		1,037,482		1,117,352		1,122,253
3128H26W8	FHLMC GOLD		5.5		2/1/2018		425,636		458,403		460,414
3128H27K3	FHLMC GOLD		5		4/1/2018		6,577		6,909		7,039
3128H2B69	FHLMC GOLD		5		2/1/2018		24,874		26,116		26,621
3128H2B77	FHLMC GOLD		5		2/1/2018		22,053		23,159		23,602
3128H2B85	FHLMC GOLD		5		2/1/2018		18,296		19,212		19,581
3128H2C84	FHLMC GOLD		5		2/1/2018		4,399		4,620		4,708
3128H2E41	FHLMC GOLD		5		3/1/2018		27,368		28,737		29,290
3128H2ED1	FHLMC GOLD		5		2/1/2018		46,386		48,699		49,723
3128H2EG4	FHLMC GOLD		5		2/1/2018		25,423		26,696		27,209
3128H2LV3	FHLMC GOLD		5		2/1/2018		26,026		27,328		27,854
3128H2LY7	FHLMC GOLD		5		3/1/2018		11,525		12,107		12,354
3128H2QV8	FHLMC GOLD		5		3/1/2018		27,915		29,307		29,875
3128H2T86	FHLMC GOLD		5		3/1/2018		3,167		3,326		3,394
3128H2TF0	FHLMC GOLD		5		3/1/2018		25,804		27,102		27,617
3128H2TJ2	FHLMC GOLD		5		3/1/2018		9,746		10,237		10,431
3128H2TW3	FHLMC GOLD		5		3/1/2018		20,668		21,710		22,120
3128H2VW0	FHLMC GOLD		5		3/1/2018		30,503		32,038		32,645
3128H2YM9	FHLMC GOLD		5		3/1/2018		9,067		9,520		9,704
3128H2YN7	FHLMC GOLD		5		3/1/2018		9,474		9,950		10,140
3128H2YS6	FHLMC GOLD		5		3/1/2018		10,389		10,913		11,119
3128H2ZJ5	FHLMC GOLD		5		3/1/2018		7,794		8,187		8,342
3128H2ZT3	FHLMC GOLD		5		4/1/2018		13,170		13,827		14,094
3128H2ZU0	FHLMC GOLD		5		4/1/2018		17,673		18,560		18,914
3128H32W0	FHLMC GOLD		5		4/1/2018		15,520		16,308		16,610
3128H3C25	FHLMC GOLD		5		4/1/2018		3,143		3,302		3,364
3128H3CD1	FHLMC GOLD		5		4/1/2018		4,258		4,475		4,557
3128H3FG1	FHLMC GOLD		5		4/1/2018		16,918		17,773		18,106
3128H3KN0	FHLMC GOLD		5		4/1/2018		3,056		3,210		3,270
3128H3MN8	FHLMC GOLD		5		4/1/2018		29,270		30,749		31,326
3128H3N72	FHLMC GOLD		5		4/1/2018		7,437		7,811		7,959
3128H3RY9	FHLMC GOLD		5		5/1/2018		30,255		31,774		32,380
3128H3S36	FHLMC GOLD		5		4/1/2018		9,726		10,214		10,409
3128H3SZ5	FHLMC GOLD		5		5/1/2018		15,038		15,793		16,094
3128H3V65	FHLMC GOLD		5		5/1/2018		5,635		5,918		6,031
3128H3WF4	FHLMC GOLD		5		4/1/2018		12,241		12,857		13,100
3128H3XU0	FHLMC GOLD		5		5/1/2018		11,298		11,863		12,092
3128H45V7	FHLMC GOLD		5		6/1/2018		16,791		17,643		17,971
3128H4J59	FHLMC GOLD		5		6/1/2018		11,819		12,417		12,649
3128H4JG5	FHLMC GOLD		5		5/1/2018		11,635		12,222		12,452
3128H4JT7	FHLMC GOLD		5		6/1/2018		27,966		29,374		29,930
3128H5JX5	FHLMC GOLD		5		7/1/2018		20,763		21,816		22,222
3128H5RP3	FHLMC GOLD		5		7/1/2018		12,512		13,146		13,390
3128H5TK2	FHLMC GOLD		5		7/1/2018		32,416		34,057		34,693

Allied World Assurance Company Holdings, AG
Securities Listing as at March 31, 2011

Cusip	Security Description	Coupon		Maturity			Par		Book Value $		Market Value $
3128H6BG8	FHLMC GOLD		5		7/1/2018			24,694		25,946		26,429
3128H6CZ5	FHLMC GOLD		5		7/1/2018			25,607		26,906		27,405
3128H6FR0	FHLMC GOLD		5		8/1/2018			17,654		18,551		18,893
3128H6FU3	FHLMC GOLD		5		8/1/2018			15,044		15,809		16,101
3128H6WU4	FHLMC GOLD		5.5		8/1/2018			288,468		311,171		313,079
3128H6XM1	FHLMC GOLD		5		8/1/2018			6,906		7,257		7,391
3128H6ZC1	FHLMC GOLD		5.5		7/1/2018			89,626		96,654		97,272
3128H77K2	FHLMC GOLD		5.5		10/1/2018			195,182		210,628		211,834
3128JLDM8	FHLMC		2.96		9/1/2033			256,030		268,355		269,339
3128JLEY1	FHLMC		2.95		9/1/2033			450,036		471,728		469,934
3128JLHB8	FHLMC		2.92		9/1/2033			65,397		67,699		67,652
3128JMW45	FHLMC		2.97		11/1/2034			95,088		99,529		100,457
3128JMY68	FHLMC		2.72		11/1/2034			129,134		134,003		135,141
3128JMZG5	FHLMC		2.9		11/1/2034			180,424		188,860		190,571
3128JNAL9	FHLMC		2.65		2/1/2035			191,997		201,311		204,234
3128JRP26	FHLMC		2.53		12/1/2033			1,912,584		2,020,042		1,974,707
3128K17K1	FHLMC GOLD		5		1/1/2036			5,177,755		5,480,614		5,430,326
3128KA4Z1	FHLMC GOLD		6		6/1/2036			81,387		85,430		88,800
3128KE5H2	FHLMC GOLD		6.5		9/1/2036			152,162		166,573		170,699
3128KVAR6	FHLMC GOLD		6.5		8/1/2037			176,319		193,027		197,612
3128KWBZ5	FHLMC GOLD		6		9/1/2037			16,105		17,707		17,767
3128KWFX6	FHLMC GOLD		6		9/1/2037			36,645		40,285		40,426
3128KWFY4	FHLMC GOLD		6		9/1/2037			51,177		56,260		56,456
3128KWT29	FHLMC GOLD		6		9/1/2037			31,216		34,315		34,436
3128KWTK9	FHLMC GOLD		6		9/1/2037			46,219		50,808		50,987
3128KWTP8	FHLMC GOLD		6		9/1/2037			41,117		45,200		45,358
3128KWTZ6	FHLMC GOLD		6		9/1/2037			31,633		34,776		34,896
3128KYXE4	FHLMC GOLD		6		4/1/2037			19,543		21,485		21,559
3128M4XA6	FHLMC GOLD		5.5		7/1/2037			3,586,070		3,848,756		3,845,077
3128M4ZG1	FHLMC GOLD		6		7/1/2037			3,733		4,104		4,118
3128M5R93	FHLMC GOLD		5.5		2/1/2038			968,850		1,027,757		1,034,510
3128M6UB2	FHLMC GOLD		6		7/1/2038			96,553		106,163		106,513
3128M7AZ9	FHLMC GOLD		6		12/1/2038			266,398		292,906		293,881
3128M7B88	FHLMC GOLD		5.5		2/1/2039			605,797		642,648		646,142
3128M7FG6	FHLMC GOLD		5.5		12/1/2038			2,948,325		3,127,726		3,144,682
3128M7PN0	FHLMC GOLD		5		7/1/2039			1,227,681		1,264,171		1,290,960
3128MCSH9	FHLMC GOLD		3.5		11/1/2025			23,635,371		23,780,817		23,741,730
3128MCUW3	FHLMC GOLD		4		12/1/2025			11,729,753		11,977,521		12,095,949
3128MMAC7	FHLMC GOLD		5		7/1/2019			746,120		798,029		800,304
3128MMLD3	FHLMC GOLD		4.5		9/1/2024			2,828,796		2,980,979		2,972,027
3128NCBH6	FHLMC		2.11		1/1/2035			256,641		264,060		261,090
3128PR7G8	FHLMC GOLD		4		8/1/2025			1,940,163		2,017,870		2,000,733
3128PRVD8	FHLMC GOLD		4		6/1/2025			2,121,404		2,200,567		2,187,633
3128PRWU9	FHLMC GOLD		4		7/1/2025			4,745,858		4,923,029		4,894,021
3128PRZ85	FHLMC GOLD		4		7/1/2025			1,553,297		1,602,361		1,601,790
3128PSBA4	FHLMC GOLD		4		8/1/2025			4,164,276		4,331,222		4,294,282
312929CM2	FHLMC GOLD		6		1/1/2039			10,025		11,023		11,059
31292K7B7	FHLMC GOLD		5		10/1/2040			11,106,398		11,784,346		11,606,519
31292K7G6	FHLMC GOLD		4		10/1/2040			9,835,657		10,150,318		9,677,793
31292KJH1	FHLMC GOLD		6		7/1/2037			1,991		2,189		2,197
31292KX93	FHLMC GOLD		4.5		9/1/2039			5,363,200		5,412,139		5,495,872
312930LH1	FHLMC GOLD		6		1/1/2039			33,381		36,701		36,825
312930LQ1	FHLMC GOLD		6		1/1/2039			41,305		45,416		45,566
312930RC6	FHLMC GOLD		6		1/1/2039			25,768		27,953		28,427
312930RV4	FHLMC GOLD		6		1/1/2039			12,914		14,198		14,246
312930TB6	FHLMC GOLD		6		1/1/2039			13,170		14,282		14,529
312931D62	FHLMC GOLD		4		2/1/2039			3,344,442		3,387,790		3,297,690
312931TJ7	FHLMC GOLD		5		3/1/2039			3,420,868		3,618,405		3,574,909
312932CX2	FHLMC GOLD		4.5		4/1/2039			3,505,352		3,633,759		3,580,563
312932ZE9	FHLMC GOLD		5		5/1/2039			94,306		97,279		99,373
312933F41	FHLMC GOLD		4.5		6/1/2039			4,719,180		4,891,523		4,804,125
3129345K4	FHLMC GOLD		5		8/1/2039	��		179,657		184,995		188,917
312934PJ5	FHLMC GOLD		5		8/1/2039			96,892		99,944		102,098
312934R38	FHLMC GOLD		5		8/1/2039			80,856		83,402		85,200
3129353B3	FHLMC GOLD		4.5		9/1/2039			731,369		737,481		744,534
3129356Q7	FHLMC GOLD		4.5		9/1/2039			190,007		191,596		193,427
312935AT6	FHLMC GOLD		5		8/1/2039			180,838		186,209		190,159
312935KY4	FHLMC GOLD		4.5		9/1/2039			275,854		278,561		280,820
312935LV9	FHLMC GOLD		4.5		9/1/2039			186,312		188,142		189,666
312935MQ9	FHLMC GOLD		4.5		9/1/2039			912,305		922,543		934,873

Allied World Assurance Company Holdings, AG
Securities Listing as at March 31, 2011

Cusip	Security Description	Coupon		Maturity		Par			Book Value $			Market Value $
312935MV8	FHLMC GOLD		4.5		9/1/2039		1,861,736			1,880,739			1,895,248
312936LH8	FHLMC GOLD		5		10/1/2039		358,663			373,465			374,814
312936LM7	FHLMC GOLD		5		10/1/2039		625,409			649,996			657,645
3129385D1	FHLMC GOLD		5		1/1/2040		104,160			108,313			109,203
312942ER2	FHLMC GOLD		5		9/1/2040		2,853,246			3,027,598			2,981,728
312943EE9	FHLMC GOLD		5		10/1/2040		7,732,199			8,203,207			8,080,380
312943HT3	FHLMC GOLD		4		11/1/2040		13,593,366			14,014,005			13,385,810
312944BJ9	FHLMC GOLD		4		12/1/2040		4,111,725			4,174,264			4,050,228
312944BN0	FHLMC GOLD		4		12/1/2040		2,044,449			2,075,544			2,010,677
31294KDZ5	FHLMC GOLD		5		9/1/2016		1,712			1,795			1,825
31294KFJ9	FHLMC GOLD		5		11/1/2016		2,966			3,110			3,162
31294KHD0	FHLMC GOLD		5		2/1/2017		6,269			6,578			6,704
31294KHL2	FHLMC GOLD		5		3/1/2017		12,547			13,166			13,428
31294KJT3	FHLMC GOLD		5		5/1/2017		3,894			4,087			4,135
31294KKU8	FHLMC GOLD		5		9/1/2017		6,506			6,834			6,958
31294MAK7	FHLMC GOLD		4		8/1/2025		5,186,932			5,395,102			5,348,865
312962CQ4	FHLMC GOLD		5		8/1/2018		10,112			10,632			10,822
312962CT8	FHLMC GOLD		5		8/1/2018		1,685			1,770			1,790
312962KD4	FHLMC GOLD		5.5		10/1/2018		113,482			122,460			123,164
312962KT9	FHLMC GOLD		5		10/1/2018		18,110			19,034			19,382
312962MD2	FHLMC GOLD		5		11/1/2018		31,810			33,434			34,044
312962Q63	FHLMC GOLD		5.5		10/1/2018		17,786			19,192			19,303
312962UW1	FHLMC GOLD		5.5		11/1/2018		1,415,081			1,527,335			1,535,812
312963VY4	FHLMC GOLD		5.5		12/1/2018		243,834			263,182			264,637
312963WH0	FHLMC GOLD		5.5		12/1/2018		19,449			20,993			21,109
312963ZG9	FHLMC GOLD		5.5		11/1/2018		89,136			96,181			96,741
3129642B4	FHLMC GOLD		5.5		3/1/2019		142,605			153,915			154,758
312964KG3	FHLMC GOLD		5		2/1/2019		4,758			5,005			5,093
312964WX3	FHLMC GOLD		5.5		10/1/2018		440,135			474,866			477,686
312965QA7	FHLMC GOLD		5.5		11/1/2018		249,338			269,032			270,611
312966WU4	FHLMC GOLD		5.5		5/1/2019		1,454,937			1,570,324			1,578,933
312968QL7	FHLMC GOLD		5.5		12/1/2018		2,107,309			2,271,269			2,279,492
3129696M5	FHLMC GOLD		4		11/1/2014		2,342,144			2,451,287			2,453,326
312969VY1	FHLMC GOLD		4.5		10/1/2014		3,854,997			4,059,234			4,080,336
3129714D3	FHLMC GOLD		4		3/1/2015		3,103,177			3,247,942			3,240,456
31342A6F1	FHLMC		2.57		9/1/2033		443,414			462,731			465,784
31349UCW6	FHLMC		2.37		10/1/2034		192,326			199,920			197,866
31349UEJ3	FHLMC		2.5		11/1/2034		369,907			386,876			388,877
31349ULB2	FHLMC		2.49		2/1/2035		363,501			377,775			372,138
31349UMF2	FHLMC		2.5		3/1/2035		614,544			633,647			642,198
01N032642	GNMA TBA		3.5		4/1/2041		20,000,000			19,159,375			19,068,750
01N050644	GNMA TBA		5		4/1/2031		12,000,000			12,777,188			12,734,063
01F040446	FNMA TBA		4		4/20/2019		12,000,000			12,375,938			12,337,500
01F040446	FNMA TBA		4		4/20/2019		(8,000,000	)		(8,240,000	)		(8,225,000	)
01F040644	FNMA TBA		4		4/1/2039		128,000,000			126,281,250			125,960,000
01F040644	FNMA TBA		4		4/1/2039		(24,000,000	)		(23,727,188	)		(23,617,500	)
01F042640	FNMA TBA		4.5		4/1/2036		221,000,000			224,806,406			224,971,094
01F042640	FNMA TBA		4.5		4/1/2036		(193,000,000	)		(196,585,938	)		(196,467,969	)
01F050445	FNMA TBA		5		4/1/2018		3,000,000			3,188,906			3,189,375
01F050445	FNMA TBA		5		4/1/2018		(2,000,000	)		(2,128,906	)		(2,126,250	)
01F052631	FNMA TBA		5.5		3/30/2033		6,000,000			6,341,969			6,418,125
01F052631	FNMA TBA		5.5		3/30/2033		(6,000,000	)		(6,353,359	)		(6,418,125	)
01F052649	FNMA TBA		5.5		1/14/2033		35,040,600			37,435,250			37,482,492
01F052649	FNMA TBA		5.5		1/14/2033		(35,040,600	)		(37,450,563	)		(37,482,492	)
01F060642	FNMA TBA		6		4/14/2033		37,000,000			40,156,094			40,249,063
01F060642	FNMA TBA		6		4/14/2033		(32,000,000	)		(34,617,617	)		(34,810,000	)
							1,058,523,915			1,094,881,587			1,089,882,871
Non Agency RMBS
000780ET9	AMAC		5		4/25/2018		626,079			610,604			648,412
04271AAB7	ARRMF		0.37		9/16/2056		588,500			574,917			579,849
05948X6X4	BANK OF AMERICA MTG SEC		4.75		6/25/2019		4,849,924			4,873,841			5,050,226
07384MWF5	BSARM		2.9		8/25/2033		125,794			114,609			117,840
126380AB0	CSMC		5.5		11/25/2036		2,187,687			1,777,606			1,859,534
126384AJ5	CSMC		5		3/25/2037		726,543			670,884			718,805
12638PBU2	CSMC		5		4/25/2037		921,595			760,413			864,945
12669E5B8	CWHL		5		11/25/2018		768,190			788,394			792,496
12669EYQ3	COUNTRYWIDE HOME LOANS TR		3.32		8/25/2033		95,681			72,343			86,352
16162WLM9	CHASE		5.5		10/25/2035		11,761,052			11,197,190			11,321,188
161630AC2	CHASE		2.96		2/25/2037		13,020,621			12,988,882			13,053,042

Allied World Assurance Company Holdings, AG
Securities Listing as at March 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
161630AG3	CHASE		2.89		2/25/2037		22,601,040		21,179,741		22,798,573
161630AN8	CHASE		2.87		2/25/2037		3,676,827		3,610,545		3,509,267
161630AQ1	CHASE		2.9		2/25/2037		2,987,218		2,745,214		2,766,463
1729733P2	CMSI		5		10/25/2035		10,960,994		10,626,901		10,936,661
38741QAC0	GRAN		0.8		7/20/2043		83,919		78,956		80,042
38741SAF9	GRAN		0.45		9/20/2044		34,865		32,245		33,279
449670EQ7	IMC HOME EQUITY LOAN TRUST		6.84		8/20/2029		163,192		159,766		160,485
46070MAA7	IMT		0.83		7/7/2034		9,491		9,491		9,411
46630GAA3	JPMMT		3.01		7/25/2035		7,703,584		7,214,091		7,530,870
46630GAD7	JPMMT		3.08		7/25/2035		2,665,156		2,476,070		2,505,460
46630GAN5	JPMMT_07-A1		2.98		7/25/2035		2,006,181		1,892,082		1,975,045
46630GAS4	JPMMT		2.97		7/25/2035		7,727,758		7,219,910		7,447,858
525170BL9	LABS		5		12/25/2033		11,242,938		11,152,861		11,313,206
55265K5Q8	MASTR		4.75		1/25/2034		306,270		306,227		311,685
576433QQ2	MARM_04-8		1.79		9/25/2034		1,242,457		917,722		971,353
58403GAB1	MEDL		0.35		2/27/2039		305,706		296,337		296,606
589929W53	MLMI		2.65		7/25/2033		212,163		214,355		211,618
76110H2P3	RES ASSET SEC		2.92		3/25/2035		1,790,321		1,085,590		1,171,247
76110HHG7	RFMSI_03-Q16		5		8/25/2018		7,132,128		6,916,492		7,184,977
863579KY3	SARM		2.61		2/25/2035		2,648,332		1,869,641		1,904,257
86359BGD7	STRUCTURED ASSET SEC CORP		2.69		2/25/2034		130,047		106,431		115,786
86359BVE8	STRUCTURED ASSET SEC CORP		2.57		6/25/2034		9,871,776		8,922,562		8,909,278
88522AAC5	THORNBURG MORTGAGE SECURITIES		0.37		7/25/2036		8,490,121		8,317,622		8,434,383
92922F4M7	WASHINGTON MUTUAL		0.54		10/25/2045		1,241,391		693,512		1,055,182
92922F4P0	WAMU		1.03		10/25/2045		6,113,114		4,903,527		5,229,769
92922FB49	WASHINGTON MUTUAL		0.61		11/25/2034		394,595		217,944		345,014
92922FZF8	WAMU_04-A12		0.64		10/25/2044		7,292,953		4,118,652		6,149,768
949781AA6	WFMBS		2.74		2/25/2035		3,673,924		3,425,270		3,380,010
94982BAG5	WFMBS		2.86		6/25/2035		5,281,695		4,944,745		5,055,744
							163,661,821		150,084,186		156,885,985
Non Agency RMBS — High Yield Mandate
751153AA5	RALI_06-Q010		0.41		1/25/2037		4,239,199		2,489,791		2,734,156
92922FR67	WASHINGTON MUTUAL		0.52		7/25/2045		581,625		464,824		501,128
86361HAA2	SAMI_06-AR7		0.46		8/25/2036		10,062,719		6,056,192		6,341,616
02660BAA0	AHMA_07-1		1.01		2/25/2047		9,239,551		4,525,514		4,610,444
02660UAE0	AHMA_06-3		1.25		10/25/2046		10,949,340		4,708,434		6,670,338
05954DAG1	BAFC		5.66		7/20/2047		6,617,803		4,051,957		4,690,560
07384MWF5	BSARM		2.9		8/25/2033		25,159		22,922		23,568
073868AA9	BALTA_06-6		0.42		11/25/2036		16,709,011		6,443,361		7,519,506
07401AAA5	BSMF		0.46		9/25/2046		10,005,748		4,888,719		6,191,027
07401YAQ8	BEAR STEARNS MORTGAGE FUNDING		0.46		6/25/2037		14,379,854		8,137,769		8,930,321
12566XAK4	CMA_07-A7		0.65		7/25/2037		7,345,820		4,363,449		4,573,948
12667GNS8	COUNTRYWIDE ALTERNATIVE LOAN T		1.6		7/20/2035		985,466		431,413		616,569
12668BPY3	CWALT		5.5		4/25/2036		14,335,254		9,092,237		10,453,841
126694A32	COUNTRYWIDE HOME LOANS		0.46		3/20/2046		1,964,491		906,660		1,159,050
12669EYQ3	COUNTRYWIDE HOME LOANS TR		3.32		8/25/2033		31,894		24,114		28,784
22541NQ77	CSFB_03-AR9		2.46		3/25/2033		81,759		47,355		73,371
22541QUJ9	CS FIRST BOSTON MORTGAGE SECUR		2.43		10/25/2033		163,789		83,689		154,138
22942KCD0	CSMC		6		8/25/2036		14,795,200		8,874,066		9,922,845
232434AE0	CWALT_06-OC8		0.5		11/25/2036		24,840,373		3,927,405		5,696,891
23245GAD3	CWALT_06-OC9		0.5		12/25/2046		6,146,683		1,216,948		1,194,915
23245QAA7	CWALT		0.44		3/20/2047		12,637,117		5,913,283		7,380,936
25151AAG6	DBALT		0.53		8/25/2036		29,795,921		5,431,746		7,043,458
32052DAG6	FHAMS_06-FA8		6		2/25/2037		6,636,264		4,885,990		4,828,811
40431HAJ6	HALO		0.55		12/25/2036		5,310,268		1,263,112		1,673,637
41161VAC4	HVMLT		0.45		9/19/2036		5,473,814		3,090,133		3,546,758
41162DAF6	HVMLT_06-12		0.44		12/19/2036		7,189,828		3,972,717		5,032,880
45660NQ24	INDX		2.74		8/25/2034		413,403		243,773		310,925
45668WAC1	INX		0.5		2/25/2037		5,000,000		655,468		1,500,000
52520MBY8	LMT_05-2		1		12/25/2035		3,934,589		2,385,993		2,782,778
525221HA8	LXS		0.51		2/25/2046		4,506,784		1,932,381		2,759,860
52524GAA0	LXS_07-7N		0.47		6/25/2047		11,453,381		6,739,567		7,429,694
52524HAJ9	LXS		1.06		3/25/2047		2,653,468		1,470,877		1,751,634
52524PAG7	LXS_07-16N		0.41		5/25/2037		11,428,772		7,742,124		7,075,324
52524VAQ2	LXS_07-15N		1.15		8/25/2047		7,898,289		4,172,043		4,963,601
55027WAA0	LUM_07-2		0.48		5/25/2037		4,894,706		2,755,593		2,894,778
55027XAA8	LUM_06-5		0.44		7/25/2036		7,215,714		3,478,194		3,936,533
57643LLC8	MABS		5.65		11/25/2035		10,000,000		4,214,998		5,035,400
59024KAX1	MLA_07-AF1		5.04		6/25/2037		4,275,225		2,345,492		2,442,949
61748HJV4	MSM		5		8/25/2035		964,116		952,735		949,847

Allied World Assurance Company Holdings, AG
Securities Listing as at March 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
74958XAB0	RFMSI		5.61		4/25/2037		6,071,072		4,028,318		4,533,815
761118FG8	RALI		3.38		8/25/2035		4,134,407		2,393,261		2,913,686
761118QM3	RALI		1.31		1/25/2046		4,392,476		2,359,967		2,700,409
76110H2P3	RES ASSET SEC		2.92		3/25/2035		360,777		218,763		236,024
863579J90	SARM		2.57		12/25/2035		9,945,000		3,361,934		4,348,402
86359A5B5	SASC		2.62		11/25/2033		395,489		291,560		383,044
86359AH71	SASC		2.56		7/25/2033		600,816		464,456		540,008
86359BGD7	STRUCTURED ASSET SEC CORP		2.69		2/25/2034		32,512		26,608		28,947
86359DUR6	LXS_05-5N		0.55		11/25/2035		1,129,499		910,017		873,306
86359LQM4	SAMI_06-AR1		2.46		3/25/2046		4,108,798		2,102,496		2,450,816
86361WAA9	SAMI_06-AR8		0.45		3/25/2036		1,638,491		1,106,779		1,058,465
88522AAA9	THORNBURG MORTGAGE SECURITIES		0.38		7/25/2036		1,010,474		1,005,737		1,005,514
92922F7P7	WASHINGTON MUTUAL		0.52		12/25/2045		8,545,800		5,109,128		7,392,117
92922FJ25	WASHINGTON MUTUAL		0.48		4/25/2045		1,778,182		1,418,785		1,532,893
92922FR75	WASHINGTON MUTUAL		0.54		7/25/2045		5,783,588		4,442,680		4,939,763
92925DAB6	WAMU		1.12		12/25/2046		3,743,777		1,779,530		2,726,031
92927BAA0	WAMU07-OA6		1.12		7/25/2047		12,320,535		6,387,502		8,015,740
93363RAA4	EAST PACES FERRY LLC		1.19		10/25/2046		8,862,955		4,676,940		5,934,103
93936RAA2	WAL		1.15		5/25/2047		8,818,384		4,337,697		5,285,651
94981QAA6	WFMBS		2.87		10/25/2035		548,247		453,903		545,270
							379,403,679		181,279,097		212,870,820
CMBS
3137A7NU0	FHLMC		4.08		11/25/2020		24,100,000		24,213,890		23,989,953
38376GDL1	GOV NATL MTGE ASSOC		3.1		12/16/2050		10,795,558		10,773,899		11,052,236
38376GXU9	GNMA		3.71		12/16/2050		2,500,000		2,574,452		2,428,425
62888XAB0	NCUA_10-C1		2.9		10/29/2020		250,000		249,407		243,390
62888XAC8	NCUA_10-C1		2.65		10/29/2020		10,382,436		10,362,691		10,213,098
055360AC5	BC_10-1		4.23		2/22/2041		3,000,000		3,088,309		3,106,080
055360BD2	BC_10-1		4.23		8/22/2033		3,000,000		3,025,954		3,022,230
05947UDP0	BAFU		5.46		4/11/2037		242,492		247,652		244,083
05950EAE8	BACM		5.93		5/10/2045		5,865,000		6,394,675		6,369,901
059512AB9	BACM_07-3		5.8		6/10/2049		584,952		605,352		607,719
059512AQ6	BANC OF AMERICA COMMERCIAL MOR		0.4		6/10/2049		584,952		565,408		561,613
07383FXJ2	BEAR STEARNS COMMERCIAL MORTGA		5.19		5/11/2039		4,000,000		4,110,783		4,226,071
07383FXN3	BSCMS		4.68		8/13/2039		4,000,000		4,018,578		4,204,834
07387BCH4	BSCMS		5.13		10/12/2042		3,124,880		3,139,527		3,136,780
07388LAE0	BEAR STEARNS		5.54		9/11/2041		7,500,000		8,118,916		8,044,311
07388PAE1	BSCMS		5.2		12/11/2038		13,500,000		14,654,450		14,236,484
12513YAC4	CD		5.21		12/11/2049		5,350,000		5,465,995		5,468,730
12622DAA2	COMM_10-C1		3.16		7/10/2046		9,926,733		10,211,006		9,897,350
17310MAE0	CITIGROUP		5.43		10/15/2049		1,000,000		1,066,190		1,068,181
17310MBQ2	CGCMT		5.5		10/15/2049		443,898		411,157		401,004
17313KAD3	CGCMT		6.29		12/10/2049		6,150,000		6,528,349		6,458,853
20046GAC2	COMM_06-FL12		0.32		12/15/2020		2,157,727		2,112,274		2,114,572
200476AA7	COMM_07-FL14		0.34		6/15/2022		1,280,785		1,251,135		1,245,167
22545BAA9	CSMC		5.25		3/15/2039		530,790		531,459		530,498
22545RAB2	CSMC		0.39		10/15/2021		5,956,958		5,777,836		5,741,624
36158YFT1	GECCMC_02-2		5.35		8/11/2036		24,929,000		25,790,975		25,891,663
361849YU0	GMACC		5.65		5/10/2040		1,550,000		1,662,010		1,656,302
361849ZS4	GMACC		4.65		4/10/2040		91,066		91,958		94,211
361849ZT2	GMACC		5.02		4/10/2040		4,000,000		4,071,063		4,255,748
36228CVQ3	GSMS		4.61		7/10/2039		500,000		505,314		509,862
36228CZW6	GSMS		1.53		3/6/2020		5,350,000		5,194,868		5,283,125
36249KAC4	GSMS_10-C1		4.59		8/10/2043		6,000,000		6,446,011		6,029,880
36828QKN5	GECMC		4.35		6/10/2048		2,009,966		2,017,503		2,013,175
396789JS9	GCCFC		4.57		8/10/2042		500,000		505,147		504,562
46625YSF1	JPMCC_05-LDP3		4.96		8/15/2042		4,089,077		4,215,034		4,209,521
46629PAM0	JPMCC		5.3		5/15/2047		2,000,000		2,040,740		2,034,098
50179MAE1	LBUBS		5.37		9/15/2039		1,500,000		1,651,113		1,601,007
52108HMU5	LBUBS COMM MTG TR		4.85		9/15/2031		28,000,000		29,066,570		29,104,958
52108HRB2	LBUBS		3.85		5/15/2027		386,872		393,174		396,776
52108MAF0	LBUBS		5.2		11/15/2030		1,450,000		1,526,709		1,555,733
617458AC8	MORGAN STAINLEY CAPITAL I		3.88		9/15/2047		3,500,000		3,534,134		3,559,115
61745M5G4	MSC		4.89		6/12/2047		500,000		525,962		532,078
61745ML27	MSC		4.69		6/13/2041		475,511		475,564		475,278
61745ML43	MSC		5.27		6/13/2041		4,000,000		4,065,036		4,285,134
61750HAE6	MSC		5.33		11/12/2041		4,250,000		4,429,429		4,512,212
62474NAA4	MSC_05-RR6		0.47		5/24/2043		1,095,128		1,075,970		1,072,958
90348HAA2	B NATIONALE CDA		1.12		7/15/2024		1,139,409		1,097,642		1,099,598
929766UK7	WBCMT_04-C14		5.09		8/15/2041		8,800,000		9,451,406		9,359,261

Allied World Assurance Company Holdings, AG
Securities Listing as at March 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
929766X24	WBCMT_05-C19		4.66		5/15/2044		4,200,000		4,363,406		4,329,864
							236,543,190		243,696,085		242,979,308
Corporate Securities — Financials
17313YAL5	CITIGROUP FUNDING INC - GTD		1.88		10/22/2012		37,000,000		37,028,807		37,703,003
17313YAN1	CITIGROUP FUNDING INC - GTD		1.88		11/15/2012		45,300,000		45,259,065		46,168,404
90345AAA0	US CENTRAL CREDIT UNION - (LT)		1.25		10/19/2011		27,200,000		27,196,048		27,325,864
90345AAC6	US CENTRAL CREDIT UNION - (LT)		1.9		10/19/2012		15,500,000		15,494,806		15,790,160
631103AA6	NASDAQ STOCK MARKET INC		2.5		8/15/2013		2,700,000		2,688,621		2,695,046
001055AC6	AFLAC INCORPORATED		8.5		5/15/2019		2,000,000		2,395,923		2,409,934
02580ECC5	AMERICAN EXPRESS BANK FSB		6		9/13/2017		3,000,000		3,331,394		3,337,445
025816AX7	AMERICAN EXPRESS COMPANY		6.15		8/28/2017		16,600,000		19,022,339		18,597,362
025816BB4	AMERICAN EXPRESS COMPANY		8.13		5/20/2019		4,300,000		5,340,367		5,334,084
0258M0DA4	AMERICAN EXPRESS CREDIT CO		2.75		9/15/2015		15,000,000		15,037,910		14,644,815
02666QF32	AMERICAN HONDA FINANCE		2.38		3/18/2013		2,150,000		2,149,433		2,178,178
05531FAG8	BB&T CORPORATION		3.2		3/15/2016		10,250,000		10,235,887		10,205,145
06051GDY2	BANK OF AMERICA		7.38		5/15/2014		8,150,000		8,868,557		9,201,644
06051GEA3	BANK OF AMERICA		6.5		8/1/2016		8,000,000		8,854,902		8,880,146
06051GEB1	BANK OF AMERICA		4.5		4/1/2015		3,000,000		3,037,791		3,108,130
06051GED7	BANK OF AMERICA		3.7		9/1/2015		15,000,000		15,110,751		15,044,597
06406HBQ1	BANK OF NEW YORK CO		2.95		6/18/2015		4,000,000		3,995,602		4,059,290
073902PR3	BEAR STEARNS CO INC		6.4		10/2/2017		14,600,000		16,812,015		16,364,104
073902RU4	BEAR STEARNS CO INC		7.25		2/1/2018		11,000,000		12,951,290		12,829,542
140420MV9	CAPITAL ONE BANK		8.8		7/15/2019		9,000,000		11,312,271		11,294,052
14912L4Q1	CATERPILLAR FINL SERV		1.55		12/20/2013		4,000,000		3,995,967		4,000,662
172967EU1	CITIGROUP INC		6.5		8/19/2013		4,000,000		4,155,864		4,373,324
172967EY3	CITIGROUP INC		6.38		8/12/2014		29,875,000		31,163,568		33,115,384
172967EZ0	CITIGROUP INC		5.5		10/15/2014		10,650,000		11,126,439		11,477,309
172967FD8	CITIGROUP INC		4.75		5/19/2015		750,000		773,043		783,524
172967FE6	CITIGROUP INC		6		12/13/2013		2,000,000		2,028,223		2,176,467
172967FF3	CITIGROUP INC		5.38		8/9/2020		13,000,000		13,679,393		13,376,026
24422EQV4	JOHN DEERE CAPITAL CORPORATION		5.75		9/10/2018		9,000,000		9,784,606		10,144,573
26441YAS6	DUKE REALTY LP		7.38		2/15/2015		4,466,000		4,976,488		5,005,536
26884TAC6	ERAC USA FINANCE COMPANY		2.25		1/10/2014		1,500,000		1,497,021		1,497,489
302508BA3	FMR CORP.		4.75		3/1/2013		2,500,000		2,601,844		2,619,276
316773CK4	FIFTH THIRD BANCORP		3.63		1/25/2016		6,325,000		6,317,787		6,288,561
354613AE1	FRANKLIN RESOURCES INC.		2		5/20/2013		3,975,000		3,975,578		4,012,957
36962G3T9	GE CAPITAL CORP		4.8		5/1/2013		14,000,000		14,834,450		14,871,561
36962G4C5	GE CAPITAL CORP		5.9		5/13/2014		10,000,000		11,069,334		11,040,871
36962G4G6	GE CAPITAL CORP		3.75		11/14/2014		850,000		847,498		884,674
36962G4H4	GENERAL ELEC CAP CO		2.8		1/8/2013		2,000,000		1,998,453		2,044,378
36962G4L5	GE CAPITAL CORP		3.5		6/29/2015		24,500,000		25,559,518		25,106,018
36962GK86	GE CAPITAL CORP		4.75		9/15/2014		4,000,000		4,257,659		4,287,615
36962GU51	GE CAPITAL CORP		0.49		1/8/2016		8,500,000		8,014,156		8,175,470
38141EA33	GOLDMAN SACHS GROUP INC		6		5/1/2014		5,350,000		5,694,119		5,875,136
38141EA74	GOLDMAN SACHS GROUP INC		3.7		8/1/2015		6,650,000		6,679,714		6,682,596
38141GDB7	GOLDMAN SACHS GROUP INC		5.25		4/1/2013		1,500,000		1,531,439		1,595,309
38141GEG5	GOLDMAN SACHS GROUP INC		0.76		3/22/2016		19,300,000		18,055,276		18,608,095
40414LAB5	HEALTH CARE PROPERTY INVESTORS		2.7		2/1/2014		8,875,000		8,866,798		8,895,970
4042Q1AE7	HSBC BANK USA		4.88		8/24/2020		16,250,000		15,715,264		15,856,377
46623EJD2	JPMORGAN CHASE & CO		1.65		9/30/2013		3,000,000		2,999,699		2,989,533
46623EJF7	JPMORGAN CHASE & CO		1.1		1/24/2014		10,000,000		10,000,000		10,055,300
46625HHB9	JPMORGAN CHASE & CO		4.75		5/1/2013		15,895,000		15,889,616		16,834,749
46625HHN3	JPMORGAN CHASE & CO		4.65		6/1/2014		3,000,000		3,138,946		3,203,417
46625HHP8	JPMORGAN CHASE & CO		3.7		1/20/2015		3,000,000		3,005,811		3,066,602
46625HHR4	JPMORGAN CHASE & CO		3.4		6/24/2015		10,000,000		10,352,578		10,107,475
49326EED1	KEYCORP INSTIT CAPITAL		5.1		3/24/2021		1,725,000		1,723,398		1,723,178
53117CAG7	LIBERTY PROPERTY TR		6.38		8/15/2012		2,500,000		2,612,690		2,652,796
57629WBM1	MASSMUTUAL GLOBAL FUNDING II		2.3		9/28/2015		4,000,000		3,936,460		3,903,564
59018YJ69	MERRILL LYNCH & CO INC		6.4		8/28/2017		8,000,000		8,696,062		8,697,456
59018YM40	MERRILL LYNCH & CO INC		5.45		2/5/2013		5,150,000		5,424,265		5,451,377
59217EBW3	MET LIFE GLOBAL FUND		5.13		6/10/2014		4,000,000		4,331,403		4,324,888
617446V71	MORGAN STANLEY		6.25		8/28/2017		10,500,000		10,876,313		11,269,500
61746SBR9	MORGAN STANLEY		5.38		10/15/2015		20,000,000		20,601,977		21,151,208
61747WAD1	MORGAN STANLEY		2.88		1/24/2014		2,500,000		2,496,587		2,508,887
61747YCE3	MORGAN STANLEY		6		4/28/2015		5,000,000		5,418,089		5,426,031
61747YCF0	MORGAN STANLEY		6		5/13/2014		5,400,000		5,669,350		5,871,322
61747YCK9	MORGAN STANLEY		4.2		11/20/2014		2,150,000		2,130,933		2,214,822
637432ML6	NATIONAL RURAL UTILITIES		1.9		11/1/2015		4,000,000		3,996,303		3,833,442
637432MM4	NATIONAL RURAL UTILITIES		1.13		11/1/2013		1,350,000		1,349,592		1,335,742
638612AK7	NATIONWIDE FINANCIAL SERVICES		5.38		3/25/2021		5,925,000		5,890,685		5,921,088

Allied World Assurance Company Holdings, AG
Securities Listing as at March 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
63866EBL3	NATIONWIDE LIFE GLOBAL FUNDING		5.45		10/2/2012		600,000		602,198		631,104
693476BE2	PNC FUNDING CORP		5.4		6/10/2014		2,000,000		2,146,814		2,179,223
693476BH5	PNC FUNDING CORP		3.63		2/8/2015		24,725,000		24,705,547		25,395,196
828807BM8	SIMON PROPERTY GROUP L.P.		5.1		6/15/2015		4,000,000		4,318,514		4,333,347
828807CB1	SIMON PROPERTY GROUP L.P.		6.75		5/15/2014		17,675,000		18,267,343		19,825,308
867914BD4	SUNTRUST BANKS INC		3.6		4/15/2016		3,400,000		3,398,674		3,380,394
902973AV8	US BANCORP		3.44		2/1/2016		6,000,000		6,013,110		5,938,141
90331HKP7	U.S. BANK NATIONAL ASSOCIATION		4.95		10/30/2014		2,750,000		2,769,327		2,992,918
91159HGY0	US BANCORP		1.38		9/13/2013		3,000,000		2,996,830		2,980,728
92933DAA8	WEA FINANCE LLC		7.5		6/2/2014		1,580,000		1,768,900		1,807,148
92933WAA6	WEA FINANCE LLC/WT FINANCE AUS		5.75		9/2/2015		3,000,000		2,977,565		3,283,591
92976GAF8	WACHOVIA BANK NA		0.64		3/15/2016		6,000,000		5,705,695		5,737,680
92976WBJ4	WACHOVIA CORPORATION		5.5		5/1/2013		5,000,000		5,209,377		5,387,907
929903DT6	WACHOVIA CORPORATION		5.75		6/15/2017		27,025,000		27,816,181		29,871,398
929903DU3	WACHOVIA CORPORATION		0.58		6/15/2017		19,900,000		18,164,076		19,082,707
949746QU8	WELLS FARGO & COMPANY		3.68		6/15/2016		1,950,000		1,962,897		1,968,467
94974BET3	WELLS FARGO & COMPANY		3.75		10/1/2014		1,400,000		1,400,985		1,455,338
94974BEU0	WELLS FARGO & COMPANY		3.63		4/15/2015		250,000		260,788		257,572
94980VAF5	WELLS FARGO BANK NA		0.52		5/16/2016		12,000,000		11,319,454		11,446,680
00084DAB6	ABN AMRO BANK NV		2.07		1/30/2014		4,500,000		4,500,000		4,502,430
00279VCA1	ABBEY NATIONAL TREASURY SERVIC		3.88		11/10/2014		3,750,000		3,749,361		3,745,246
05252ABH3	ANZ MELBOURNE		1.03		1/10/2014		10,150,000		10,150,000		10,188,773
05533UAA6	BBVA BANCOMER SA DE CV		4.5		3/10/2016		2,500,000		2,482,317		2,505,275
05565QBH0	BP CAPITAL MARKETS PLC		3.88		3/10/2015		22,675,000		21,518,507		23,556,068
05565QBL1	BP CAPITAL MARKETS PLC		3.63		5/8/2014		5,000,000		4,991,382		5,195,382
05565QBN7	BP CAPITAL MARKETS PLC		3.13		10/1/2015		4,000,000		3,959,713		4,008,182
05567LU54	BNP PARIBAS		3.6		2/23/2016		2,500,000		2,497,449		2,499,269
05571AAB1	GROUPE BPCE		2.38		10/4/2013		5,310,000		5,342,134		5,262,876
05572FAA1	BNP PARIBAS COVERED BONDS SA		2.2		11/2/2015		17,400,000		17,393,909		16,698,085
063679JJ4	BANK OF MONTREAL		2.63		1/25/2016		22,900,000		22,885,626		22,773,134
064149B97	BANK OF NOVA SCOTIA		2.38		12/17/2013		5,000,000		4,986,315		5,092,531
064149C39	BANK OF NOVA SCOTIA		1.45		7/26/2013		8,400,000		8,390,860		8,422,260
064255AB8	BANK OF TOKYO-MITSUBISHI UFJ L		3.85		1/22/2015		18,500,000		18,494,094		18,996,854
06675EAA8	BANQUE PSA FINANCE		3.38		4/4/2014		4,850,000		4,845,053		4,858,650
06739FGP0	BARCLAYS BANK PLC		2.5		1/23/2013		5,000,000		4,950,465		5,080,543
06739GAE9	BARCLAYS BANK PLC		6.05		12/4/2017		8,500,000		8,627,618		8,841,164
06739GBB4	BARCLAYS BANK PLC		3.9		4/7/2015		3,250,000		3,384,648		3,350,451
12800UAK6	CAISSE CENTRALE		2.55		3/24/2016		7,100,000		7,089,747		7,007,274
136069DM0	CANADIAN IMPERIAL BK COMRC		2.6		7/2/2015		10,500,000		10,606,517		10,538,219
136069DS7	CANADIAN IMPERIAL BK COMRC		2.35		12/11/2015		5,000,000		4,995,136		4,838,090
2027A0EM7	COMMONWEALTH BANK OF AUSTRALIA		3.5		3/19/2015		3,000,000		2,989,880		3,052,756
204279AA1	CIE FIN FONC		2.13		4/22/2013		13,200,000		13,331,094		13,346,256
20428AAE9	COMPAGNIE DE FINANCEMENT FONCI		2.25		3/7/2014		1,700,000		1,699,817		1,701,938
22546QAA5	CREDIT SUISSE GROUP		5.5		5/1/2014		3,000,000		3,221,806		3,282,979
22546QAF4	CREDIT SUISSE FIRST BOSTON		4.38		8/5/2020		19,000,000		19,492,901		18,531,401
2254C0TC1	CREDIT SUISSE NEW YORK NY		5		5/15/2013		25,000,000		26,458,710		26,661,453
249575AM3	DEPFA ACS BANK		5.5		6/28/2011		2,800,000		2,817,052		2,784,342
2515A0Q30	DEUTSCHE BK LDN		3.88		8/18/2014		3,750,000		3,758,185		3,912,100
2515A0U76	DEUTSCHE BK LDN		3.45		3/30/2015		1,750,000		1,818,037		1,784,356
25600WAB6	DNB NOR BLGKRDIT		2.9		3/29/2016		17,500,000		17,479,032		17,388,700
40411EAB4	BANK OF SCOTLAND PLC		5.25		2/21/2017		6,405,000		6,380,750		6,574,220
44328MAB0	HSBC BANK PLC		3.5		6/28/2015		8,450,000		8,444,047		8,574,356
44328MAH7	HSBC BANK PLC		1.1		1/17/2014		7,500,000		7,500,000		7,502,025
44328MAJ3	HSBC BANK PLC		2		1/19/2014		2,000,000		1,998,316		1,993,913
44914PAR8	HYPOTHEKENBANK IN ESSEN AG		5		1/20/2012		2,500,000		2,529,142		2,561,685
449786AK8	ING BANK INTERNATIONALE NEDERL		1.36		3/15/2013		8,000,000		8,000,000		8,016,960
449786AL6	ING BANK INTERNATIONALE NEDERL		4		3/15/2016		6,000,000		5,996,787		5,982,297
45112EAA7	ICICI BANK SG		2.06		2/24/2014		2,650,000		2,650,000		2,634,885
539473AG3	LLOYDS TSB BANK PLC		4.88		1/21/2016		5,550,000		5,545,767		5,692,707
539473AK4	LLOYDS TSB BANK PLC		2.65		1/24/2014		2,000,000		2,000,000		2,050,220
53947MAB2	LLOYDS TSB BANK PLC		5.8		1/13/2020		11,000,000		10,976,789		10,899,461
6325C0BW0	NATIONAL AUSTRALIA BANK LIMITE		1.7		12/10/2013		5,000,000		4,996,851		4,948,716
63307EAA5	NATIONAL BK OF CANADA		1.65		1/30/2014		2,500,000		2,499,385		2,502,075
65557CAA1	NORDEA BANK AB		3.7		11/13/2014		31,250,000		31,216,410		32,360,680
65557CAF0	NORDEA BANK AB		2.13		1/14/2014		5,000,000		4,993,157		4,988,230
78009PCC3	ROYAL BANK OF SCOTLAND PLC THE		4.38		3/16/2016		7,750,000		7,735,006		7,801,045
78010XAD3	ROYAL BANK OF SCOTLAND PLC THE		3.4		8/23/2013		3,825,000		3,823,329		3,905,045
78010XAF8	ROYAL BANK OF SCOTLAND PLC THE		2.73		8/23/2013		300,000		306,294		308,142
78011HT39	ROYAL BANK OF SCOTLAND		1.65		10/15/2012		20,000,000		20,000,000		19,986,200

Allied World Assurance Company Holdings, AG
Securities Listing as at March 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
802815AS9	SANTANDR US DEBT		2.99		10/7/2013		4,000,000		3,985,787		3,947,220
84650WAA4	SPAREBNK 1 BOLIG		1.25		10/25/2014		40,980,000		40,517,568		40,571,838
87020LAA4	SWEDBANK HYPOTEK AB		2.95		3/28/2016		8,100,000		8,093,291		8,046,702
87020LAB2	SPINTAB AB SWEDMORTGAGE		0.76		3/28/2014		21,200,000		21,200,000		21,193,906
90261XEM0	UBS AG		5.88		12/20/2017		5,000,000		5,454,348		5,447,074
90261XFA5	UBS AG STAMFORD CT		5.75		4/25/2018		4,000,000		4,345,350		4,323,913
90261XGD8	UBS AG STAMFORD CT		4.88		8/4/2020		19,000,000		20,289,704		19,171,358
90261XGF3	UBS AG STAMFORD BRANCH		2.25		8/12/2013		2,325,000		2,322,598		2,344,050
90261XGX4	UBS AG		2.25		1/28/2014		3,600,000		3,598,539		3,608,582
96008YAB1	WESTFIELD CAPITAL CORP LTD		5.13		11/15/2014		4,650,000		4,914,656		5,006,149
961214BH5	WESTPAC BANKING		4.2		2/27/2015		5,000,000		4,996,258		5,223,970
6120669A0	TNK-BP FINANCE SA		7.5		7/18/2016		4,750,000		5,271,812		5,316,485
92928B9R4	WAHA AEROSPACE BV		3.92		7/28/2020		4,940,000		5,059,133		4,930,120
N9636WAL1	WHITE NIGHTS FINANCE BV		10.5		3/8/2014		3,500,000		4,135,000		4,214,000
Y4864WAG4	KOREA EXC BK		4.88		1/14/2016		2,000,000		2,060,073		2,090,800
302154AU3	EXPORT-IMPORT BANK OF KOREA		5.88		1/14/2015		10,600,000		11,679,674		11,543,400
00448MAA9	ACHMEA HYPOTHEEKBANK N.V. - LT		3.2		11/3/2014		36,000,000		36,064,320		37,254,600
10778XAA4	BRFKREDIT AS		2.05		4/15/2013		29,700,000		29,677,582		30,119,363
20272BAF1	COMMONWEALTH BANK AUSTRALIA, G		3.63		6/25/2014		40,000,000		40,451,329		42,231,201
20272BAK0	COMMONWEALTH BANK OF AUSTRALIA		2.9		9/17/2014		3,500,000		3,544,489		3,610,460
25214GAA1	DEXIA CREDIT LOCAL/NEW YORK		2		3/5/2013		22,000,000		22,248,761		21,935,980
31737UAH1	FINANCE FOR DANISH INDUSTRY IN		2		6/12/2013		4,900,000		5,018,870		4,975,264
45324QAB2	ING BANK NV - (LT) GTD		2.63		2/9/2012		26,700,000		26,947,506		27,077,643
55607EAL4	MACQUARIE BANK LTD - GTD		3.3		7/17/2014		2,000,000		2,097,250		2,091,040
74733WAB4	QATAR DIAR FIN		5		7/21/2020		3,000,000		3,159,246		2,966,504
78011CAG1	ROYAL BK OF STLAND GRP PLC		1.5		3/30/2012		5,000,000		4,998,940		5,047,600
M8181FAB2	QATARI DIAR FINANCE QSC		5		7/21/2020		3,100,000		3,249,598		3,065,900
							1,461,626,000		1,489,549,386		1,507,508,348
Corporate Securities — Industrials
06846NAA2	BILL BARRETT		5		3/15/2028		1,850,000		1,842,549		1,897,027
159864AB3	CHARLES RIVER LABS INTL INC.		2.25		6/15/2013		2,870,000		2,776,595		2,998,404
29444UAG1	EQUINIX, INC.		3		10/15/2014		1,440,000		1,409,498		1,554,667
436440AA9	HOLOGIC, INC.		2		12/15/2037		4,250,000		3,913,586		4,101,250
451055AB3	ICONIX BRAND GROUP INC		1.88		6/30/2012		2,651,000		2,574,470		2,701,899
457985AH2	INTEGRA LIFESCIENCES HLDGS COR		2.38		6/1/2012		3,175,000		3,117,718		3,240,151
458660AA5	INTERDIGITAL INC		2.5		3/15/2016		470,000		470,000		507,694
470355AC2	JAMES RIVER COAL CO		4.5		12/1/2015		950,000		887,936		1,187,538
470355AE8	JAMES RIVER COAL CO		3.13		3/15/2018		120,000		120,000		126,546
496902AD9	KINROSS GOLD CORP		1.75		3/15/2028		2,550,000		2,508,532		2,559,435
535919AF1	LIONS GATE ENTER		2.94		10/15/2024		1,600,000		1,562,605		1,572,320
74973WAA5	RTI INTL METALS, INC.		3		12/1/2015		1,300,000		1,300,000		1,513,070
94770VAE2	WEBMD HEALTH CORP		2.5		1/31/2018		1,150,000		1,138,827		1,156,383
94770VAG7	WEBMD HEALTH CORP		2.25		3/31/2016		3,000,000		2,963,016		2,906,250
00206RAM4	AT&T INC		5.6		5/15/2018		6,950,000		8,083,939		7,608,818
00206RAR3	AT&T INC		5.8		2/15/2019		22,000,000		23,633,347		24,332,178
002824AS9	ABBOTT LABORATORIES		5.6		5/15/2011		1,200,000		1,201,064		1,207,051
00846UAF8	AGILENT TECHNOLOGIES INC		2.5		7/15/2013		7,000,000		6,989,973		7,078,842
02209SAD5	ALTRIA GROUP INC.		9.7		11/10/2018		6,400,000		8,709,873		8,381,709
035229CE1	ANHEUSER-BUSCH		7.5		3/15/2012		1,600,000		1,592,326		1,699,162
03523TAL2	ANHEUSER-BUSCH INBEV WORLDWIDE		3		10/15/2012		2,500,000		2,541,377		2,566,721
03523TAM0	ANHEUSER-BUSCH INBEV WORLDWIDE		4.13		1/15/2015		10,000,000		10,291,198		10,548,048
03523TAN8	ANHEUSER-BUSCH INBEV WORLDWIDE		5.38		1/15/2020		10,000,000		11,303,843		10,716,071
03523TBC1	ANHEUSER-BUSCH INBEV WORLDWIDE		0.85		1/27/2014		1,500,000		1,500,000		1,511,700
039483BB7	ARCHER DANIELS MIDLAND CO		4.48		3/1/2021		1,900,000		1,913,851		1,923,562
053611AC3	AVERY DENNISON CORP		4.88		1/15/2013		1,500,000		1,466,673		1,571,485
067383AB5	C.R. BARD INC.		2.88		1/15/2016		5,000,000		4,995,914		5,010,704
071813AZ2	BAXTER INTERNATIONAL INC		4		3/1/2014		6,400,000		6,451,626		6,805,381
097014AK0	BOEING CAPITAL CORPORATION		3.25		10/27/2014		250,000		249,598		261,054
097023AY1	BOEING CO		3.5		2/15/2015		1,250,000		1,247,175		1,304,018
10138MAH8	BOTTLING GROUP LLC		6.95		3/15/2014		13,000,000		14,759,961		14,954,167
115637AK6	BROWN-FORMAN CORPORATION		2.5		1/15/2016		7,000,000		6,957,605		6,867,384
126650AV2	CVS CAREMARK CORP		4.88		9/15/2014		2,000,000		2,091,950		2,155,461
126650BQ2	CVS PASS-THROUGH TRUST		6.94		1/10/2030		2,050,313		2,241,499		2,228,342
14912L4U2	CATER PILLAR FINANCIAL SERVICE		0.6		4/1/2014		4,000,000		4,000,000		4,008,320
17275RAL6	CISCO SYSTEMS INC		0.56		3/14/2014		8,000,000		8,000,000		8,025,840
191216AL4	COCA-COLA COMPANY THE		3.63		3/15/2014		6,825,000		6,806,091		7,209,792
20030NAE1	COMCAST CORPORATION		5.3		1/15/2014		2,000,000		2,034,469		2,174,571
20030NAL5	COMCAST CORPORATION		5.9		3/15/2016		7,500,000		7,852,467		8,338,965
20825CAS3	CONOCOPHILLIPS		4.75		2/1/2014		12,500,000		12,479,017		13,545,617
20825CAT1	CONOCOPHILLIPS		4.6		1/15/2015		9,000,000		9,315,396		9,686,997

Allied World Assurance Company Holdings, AG
Securities Listing as at March 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
21079UAA3	CONTINENTAL AIRLINES		7.25		5/10/2021		4,861,872		5,449,956		5,250,822
21079VAA1	CONTINENTAL AIRLINES INC.		4.75		1/12/2021		2,400,000		2,400,000		2,340,000
224044BF3	COX COMMUNICATIONS INC.		4.63		6/1/2013		1,225,000		1,259,943		1,303,755
22822RAZ3	CROWN CASTLE TOWERS LLC		4.88		8/15/2040		8,000,000		7,824,001		7,990,000
233835AW7	DAIMLERCHRYSLER NA HLDG		6.5		11/15/2013		6,200,000		7,016,155		6,915,273
233851AC8	DAIMLER FINANCE NORTH AMERICA		0.92		3/28/2014		4,000,000		4,000,000		4,001,240
244199BC8	DEERE & COMPANY		4.38		10/16/2019		15,400,000		15,326,278		16,013,723
24702RAK7	DELL INC		1.4		9/10/2013		5,200,000		5,195,159		5,175,984
24702RAL5	DELL INC		2.3		9/10/2015		4,650,000		4,649,044		4,548,540
247361ZH4	DELTA AIR LINES INC.		4.95		5/23/2019		150,000		150,000		150,000
24736TAA5	DELTA AIR LINES INC.		7.75		12/17/2019		1,952,413		2,182,031		2,147,654
25459HAV7	DIRECTV HOLDINGS LLC		3.13		2/15/2016		12,125,000		12,117,927		11,935,461
25459HAY1	DIRECTV HOLDINGS LLC/DIRECTV F		3.5		3/1/2016		2,000,000		1,996,260		2,000,344
25468PBX3	WALT DISNEY		6.38		3/1/2012		2,000,000		2,093,073		2,106,489
260543CA9	DOW CHEMICAL COMPANY THE		5.9		2/15/2015		6,100,000		6,813,175		6,747,573
26138EAK5	DR PEPPER SNAPPLE GROUP INC		1.7		12/21/2011		2,500,000		2,503,617		2,518,762
263534BS7	EI DUPONT DE NEMOURS & CO		5		1/15/2013		768,000		811,916		818,869
26483EAE0	DUN & BRADSTREET CORPORATION T		2.88		11/15/2015		1,500,000		1,495,052		1,468,059
26875PAJ0	EOG RESOURCES INC		1.06		2/3/2014		3,000,000		3,000,000		3,025,890
26882PBD3	ERAC USA FINANCE COMPANY		5.8		10/15/2012		2,122,000		2,240,236		2,257,146
293791AN9	ENTERPRISE PROD OPER LP		5.6		10/15/2014		10,000,000		9,896,402		10,879,962
294429AH8	EQUIFAX INC		4.45		12/1/2014		2,000,000		2,008,360		2,102,609
31428XAQ9	FEDERAL EXPRESS CORP		7.38		1/15/2014		1,000,000		1,045,841		1,137,388
35671DAS4	FREEPORT-MCMORAN COPPER & GOLD		8.38		4/1/2017		7,750,000		8,548,469		8,534,688
369550AK4	GENERAL DYNAMICS CORPORATION		4.25		5/15/2013		1,250,000		1,211,224		1,321,696
369604AY9	GENERAL ELEC CAP CO		5		2/1/2013		500,000		525,126		532,520
377372AC1	GLAXOSK CAP INC		4.85		5/15/2013		5,000,000		5,303,812		5,370,999
406216AX9	HALLIBURTON COMPANY		6.15		9/15/2019		2,500,000		2,711,128		2,852,784
41283DAA1	HARLEY-DAVIDSON FUNDING CORPOR		5.25		12/15/2012		2,500,000		2,558,758		2,612,138
41283DAC7	HARLEY-DAVIDSON INC		5.75		12/15/2014		500,000		526,068		522,950
428236AQ6	HEWLETT-PACKARD COMPANY		4.5		3/1/2013		4,000,000		4,208,793		4,249,849
440452AD2	HORMEL FOODS CORP		6.63		6/1/2011		1,500,000		1,505,737		1,514,929
44107TAE6	HOST MARRIOTT LP		2.63		4/15/2027		2,350,000		2,293,427		2,359,400
452308AH2	ILLINOIS TOOL WORKS INC.		5.15		4/1/2014		5,000,000		5,188,962		5,492,883
459200GN5	IBM CORP		6.5		10/15/2013		10,810,000		11,532,315		12,138,907
459284AA3	INTERNATIONAL CCE INC		2.13		9/15/2015		3,000,000		2,990,115		2,900,284
48203RAE4	JUNIPER NETWORKS, INC.		3.1		3/15/2016		7,850,000		7,836,648		7,844,094
50075NAX2	KRAFT FOODS INC.		6.75		2/19/2014		9,680,000		10,759,782		10,943,687
50075NBA1	KRAFT FOODS INC.		5.38		2/10/2020		10,000,000		11,138,178		10,540,576
579780AD9	MCCORMICK & CO INC		5.2		12/15/2015		1,500,000		1,461,202		1,635,705
58155QAC7	MCKESSON CORP		3.25		3/1/2016		2,825,000		2,815,579		2,844,652
582839AD8	MEAD JOHNSON NUTRITION CO		3.5		11/1/2014		2,000,000		2,000,298		2,039,703
58405UAF9	MEDCO HEALTH SOLUTIONS INC.		2.75		9/15/2015		2,225,000		2,224,348		2,199,566
585055AP1	MEDTRONIC INC		4.5		3/15/2014		2,750,000		2,820,708		2,961,768
589331AP2	MERCK & CO INC		4		6/30/2015		7,000,000		7,076,372		7,441,913
62875UAF2	NBC UNIVERSAL		3.65		4/30/2015		12,950,000		13,071,805		13,282,840
62875UAH8	NBC UNIVERSAL		4.38		4/1/2021		11,000,000		11,222,473		10,544,802
62875UAM7	NBC UNIVERSAL		2.1		4/1/2014		3,500,000		3,499,604		3,478,608
652482BG4	NEWS AMERICA INC		5.3		12/15/2014		10,000,000		9,951,451		10,998,817
654742AA3	NISSAN MOTOR ACCEPT CO		3.25		1/30/2013		2,500,000		2,528,818		2,550,700
66989HAA6	NOVARTIS CAPITAL CORP		4.13		2/10/2014		12,775,000		12,767,143		13,631,083
68268NAF0	ONEOK, INC.		3.25		2/1/2016		3,550,000		3,547,940		3,514,462
70336TAA2	PATRIOT COAL CORP		3.25		5/31/2013		3,040,000		2,768,787		2,992,652
706451BS9	PEMEX PROJECT FUNDING MASTER T		5.75		3/1/2018		1,250,000		1,386,410		1,331,250
713448BK3	PEPSICO INC		3.75		3/1/2014		16,350,000		16,328,984		17,317,845
717081DA8	PFIZER INC.		5.35		3/15/2015		7,750,000		8,219,103		8,621,380
718172AA7	PHILIP MORRIS INTERNATIONAL IN		5.65		5/16/2018		1,100,000		1,285,416		1,222,052
718172AG4	PHILIP MORRIS INTERNATIONAL IN		6.88		3/17/2014		4,000,000		4,579,301		4,587,512
74005PAJ3	PRAXAIR INC.		6.38		4/1/2012		1,000,000		1,006,281		1,057,940
74369LAF0	PROTEIN DESIGN LABS, INC.		2		2/15/2012		2,995,000		2,930,231		3,019,439
771196AQ5	ROCHE HOLDINGS INC		5		3/1/2014		3,150,000		3,268,645		3,429,296
78355HJQ3	RYDER SYSTEM INC.		3.15		3/2/2015		1,050,000		1,049,610		1,053,982
78387GAP8	AT&T INC		5.1		9/15/2014		4,000,000		4,357,593		4,368,276
78403DAB6	SBA TOWER TRUST		5.1		4/15/2042		5,300,000		5,666,836		5,489,982
790849AE3	ST. JUDE MEDICAL INC.		3.75		7/15/2014		5,353,000		5,706,906		5,624,811
833034AC5	SNAP-ON INCORPORATED		6.25		8/15/2011		1,400,000		1,408,409		1,426,824
88166DAB2	TEVA PHARMACEUTICAL FINANCE II		0.81		3/21/2014		3,275,000		3,275,000		3,286,561
883556AW2	THERMO FISHER SCIENTIFIC INC		2.05		2/21/2014		2,000,000		1,999,440		2,021,783
887317AC9	TIME WARNER INC		5.88		11/15/2016		3,800,000		4,415,613		4,241,213
88732JAH1	TIME WARNER CABLE INC		5.85		5/1/2017		3,800,000		4,335,881		4,149,139

Allied World Assurance Company Holdings, AG
Securities Listing as at March 31, 2011

Cusip	Security Description	Coupon		Maturity			Par		Book Value $		Market Value $
88732JAK4	TIME WARNER CABLE INC		6.2		7/1/2013			2,500,000		2,700,238		2,747,614
88732JAR9	TIME WARNER CABLE INC		7.5		4/1/2014			1,500,000		1,673,775		1,717,252
88732JAW8	TIME WARNER CABLE INC		5		2/1/2020			1,050,000		1,062,867		1,057,124
904764AJ6	UNILEVER CAPITAL CORP		3.65		2/15/2014			20,000,000		19,984,293		20,995,268
907818CV8	UNION PACIFIC CO		4.88		1/15/2015			1,150,000		1,156,079		1,240,499
91913YAQ3	VALERO ENERGY CORPORATION		4.5		2/1/2015			325,000		324,320		339,208
92343VAY0	VERIZON COMMUNICATIONS INC.		3		4/1/2016			11,500,000		11,440,270		11,428,111
92343VAZ7	VERIZON COMMUNICATIONS INC.		0.92		3/28/2014			6,700,000		6,700,000		6,735,576
92344SAJ9	CELLCO PARTNERSHIP/VERIZON WIR		7.38		11/15/2013			4,550,000		4,777,474		5,216,505
92344SAK6	CELLCO PARTNERSHIP/VERIZON WIR		8.5		11/15/2018			15,700,000		21,320,951		20,177,674
92344SAP5	CELLCO PARTNERSHIP/VERIZON WIR		5.55		2/1/2014			10,150,000		10,520,205		11,148,615
931142CQ4	WAL-MART STORES INC		3.2		5/15/2014			10,000,000		9,999,136		10,434,842
98235TAA5	WRIGHT MEDICAL GRP INC.		2.63		12/1/2014			3,220,000		2,993,265		3,231,592
982526AF2	WM. WRIGLEY JR. COMPANY		2.45		6/28/2012			2,000,000		1,999,587		2,016,025
983024AA8	WYETH		5.5		3/15/2013			5,000,000		5,217,253		5,406,843
984121BS1	XEROX CREDIT CORPORATION		5.5		5/15/2012			1,550,000		1,609,471		1,624,167
02364WAV7	AMERICA MOVIL SA		5		3/30/2020			10,000,000		10,926,177		10,276,812
034863AA8	ANGLO AMERICAN CAPITAL PLC		9.38		4/8/2014			11,280,000		12,835,168		13,546,608
034863AC4	ANGLO AMERICAN CAPITAL PLC		2.15		9/27/2013			1,800,000		1,798,740		1,808,987
05530QAC4	BAT INTERNATIONAL FINANCE PLC		8.13		11/15/2013			5,255,000		6,081,729		6,081,359
055451AH1	BHP BILLITON FINANCE (USA) LTD		6.5		4/1/2019			6,000,000		7,376,348		7,093,352
067316AA7	BACARDI LTD		7.45		4/1/2014			12,100,000		12,092,948		13,891,879
067901AB4	BARRICK GOLD CORP		6.95		4/1/2019			1,700,000		2,150,399		2,031,016
22303QAK6	COVIDIEN INTERNATIONAL FINANCE		2.8		6/15/2015			10,800,000		10,819,193		10,831,316
25156PAL7	DEUTSCHE TELEKOM INTL		6.75		8/20/2018			3,800,000		4,607,904		4,474,744
25243YAL3	DIAGEO CAPITAL PLC		5.2		1/30/2013			1,000,000		1,064,576		1,066,664
25244SAD3	DIAGEO FINANCE BV		5.5		4/1/2013			4,500,000		4,817,267		4,849,321
35177PAS6	FRANCE TELECOM		4.38		7/8/2014			400,000		437,560		429,095
368266AN2	GAZ CAPITAL FOR GAZPROM		5.09		11/29/2015			2,750,000		2,750,000		2,870,175
37373WAA8	METALURGICA GERDAU SA		5.75		1/30/2021			3,300,000		3,399,700		3,336,512
44841AAA6	HUTCHISON WHAMPOA INTERNATIONA		4.63		9/11/2015			6,100,000		6,586,138		6,459,670
44920UAB4	HYUNDAI CAP SVC		6		5/5/2015			2,000,000		2,001,864		2,146,820
71645WAN1	PETROBRAS INTERNATIONAL FINANC		7.88		3/15/2019			4,300,000		5,359,059		5,047,125
71645WAT8	PETROBRAS INTERNATIONAL FINANC		3.88		1/27/2016			2,250,000		2,242,663		2,262,103
71654QAW2	PETROLEOS MEXICANOS		6		3/5/2020			3,600,000		4,015,819		3,816,000
74733LAC6	QTEL INTERNATIONAL FINANCE LTD		3.38		10/14/2016			6,100,000		6,119,616		5,886,500
758202AF2	REED ELSEVIER PLC		7.75		1/15/2014			9,825,000		9,809,770		11,202,204
767201AF3	RIO TINTO FINANCE USA LIMITED		8.95		5/1/2014			10,975,000		13,312,434		13,203,470
767201AJ5	RIO TINTO FINANCE USA LIMITED		1.88		11/2/2015			1,600,000		1,598,807		1,532,965
77509NAH6	ROGERS CABLE INC.		6.25		6/15/2013			625,000		675,249		687,810
77509NAK9	ROGERS COMMUN INC.		5.5		3/15/2014			10,000,000		10,765,585		10,920,554
80105NAB1	SANOFI-AVENTIS		1.63		3/28/2014			1,000,000		998,634		997,472
80105NAC9	SANOFI AVENTIS		0.62		3/28/2014			4,450,000		4,450,000		4,461,881
822582AF9	SHELL INTL FINAN		4		3/21/2014			1,000,000		1,016,670		1,065,423
822582AG7	SHELL INTL FINAN		1.3		9/22/2011			1,250,000		1,249,988		1,254,128
822582AQ5	SHELL INTL FINAN		3.1		6/28/2015			19,500,000		19,488,457		19,923,404
84359YAB2	SOUTHERN PACIFIC RESOURCE CORP		6		6/30/2016			1,800,000		1,768,438		2,016,962
878742AJ4	TECK COMINCO LIMITED		9.75		5/15/2014			6,100,000		7,429,728		7,381,000
87938WAJ2	TLEFONICA EMISNS		4.95		1/15/2015			22,000,000		23,140,357		23,140,035
88166CAA6	TEVA PHARMACEUTICAL FINANCE II		3		6/15/2015			13,875,000		13,860,316		13,995,851
8935268Y2	TRANSCANADA PIPELINES LIMITED		7.13		1/15/2019			1,800,000		2,290,228		2,172,651
893526CC5	TRANSCANADA PIPELINES LIMITED		8.63		5/15/2012			11,675,000		12,130,287		12,624,265
89378TAB9	TRANSNET LTD		4.5		2/10/2016			5,950,000		5,917,683		6,074,057
91911TAF0	VALE OVERSEAS LIMITED		6.25		1/11/2016			4,300,000		4,887,420		4,797,588
92857WAK6	VODAFONE GROUP PLC		5.75		3/15/2016			4,700,000		5,236,327		5,250,609
92857WAP5	VODAFONE GROUP PLC		5.63		2/27/2017			9,300,000		9,953,447		10,254,025
92857WAS9	VODAFONE GROUP PLC		5.45		6/10/2019			2,750,000		3,189,771		3,005,234
980888AC5	WOOLWORTHS LTD		2.55		9/22/2015			2,750,000		2,747,103		2,695,589
74369LAF0	PROTEIN DESIGN LAB		2		2/15/2012			1,005,000		1,005,000		1,013,201
								849,393,598		892,468,465		908,072,422
Corporate Securities — Utilities
037735CQ8	APPALACHIAN POWER COMPANY		3.4		5/24/2015			1,075,000		1,072,515		1,082,177
166751AH0	CHEVRONTEXACO CORPORATION		3.95		3/3/2014			3,000,000		3,184,317		3,205,607
202795HW3	COMMONWEALTH EDISON COMPANY		1.63		1/15/2014			1,600,000		1,597,833		1,585,419
209111DZ3	CONSOLIDATED EDISON CO OF NY		5.63		7/1/2012			550,000		543,172		579,786
209111EA7	CONSOLIDATED EDISON CO OF NY		4.88		2/1/2013	��		3,000,000		3,171,349		3,177,113
209111EX7	CONSOLIDATED EDISON CO OF NY		6.65		4/1/2019			4,589,000		5,677,101		5,430,623
22282EAA0	COVANTA HOLDING CORP		1		2/1/2027			2,880,000		2,740,650		2,868,958
264399EQ5	DUKE ENERGY CORP		6.3		2/1/2014			15,150,000		15,650,228		16,885,508

Allied World Assurance Company Holdings, AG
Securities Listing as at March 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
291011AT1	EMERSON ELECTRIC CO		4.5		5/1/2013		1,000,000		982,537		1,062,496
29364GAE3	ENTERGY CORPORATION		3.63		9/15/2015		1,500,000		1,532,204		1,478,675
302570AV8	FPL GROUP CAPITAL INC		5.63		9/1/2011		1,000,000		995,769		1,020,039
340711AQ3	FL GAS TSMN CO		7.9		5/15/2019		7,000,000		8,371,244		8,416,881
340711AR1	FL GAS TSMN CO		4		7/15/2015		700,000		699,888		714,470
373334FN6	GEORGIA POWER COMPANY		5.13		11/15/2012		1,250,000		1,247,990		1,331,008
373334JM4	GEORGIA POWER COMPANY		6		11/1/2013		1,000,000		1,100,401		1,111,074
391164AD2	GREAT PLAINS ENERGY INCORPORAT		2.75		8/15/2013		3,000,000		2,998,903		3,007,249
45138LAK9	IDAHO POWER COMPANY		4.75		11/15/2012		1,750,000		1,721,296		1,854,248
461070AH7	INTERSTATE POWER & LIGHT CO		3.3		6/15/2015		3,000,000		2,992,179		3,031,470
494550AU0	KINDER MORGAN ENERGY PARTNERS		6		2/1/2017		2,000,000		2,193,499		2,219,765
494550AZ9	KINDER MORGAN ENERGY PARTNERS		9		2/1/2019		4,500,000		5,666,451		5,669,866
494550BB1	KINDER MORGAN ENERGY PARTNERS		6.85		2/15/2020		2,145,000		2,437,498		2,450,604
494550BE5	KINDER MORGAN ENERGY PARTNERS		5.3		9/15/2020		1,375,000		1,374,464		1,425,304
559080AA4	MAGELLAN MIDSTREAM PARTNERS LP		6.45		6/1/2014		10,550,000		10,290,638		11,721,492
595620AD7	MIDAMERICAN ENERGY HOLDINGS CO		4.65		10/1/2014		25,800,000		25,928,267		27,997,947
67021CAB3	NSTAR ELEC CO		4.88		4/15/2014		5,000,000		5,211,618		5,396,848
674599BZ7	OCCIDENTAL PETROLEUM		2.5		2/1/2016		5,000,000		4,997,147		4,926,604
69331CAE8	PG&E CORPORATION		5.75		4/1/2014		10,000,000		9,966,100		10,930,072
694308GP6	PACIFIC GAS AND ELECTRIC CO		6.25		12/1/2013		13,000,000		12,945,408		14,411,770
695114BU1	PACIFICORP		6.9		11/15/2011		1,000,000		1,003,106		1,039,320
737679CW8	POTOMAC ELECTRIC POWER COMPANY		4.95		11/15/2013		1,200,000		1,119,701		1,302,228
743263AM7	PROGRESS ENERGY INC.		6.05		3/15/2014		10,000,000		10,134,544		11,076,929
744448BU4	PUBLIC SERVICE COLORADO		7.88		10/1/2012		1,070,000		1,063,275		1,175,971
74456QAW6	PUBLIC SERVICE ELECTRIC & GAS		2.7		5/1/2015		1,075,000		1,073,395		1,073,914
748356AA0	QUESTAR CORP		2.75		2/1/2016		1,200,000		1,198,076		1,187,807
779382AN0	ROWAN CO		5		9/1/2017		1,625,000		1,617,516		1,676,552
816851AR0	SEMPRA ENERGY		1.06		3/15/2014		4,000,000		4,000,000		4,019,760
842434CA8	SOUTHERN CALIFORNIA GAS CO		4.8		10/1/2012		700,000		688,832		737,536
842587CE5	SOUTHERN COMPANY		4.15		5/15/2014		10,575,000		10,585,545		11,091,776
842587CG0	SOUTHERN COMPANY		2.38		9/15/2015		400,000		407,132		390,853
84755TAB3	SPECTRA ENERGY CAPITAL LLC		5.9		9/15/2013		2,650,000		2,829,772		2,876,899
947074AJ9	WEATHERFORD INTL, INC.		6.35		6/15/2017		2,000,000		2,206,211		2,206,657
96950FAB0	WILLIAMS PRTNRS		3.8		2/15/2015		5,000,000		5,011,284		5,149,510
976656CA4	WISCONSIN ELECTRIC POWER CO		6		4/1/2014		4,500,000		5,055,329		4,992,147
15135UAB5	CENOVUS ENERGY INC		4.5		9/15/2014		1,350,000		1,349,126		1,443,830
268317AA2	ELECTRICITE DE FRANCE		5.5		1/26/2014		9,900,000		9,876,519		10,833,001
29268BAE1	ENEL FINANCE INTERNATIONAL SA		5.13		10/7/2019		11,000,000		10,957,314		11,091,661
50064YAB9	KOREA HYDRO		3.13		9/16/2015		6,100,000		6,175,657		5,958,366
65504LAB3	NOBLE HOLDING INTERNATIONAL CA		3.45		8/1/2015		825,000		825,000		839,084
893526DH3	TRANSCANADA PIPELINES LIMITED		3.4		6/1/2015		4,250,000		4,249,299		4,353,565
89352HAA7	TRANS-CANADA PIPELINES		4		6/15/2013		5,300,000		5,294,199		5,563,444
89354FAE1	TRANSCAPITALINVEST LTD FOR OJS		8.7		8/7/2018		1,700,000		2,087,306		2,112,250
94707VAA8	WEATHERFORD INTL, INC.		5.13		9/15/2020		1,650,000		1,647,795		1,631,897
							221,484,000		227,746,599		238,818,031
Asset Backed Securities — Credit Cards
05522RBF4	BACCT		0.29		12/15/2016		2,750,000		2,729,529		2,732,785
06423RAV8	BOIT		0.47		1/15/2016		2,250,000		2,252,611		2,252,408
126802BJ5	CABELAS MASTER CREDIT CARD TRU		1.71		1/16/2018		13,925,000		14,413,128		14,405,831
126802BM8	CABMT_10-IA		2.29		9/17/2018		2,000,000		1,999,234		1,966,900
161571AA2	CHASE ISSURANCE TRUST 04_A8		0.34		9/15/2015		3,250,000		3,245,346		3,247,075
161571CH5	CHAIT		5.12		10/15/2014		15,600,000		16,512,973		16,600,584
161571DD3	CHAIT		1.81		9/15/2015		13,500,000		13,933,551		13,923,090
17305EER2	CCCIT		2.25		12/23/2014		10,000,000		10,079,139		10,211,800
55264TDX6	MBNA CREDIT CARD MASTER NOTE T		0.28		10/15/2015		750,000		747,498		747,442
							64,025,000		65,913,009		66,087,915
Asset Backed Securities — Auto
02005ABB3	ALLY MASTER OWNER TRUST AMOT_1		1.09		1/15/2016		13,000,000		13,000,000		13,043,810
02005TAD9	ALLYA_11-1		2.23		3/15/2016		6,000,000		5,999,469		6,028,740
06052FAC4	BAAT_09-2		2.13		9/15/2013		16,032,307		16,032,247		16,153,221
06052MAC9	BAAT		1.31		7/15/2014		2,300,000		2,299,959		2,312,650
09657MAC2	BMWLT_10-1		1.39		4/25/2014		1,350,000		1,349,983		1,359,828
14313CAC0	CARMX_10-1		1.56		7/15/2014		1,500,000		1,499,887		1,510,395
14313EAC6	CARMX_10-2		1.41		2/16/2015		10,000,000		9,999,875		10,073,600
34529GAF2	FORDO_09-D		2.17		10/15/2013		27,671,902		27,670,702		27,961,107
34529HAC7	FORDO		1.51		1/15/2014		2,650,000		2,649,803		2,664,045
34529PAC9	FORDO_11-A		0.97		1/15/2015		3,500,000		3,499,543		3,487,715
41283KAC1	HDMOT_10-1		1.16		2/15/2015		3,650,000		3,649,569		3,645,365
43812BAG8	HAROT_10-1		1.25		10/21/2013		2,500,000		2,499,830		2,511,328
43812WAC1	HONDA AUTO RECIEVABLES OWNER T		2.31		5/15/2013		1,317,462		1,328,692		1,330,043

Allied World Assurance Company Holdings, AG
Securities Listing as at March 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
43813TAD5	HAROT_11-1		1.8		4/17/2017		2,500,000		2,499,344		2,503,225
44923YAC1	HART_10-B		0.97		4/15/2015		2,150,000		2,149,709		2,141,185
44924CAA2	HCAF_10-8A		1.25		9/20/2016		2,275,000		2,223,637		2,259,462
587682AC9	MBART_10-A		1.42		8/15/2014		1,050,000		1,049,876		1,058,033
98158KAD1	WORLD OMNI AUTO RECEIVABLES TR		1.91		4/16/2016		6,200,000		6,199,725		6,185,740
							105,646,671		105,601,848		106,229,490
Asset Backed Securities —Student Loans
00432CAZ4	AGSL_03-1		1.75		12/26/2035		4,100,000		3,716,500		3,679,750
00432CBB6	AGSL_03-1		1.76		12/26/2035		3,600,000		3,225,541		3,231,000
00432CBP5	AGSL_03-1		1.76		12/27/2032		5,350,000		4,734,111		4,801,625
041150DJ9	ASLA_10-1		1.21		11/25/2043		7,224,211		7,155,897		7,172,269
10620NCG1	BRHEA_05-2		1.11		2/25/2030		12,800,000		12,628,152		12,801,280
194262CD1	COLLE_04-1		0.46		4/25/2021		17,219,723		17,192,606		17,187,350
28140VAB9	EFCT_04-1		0.47		12/15/2022		4,730,340		4,679,135		4,696,944
429827AB4	HEF_10-401		1.64		1/1/2044		2,100,000		1,743,835		1,831,450
429827AE8	HIGHER EDUCATION FUNDING HEF_0		0		1/1/2044		2,100,000		1,746,902		1,831,448
429827AF5	HEF_10-401		1.76		1/1/2044		2,100,000		1,741,673		1,831,444
429827AJ7	HIGHER EDUCATION FUNDING HEF_0		0.41		1/1/2044		2,100,000		1,762,769		1,831,469
429827AK4	HIGHER EDUCATION FUNDING HEF_0		0.15		1/1/2044		2,300,000		1,919,906		2,005,894
429827AN8	HEF_04-1		4.4		1/1/2044		2,100,000		1,749,016		1,831,469
429827AQ1	HEF_04-1		0		1/1/2044		2,950,000		2,440,821		2,610,732
57563NAA6	MEFA		1.25		4/25/2038		4,227,675		4,209,284		4,244,671
698475AM2	PPHEA_10-2		1.43		10/1/2035		8,400,000		8,400,000		8,472,879
71722TAF1	PHEAA_04-1		1.75		4/25/2044		2,000,000		1,824,685		1,875,000
71722TAG9	PHEAA_04-1		1.75		4/25/2044		6,000,000		5,492,360		5,505,000
78442GHZ2	SLMA		1.74		12/15/2016		8,100,000		8,100,000		8,099,977
78442GJA5	SLM STUDENT LOAN TR 2003-10A		1.75		12/15/2016		1,700,000		1,700,000		1,699,995
78442GJD9	SLM STUDENT LOAN TR 2003-10A		1.7		12/15/2016		8,200,000		8,145,882		8,199,977
78442GQR0	SLMA		1.05		1/25/2028		425,000		415,458		416,738
78445DAA8	SLMA_09-B		6.22		7/15/2042		16,079,094		15,550,453		15,536,888
83715AAK5	SOUTH CAROLINA STUDENT LN CORP		0.72		1/25/2021		7,453,229		7,439,814		7,476,781
86386MAY0	STUDENT LOAN CON		1.48		10/25/2027		82,764,809		82,764,809		82,764,809
							216,124,083		210,479,609		211,636,840
Asset Backed Securities — Other
62888VAB4	NCUA GUARANTEED NOTES		1.84		10/7/2020		1,894,620		1,894,467		1,902,313
12612AAC6	CNH_09-C		1.85		12/16/2013		1,218,379		1,218,370		1,224,686
12612BAC4	CNH_10-A		1.54		7/15/2014		1,490,948		1,490,816		1,501,070
12621UAC1	CNH_10-B		1.03		11/17/2014		5,000,000		4,999,204		5,001,200
12621UAD9	CNH_10-B		1.74		1/17/2017		4,750,000		4,749,046		4,714,233
15200MAA5	CNP		4.19		2/1/2020		2,919,220		3,137,667		3,138,133
15200NAA3	CNP		1.83		2/15/2016		1,999,732		1,999,715		2,008,451
15200NAB1	CNP		3.46		8/15/2018		2,400,000		2,486,410		2,434,032
29365KAA1	ETI		2.12		2/1/2016		1,140,565		1,140,528		1,153,066
36829KAC2	GESET		1.92		7/15/2016		3,619,936		3,619,795		3,634,525
36830HAC6	GE EQUIPMENT SMALL TICKET LLC		1.45		1/21/2018		1,700,000		1,699,752		1,697,365
477874AC5	JDOT_09		2.59		10/15/2013		1,363,959		1,373,611		1,374,306
47787AAD9	JDOT_10-A		1.32		5/15/2014		1,450,000		1,449,870		1,456,380
57164XAA7	MVCOT 2009-2A		4.81		7/20/2031		6,593,644		6,593,554		6,762,441
693401AE1	PERF		4.47		12/25/2014		2,900,000		3,042,696		3,055,353
75953MAD2	CENTERPOINT ENERGY TRANSITION		5.63		9/15/2015		5,426,137		5,765,212		5,787,952
826502AA4	SRFC		5.27		3/20/2019		533,332		544,914		553,166
82651KAA3	SRFC		4.52		8/20/2026		1,961,578		1,961,435		1,965,265
041239CD4	ARKLE_06-1A		1.71		5/17/2060		5,000,000		5,000,000		5,001,000
43641NBC7	HMI		1.7		10/15/2054		4,700,000		4,700,000		4,705,640
493897AB8	KDRE		0.37		12/10/2043		119,391		115,077		108,780
525221FY8	LXS		0.45		1/25/2036		26,012		26,012		24,741
82651AAA5	SRFC		5.37		9/20/2019		1,380,199		1,412,737		1,443,536
							59,587,652		60,420,888		60,647,631
Asset Backed Securities — CLO
16208NAA3	CHAT		0.56		8/3/2019		29,707,265		27,267,219		28,445,508
35165WAB2	FOXE_03-1A		1.21		12/15/2015		726,935		724,413		722,971
730018AA6	PLMR_10-1A		1.92		2/16/2019		3,650,000		3,650,000		3,644,376
G84358AA1	STANFIELD VEYRON		0.52		7/15/2018		25,000,000		24,150,069		24,194,900
00083VAA9	ACASC_07-1		0.53		4/20/2021		6,750,000		6,007,836		6,212,032
04010HAB8	ARES CLO FUNDS ARES		0.55		9/18/2017		6,333,847		6,131,899		6,127,579
04010HAC6	ARES_05-10A		0.55		9/18/2017		16,369,936		15,895,493		15,836,833
04011XAB2	ARES		0.56		2/24/2018		21,390,634		19,559,206		20,432,441
04011XAC0	ARES		0.56		2/24/2018		22,849,087		20,836,706		21,825,562
042423AA1	ARMST		0.85		8/1/2016		3,466,327		3,363,333		3,431,286
363206AF0	GALE		0.54		4/19/2021		10,000,000		8,882,014		9,291,790

Allied World Assurance Company Holdings, AG
Securities Listing as at March 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
482474AA1	KKR FINANCIAL CLO LTD KKR_05-1		0.57		4/26/2017		1,000,000		918,427		957,500
48248CAA2	KKR FINANCIAL CLO LTD KKR_07-1		0.66		5/15/2021		12,619,306		11,724,929		11,609,762
51506DAA1	LANDM_04-1A		0.66		12/15/2016		21,229,743		20,117,124		20,510,054
51506JAA8	LANDM_05-1A		0.61		6/1/2017		4,928,783		4,673,028		4,727,202
G6843PAA3	PCDO_04-4X		0.66		2/15/2017		3,288,537		3,208,281		3,193,401
							189,310,400		177,109,976		181,163,197
State and Municipal
04057PFH6	ARIZONA SCH FACS BRD CTFS PART		5		9/1/2019		1,775,000		1,701,819		1,828,978
040654MP7	ARIZONA ST TRANSN BRD		5		7/1/2020		500,000		482,761		542,540
040654NY7	ARIZONA ST TRANSN BRD		5		7/1/2021		1,500,000		1,428,246		1,600,695
040688GV9	ARIZONA WTR INFRASTRUCTURE FIN		5		10/1/2021		1,000,000		956,054		1,069,450
058508AN2	BALL ST UNIV IND		5		7/1/2018		1,900,000		1,879,938		2,044,096
126775RR8	CABARRUS CNTY N C		5		2/1/2018		500,000		499,426		579,295
13063A4V3	STATE OF CALIFORNIA		5.75		4/1/2031		1,250,000		1,292,051		1,282,200
144470AR2	CARRIER CREEK MICH DRAIN DIST		5		6/1/2022		1,000,000		926,183		1,056,710
181059BM7	CLARK CNTY NEV SCH DIST FOR IS		5		6/15/2017		1,500,000		1,496,286		1,615,980
184126UY4	CLAYTON CNTY & CLAYTON CNTY GA		5		5/1/2020		2,000,000		1,904,841		2,120,220
189194CL5	CLOVERDALE IND MULTI-SCH BLDG		5		7/15/2019		1,365,000		1,327,526		1,446,299
196632HT3	COLORADO SPRINGS COLO UTILS		5		11/15/2022		1,000,000		1,173,371		1,099,210
196632HU0	COLORADO SPRINGS COLO UTILS		5		11/15/2023		1,250,000		1,453,041		1,358,238
199491RW3	COLUMBUS OHIO		5.5		7/1/2012		500,000		510,684		531,045
207758AY9	CONNECTICUT ST SPL TAX OBLIG R		5		7/1/2019		650,000		623,560		702,891
2131838D1	COOK CNTY ILL		5		11/15/2019		1,000,000		960,554		1,050,960
230822PL6	CUMBERLAND VALLEY PA SCH DIST		5		11/15/2020		1,300,000		1,242,569		1,360,320
231266DM6	CURATORS UNIV MO SYS FACS REV		5		11/1/2021		2,000,000		1,860,636		2,099,200
235308KE2	DALLAS TEX INDPT SCH DIST		5		8/15/2021		1,605,000		1,527,634		1,737,766
249164HG2	DENVER COLO CITY & CNTY		5		8/1/2021		2,000,000		1,909,301		2,190,180
250119BY9	DES MOINES IOWA MET WASTEWATER		5		6/1/2019		1,045,000		1,011,954		1,118,255
294223LN0	EPHRATA PA AREA SCH DIST		5		3/1/2019		500,000		482,280		530,750
346604FJ5	FORSYTH CNTY GA SCH DIST		5		2/1/2020		1,430,000		1,377,386		1,531,959
365653GZ1	GARFIELD CNTY COLO SCH DIST NO		5		12/1/2020		1,610,000		1,547,429		1,747,575
385244HG6	GRAND BLANC MICH CMNTY SCHS		5		5/1/2020		1,000,000		966,384		1,053,750
406036EP4	HALL CNTY NEB SCH DIST NO 2 GR		5		12/15/2019		1,080,000		1,051,282		1,182,308
4140033N1	HARRIS CNTY TEX		0		8/15/2011		2,000,000		1,971,854		1,996,500
468312DN0	JACKSON MICH PUB SCHS		5		5/1/2020		1,000,000		960,844		1,041,830
48542KHX0	KANSAS ST DEV FIN AUTH REV		5		11/1/2020		2,000,000		1,908,388		2,139,180
48542KNH8	KANSAS ST DEV FIN AUTH REV		5		6/1/2012		500,000		506,878		524,340
49151EXA6	KENTUCKY ST PRP & BLDG COM		5		10/1/2017		565,000		562,152		629,873
508205GV7	LAKE COOK KANE AND MCHENRY CNT		5		12/1/2016		2,385,000		2,415,480		2,715,108
567505GY2	MARICOPA CNTY ARIZ UN HIGH SCH		5.13		7/1/2016		1,125,000		1,150,141		1,271,183
575579RS8	MASSACHUSETTS BAY TRANSN AUTH		5		7/1/2020		35,000		35,190		41,225
575579SL2	MASSACHUSETTS BAY TRANSN AUTH		5		7/1/2020		1,575,000		1,508,505		1,744,171
57582PDK3	MASSACHUSETTS ST		0.66		11/1/2018		2,000,000		1,523,375		1,797,480
586158KZ9	MEMPHIS TENN ELEC SYS REV		5		12/1/2014		2,000,000		2,016,728		2,216,120
615401JW7	MOON AREA SCH DIST PA		5		11/15/2018		1,360,000		1,345,088		1,498,788
625574HL5	MULTNOMAH CNTY ORE SCH DIST NO		5		6/15/2018		500,000		491,801		565,175
644682UL8	NEW HAMPSHIRE ST		5		6/1/2017		1,730,000		1,723,834		2,009,689
64468TRZ2	NEW HAMPSHIRE ST HSG FIN AUTH		5.88		7/1/2021		60,000		53,704		60,028
64983QWY1	NEW YORK ST DORM AUTH REVS NON		5		8/1/2018		2,000,000		1,981,873		2,211,800
650013T21	NEW YORK ST TWY AUTH		5		4/1/2019		2,000,000		1,942,252		2,102,360
656491KZ9	NORRISTOWN PA AREA SCH DIST		5		9/1/2021		1,000,000		1,018,588		1,082,520
662835QT7	NORTH TEX MUN WTR DIST TEX		5		6/1/2025		1,050,000		1,173,036		1,114,722
663903CA8	NORTHEAST OHIO REGL SWR DIST W		5		11/15/2016		1,900,000		1,936,294		2,181,485
677520SW9	OHIO ST		5		11/1/2020		1,500,000		1,433,909		1,611,630
677632HM6	OHIO ST UNIV		5		6/1/2011		2,000,000		2,004,514		2,015,480
680616PF0	OLENTANGY LOC SCH DIST OHIO		5		12/1/2017		2,000,000		2,005,419		2,236,280
681793T88	OMAHA PUB PWR DIST NEB ELEC RE		5		2/1/2018		2,000,000		1,972,747		2,171,220
709223YW5	PA ST TPK COMM		5		12/1/2023		4,500,000		5,085,200		4,690,575
742633PD6	PRIOR LAKE MINN INDPT SCH DIST		5		2/1/2020		1,195,000		1,167,517		1,268,660
745220FG3	PUERTO RICO COMWLTH INFRASTRUC		5.5		7/1/2017		1,000,000		1,045,621		1,059,190
759136LA0	REGIONAL TRANSN DIST COLO		5		11/1/2017		1,550,000		1,550,013		1,715,075
780427KA7	ROYAL OAK CITY MICH SCH DIST		5		5/1/2019		2,000,000		1,927,658		2,156,360
795560AR2	SALT LAKE & SANDY UTAH		5		7/1/2020		1,820,000		1,735,421		1,919,936
802072KA5	SANTA FE N M GROSS RCPTS TAX		5		6/1/2019		2,000,000		1,930,379		2,092,120
837562KS5	SOUTH DAKOTA ST UNIV		5		4/1/2020		1,545,000		1,465,497		1,598,241
88283LCS3	TEXAS TRANSN COMMN ST HWY FD		5		4/1/2022		2,000,000		1,892,675		2,154,420
914119HX3	UNIVERSITY CINCINNATI OHIO		5		6/1/2018		2,015,000		1,952,407		2,164,755
914437PF9	UNIVERSITY MASS BLDG AUTH		5		11/1/2019		1,530,000		1,465,092		1,618,786
915506KJ7	UPPER ARLINGTON OHIO CITY SCH		5		12/1/2021		1,250,000		1,185,234		1,319,888
927749GJ4	VIRGINIA BEACH VA		5		10/1/2019		790,000		772,671		912,940

Allied World Assurance Company Holdings, AG
Securities Listing as at March 31, 2011

Cusip	Security Description	Coupon			Maturity		Par		Book Value $		Market Value $
927749GP0	VIRGINIA BEACH VA		5			10/1/2019		945,000		924,271		1,037,714
938234MJ7	WASHINGTON CNTY ORE		5			6/1/2020		1,035,000		994,211		1,138,345
93974A7Q1	WASHINGTON STATE		5			1/1/2020		2,000,000		1,921,934		2,122,040
13063BFQ0	CALIFORNIA ST		5.75			3/1/2017		17,000,000		17,541,975		17,965,089
419791YH5	HAWAII ST		3.38			2/1/2016		2,575,000		2,586,132		2,585,892
4521518T3	ILLINOIS ST		3.32			1/1/2013		12,000,000		12,104,471		11,995,800
4521518V8	ILLINOIS ST		4.42			1/1/2015		12,620,000		12,642,842		12,546,678
452152HP9	ILLINOIS ST		4.03			3/1/2014		5,000,000		5,000,000		4,987,100
463655GW4	IRVINE RANCH CALIF WTR DIST JT		2.61			3/15/2014		3,500,000		3,595,475		3,563,245
57583PEN5	MASSACHUSETTS ST		3.59			12/15/2016		5,000,000		5,000,000		5,011,700
63968AQF5	NEBRASKA PUB PWR DIST		4.85			1/1/2014		4,000,000		4,000,000		4,273,520
64966B3L5	NEW YORK N Y		1			1/15/2016		5,250,000		5,197,755		5,208,368
64966JAS5	NEW YORK NY		6.65			12/1/2031		4,000,000		4,000,000		4,144,320
64971M5E8	NEW YORK NY CITY TRANSITIONAL		4.08			11/1/2020		3,000,000		3,000,000		2,942,100
650035TC2	NEW YORK ST URBAN DEV CORP REV		2.48			12/15/2013		4,250,000		4,324,583		4,297,558
677521HS8	OHIO ST		2.18			8/1/2014		3,500,000		3,500,000		3,492,930
83714RBA0	SOUTH CAROLINA STUDENT LN		0.4			12/2/2019		5,000,000		4,879,837		4,872,500
914455KY5	UNIVERSITY MICH UNIV REVS		2.36			4/1/2016		2,000,000		2,000,000		1,929,620
98458PAB1	YALE UNIVERSITY		2.9			10/15/2014		1,400,000		1,397,896		1,447,104
452281JB5	ILLINOIS STUDENT ASSISTANCE CO		0.78			4/25/2017		8,183,486		8,183,486		8,183,568
								191,998,486		191,206,044		199,875,188
Total Fixed Income Securities								6,483,353,496		6,398,229,626		6,504,637,981
Equities
018802108	ALLIANT ENERGY CORP		0	N/A				139,000		5,035,734		5,411,270
024013104	AMERICAN ASSETS TRUST INC		0	N/A				130,000		2,759,816		2,765,100
024835100	AMER CMPS COMM		0	N/A				171,500		5,150,438		5,659,500
053484101	AVALONBAY COMMUNITIES INC		0	N/A				33,900		3,555,450		4,070,712
126132109	CNOOC LTD.		0	N/A				11,000		2,181,332		2,783,440
253868103	DIGITAL REALTY		0	N/A				91,500		4,992,864		5,319,810
264411505	DUKE REALTY CORP		0	N/A				319,100		3,770,923		4,470,591
351858105	FRANCO NEVADA CORP		0	N/A				150,600		4,709,364		5,510,002
478160104	JOHNSON & JOHNSON		1.66	N/A				79,500		4,937,075		4,710,375
595017104	MICROCHIP TECHNOLOGY INC		0	N/A				172,000		5,692,847		6,537,720
638620104	NATIONWIDE HLTH PROPERTIES INC		0	N/A				150,000		5,544,790		6,379,500
646025106	NEW JERSEY RESOURCES		1.72	N/A				111,000		4,377,327		4,767,450
649445103	NEW YORK COMMUNITY BANCORP INC		0	N/A				313,000		5,382,987		5,402,380
655844108	NORFOLK SOUTHERN CORPORATION		0.32	N/A				87,000		5,233,279		6,026,490
664397106	NORTHEAST UTILITIES		0	N/A				84,000		2,480,549		2,906,400
718172109	PHILIP MORRIS INTERNATIONAL IN		0	N/A				122,000		6,883,357		8,006,860
718252604	PHILIPPINE LONG DISTANCE TEL C		0	N/A				59,000		3,177,501		3,156,500
737630103	POTLATCH CORPORATION		0	N/A				83,000		3,145,574		3,336,600
743263105	PROGRESS ENERGY INC		0	N/A				103,000		4,460,926		4,752,420
754907103	RAYONIER INC.		1.08	N/A				77,100		3,855,576		4,804,101
780287108	ROYAL GOLD INC		0	N/A				73,700		3,593,786		3,861,880
847560109	SPECTRA ENERGY CORP		0	N/A				175,500		4,109,732		4,770,090
872375100	TECO ENERGY INC.		0	N/A				265,000		4,449,238		4,971,400
904784709	UNILEVER N.V.		1.19	N/A				190,000		5,635,035		5,958,400
911312106	UNITED PARCEL SERV INC		0	N/A				69,000		4,656,302		5,128,080
962166104	WEYERHAEUSER COMPANY		2.4	N/A				221,000		4,766,986		5,436,600
976657106	WISCONSIN ENERGY CORPORATION		0.8	N/A				142,000		4,194,266		4,331,000
71646E100	PETROCHINA CO LTD		0	N/A				41,000		5,482,495		6,242,250
67019E107	NSTAR		1.98	N/A				50,000		1,849,049		2,313,500
89151E109	TOTAL SA		0	N/A				72,500		3,978,972		4,420,325
00163T109	AMB PROP CORP		0	N/A				173,800		4,826,020		6,251,586
00208D408	ARC RESOURCES LTD		0	N/A				153,000		3,246,229		4,031,550
03761U106	APOLLO INVSTMNT		0	N/A				401,000		4,547,618		4,836,060
03836W103	PHILADELPHIA SUBURBAN CORPORAT		0	N/A				206,000		4,148,511		4,715,340
09247X101	BLACKROCK CREDIT (OFFSHORE)		0	N/A				35,000		6,075,011		7,035,350
09784Y108	BONAVISTA ENERGY TRUST		0	N/A				171,900		4,368,875		5,157,000
13466Y105	CAMPUS CREST COMMUNITIES INC		0	N/A				215,000		2,710,951		2,543,450
15135U109	CENOVUS ENERGY INC		0	N/A				160,000		4,700,423		6,300,800
15189T107	CENTERPOINT ENERGY INC.		1.5	N/A				350,000		5,451,570		6,146,000
16941M109	CHINA MOBILE HONG KONG LIMITED		0	N/A				88,000		4,398,313		4,070,000
17133Q502	CHUNGHWA TELECOM CO. LTD.		0	N/A				76,500		2,165,274		2,383,740
22576C101	CRESCENT POINT ENERGY CORP		0	N/A				116,100		4,525,653		5,634,333
29250X103	ENBRIDGE ENERGY MANAGEMENT L.L		0	N/A				34,355		1,737,805		2,160,586
30161N101	EXELON CORPORATION		0	N/A				136,000		5,733,671		5,608,640
40414L109	HEALTH CARE PROPERTY INVESTORS		0	N/A				144,200		5,385,380		5,470,948

Allied World Assurance Company Holdings, AG
Securities Listing as at March 31, 2011

Cusip	Security Description	Coupon			Maturity	Par		Book Value $		Market Value $
49455U100	KINDER MORGAN MANAGEMENT LLC		0	N/A			55,933		3,325,446		3,668,672
69331C108	PG&E CORPORATION		0	N/A			69,800		3,071,210		3,083,764
80105N105	SANOFI AVENTIS		0	N/A			193,000		6,246,397		6,797,460
98156Q108	WORLD WRESTLING ENTERTAINMENT		0	N/A			151,000		2,302,134		1,898,070
98389B100	XCEL ENERGY INC		0	N/A			153,400		3,426,341		3,664,726
G16962204	BUNGE LTD		0	N/A			34,000		2,978,728		3,588,190
J2785A104	JAPAN LOGISTICS FD		0	N/A			199		1,635,992		1,613,514
Q25758105	COAL & ALLIED INDUSTRIES LTD		0	N/A			26,800		3,128,635		3,313,077
Q3944W187	FOSTERS GROUP LTD		0	N/A			1,092,000		5,984,816		6,457,444
S62435862	SINGAPORE AIRPORT TERMINAL SER		0	N/A			2,144,000		4,526,149		4,269,290
SB0D6P437	MAPLETREE LG TR		0	N/A			3,431,560		2,233,508		2,463,754
SB23WXW97	PARKWAY HOLDINGS LIMITED		0	N/A			1,371,000		1,824,523		1,859,905
SB296MJ50	LIPPO MAPLETREE INDONESIA RETA		0	N/A			6,630,875		2,615,361		2,840,676
SB53X5727	AG GROWTH INTERNATIONAL INC		0	N/A			65,900		3,155,771		3,145,045
SB67C8W83	CRESCENT POINT ENERGY CORP		0	N/A			900		35,000		43,531
SB67JFX97	BONAVISTA ENERGY TRUST		0	N/A			2,100		49,162		64,765
SBOTLGM70	GZI REAL ESTATE INVESTMENT TRU		0	N/A			4,768,000		2,064,752		2,488,761
Y0205X103	ASCENDAS REAL ESTATE INVESTMEN		0	N/A			2,002,000		2,949,596		3,240,048
							28,440,222		245,618,396		271,056,820