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

Exhibit 99.3

Allied World Assurance Company Holdings, AG

Securities Listing as at June 30, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
U.S. Government Securities
9127952K6	UNITED STATES TREASURY		—		6/30/2061		360,000		359,967		359,967
9127953G4	UNITED STATES TREASURY		—		6/30/2061		116,000,000		115,873,032		115,873,032
9127953K5	UNITED STATES TREASURY		—		6/30/2061		654,000		653,869		653,869
9127953S8	UNITED STATES TREASURY		—		6/30/2061		17,500,000		17,475,641		17,475,641
912810DW5	UNITED STATES TREASURY		7.25		5/15/2016		310,000		356,380		391,418
912810EZ7	UNITED STATES TREASURY		6.63		2/15/2027		2,475,000		3,027,227		3,274,598
9128277L0	UNITED STATES TREASURY		4.88		2/15/2012		1,155,000		1,171,371		1,188,969
912828AJ9	UNITED STATES TREASURY		4.38		8/15/2012		500,000		506,789		523,085
912828AP5	UNITED STATES TREASURY		4.00		11/15/2012		2,465,000		2,539,115		2,589,310
912828BA7	UNITED STATES TREASURY		3.63		5/15/2013		1,500,000		1,555,832		1,589,205
912828BR0	UNITED STATES TREASURY		4.25		11/15/2013		335,000		346,042		363,763
912828CA6	UNITED STATES TREASURY		4.00		2/15/2014		990,000		1,042,834		1,075,338
912828CT5	UNITED STATES TREASURY		4.25		8/15/2014		1,440,000		1,539,579		1,591,560
912828DM9	UNITED STATES TREASURY		4.00		2/15/2015		1,500,000		1,600,973		1,653,345
912828DV9	UNITED STATES TREASURY		4.13		5/15/2015		500,000		538,049		554,830
912828EE6	UNITED STATES TREASURY		4.25		8/15/2015		1,000,000		1,083,946		1,116,610
912828EW6	UNITED STATES TREASURY		4.50		2/15/2016		1,000,000		1,098,280		1,131,150
912828FN5	UNITED STATES TREASURY		4.88		7/31/2011		4,500,000		4,511,248		4,517,595
912828FY1	UNITED STATES TREASURY		4.63		11/15/2016		5,235,000		5,481,221		5,973,083
912828GA2	UNITED STATES TREASURY		4.50		11/30/2011		1,050,000		1,064,446		1,069,173
912828GC8	UNITED STATES TREASURY		4.63		12/31/2011		500,000		506,411		511,155
912828GM6	UNITED STATES TREASURY		4.50		3/31/2012		950,000		972,750		980,656
912828GX2	UNITED STATES TREASURY		2.63		7/15/2017		8,800,000		10,384,848		11,110,139
912828HC7	UNITED STATES TREASURY		4.13		8/31/2012		1,000,000		1,032,470		1,044,880
912828HH6	UNITED STATES TREASURY		4.25		11/15/2017		1,000,000		1,089,533		1,121,000
912828HT0	UNITED STATES TREASURY		2.75		2/28/2013		800,000		816,469		831,248
912828HV5	UNITED STATES TREASURY		2.50		3/31/2013		17,150,000		17,474,765		17,778,376
912828HY9	UNITED STATES TREASURY		3.13		4/30/2013		1,200,000		1,232,576		1,259,016
912828JK7	UNITED STATES TREASURY		3.13		8/31/2013		1,025,000		1,053,361		1,082,738
912828JQ4	UNITED STATES TREASURY		2.75		10/31/2013		1,500,000		1,499,720		1,575,255
912828JZ4	UNITED STATES TREASURY		1.75		1/31/2014		1,000,000		997,098		1,027,860
912828KC3	UNITED STATES TREASURY		1.38		2/15/2012		6,905,000		6,937,477		6,957,685
912828KN9	UNITED STATES TREASURY		1.88		4/30/2014		750,000		747,341		773,408
912828KY5	UNITED STATES TREASURY		2.63		6/30/2014		495,000		498,294		521,621
912828LC2	UNITED STATES TREASURY		2.63		7/31/2014		31,000,000		32,360,169		32,679,580
912828LL2	UNITED STATES TREASURY		3.00		8/31/2016		17,200,000		17,205,477		18,210,500
912828LQ1	UNITED STATES TREASURY		2.38		9/30/2014		1,700,000		1,699,974		1,779,118
912828LZ1	UNITED STATES TREASURY		2.13		11/30/2014		150,000,000		149,228,226		155,583,000
912828MA5	UNITED STATES TREASURY		2.75		11/30/2016		72,000,000		71,141,784		75,068,646
912828MG2	UNITED STATES TREASURY		1.38		1/15/2013		5,000,000		4,979,845		5,076,550
912828MM9	UNITED STATES TREASURY		0.75		11/30/2011		13,100,000		13,100,000		13,135,108
912828MR8	UNITED STATES TREASURY		2.38		2/28/2015		100,000		99,944		104,469
912828MZ0	UNITED STATES TREASURY		2.50		4/30/2015		11,400,000		11,599,561		11,955,863
912828NB2	UNITED STATES TREASURY		1.00		4/30/2012		13,050,000		13,067,046		13,136,261
912828NC0	UNITED STATES TREASURY		1.38		5/15/2013		64,600,000		64,773,257		65,724,680
912828NE6	UNITED STATES TREASURY		0.75		5/31/2012		53,700,000		53,699,978		53,957,766
912828NH9	UNITED STATES TREASURY		1.13		6/15/2013		45,000,000		44,904,003		45,580,950
912828NU0	UNITED STATES TREASURY		0.75		8/15/2013		100,000		99,961		100,539
912828PD6	UNITED STATES TREASURY		0.38		10/31/2012		6,000,000		6,000,588		6,005,880
912828PE4	UNITED STATES TREASURY		1.25		10/31/2015		16,700,000		16,675,928		16,559,052
912828PS3	UNITED STATES TREASURY		2.00		1/31/2016		19,000,000		18,889,911		19,369,930
912828PU8	UNITED STATES TREASURY		0.50		11/15/2013		16,055,000		15,928,483		16,017,431
912828PW4	UNITED STATES TREASURY		0.63		12/31/2012		20,000,000		20,013,023		20,078,198
912828QE3	UNITED STATES TREASURY		0.63		4/30/2013		12,900,000		12,928,749		12,944,376
912828QF0	UNITED STATES TREASURY		2.00		4/30/2016		23,500,000		23,606,059		23,853,206
912828QH6	UNITED STATES TREASURY		1.25		2/15/2014		7,000,000		6,997,606		7,102,830
912828QJ2	UNITED STATES TREASURY		2.13		2/29/2016		14,475,000		14,430,019		14,818,492
912828QL7	UNITED STATES TREASURY		0.75		3/31/2013		15,000,000		15,041,958		15,086,099
912828QN3	UNITED STATES TREASURY		3.13		5/15/2021		2,500,000		2,556,197		2,492,975
912828QQ6	UNITED STATES TREASURY		2.38		5/31/2018		5,000,000		5,023,649		4,973,050
912828QR4	UNITED STATES TREASURY		1.50		6/30/2016		14,000,000		13,924,218		13,828,780
							853,624,000		857,044,568		874,763,906
U.S. Government Agencies
313384L$6	FHLB		—		6/30/2061		12,800,000		12,797,600		12,797,600
3133XVEM9	FHLB		1.63		11/21/2012		3,000,000		2,997,049		3,052,080
3133XVNU1	FHLB		2.75		12/12/2014		74,500,000		74,809,470		78,251,828
3135G0AR4	FNMA		1.00		2/17/2026		11,100,000		11,100,000		11,107,031
3137EACE7	FHLMC		2.13		9/21/2012		11,500,000		11,493,308		11,751,160
31398A4M1	FNMA		1.63		10/26/2015		21,500,000		21,717,433		21,453,344
31398A6F4	FNMA		0.38		12/28/2012		3,000,000		2,988,316		2,999,040
31398AJ94	FNMA		1.75		5/7/2013		5,000,000		4,995,185		5,114,250
							142,400,000		142,898,361		146,526,333
Non U.S. Government Securities & Agencies
013051DA2	ALBERTA PROVINCE OF		2.75		12/1/2014		950,000		928,229		1,004,329

Allied World Assurance Company Holdings, AG

Securities Listing as at June 30, 2011

Cusip	Security Description	Coupon		Maturity		Par			Book Value $			Market Value $
038461AC3	AID-EGYPT		4.45		9/15/2015		25,000,000			25,982,228			27,591,763
110709FD9	BRITISH COLUMBIA PROVINCE OF		5.75		1/9/2012		900,000			906,263			954,342
135087YN8	CANADA GOVERNMENT		3.50		6/1/2013		7,850,000			7,866,595			8,428,070
135087YS7	CANADA GOVERNMENT		3.00		6/1/2014		2,015,000			1,938,268			2,155,623
135087YU2	CANADA GOVERNMENT		2.00		12/1/2014		9,860,000			9,201,810			10,226,597
135087YW8	CANADA GOVERNMENT		1.00		9/1/2011		550,000			510,978			569,891
135087YX6	CANADA GOVERNMENT		2.00		9/1/2012		4,320,000			4,023,734			4,510,347
135087ZB3	CANADA GOVERNMENT		1.50		3/1/2012		4,000,000			3,912,993			4,154,099
135087ZC1	CANADA GOVERNMENT		2.50		6/1/2015		2,500,000			2,443,861			2,629,541
135087ZD9	CANADA GOVERNMENT		1.75		3/1/2013		7,600,000			7,399,111			7,907,381
135087ZF4	CANADA GOVERNMENT		3.00		12/1/2015		1,100,000			1,127,759			1,176,808
135087ZG2	CANADA GOVERNMENT		2.50		9/1/2013		1,700,000			1,683,005			1,793,865
135087ZK3	CANADA GOVERNMENT		1.50		12/1/2012		450,000			436,958			466,761
135087ZN7	CANADA GOVERNMENT		2.00		3/1/2014		400,000			409,350			416,868
500769BM5	KREDITANSTALT FUER WIDERAUFBAU		4.38		2/9/2016		900,000			920,532			1,001,801
563469EU5	MANITOBA PROVINCE		5.25		12/3/2012		900,000			926,353			980,930
642866FT9	NEW BRUNSWICK PROVINCE OF		4.50		2/4/2015		900,000			933,892			1,005,031
683234WM6	ONTARIO PROVINCE		4.50		3/8/2015		900,000			932,151			1,004,365
748148RK1	QUEBEC PROVINCE OF		5.25		10/1/2013		850,000			889,318			946,801
803854JF6	SASKATCHEWAN PROVINCE		5.25		6/3/2014		900,000			943,061			1,017,678
D20658J64	DEUTSCHE BUNDESREPUBLIK		3.50		1/4/2016		19,300,000			28,557,130			29,526,437
D4085B7F2	KREDITANSTALT FUER WIDERAUFBAU		2.50		5/28/2013		42,000,000			42,220,518			43,465,799
G924507Q5	UNITED KINGDOM GILT		2.75		1/22/2015		6,950,000			11,569,036			11,577,414
G92450NU8	UNITED KINGDOM GILT		5.00		9/7/2014		7,300,000			13,095,096			13,015,993
							150,095,000			169,758,230			177,528,534
Agency MBS
01F032476	FNMA		3.50		7/1/2026		44,000,000			44,981,094			44,811,250
01F032674	FNMA		3.50		7/1/2041		(29,000,000	)		(28,031,328	)		(27,749,375	)
01F032674	FNMA		3.50		7/1/2041		13,000,000			12,520,625			12,439,375
01F032682	FNMA		3.50		8/1/2041		(13,000,000	)		(12,486,094	)		(12,404,844	)
01F040677	FNMA		4.00		7/1/2039		(14,000,000	)		(14,097,578	)		(14,004,375	)
01F040677	FNMA		4.00		7/1/2039		153,000,000			154,262,383			153,047,813
01F042673	FNMA		4.50		7/13/2036		(15,000,000	)		(15,641,602	)		(15,522,656	)
01F042673	FNMA		4.50		7/13/2036		20,000,000			20,705,977			20,696,875
01F050676	FNMA TBA		5.00		7/1/2033		(4,000,000	)		(4,268,125	)		(4,250,000	)
01F050676	FNMA TBA		5.00		7/1/2033		4,000,000			4,262,344			4,250,000
01F060675	FNMA TBA		6.00		7/1/2033		(18,000,000	)		(19,823,203	)		(19,774,688	)
01F060675	FNMA TBA		6.00		7/1/2033		64,000,000			70,413,438			70,310,000
01N050677	GNMA TBA		5.00		7/1/2033		12,000,000			12,974,531			13,006,875
02R052677	FHLMC TBA		5.50		7/1/2033		(1,000,000	)		(1,083,242	)		(1,080,234	)
21H050672	GNMA		5.00		7/1/2038		4,000,000			4,326,250			4,342,500
31283K4C9	FHLMC GOLD		5.00		6/1/2020		8,095,717			8,670,500			8,739,480
31283K6U7	FHLMC GOLD		4.50		8/1/2015		1,595,507			1,677,334			1,701,929
31283KJU3	FHLMC GOLD		6.50		12/1/2014		497,045			531,627			541,779
31283KN87	FHLMC GOLD		5.00		9/1/2017		2,685			2,817			2,901
3128GNW87	FHLMC GOLD		5.00		11/1/2016		2,636			2,761			2,827
3128GNY77	FHLMC GOLD		5.00		11/1/2016		14,980			15,687			16,067
3128GP3U5	FHLMC GOLD		5.00		1/1/2017		3,289			3,445			3,527
3128GP3V3	FHLMC GOLD		5.00		1/1/2017		13,063			13,685			14,010
3128GP4U4	FHLMC GOLD		5.00		1/1/2017		3,993			4,183			4,282
3128GP7M9	FHLMC GOLD		5.00		1/1/2017		2,772			2,904			2,995
3128GPSA2	FHLMC GOLD		5.00		12/1/2016		3,071			3,218			3,294
3128GPVH3	FHLMC GOLD		5.00		12/1/2016		1,207			1,263			1,293
3128GQ3Q2	FHLMC GOLD		5.00		2/1/2017		5,375			5,631			5,808
3128GQ6E6	FHLMC GOLD		5.00		2/1/2017		3,959			4,148			4,278
3128GQGA3	FHLMC GOLD		5.00		1/1/2017		6,735			7,055			7,278
3128GQJT9	FHLMC GOLD		5.00		1/1/2017		5,291			5,544			5,675
3128GQK26	FHLMC GOLD		5.00		1/1/2017		9,780			10,241			10,489
3128GQK34	FHLMC GOLD		5.00		1/1/2017		1,759			1,842			1,887
3128GQKB6	FHLMC GOLD		5.00		1/1/2017		3,934			4,116			4,220
3128GQP54	FHLMC GOLD		5.00		1/1/2017		6,320			6,621			6,829
3128GQQQ7	FHLMC GOLD		5.00		2/1/2017		6,543			6,847			7,018
3128GQQZ7	FHLMC GOLD		5.00		2/1/2017		16,984			17,792			18,216
3128GQSG7	FHLMC GOLD		5.00		2/1/2017		3,300			3,454			3,566
3128GQU58	FHLMC GOLD		5.00		2/1/2017		5,661			5,925			6,071
3128GQU90	FHLMC GOLD		5.00		2/1/2017		2,444			2,559			2,641
3128GQVB4	FHLMC GOLD		5.00		2/1/2017		3,796			3,977			4,072
3128GQW31	FHLMC GOLD		5.00		2/1/2017		9,294			9,740			9,984
3128GQW49	FHLMC GOLD		5.00		2/1/2017		16,187			16,965			17,493
3128GR3Y3	FHLMC GOLD		5.00		2/1/2017		13,712			14,370			14,706
3128GR6N4	FHLMC GOLD		5.00		4/1/2017		20,474			21,467			22,125
3128GRBH1	FHLMC GOLD		5.00		2/1/2017		5,284			5,537			5,710
3128GRBJ7	FHLMC GOLD		5.00		2/1/2017		1,919			2,011			2,074
3128GRFT1	FHLMC GOLD		5.00		3/1/2017		11,219			11,752			12,032
3128GRJD2	FHLMC GOLD		5.00		3/1/2017		3,068			3,212			3,290
3128GRK81	FHLMC GOLD		5.00		3/1/2017		5,346			5,600			5,777
3128GRLA5	FHLMC GOLD		5.00		3/1/2017		21,056			22,065			22,753

Allied World Assurance Company Holdings, AG

Securities Listing as at June 30, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
3128GRM71	FHLMC GOLD		5.00		3/1/2017		2,412		2,528		2,607
3128GRP94	FHLMC GOLD		5.00		3/1/2017		1,694		1,774		1,817
3128GRQA0	FHLMC GOLD		5.00		3/1/2017		5,372		5,630		5,805
3128GRSP5	FHLMC GOLD		5.00		3/1/2017		5,722		5,989		6,136
3128GRSY6	FHLMC GOLD		5.00		3/1/2017		10,712		11,220		11,576
3128GRUF4	FHLMC GOLD		5.00		3/1/2017		1,198		1,255		1,294
3128GRUT4	FHLMC GOLD		5.00		3/1/2017		6,706		7,017		7,192
3128GRWQ8	FHLMC GOLD		5.00		2/1/2017		486		508		521
3128GRYD5	FHLMC GOLD		5.00		4/1/2017		3,249		3,402		3,511
3128GS5Y9	FHLMC GOLD		5.00		4/1/2017		5,587		5,855		6,037
3128GSDJ3	FHLMC GOLD		5.00		4/1/2017		8,434		8,839		9,114
3128GSGB7	FHLMC GOLD		5.00		4/1/2017		13,354		13,998		14,431
3128GSGU5	FHLMC GOLD		5.00		4/1/2017		22,317		23,396		24,116
3128GSKE6	FHLMC GOLD		5.00		4/1/2017		19,601		20,547		21,182
3128GSKV8	FHLMC GOLD		5.00		4/1/2017		7,282		7,629		7,869
3128GSLX3	FHLMC GOLD		5.00		4/1/2017		6,556		6,869		7,085
3128GSLY1	FHLMC GOLD		5.00		4/1/2017		12,751		13,367		13,779
3128GSNL7	FHLMC GOLD		5.00		4/1/2017		7,020		7,353		7,586
3128GSQN0	FHLMC GOLD		5.00		4/1/2017		7,877		8,246		8,448
3128GSSN8	FHLMC GOLD		5.00		4/1/2017		17,932		18,804		19,378
3128GV2N9	FHLMC GOLD		5.00		10/1/2017		28,790		30,198		31,111
3128GV3C2	FHLMC GOLD		5.00		10/1/2017		13,312		13,952		14,385
3128GV3D0	FHLMC GOLD		5.00		10/1/2017		24,137		25,299		26,084
3128GV3Z1	FHLMC GOLD		5.00		10/1/2017		27,557		28,918		29,779
3128GV7G9	FHLMC GOLD		5.00		10/1/2017		5,213		5,464		5,634
3128GVBY5	FHLMC GOLD		5.00		8/1/2017		1,812		1,901		1,947
3128GVH94	FHLMC GOLD		5.00		9/1/2017		3,131		3,280		3,384
3128GVJA9	FHLMC GOLD		5.00		9/1/2017		12,472		13,072		13,478
3128GVJB7	FHLMC GOLD		5.00		9/1/2017		6,980		7,315		7,543
3128GVJQ4	FHLMC GOLD		5.00		9/1/2017		17,481		18,336		18,891
3128GVLF5	FHLMC GOLD		5.00		9/1/2017		7,237		7,582		7,761
3128GVLH1	FHLMC GOLD		5.00		9/1/2017		10,778		11,309		11,647
3128GVLJ7	FHLMC GOLD		5.00		9/1/2017		16,010		16,778		17,301
3128GVMM9	FHLMC GOLD		5.00		8/1/2017		2,954		3,098		3,193
3128GVNL0	FHLMC GOLD		5.00		9/1/2017		7,478		7,837		8,081
3128GVNM8	FHLMC GOLD		5.00		9/1/2017		9,701		10,169		10,483
3128GVNN6	FHLMC GOLD		5.00		9/1/2017		15,301		16,039		16,678
3128GVNV8	FHLMC GOLD		5.00		9/1/2017		4,943		5,182		5,341
3128GVNX4	FHLMC GOLD		5.00		9/1/2017		67,399		70,712		72,834
3128GVPM6	FHLMC GOLD		5.00		9/1/2017		5,999		6,288		6,483
3128GVPN4	FHLMC GOLD		5.00		9/1/2017		5,360		5,618		5,793
3128GVPP9	FHLMC GOLD		5.00		9/1/2017		24,046		25,234		25,985
3128GVQH6	FHLMC GOLD		5.00		9/1/2017		20,272		21,270		21,906
3128GVRA0	FHLMC GOLD		5.00		9/1/2017		5,255		5,508		5,679
3128GVRC6	FHLMC GOLD		5.00		9/1/2017		10,361		10,867		11,197
3128GVRE2	FHLMC GOLD		5.00		9/1/2017		7,809		8,190		8,439
3128GVRS1	FHLMC GOLD		5.00		9/1/2017		4,844		5,078		5,235
3128GVRT9	FHLMC GOLD		5.00		9/1/2017		12,941		13,565		13,984
3128GVRY8	FHLMC GOLD		5.00		9/1/2017		59,392		62,297		64,181
3128GVT83	FHLMC GOLD		5.00		9/1/2017		25,106		26,334		27,130
3128GVTN0	FHLMC GOLD		5.00		9/1/2017		6,567		6,886		7,096
3128GVTW0	FHLMC GOLD		5.00		9/1/2017		15,309		16,064		16,543
3128GVUD0	FHLMC GOLD		5.00		9/1/2017		2,123		2,228		2,294
3128GVUE8	FHLMC GOLD		5.00		9/1/2017		13,298		13,956		14,371
3128GVUX6	FHLMC GOLD		5.00		10/1/2017		5,552		5,816		5,999
3128GVVE7	FHLMC GOLD		5.00		10/1/2017		35,400		37,101		38,254
3128GVVF4	FHLMC GOLD		5.00		10/1/2017		15,433		16,177		16,678
3128GVVJ6	FHLMC GOLD		5.00		10/1/2017		25,283		26,514		27,322
3128GVVY3	FHLMC GOLD		5.00		10/1/2017		14,412		15,127		15,483
3128GVW22	FHLMC GOLD		5.00		9/1/2017		4,774		5,010		5,159
3128GVW89	FHLMC GOLD		5.00		10/1/2017		9,392		9,845		10,150
3128GVZV5	FHLMC GOLD		5.00		10/1/2017		19,691		20,662		21,279
3128GW5Q7	FHLMC GOLD		5.00		11/1/2017		12,207		12,797		13,192
3128GW6G8	FHLMC GOLD		5.00		11/1/2017		5,449		5,713		5,888
3128GWAQ1	FHLMC GOLD		5.00		10/1/2017		4,042		4,235		4,335
3128GWAT5	FHLMC GOLD		5.00		10/1/2017		26,442		27,748		28,408
3128GWAU2	FHLMC GOLD		5.00		10/1/2017		28,358		29,726		30,645
3128GWB49	FHLMC GOLD		5.00		10/1/2017		2,774		2,912		2,998
3128GWB80	FHLMC GOLD		5.00		10/1/2017		16,935		17,750		18,301
3128GWBH0	FHLMC GOLD		5.00		10/1/2017		23,453		24,613		25,344
3128GWC89	FHLMC GOLD		5.00		10/1/2017		8,522		8,943		9,209
3128GWCL0	FHLMC GOLD		5.00		10/1/2017		13,501		14,156		14,589
3128GWCW6	FHLMC GOLD		5.00		10/1/2017		5,092		5,338		5,503
3128GWDP0	FHLMC GOLD		5.00		10/1/2017		11,670		12,234		12,610
3128GWEG9	FHLMC GOLD		5.00		10/1/2017		34,519		36,192		37,302
3128GWEK0	FHLMC GOLD		5.00		10/1/2017		8,911		9,340		9,630
3128GWEP9	FHLMC GOLD		5.00		10/1/2017		5,011		5,259		5,415
3128GWF86	FHLMC GOLD		5.00		10/1/2017		11,441		11,992		12,363

Allied World Assurance Company Holdings, AG

Securities Listing as at June 30, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
3128GWFN3	FHLMC GOLD		5.00		10/1/2017		10,795		11,317		11,666
3128GWHH4	FHLMC GOLD		5.00		10/1/2017		11,209		11,749		12,113
3128GWJG4	FHLMC GOLD		5.00		11/1/2017		26,653		27,966		28,634
3128GWK31	FHLMC GOLD		5.00		10/1/2017		15,233		15,968		16,462
3128GWK56	FHLMC GOLD		5.00		11/1/2017		14,857		15,576		16,055
3128GWMS4	FHLMC GOLD		5.00		11/1/2017		7,409		7,767		8,006
3128GWP85	FHLMC GOLD		5.00		11/1/2017		8,757		9,191		9,463
3128GWQ27	FHLMC GOLD		5.00		11/1/2017		16,642		17,449		17,984
3128GWQ92	FHLMC GOLD		5.00		11/1/2017		12,755		13,371		13,783
3128GWQN1	FHLMC GOLD		5.00		11/1/2017		13,524		14,174		14,615
3128GWQY7	FHLMC GOLD		5.00		11/1/2017		6,871		7,201		7,425
3128GWR42	FHLMC GOLD		5.00		11/1/2017		16,985		17,807		18,355
3128GWRF7	FHLMC GOLD		5.00		11/1/2017		10,581		11,106		11,367
3128GWV21	FHLMC GOLD		5.00		11/1/2017		22,852		23,982		24,694
3128GWVL9	FHLMC GOLD		5.00		11/1/2017		4,406		4,623		4,761
3128GWWM6	FHLMC GOLD		5.00		11/1/2017		2,706		2,841		2,907
3128GWXD5	FHLMC GOLD		5.00		11/1/2017		9,436		9,893		10,197
3128GWXW3	FHLMC GOLD		5.00		11/1/2017		17,685		18,564		18,999
3128GWYS1	FHLMC GOLD		5.00		11/1/2017		3,924		4,112		4,240
3128GWZQ4	FHLMC GOLD		5.00		11/1/2017		11,281		11,825		12,190
3128GX3H7	FHLMC GOLD		5.00		12/1/2017		17,930		18,826		19,263
3128GX5V4	FHLMC		5.00		12/1/2017		21,761		22,852		23,379
3128GXAX4	FHLMC GOLD		5.00		11/1/2017		30,275		31,743		32,716
3128GXBC9	FHLMC GOLD		5.00		11/1/2017		5,271		5,526		5,696
3128GXEA0	FHLMC GOLD		5.00		12/1/2017		13,214		13,874		14,196
3128GXEK8	FHLMC GOLD		5.00		12/1/2017		6,065		6,367		6,515
3128GXFT8	FHLMC GOLD		5.00		12/1/2017		16,391		17,187		17,713
3128GXHA7	FHLMC GOLD		5.00		12/1/2017		22,058		23,149		23,836
3128GXHQ2	FHLMC GOLD		5.00		12/1/2017		23,715		24,887		25,627
3128GXN36	FHLMC GOLD		5.00		12/1/2017		23,319		24,485		25,199
3128GY2H6	FHLMC GOLD		5.00		2/1/2018		14,897		15,625		16,098
3128GYF66	FHLMC GOLD		5.00		1/1/2018		3,611		3,788		3,902
3128GYFK5	FHLMC GOLD		5.00		1/1/2018		51		53		55
3128GYG73	FHLMC GOLD		5.00		1/1/2018		20,553		21,549		22,210
3128GYKK9	FHLMC GOLD		5.00		1/1/2018		2,642		2,771		2,855
3128GYLX0	FHLMC GOLD		5.00		1/1/2018		1,660		1,741		1,794
3128GYNT7	FHLMC GOLD		5.00		2/1/2018		2,175		2,282		2,350
3128GYQC1	FHLMC GOLD		5.00		2/1/2018		17,308		18,155		18,704
3128GYS88	FHLMC GOLD		5.00		2/1/2018		1,997		2,098		2,158
3128GYTW4	FHLMC GOLD		5.00		2/1/2018		2,006		2,106		2,168
3128GYU44	FHLMC GOLD		5.00		2/1/2018		14,460		15,158		15,626
3128GYU51	FHLMC GOLD		5.00		2/1/2018		13,997		14,675		15,126
3128GYV35	FHLMC GOLD		5.00		2/1/2018		27,219		28,549		29,413
3128GYVB7	FHLMC GOLD		5.50		2/1/2018		50,872		54,684		55,054
3128GYVZ4	FHLMC GOLD		5.00		2/1/2018		17,751		18,616		19,039
3128GYZE7	FHLMC GOLD		5.00		2/1/2018		9,318		9,777		10,047
3128H22V4	FHLMC GOLD		5.00		4/1/2018		7,964		8,356		8,586
3128H25K5	FHLMC GOLD		5.00		4/1/2018		2,346		2,462		2,535
3128H26F5	FHLMC GOLD		5.00		3/1/2018		626		656		670
3128H26M0	FHLMC GOLD		5.50		3/1/2018		974,524		1,047,738		1,054,652
3128H26W8	FHLMC GOLD		5.50		2/1/2018		410,648		441,522		444,412
3128H27K3	FHLMC GOLD		5.00		4/1/2018		6,001		6,297		6,485
3128H2B69	FHLMC GOLD		5.00		2/1/2018		22,091		23,166		23,872
3128H2B77	FHLMC GOLD		5.00		2/1/2018		19,906		20,879		21,511
3128H2B85	FHLMC GOLD		5.00		2/1/2018		16,124		16,911		17,424
3128H2C84	FHLMC GOLD		5.00		2/1/2018		4,246		4,454		4,589
3128H2E41	FHLMC GOLD		5.00		3/1/2018		24,705		25,909		26,697
3128H2ED1	FHLMC GOLD		5.00		2/1/2018		42,767		44,842		46,111
3128H2EG4	FHLMC GOLD		5.00		2/1/2018		23,930		25,098		25,860
3128H2LV3	FHLMC GOLD		5.00		2/1/2018		23,312		24,449		25,192
3128H2LY7	FHLMC GOLD		5.00		3/1/2018		10,648		11,173		11,480
3128H2QV8	FHLMC GOLD		5.00		3/1/2018		25,448		26,683		27,500
3128H2T86	FHLMC GOLD		5.00		3/1/2018		3,011		3,158		3,246
3128H2TF0	FHLMC GOLD		5.00		3/1/2018		22,878		24,000		24,722
3128H2TJ2	FHLMC GOLD		5.00		3/1/2018		7,691		8,068		8,311
3128H2TW3	FHLMC GOLD		5.00		3/1/2018		19,157		20,099		20,702
3128H2VW0	FHLMC GOLD		5.00		3/1/2018		29,215		30,648		31,571
3128H2YM9	FHLMC GOLD		5.00		3/1/2018		6,645		6,969		7,181
3128H2YN7	FHLMC GOLD		5.00		3/1/2018		8,847		9,280		9,561
3128H2YS6	FHLMC GOLD		5.00		3/1/2018		9,694		10,170		10,476
3128H2ZJ5	FHLMC GOLD		5.00		3/1/2018		7,525		7,895		8,132
3128H2ZT3	FHLMC GOLD		5.00		4/1/2018		11,809		12,384		12,762
3128H2ZU0	FHLMC GOLD		5.00		4/1/2018		17,005		17,838		18,376
3128H32W0	FHLMC GOLD		5.00		4/1/2018		14,949		15,692		16,155
3128H3C25	FHLMC GOLD		5.00		4/1/2018		2,935		3,080		3,171
3128H3CD1	FHLMC GOLD		5.00		4/1/2018		4,132		4,339		4,466
3128H3FG1	FHLMC GOLD		5.00		4/1/2018		16,010		16,799		17,300
3128H3KN0	FHLMC GOLD		5.00		4/1/2018		2,897		3,040		3,131

Allied World Assurance Company Holdings, AG

Securities Listing as at June 30, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
3128H3MN8	FHLMC GOLD		5.00		4/1/2018		26,622		27,935		28,769
3128H3N72	FHLMC GOLD		5.00		4/1/2018		7,074		7,420		7,644
3128H3RY9	FHLMC GOLD		5.00		5/1/2018		27,607		28,958		29,833
3128H3S36	FHLMC GOLD		5.00		4/1/2018		9,407		9,868		10,165
3128H3SZ5	FHLMC GOLD		5.00		5/1/2018		14,258		14,955		15,407
3128H3V65	FHLMC GOLD		5.00		5/1/2018		5,409		5,675		5,846
3128H3WF4	FHLMC GOLD		5.00		4/1/2018		11,380		11,939		12,297
3128H3XU0	FHLMC GOLD		5.00		5/1/2018		10,761		11,285		11,628
3128H45V7	FHLMC GOLD		5.00		6/1/2018		15,476		16,242		16,724
3128H4J59	FHLMC GOLD		5.00		6/1/2018		11,145		11,695		12,044
3128H4JG5	FHLMC GOLD		5.00		5/1/2018		11,182		11,733		12,084
3128H4JT7	FHLMC GOLD		5.00		6/1/2018		26,485		27,785		28,621
3128H5JX5	FHLMC GOLD		5.00		7/1/2018		19,032		19,974		20,566
3128H5RP3	FHLMC GOLD		5.00		7/1/2018		11,060		11,607		11,951
3128H5TK2	FHLMC GOLD		5.00		7/1/2018		29,996		31,479		32,415
3128H6BG8	FHLMC GOLD		5.00		7/1/2018		23,071		24,213		24,931
3128H6CZ5	FHLMC GOLD		5.00		7/1/2018		24,215		25,417		26,168
3128H6FR0	FHLMC GOLD		5.00		8/1/2018		16,369		17,182		17,689
3128H6FU3	FHLMC GOLD		5.00		8/1/2018		13,775		14,460		14,886
3128H6WU4	FHLMC GOLD		5.50		8/1/2018		239,880		258,306		260,288
3128H6XM1	FHLMC GOLD		5.00		8/1/2018		5,907		6,200		6,383
3128H6ZC1	FHLMC GOLD		5.50		7/1/2018		84,673		91,137		91,877
3128H77K2	FHLMC GOLD		5.50		10/1/2018		189,017		203,661		205,097
3128JLDM8	FHLMC		2.94		9/1/2033		246,426		258,243		260,302
3128JLEY1	FHLMC		2.94		9/1/2033		434,485		455,347		456,672
3128JLHB8	FHLMC		2.92		9/1/2033		64,824		67,097		67,945
3128JMW45	FHLMC		2.97		11/1/2034		93,437		97,782		98,993
3128JMY68	FHLMC		2.72		11/1/2034		126,858		131,620		133,545
3128JMZG5	FHLMC		2.89		11/1/2034		174,473		182,596		183,455
3128JNAL9	FHLMC		2.65		2/1/2035		186,390		195,397		197,847
3128JRP26	FHLMC		2.52		12/1/2033		1,894,561		2,000,508		1,983,671
3128K17K1	FHLMC GOLD		5.00		1/1/2036		4,902,631		5,188,240		5,230,421
3128KA4Z1	FHLMC GOLD		6.00		6/1/2036		81,007		85,025		89,303
3128KE5H2	FHLMC GOLD		6.50		9/1/2036		151,593		165,905		171,131
3128KVAR6	FHLMC GOLD		6.50		8/1/2037		161,462		176,714		182,066
3128KWBZ5	FHLMC GOLD		6.00		9/1/2037		14,465		15,899		16,132
3128KWFX6	FHLMC GOLD		6.00		9/1/2037		33,555		36,878		37,422
3128KWFY4	FHLMC GOLD		6.00		9/1/2037		49,417		54,311		55,113
3128KWT29	FHLMC GOLD		6.00		9/1/2037		30,284		33,283		33,775
3128KWTK9	FHLMC GOLD		6.00		9/1/2037		46,001		50,554		51,303
3128KWTP8	FHLMC GOLD		6.00		9/1/2037		40,173		44,150		44,803
3128KWTZ6	FHLMC GOLD		6.00		9/1/2037		29,947		32,915		33,398
3128KYXE4	FHLMC GOLD		6.00		4/1/2037		19,391		21,312		21,626
3128M4XA6	FHLMC GOLD		5.50		7/1/2037		3,416,477		3,665,865		3,716,021
3128M4ZG1	FHLMC GOLD		6.00		7/1/2037		3,624		3,983		4,042
3128M5R93	FHLMC GOLD		5.50		2/1/2038		887,743		941,574		959,198
3128M6UB2	FHLMC GOLD		6.00		7/1/2038		92,513		101,692		103,176
3128M7AZ9	FHLMC GOLD		6.00		12/1/2038		255,807		281,187		285,291
3128M7B88	FHLMC GOLD		5.50		2/1/2039		561,377		595,423		606,561
3128M7FG6	FHLMC GOLD		5.50		12/1/2038		2,738,480		2,904,719		2,958,893
3128M7PN0	FHLMC GOLD		5.00		7/1/2039		1,193,894		1,229,325		1,277,498
3128MCUW3	FHLMC GOLD		4.00		12/1/2025		11,282,985		11,519,206		11,762,569
3128MMAC7	FHLMC GOLD		5.00		7/1/2019		691,912		739,236		746,932
3128MMLD3	FHLMC GOLD		4.50		9/1/2024		2,688,706		2,832,362		2,850,530
3128MMM67	FHLMC GOLD		3.50		3/1/2026		990,048		990,335		1,010,057
3128NCBH6	FHLMC		2.11		1/1/2035		254,799		262,134		261,609
3128PR7G8	FHLMC GOLD		4.00		8/1/2025		1,913,249		1,989,338		1,994,572
3128PRVD8	FHLMC GOLD		4.00		6/1/2025		2,041,884		2,117,661		2,128,675
3128PRWU9	FHLMC GOLD		4.00		7/1/2025		4,554,952		4,724,080		4,748,560
3128PRZ85	FHLMC GOLD		4.00		7/1/2025		1,523,834		1,571,740		1,588,605
3128PSBA4	FHLMC GOLD		4.00		8/1/2025		4,099,706		4,263,020		4,273,965
3128PUGE6	FHLMC GOLD		3.50		2/1/2026		990,257		990,544		1,009,963
3128PUQT2	FHLMC GOLD		3.50		4/1/2026		991,465		991,753		1,011,405
3128PURZ7	FHLMC GOLD		3.50		4/1/2026		991,631		991,919		1,011,672
3128PUVC3	FHLMC GOLD		3.50		4/1/2026		990,336		990,623		1,010,253
3128PUVP4	FHLMC GOLD		3.50		4/1/2026		991,003		991,290		1,011,031
3128PUW73	FHLMC GOLD		3.50		5/1/2026		991,226		991,514		1,011,258
3128PUXF4	FHLMC GOLD		3.50		4/1/2026		991,290		991,577		1,011,324
3128PVBD1	FHLMC GOLD		4.00		5/1/2026		10,558,097		10,860,303		11,005,626
3128PVCG3	FHLMC GOLD		4.00		5/1/2026		10,081,894		10,370,468		10,509,238
312929CM2	FHLMC GOLD		6.00		1/1/2039		9,416		10,350		10,501
31292K7B7	FHLMC GOLD		5.00		10/1/2040		11,066,687		11,739,859		11,772,078
31292KJH1	FHLMC GOLD		6.00		7/1/2037		1,894		2,081		2,112
312930LH1	FHLMC GOLD		6.00		1/1/2039		32,044		35,221		35,738
312930LQ1	FHLMC GOLD		6.00		1/1/2039		39,738		43,681		44,318
312930RC6	FHLMC GOLD		6.00		1/1/2039		23,470		25,455		26,176
312930RV4	FHLMC GOLD		6.00		1/1/2039		12,002		13,192		13,385
312930TB6	FHLMC GOLD		6.00		1/1/2039		12,222		13,251		13,631

Allied World Assurance Company Holdings, AG

Securities Listing as at June 30, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
312931D62	FHLMC GOLD		4.00		2/1/2039		3,266,257		3,308,422		3,274,766
312931TJ7	FHLMC GOLD		5.00		3/1/2039		3,267,221		3,455,166		3,474,461
312932CX2	FHLMC GOLD		4.50		4/1/2039		3,438,276		3,563,840		3,569,635
312932ZE9	FHLMC GOLD		5.00		5/1/2039		92,041		94,938		98,745
312933F41	FHLMC GOLD		4.50		6/1/2039		4,694,809		4,865,575		4,861,287
3129345K4	FHLMC GOLD		5.00		8/1/2039		178,861		184,168		191,386
312934PJ5	FHLMC GOLD		5.00		8/1/2039		94,225		97,189		101,088
312934R38	FHLMC GOLD		5.00		8/1/2039		78,954		81,436		84,705
3129353B3	FHLMC GOLD		4.50		9/1/2039		700,273		706,111		725,105
3129356Q7	FHLMC GOLD		4.50		9/1/2039		188,957		190,533		195,658
312935AT6	FHLMC GOLD		5.00		8/1/2039		176,126		181,350		188,459
312935KY4	FHLMC GOLD		4.50		9/1/2039		270,115		272,759		279,693
312935LV9	FHLMC GOLD		4.50		9/1/2039		182,681		184,471		189,159
312935MQ9	FHLMC GOLD		4.50		9/1/2039		899,765		909,839		937,234
312935MV8	FHLMC GOLD		4.50		9/1/2039		1,829,108		1,847,744		1,893,968
312936LH8	FHLMC GOLD		5.00		10/1/2039		347,827		362,159		369,890
312936LM7	FHLMC GOLD		5.00		10/1/2039		611,507		635,513		654,329
3129385D1	FHLMC GOLD		5.00		1/1/2040		98,369		102,283		105,011
3129414L8	FHLMC GOLD		4.00		8/1/2040		111,592		109,843		111,954
312942ER2	FHLMC GOLD		5.00		9/1/2040		2,842,137		3,015,276		3,031,391
312942KC8	FHLMC GOLD		4.00		9/1/2040		298,353		293,678		299,321
312942WW1	FHLMC GOLD		4.00		10/1/2040		68,594		67,518		68,816
312943EE9	FHLMC GOLD		5.00		10/1/2040		7,280,404		7,722,411		7,744,457
312943HE6	FHLMC GOLD		4.00		11/1/2040		338,714		333,403		339,812
312943HT3	FHLMC GOLD		4.00		11/1/2040		13,535,707		13,953,365		13,566,934
312943L50	FHLMC GOLD		4.00		11/1/2040		94,950		93,461		95,258
312944BJ9	FHLMC GOLD		4.00		12/1/2040		4,067,840		4,129,479		4,078,496
312944BN0	FHLMC GOLD		4.00		12/1/2040		2,033,802		2,064,623		2,035,316
312944CD1	FHLMC GOLD		4.00		12/1/2040		236,169		232,466		236,935
312944CS8	FHLMC GOLD		4.00		12/1/2040		211,131		207,821		211,817
312944GA3	FHLMC GOLD		4.00		12/1/2040		173,078		170,364		173,639
312944H61	FHLMC GOLD		4.00		12/1/2040		463,037		455,777		464,540
312944KV2	FHLMC GOLD		4.00		12/1/2040		127,766		125,763		128,181
312944LH2	FHLMC GOLD		4.00		12/1/2040		732,588		721,102		734,965
312944PE5	FHLMC GOLD		4.00		12/1/2040		4,307,790		4,240,248		4,321,766
312944SX0	FHLMC GOLD		4.00		12/1/2040		251,172		247,234		251,987
312945DN5	FHLMC GOLD		3.50		1/1/2041		6,319,938		6,050,661		6,042,556
31294KDZ5	FHLMC GOLD		5.00		9/1/2016		1,613		1,689		1,729
31294KFJ9	FHLMC GOLD		5.00		11/1/2016		2,691		2,818		2,883
31294KHD0	FHLMC GOLD		5.00		2/1/2017		5,866		6,146		6,302
31294KHL2	FHLMC GOLD		5.00		3/1/2017		11,428		11,976		12,349
31294KJT3	FHLMC GOLD		5.00		5/1/2017		3,472		3,640		3,724
31294KKU8	FHLMC GOLD		5.00		9/1/2017		6,046		6,345		6,496
31294MAK7	FHLMC GOLD		4.00		8/1/2025		4,983,693		5,182,649		5,195,525
312962CQ4	FHLMC GOLD		5.00		8/1/2018		9,615		10,100		10,390
312962CT8	FHLMC GOLD		5.00		8/1/2018		1,501		1,575		1,610
312962KD4	FHLMC GOLD		5.50		10/1/2018		106,610		114,869		115,680
312962KT9	FHLMC GOLD		5.00		10/1/2018		17,187		18,044		18,572
312962MD2	FHLMC GOLD		5.00		11/1/2018		28,394		29,811		30,683
312962Q63	FHLMC GOLD		5.50		10/1/2018		17,183		18,512		18,645
312962UW1	FHLMC GOLD		5.50		11/1/2018		1,340,586		1,444,900		1,454,639
312963VY4	FHLMC GOLD		5.50		12/1/2018		237,608		256,093		257,823
312963WH0	FHLMC GOLD		5.50		12/1/2018		18,932		20,406		20,542
312963ZG9	FHLMC GOLD		5.50		11/1/2018		73,329		78,994		79,568
3129642B4	FHLMC GOLD		5.50		3/1/2019		137,290		147,957		149,141
312964KG3	FHLMC GOLD		5.00		2/1/2019		4,635		4,872		5,009
312964WX3	FHLMC GOLD		5.50		10/1/2018		405,093		436,334		439,557
312965QA7	FHLMC GOLD		5.50		11/1/2018		240,819		259,406		261,307
312966WU4	FHLMC GOLD		5.50		5/1/2019		1,413,970		1,523,819		1,536,026
312968QL7	FHLMC GOLD		5.50		12/1/2018		1,911,062		2,056,648		2,068,195
3129696M5	FHLMC GOLD		4.00		11/1/2014		2,094,095		2,185,437		2,213,217
312969VY1	FHLMC GOLD		4.50		10/1/2014		3,425,831		3,595,486		3,654,742
3129714D3	FHLMC GOLD		4.00		3/1/2015		2,666,191		2,783,330		2,811,309
3132GDC67	FHLMC GOLD		4.00		4/1/2041		5,876,443		5,857,627		5,880,812
31342A6F1	FHLMC		2.57		9/1/2033		429,016		447,633		449,982
31349UCW6	FHLMC		2.37		10/1/2034		184,151		191,393		190,996
31349UEJ3	FHLMC		2.50		11/1/2034		356,818		373,119		374,514
31349ULB2	FHLMC		2.49		2/1/2035		350,596		364,306		360,760
31349UMF2	FHLMC		2.50		3/1/2035		594,773		613,185		623,322
31371LE62	FNMA		4.00		10/1/2013		5,075		5,286		5,236
31371LHQ5	FNMA		4.00		12/1/2013		138,837		144,618		143,239
31371LNH8	FNMA		4.00		4/1/2014		32,491		33,852		33,829
31371LZJ1	FNMA		4.00		1/1/2015		2,147,461		2,228,843		2,235,850
31371M5M5	FNMA		5.50		1/1/2037		376,305		403,189		407,818
31371MG92	FNMA		4.00		9/1/2015		100,000		104,226		104,544
31371NCJ2	FNMA		5.50		4/1/2037		11,470		12,290		12,418
31371NP25	FNMA		5.50		1/1/2038		2,121,707		2,254,580		2,296,962
31376KKK1	FNMA		4.50		1/1/2015		819,072		846,913		854,546

Allied World Assurance Company Holdings, AG

Securities Listing as at June 30, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
31379T6G4	FNMA		5.00		2/1/2014		16,682		17,418		17,918
3137A6BR2	FHLMC_K010		0.69		10/15/2028		2,929,511		2,934,548		2,921,835
3137A83K2	FHR_3820D DA		4.00		11/15/2035		22,894,837		23,645,635		23,915,489
31381QFF8	FNMA		3.75		3/1/2018		8,500,000		8,679,869		8,778,290
31382NR20	FNMA		5.50		4/1/2029		852		913		922
31385RB58	FNMA		8.50		4/1/2030		1,190,556		1,323,233		1,369,140
31385XK48	FNMA		2.51		7/1/2033		239,215		248,057		250,823
31388XVV3	FNMA		2.70		8/1/2033		6,633,100		6,873,530		6,848,697
31389EU78	FNMA		6.50		12/1/2011		42,343		42,987		42,837
31389EVA0	FNMA		6.50		12/1/2016		1,688,691		1,814,007		1,849,269
31389EVB8	FNMA		6.50		12/1/2016		1,938,201		2,083,991		2,122,505
31389XHM8	FNMA		6.00		3/1/2012		71,489		74,089		78,161
3138A1HR5	FNMA		4.00		12/1/2040		1,726,418		1,755,423		1,729,317
3138A2CK3	FNMA		4.00		12/1/2025		4,608,365		4,805,675		4,807,983
3138A2FJ3	FNMA		4.00		12/1/2025		258,052		269,098		269,230
3138A2PD5	FNMA		3.50		1/1/2026		9,740,312		9,690,615		9,934,451
3138A3DJ3	FNMA		4.00		3/1/2026		300,000		312,819		312,953
3138A3VB0	FNMA		4.00		1/1/2041		4,178,271		4,095,238		4,186,594
3138A5RN4	FNMA		4.00		2/1/2026		89,963		93,818		93,847
3138A6LJ7	FNMA		4.00		2/1/2026		21,503,550		22,422,500		22,432,066
3138A7G69	FNMA		4.00		2/1/2026		126,743		132,156		132,215
3138A7HY7	FNMA		3.50		2/1/2041		1,878,707		1,803,643		1,800,176
3138A9CZ5	FNMA		4.00		3/1/2041		4,310,461		4,224,805		4,317,700
3138AA4M0	FNMA		4.50		3/1/2041		5,177,668		5,367,345		5,383,357
3138AAKX8	FNMA		4.00		4/1/2041		218,065		213,730		218,372
3138AAYW5	FNMA		4.00		3/1/2041		5,849,390		5,837,962		5,859,208
3138AB2D0	FNMA		4.00		2/1/2041		154,771		151,695		155,030
3138AFKH2	FNMA		4.00		5/1/2026		110,988		115,786		115,781
3138AFXZ8	FNMA		4.00		5/1/2026		276,454		288,311		288,391
3138AGQB7	FNMA		4.00		4/1/2026		336,690		351,106		351,228
3138AGQQ4	FNMA		4.00		5/1/2026		103,980		108,427		108,469
3138AKEL9	FNMA		4.00		5/1/2026		171,279		178,617		178,675
3138AKLJ6	FNMA		4.00		6/1/2026		250,000		260,734		260,795
3138EGH72	FNMA		4.00		3/1/2026		1,837,834		1,916,401		1,917,442
3138EGHW7	FNMA		5.00		4/1/2041		991,474		1,058,257		1,057,825
3138EGKX1	FNMA		6.00		1/1/2040		10,810,067		11,893,898		11,893,180
3138NJAE8	FNMA		3.63		12/1/2020		2,291,840		2,224,878		2,276,645
3138NJAF5	FNMA		3.38		11/1/2020		4,383,414		4,180,702		4,285,752
3138NJAK4	FNMA		3.66		10/1/2020		3,088,636		2,957,769		3,030,725
31391YV87	FNMA		6.00		1/1/2033		2,586		2,724		2,859
31393DL74	FNMA CMO		4.00		4/25/2030		283,062		287,310		290,328
31393EFX2	FNMA CMO		4.25		5/25/2022		471,253		476,975		478,960
31393KLM5	FHLMC		4.00		7/15/2017		225,803		230,919		229,338
31393VPH8	FHLMC_2627		4.50		7/15/2017		14,916,996		15,122,951		15,105,995
31395RAR9	FHLMC		4.38		4/15/2015		227,821		229,481		229,903
31396A7E8	FHLMC_3035		—		9/15/2035		124,593		123,663		123,078
31397QS66	FNMA		3.50		7/25/2024		3,061,331		3,135,124		3,187,305
31398MFS0	FNMA		4.00		11/25/2023		1,974,153		2,036,091		2,061,786
31398PQS1	FNMA		3.50		3/25/2028		2,643,931		2,681,971		2,733,901
31398R3Q6	FNMA_10-53		3.50		2/25/2028		3,901,295		3,990,901		4,032,769
31398S2F9	FNR_10-152		0.69		5/25/2039		6,820,123		6,826,331		6,792,366
31398VYJ9	FHLMC		4.25		8/15/2038		3,639,437		3,798,869		3,832,546
31398W5H3	FHLMC		4.50		11/15/2037		6,675,499		6,855,259		6,988,646
31400JM55	FNMA		5.50		5/1/2033		2,052		2,208		2,243
31400QJ87	FNMA		2.35		3/1/2033		26,918		27,661		28,495
31400UQV9	FNMA		5.50		4/1/2033		344,444		370,562		375,079
31402GP98	FNMA		5.00		7/1/2033		6,368		6,590		6,819
31402QXK2	FNMA		8.50		2/1/2031		689,770		759,771		786,338
31402YSV7	FNMA		2.75		9/1/2033		26,640		27,943		28,237
31403DC56	FNMA		4.50		12/1/2020		2,863,283		3,037,006		3,060,518
31403DC72	FNMA		4.50		11/1/2020		2,175,378		2,309,498		2,327,089
31403DJG5	FNMA		5.50		8/1/2034		23,893		25,597		26,004
31403KDB6	FNMA		2.32		12/1/2033		11,132		11,330		11,401
31404NBP0	FNMA		2.38		2/1/2035		133,338		138,737		140,310
31404SFP5	FNMA		5.50		4/1/2034		6,629		7,132		7,245
31405QNR5	FNMA		5.50		10/1/2034		1,401		1,507		1,532
31405UMM8	FNMA		2.63		10/1/2034		132,414		136,117		139,180
31405UTZ2	FNMA		2.55		11/1/2034		33,714		35,093		34,958
31406BB90	FNMA		2.37		1/1/2035		209,651		214,410		222,194
31406BEZ9	FNMA		2.36		12/1/2034		179,905		185,657		189,003
31406BJF8	FNMA		2.36		1/1/2035		197,591		203,993		205,132
31406BQQ6	FNMA		2.34		1/1/2035		254,609		262,567		267,478
31406DG67	FNMA		2.69		11/1/2034		940,497		976,440		987,675
31406MYP5	FNMA		2.15		3/1/2035		445,614		455,405		464,741
31406TLC3	FNMA		2.69		4/1/2035		395,152		411,827		415,344
31406TWR8	FNMA		1.92		1/1/2035		896,526		920,290		920,963
31406VHE9	FNMA		2.43		5/1/2035		221,515		228,799		232,668
31407CE29	FNMA		5.50		7/1/2035		1,109		1,192		1,212

Allied World Assurance Company Holdings, AG

Securities Listing as at June 30, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
31407FG53	FNMA		5.50		8/1/2035		2,581		2,776		2,821
31407FUW8	FNMA		2.60		8/1/2035		3,349,532		3,438,638		3,472,338
31408AG53	FNMA		6.00		2/1/2036		52,645		55,448		58,239
31408GFA0	FNMA		6.00		12/1/2035		477,261		502,686		525,861
31409A5P0	FNMA		6.00		3/1/2036		169,819		178,862		187,866
31409AYE3	FNMA		6.00		3/1/2036		426,926		449,653		470,515
31409CRY3	FNMA		6.00		2/1/2036		310,053		326,472		343,004
31409GML7	FNMA		6.50		7/1/2036		1,632,232		1,782,633		1,846,858
31409UB38	FNMA		6.00		3/1/2036		60,640		63,869		66,747
31409VYW7	FNMA		6.00		4/1/2036		84,596		89,102		93,587
31410CJV5	FNMA		6.00		5/1/2036		23,801		25,069		26,231
31410FUS2	FNMA		5.50		12/1/2036		129,577		138,831		140,428
31410FVW2	FNMA		5.50		2/1/2037		8,657		9,275		9,382
31410GD83	FNMA		2.58		4/1/2034		79,111		82,695		84,209
31410GDF7	FNMA		1.90		6/1/2033		309,438		322,703		319,372
31410GDL4	FNMA		2.45		2/1/2035		1,386,083		1,435,112		1,464,162
31410GDN0	FNMA		2.45		6/1/2033		212,440		221,709		222,680
31410GDP5	FNMA		4.95		6/1/2035		4,224,635		4,459,870		4,480,958
31410GDY6	FNMA		2.36		1/1/2035		72,954		75,365		76,091
31410KEM2	FNMA		5.50		4/1/2038		8,131,428		8,707,017		8,803,092
31410KGQ1	FNMA		6.00		5/1/2038		8,423,815		9,129,150		9,260,132
31410KJY1	FNMA		6.00		5/1/2038		2,940,966		3,239,253		3,235,636
31410KLD4	FNMA		5.50		5/1/2038		1,793,266		1,905,599		1,939,902
31410KMQ4	FNMA		5.50		6/1/2038		955,782		1,015,556		1,033,936
31410KNA8	FNMA		5.50		7/1/2038		437,662		465,093		473,450
31410KS47	FNMA		5.50		12/1/2035		11,926		12,776		12,979
31410KX74	FNMA		5.50		9/1/2036		7,240,414		7,771,975		7,880,519
31410LBU5	FNMA		4.00		9/1/2025		3,609,345		3,771,360		3,769,580
31410MMX5	FNMA		6.00		4/1/2036		426,914		449,653		472,284
31410QR86	FNMA		5.50		11/1/2036		306,009		327,861		331,635
31411A5M3	FNMA		5.50		12/1/2036		18,061,445		19,350,659		19,573,967
31411A7C3	FNMA		5.50		12/1/2036		4,537,834		4,861,887		4,917,846
31411E2F3	FNMA		5.50		1/1/2037		38,842		41,613		42,094
31411EFN2	FNMA		5.50		12/1/2036		631,787		676,839		684,695
31411KLN1	FNMA		5.50		3/1/2037		468,351		501,775		507,038
31411NUT2	FNMA		5.50		2/1/2037		737,625		790,344		798,553
31411URL7	FNMA		5.50		4/1/2037		719,096		770,406		778,494
31411VMN6	FNMA		5.50		3/1/2037		23,813,692		25,548,511		25,780,727
31412ACH5	FNMA		5.50		4/1/2037		364,230		390,279		394,316
31412DXY9	FNMA		5.50		1/1/2037		101,962		109,241		110,500
31412ESY3	FNMA		6.00		1/1/2037		44,771		47,143		49,529
31412MC71	FNMA		5.50		1/1/2038		31,608,694		33,845,921		34,219,604
31412MYZ5	FNMA		5.50		6/1/2038		868,417		922,680		939,428
31412N6G6	FNMA		4.50		3/1/2039		91,046		91,841		94,805
31412NXE1	FNMA		5.00		1/1/2039		2,269,799		2,410,624		2,425,870
31412NZ33	FNMA		5.00		2/1/2039		85,514		88,216		91,816
31412P5R8	FNMA		4.50		7/1/2039		44,217		45,538		46,111
31412PBJ9	FNMA		4.50		3/1/2024		38,337,157		40,416,822		40,729,705
31412PP88	FNMA		5.00		5/1/2039		268,614		276,740		287,653
31412PRN3	FNMA		4.00		5/1/2024		8,473,468		8,853,302		8,849,644
31412PXF3	FNMA		4.50		6/1/2039		129,973		130,934		134,704
31412Q2V0	FNMA		4.50		1/1/2040		3,899,663		3,986,959		4,045,237
31412QE62	FNMA		4.50		8/1/2039		147,858		152,277		153,240
31412QE70	FNMA		5.00		8/1/2039		5,015,193		5,212,366		5,337,269
31412QHF9	FNMA		5.50		8/1/2039		863,366		917,387		939,032
31412QKA6	FNMA		4.00		9/1/2024		83,247		86,797		86,943
31412RG76	FNMA		4.00		4/1/2025		8,709,577		8,875,288		9,086,846
31412RGG6	FNMA		5.00		4/1/2040		420,703		438,329		447,855
31412RH42	FNMA		5.00		4/1/2040		11,069,680		11,533,537		11,780,575
31412TKJ1	FNMA		6.00		11/1/2038		7,581,630		8,215,623		8,342,350
31412TM26	FNMA		5.50		6/1/2038		5,731,433		6,144,982		6,203,588
31412UEQ9	FNMA		4.50		9/1/2039		471,858		485,967		492,078
31412URR3	FNMA		4.00		7/1/2024		9,106,737		9,516,100		9,511,027
31412UY53	FNMA		4.50		8/1/2039		329,042		332,643		343,142
31412V4G0	FNMA		5.50		7/1/2037		428,917		459,604		464,345
31413BTW1	FNMA		5.50		6/1/2037		7,036,386		7,548,997		7,617,598
31413CLH0	FNMA		6.00		7/1/2037		5,341,455		5,787,582		5,876,775
31413ES55	FNMA		5.50		8/1/2037		18,682		20,014		20,225
31413NY66	FNMA		6.00		11/1/2037		4,595,478		4,978,765		5,056,037
31413R2P0	FNMA		6.00		12/1/2037		5,698,423		6,189,652		6,304,021
31413TK68	FNMA		5.50		12/1/2037		392,748		420,844		425,190
31413TWV0	FNMA		5.50		1/1/2038		763,016		810,845		826,042
31413UUD9	FNMA		5.50		1/1/2038		159,738		171,174		172,933
31414ANH1	FNMA		5.50		12/1/2037		962,486		1,022,715		1,041,988
31414GWU9	FNMA		5.50		2/1/2038		633,153		678,453		684,927
31414HZ67	FNMA		5.50		12/1/2037		379,086		402,840		410,398
31414NCH5	FNMA		6.00		12/1/2038		2,319,360		2,519,266		2,565,849
31414NH31	FNMA		5.00		2/1/2039		2,219,616		2,355,234		2,383,182

Allied World Assurance Company Holdings, AG

Securities Listing as at June 30, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
31414NH49	FNMA		5.00		2/1/2039		2,771,364		2,936,899		2,967,795
31415QTY2	FNMA		6.00		7/1/2038		2,844,916		3,082,912		3,130,367
31415SRP9	FNMA		5.50		11/1/2038		633,575		678,898		685,383
31415WA60	FNMA		4.50		1/1/2039		86,532		89,121		90,241
31415YLZ0	FNMA		4.00		7/1/2024		2,401,304		2,503,511		2,507,909
31416AQ29	FNMA		4.00		7/1/2024		331,157		345,460		345,859
31416BS82	FNMA		4.50		8/1/2038		16,160,090		16,420,176		16,782,357
31416JZM6	FNMA		5.00		2/1/2039		3,593,038		3,801,748		3,823,783
31416M5A8	FNMA		5.00		3/1/2039		6,810,921		7,192,802		7,263,873
31416MLA0	FNMA		4.50		3/1/2039		64,381		64,943		67,039
31416MVP6	FNMA		4.50		4/1/2039		89,290		90,070		92,977
31416N5T5	FNMA		4.50		4/1/2039		222,238		224,673		231,413
31416NHE5	FNMA		5.00		8/1/2040		1,145,880		1,218,264		1,219,835
31416NRD6	FNMA		4.50		3/1/2039		38,229		38,563		39,807
31416QJZ9	FNMA		5.00		5/1/2039		99,396		102,536		106,720
31416QMS1	FNMA		4.00		6/1/2024		1,264,337		1,318,317		1,320,467
31416QV51	FNMA		4.50		8/1/2039		41,573		41,880		43,086
31416RNK5	FNMA		4.50		7/1/2039		65,634		67,597		68,447
31416S6B2	FNMA		4.50		7/1/2039		114,794		115,643		118,972
31416SD40	FNMA		4.50		7/1/2039		115,651		116,506		119,861
31416SED9	FNMA		5.00		7/1/2039		82,348		84,949		87,636
31416SLC3	FNMA		4.50		6/1/2039		131,714		132,690		136,509
31416T3D9	FNMA		4.50		7/1/2039		431,085		435,806		449,557
31416T7K9	FNMA		4.50		7/1/2039		61,678		62,135		64,321
31416TAG4	FNMA		4.50		7/1/2039		160,741		163,269		166,592
31416TAL3	FNMA		5.00		7/1/2039		92,194		95,107		98,988
31416TB65	FNMA		4.50		8/1/2039		231,178		238,087		239,593
31416TE47	FNMA		4.50		8/1/2039		112,280		112,993		116,916
31416TEE5	FNMA		4.50		8/1/2039		163,660		165,910		169,617
31416TEF2	FNMA		4.50		8/1/2039		114,000		114,723		118,707
31416TKG3	FNMA		5.00		6/1/2039		96,735		99,788		102,947
31416W7J5	FNMA		3.50		11/1/2040		4,399,091		4,220,577		4,215,206
31416WD66	FNMA		5.00		5/1/2040		680,415		708,927		724,329
31416WE57	FNMA		5.00		5/1/2040		11,540,763		12,024,381		12,281,911
31416WFG2	FNMA		4.00		5/1/2025		31,665		33,017		33,037
31416XJ92	FNMA		4.00		1/1/2041		596,017		584,180		597,016
31417J2B5	FNMA		5.00		9/1/2039		57,105		59,217		60,772
31417JSB7	FNMA		4.50		7/1/2039		36,962		37,197		38,308
31417KAZ0	FNMA		4.50		7/1/2039		34,996		35,255		36,270
31417KXH5	FNMA		4.50		8/1/2039		3,352,425		3,452,631		3,496,080
31417LLX1	FNMA		5.00		7/1/2039		159,387		164,423		171,133
31417M2V4	FNMA		4.50		8/1/2039		96,170		99,048		100,291
31417M2W2	FNMA		4.50		8/1/2039		21,301		21,488		22,181
31417MFB4	FNMA		4.50		8/1/2039		219,767		221,161		227,766
31417MPN7	FNMA		5.00		9/1/2039		101,990		105,761		108,540
31417MQT3	FNMA		5.00		10/1/2039		66,452		68,908		70,719
31417MTC7	FNMA		4.50		9/1/2039		489,611		496,650		510,592
31417MVC4	FNMA		4.50		10/1/2039		443,100		450,746		462,087
31417NB42	FNMA		4.50		10/1/2039		108,743		111,994		113,403
31417NCL3	FNMA		4.50		10/1/2024		5,743,332		6,076,376		6,159,078
31417NDN8	FNMA		4.50		11/1/2024		6,321,999		6,663,437		6,717,503
31417NL41	FNMA		4.50		1/1/2040		254,226		259,916		263,480
31417NZV6	FNMA		4.50		9/1/2039		95,488		98,343		98,964
31417QS62	FNMA		4.00		10/1/2024		23,502		24,507		24,545
31417QTZ7	FNMA		4.50		10/1/2024		6,362,741		6,706,769		6,760,794
31417QU93	FNMA		4.50		10/1/2039		278,070		286,383		289,985
31417QUG7	FNMA		4.50		10/1/2039		969,852		980,465		1,011,411
31417SY95	FNMA		4.50		11/1/2039		43,744		45,052		45,336
31417SYT1	FNMA		4.50		11/1/2039		89,048		89,826		92,725
31417TB98	FNMA		4.50		1/1/2040		135,261		138,290		140,184
31417TKX5	FNMA		4.50		11/1/2039		23,423		23,947		24,276
31417TL97	FNMA		4.50		12/1/2039		412,907		417,429		430,601
31417TQE1	FNMA		4.50		1/1/2040		602,272		608,867		628,080
31417UNB7	FNMA		4.50		11/1/2039		164,036		167,706		170,007
31417UXN0	FNMA		4.00		2/1/2025		153,012		159,539		159,640
31417VJE4	FNMA		4.50		12/1/2039		124,229		127,009		128,751
31417VJS3	FNMA		4.50		12/1/2039		30,498		30,764		31,608
31417VKE2	FNMA		4.50		1/1/2040		128,172		131,040		132,837
31417VQT3	FNMA		4.50		1/1/2040		1,834,949		1,876,035		1,913,579
31417VY64	FNMA		4.50		12/1/2039		232,982		238,196		241,463
31417VYY3	FNMA		4.00		2/1/2025		333,848		348,130		348,309
31417Y3H8	FNMA		4.00		7/1/2026		1,549,496		1,615,911		1,616,403
31417YX51	FNMA		4.00		4/1/2041		508,798		498,696		509,652
31418MC91	FNMA		6.00		11/1/2038		5,846,582		6,458,247		6,432,380
31418MT93	FNMA		4.50		1/1/2040		1,770,416		1,789,271		1,834,373
31418MUL4	FNMA		4.50		12/1/2039		809,249		816,323		839,459
31418PCP8	FNMA		5.00		9/1/2040		286,501		304,595		304,992
31418PD44	FNMA		4.50		1/1/2040		253,019		258,685		263,861

Allied World Assurance Company Holdings, AG

Securities Listing as at June 30, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
31418RHE4	FNMA		4.00		4/1/2025		571,787		596,184		596,555
31418SJB6	FNMA		4.00		4/1/2025		46,254		48,230		48,258
31418UCZ5	FNMA		4.00		5/1/2025		315,678		329,093		329,352
31418UVY7	FNMA		4.00		6/1/2025		428,167		446,437		446,714
31418W6Y1	FNMA		5.00		9/1/2040		535,497		569,235		570,058
31418W7J3	FNMA		5.00		9/1/2040		421,797		448,357		449,020
31418XF52	FNMA		4.50		9/1/2040		12,857,087		13,476,201		13,322,655
31419A4N4	FNMA		3.50		2/1/2041		22,925,508		22,047,712		21,967,209
31419ADT1	FNMA		4.00		7/1/2040		15,454,975		15,532,532		15,500,024
31419ANK9	FNMA		5.50		10/1/2039		2,295,299		2,441,876		2,482,986
31419BBF1	FNMA		3.50		2/1/2041		7,981,890		7,621,666		7,642,820
31419BBT1	FNMA		4.00		2/1/2041		6,977,059		6,781,914		6,988,757
31419BCT0	FNMA		3.50		3/1/2041		3,986,986		3,854,521		3,820,328
31419CZF3	FNMA		3.50		9/1/2040		939,194		915,861		899,935
31419DJY8	FNMA		4.00		8/1/2025		8,145,109		8,493,351		8,497,927
31419DTQ4	FNMA		5.00		9/1/2040		703,471		747,955		748,873
31419DV99	FNMA		4.00		10/1/2040		17,265,204		17,539,265		17,321,178
31419E6N4	FNMA		4.00		3/1/2041		1,991,560		1,951,983		1,994,902
31419ENB1	FNMA		5.00		9/1/2040		1,509,008		1,604,067		1,610,777
31419EU80	FNMA		5.00		9/1/2040		272,781		290,072		290,386
31419EXR5	FNMA		3.50		9/1/2040		3,809,454		3,654,807		3,650,216
31419EY45	FNMA		4.00		7/1/2025		384,597		401,062		401,256
31419FCP9	FNMA		4.00		6/1/2026		3,554,987		3,706,623		3,708,490
31419FSH0	FNMA		4.00		12/1/2025		131,495		137,115		137,191
31419GB94	FNMA		4.00		10/1/2040		24,179,987		25,028,614		24,220,530
31419GXN9	FNMA		4.00		10/1/2040		10,874,634		10,575,555		10,892,868
31419JET1	FNMA		3.50		11/1/2025		10,604,385		10,879,370		10,813,716
31419L5A7	FNMA		4.00		11/1/2040		1,647,598		1,673,750		1,652,940
31421AAU7	FNMA		5.50		12/1/2038		4,695		5,039		5,082
36206XC43	GNMA		7.00		5/15/2031		963		1,078		1,100
3620A9SW2	GNMA		4.50		9/15/2039		472,506		477,389		500,658
3620AQ7C1	GNMA		5.00		4/15/2040		10,593,871		11,274,987		11,502,188
3620ARAE1	GNMA		5.00		4/15/2040		1,921,855		2,044,969		2,086,635
36212PPP1	GNMA		7.00		4/15/2031		11,264		12,611		12,867
36212U5G2	GNMA		7.00		5/15/2031		16,072		17,994		18,360
36213HGU7	GNMA		7.00		3/15/2031		1,687		1,889		1,928
36225DM43	GNMA		1.75		3/20/2035		11,130,735		11,392,764		11,403,523
36241KV39	GNMA		4.50		8/15/2038		8,661,036		9,038,636		9,185,201
36241KV47	GNMA		4.50		9/15/2038		6,386,731		6,665,074		6,777,395
36241KWA2	GNMA		4.50		10/15/2038		4,044,518		4,217,026		4,291,913
36295QK82	GNMA		5.00		8/15/2038		2,980,173		3,173,535		3,234,484
36297FYL0	GNMA		4.50		10/15/2039		95,686		96,823		101,387
38373QGX3	GNMA		4.00		4/20/2033		372,987		386,754		392,766
38376TBF8	GNMA		4.50		1/16/2040		379,212		403,247		407,307
38376VDX2	GNMA		3.00		12/20/2038		4,546,567		4,621,336		4,714,153
							1,178,360,387		1,222,932,481		1,229,647,280
Non Agency RMBS
000780ET9	AMAC		5.00		4/25/2018		568,263		554,415		583,680
04271AAB7	ARRMF		0.31		9/16/2056		542,748		532,286		536,561
05948X6X4	BANK OF AMERICA MTG SEC		4.75		6/25/2019		4,346,095		4,367,121		4,456,138
07384MWF5	BSARM		2.85		8/25/2033		124,454		120,882		113,914
126380AB0	CSMC		5.50		11/25/2036		2,132,468		1,734,336		1,791,273
126384AJ5	CSMC		5.00		3/25/2037		649,899		604,789		624,696
12638PBU2	CSMC		5.00		4/25/2037		836,875		691,191		772,695
12669E5B8	CWHL		5.00		11/25/2018		709,260		726,904		731,360
12669EYQ3	COUNTRYWIDE HOME LOANS TR		3.32		8/25/2033		94,974		75,995		83,691
16162WLM9	CHASE		5.50		10/25/2035		11,080,564		10,551,476		10,496,618
161630AC2	CHASE		2.91		2/25/2037		12,361,482		12,331,419		12,050,220
161630AG3	CHASE		2.78		2/25/2037		21,714,638		20,357,947		20,993,712
161630AN8	CHASE		2.82		2/25/2037		3,416,527		3,355,375		3,260,187
161630AQ1	CHASE		2.79		2/25/2037		2,887,014		2,654,424		2,606,108
1729733P2	CMSI		5.00		10/25/2035		10,382,676		10,067,602		10,259,849
38741QAC0	GRAN		0.77		7/20/2043		78,666		74,291		75,873
38741SAF9	GRAN		0.39		9/20/2044		32,440		30,132		30,785
449670EQ7	IMC HOME EQUITY LOAN TRUST		6.84		8/20/2029		145,376		142,353		143,144
46070MAA7	IMT		0.79		7/7/2034		7,848		7,848		7,818
46630GAA3	JPMMT		2.97		7/25/2035		7,175,580		6,723,001		6,792,978
46630GAD7	JPMMT		3.08		7/25/2035		2,493,405		2,317,550		2,269,498
46630GAN5	JPMMT_07-A1		2.93		7/25/2035		1,906,191		1,798,576		1,824,758
46630GAS4	JPMMT		2.97		7/25/2035		7,399,932		6,915,149		6,937,288
525170BL9	LABS		5.00		12/25/2033		10,654,387		10,569,120		10,411,333
55265K5Q8	MASTR		4.75		1/25/2034		239,832		239,485		239,820
576433QQ2	MARM_04-8		1.78		9/25/2034		1,221,142		905,992		910,032
58403GAB1	MEDL		0.29		2/27/2039		276,766		268,532		268,567
589929W53	MLMI		2.67		7/25/2033		185,972		187,880		175,540
71419GAQ3	PERMM		1.67		7/15/2042		11,100,000		11,100,000		11,132,390
76110H2P3	RES ASSET SEC		2.89		3/25/2035		1,779,671		1,113,746		933,687

Allied World Assurance Company Holdings, AG

Securities Listing as at June 30, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
76110HHG7	RFMSI_03-Q16		5.00		8/25/2018		6,682,215		6,487,414		6,741,888
863579KY3	SARM		2.60		2/25/2035		2,623,933		1,855,651		1,813,925
86359BGD7	STRUCTURED ASSET SEC CORP		2.69		2/25/2034		129,268		111,959		114,307
86359BVE8	STRUCTURED ASSET SEC CORP		2.54		6/25/2034		9,713,564		8,766,190		8,909,961
88522AAC5	THORNBURG MORTGAGE SECURITIES		0.31		7/25/2036		7,805,975		7,730,537		7,686,863
92922F4M7	WASHINGTON MUTUAL		0.48		10/25/2045		1,213,681		681,391		958,808
92922F4P0	WAMU		0.97		10/25/2045		5,976,660		4,801,265		5,123,970
92922FB49	WASHINGTON MUTUAL		0.55		11/25/2034		384,103		212,906		334,743
92922FZF8	WAMU_04-A12		0.58		10/25/2044		7,079,287		4,004,065		5,697,184
949781AA6	WFMBS		2.74		2/25/2035		3,518,249		3,281,664		3,166,424
94982BAG5	WFMBS		2.77		6/25/2035		5,077,462		4,754,339		4,816,684
							166,749,545		153,807,201		156,878,972
Non Agency RMBS — High Yield Mandate
02660BAA0	AHMA_07-1		0.96		2/25/2047		9,064,715		4,450,521		4,338,463
02660UAE0	AHMA_06-3		1.22		10/25/2046		10,770,279		4,645,840		5,645,242
05954DAG1	BAFC		5.66		7/20/2047		6,241,227		3,822,535		4,218,458
07384MWF5	BSARM		2.85		8/25/2033		24,891		15,212		22,783
073868AA9	BALTA_06-6		0.35		11/25/2036		16,091,406		6,223,096		6,238,638
07401AAA5	BSMF		0.39		9/25/2046		9,807,694		4,806,950		5,879,046
07401YAQ8	BEAR STEARNS MORTGAGE FUNDING		0.40		6/25/2037		14,015,912		7,957,450		8,605,350
12566VAE2	CMALT_07-A4		5.75		4/25/2037		4,514,340		3,257,702		3,295,559
12566XAK4	CMA_07-A7		0.59		7/25/2037		7,138,453		4,245,814		4,407,210
12667GNS8	COUNTRYWIDE ALTERNATIVE LOAN T		1.57		7/20/2035		965,107		424,633		584,886
12668BCG6	CWALT		6.00		2/25/2036		780,111		567,094		546,608
12668BPY3	CWALT		5.50		4/25/2036		14,253,033		9,044,609		10,094,996
126694A32	COUNTRYWIDE HOME LOANS		0.40		3/20/2046		1,923,968		890,996		1,072,035
12669EYQ3	COUNTRYWIDE HOME LOANS TR		3.32		8/25/2033		31,658		19,842		27,897
22541NQ77	CSFB_03-AR9		2.46		3/25/2033		81,232		47,044		71,245
22541QUJ9	CS FIRST BOSTON MORTGAGE SECUR		2.40		10/25/2033		162,461		86,493		148,949
22942KCD0	CSMC		6.00		8/25/2036		14,513,564		8,727,109		9,750,648
232434AE0	CWALT_06-OC8		0.44		11/25/2036		24,466,557		3,926,804		4,451,201
23245GAD3	CWALT_06-OC9		0.44		12/25/2046		6,025,216		1,193,877		870,764
23245QAA7	CWALT		0.38		3/20/2047		12,462,525		5,848,292		6,319,584
23332QAC7	DSLA		0.39		11/19/2037		1,585,935		1,100,452		1,026,956
25151AAG6	DBALT		0.47		8/25/2036		29,150,349		5,324,339		5,651,961
32052DAG6	FHAMS_06-FA8		6.00		2/25/2037		6,367,207		4,690,272		4,456,536
40431HAJ6	HALO		0.49		12/25/2036		5,198,787		1,239,245		1,517,614
41161VAC4	HVMLT		0.39		9/19/2036		5,329,804		3,022,972		3,265,624
41162DAF6	HVMLT_06-12		0.38		12/19/2036		6,991,772		3,878,808		4,509,693
45660NQ24	INDX		2.70		8/25/2034		406,161		240,078		294,409
456687AC6	INDX_07-FL4		0.37		7/25/2037		3,205,332		2,358,737		2,264,439
45668WAC1	INX		0.44		2/25/2037		5,000,000		683,875		1,266,050
466306AA5	JPALT_08-R2		6.00		11/25/2036		4,476,641		3,399,333		3,466,800
52520MBY8	LMT_05-2		0.94		12/25/2035		3,933,960		2,388,707		2,395,546
525221HA8	LXS		0.45		2/25/2046		4,363,283		1,881,990		2,666,439
52524GAA0	LXS_07-7N		0.41		6/25/2047		11,143,479		6,566,779		6,822,261
52524HAJ9	LXS		1.04		3/25/2047		2,569,928		1,445,932		1,674,770
52524PAG7	LXS_07-16N		0.35		5/25/2037		10,890,110		7,509,712		6,687,072
52524VAQ2	LXS_07-15N		1.09		8/25/2047		7,695,777		4,082,521		4,300,323
55027WAA0	LUM_07-2		0.42		5/25/2037		4,763,774		2,690,048		2,595,495
55027XAA8	LUM_06-5		0.38		7/25/2036		7,068,841		3,424,171		3,728,319
57643LLC8	MABS		5.65		11/25/2035		10,000,000		4,315,699		4,575,600
59024KAX1	MLA_07-AF1		5.07		6/25/2037		4,143,893		2,275,212		2,084,005
61748HJV4	MORGAN SATNLEY MTG LOAN TRUST		5.00		8/25/2035		911,754		901,179		892,461
61748HVE8	MORGAN SATNLEY MTG LOAN TRUST		5.25		2/25/2021		1,174,483		1,107,765		1,105,752
74958XAB0	RFMSI		5.62		4/25/2037		5,759,626		3,827,876		4,116,232
751153AA5	RALI_06-Q010		0.35		1/25/2037		4,064,494		2,396,968		2,396,019
76110H2P3	RES ASSET SEC		2.89		3/25/2035		358,631		184,729		188,152
761118FG8	RALI		3.39		8/25/2035		4,015,088		2,335,460		2,571,218
761118QM3	RALI		1.26		1/25/2046		4,292,075		2,311,321		2,657,066
863579J90	SARM		2.54		12/25/2035		9,793,409		3,380,172		3,839,144
86359A5B5	SASC		2.58		11/25/2033		384,962		284,099		360,105
86359AH71	SASC		2.56		7/25/2033		598,117		462,775		523,981
86359BGD7	STRUCTURED ASSET SEC CORP		2.69		2/25/2034		32,317		20,384		28,577
86359DUR6	LXS05-5N		0.49		11/25/2035		1,096,219		885,182		811,411
86359LQM4	SAMI_06-AR1		2.41		3/25/2046		4,053,105		2,077,719		2,270,793
86361HAA2	SAMI_06-AR7		0.40		8/25/2036		9,796,364		5,925,243		6,023,167
86361WAA9	SAMI_06-AR8		0.39		3/25/2036		1,604,135		1,086,729		986,944
88522AAA9	THORNBURG MORTGAGE SECURITIES		0.32		7/25/2036		935,938		933,613		933,614
92922F7P7	WASHINGTON MUTUAL		0.46		12/25/2045		8,326,808		4,989,221		6,869,617
92922FJ25	WASHINGTON MUTUAL		0.42		4/25/2045		1,709,544		1,366,836		1,416,198
92922FR67	WASHINGTON MUTUAL		0.46		7/25/2045		569,885		456,067		458,700
92922FR75	WASHINGTON MUTUAL		0.48		7/25/2045		5,604,958		4,312,565		4,555,710
92925DAB6	WAMU		1.07		12/25/2046		3,667,465		1,746,443		2,536,052
92927BAA0	WAMU_07-OA6		1.07		7/25/2047		12,080,553		6,274,139		7,769,003
93363RAA4	EAST PACES FERRY LLC		1.14		10/25/2046		8,650,510		4,573,145		5,569,285
93936RAA2	WAL		1.10		5/25/2047		8,652,866		4,265,986		5,300,313
94981QAA6	WFMBS		2.81		10/25/2035		527,690		438,365		510,154

Allied World Assurance Company Holdings, AG

Securities Listing as at June 30, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
							386,280,378		189,264,778		206,529,142
						-
CMBS
055236AA1	BAMLL_11-07C1		5.38		11/15/2016		6,300,000		6,825,001		6,825,157
055360AC5	BC_10-1		4.23		2/22/2041		3,000,000		3,072,026		3,086,970
055360BD2	BC_10-1		4.23		8/22/2033		3,000,000		3,008,235		2,998,620
05947UDP0	BAFU		5.46		4/11/2037		46,973		47,821		46,949
05950EAE8	BACM		5.92		5/10/2045		8,615,000		9,435,841		9,534,028
059512AB9	BACM_07-3		5.80		6/10/2049		583,236		600,136		600,666
059512AQ6	BANC OF AMERICA COMMERCIAL MOR		0.36		6/10/2049		583,236		566,387		563,458
05956VAJ3	BAMLL_11-STRP		1.00		12/17/2044		8,811,454		8,789,568		8,798,765
07383FXJ2	BEAR STEARNS COMMERCIAL MORTGA		5.19		5/11/2039		4,000,000		4,099,452		4,250,288
07383FXN3	BSCMS		4.68		8/13/2039		4,000,000		4,017,688		4,220,821
07387BCH4	BSCMS		5.13		10/12/2042		3,109,512		3,122,130		3,115,802
07388LAE0	BEAR STEARNS		5.54		9/11/2041		7,500,000		8,088,579		8,173,296
07388PAE1	BSCMS		5.20		12/11/2038		13,500,000		14,607,002		14,530,707
12513YAC4	CD		5.21		12/11/2049		5,350,000		5,449,983		5,463,082
12527EAB4	CFCRE_11-C1		3.76		4/15/2044		3,000,000		3,043,349		3,045,420
12622DAA2	COMM_10-C1		3.16		7/10/2046		9,875,457		10,142,664		9,945,869
17310MAE0	CITIGROUP		5.43		10/15/2049		2,026,000		2,184,367		2,198,958
17310MBQ2	CGCMT		5.68		10/15/2049		441,765		410,130		409,238
17313KAD3	CGCMT		5.82		12/10/2049		6,150,000		6,487,049		6,473,429
20046GAC2	COMM_06-FL12		0.29		12/15/2020		2,067,039		2,046,470		2,025,699
200476AA7	COMM_07-FL14		0.28		6/15/2022		1,047,063		1,030,768		1,003,139
22545BAA9	CSMC		5.25		3/15/2039		184,079		184,190		184,013
22545RAB2	CSMC		0.36		10/15/2021		5,373,977		5,221,402		5,067,316
23305XAB7	DBUBS_11-LC2A		3.39		7/24/2044		8,500,000		8,547,085		8,518,816
3137A7NU0	FHLMC		4.08		11/25/2020		24,100,000		24,217,020		24,960,129
3137A8PP7	FHLMC		4.19		12/25/2020		7,000,000		6,956,692		7,238,210
36158YFT1	GECCMC_02-2		5.35		8/11/2036		24,929,000		25,598,062		25,695,447
361849YU0	GMACC		5.65		5/10/2040		1,550,000		1,653,559		1,665,716
361849ZS4	GMACC		4.65		4/10/2040		61,629		62,166		63,197
361849ZT2	GMACC		5.02		4/10/2040		4,000,000		4,064,237		4,266,291
36228CVQ3	GSMS		4.61		7/10/2039		500,000		504,474		507,811
36228CZW6	GSMS		1.53		3/6/2020		5,350,000		5,239,573		5,229,090
36249KAC4	GSMS_10-C1		4.59		8/10/2043		6,000,000		6,444,348		6,032,120
36828QKN5	GECMC		4.35		6/10/2048		1,735,729		1,741,064		1,737,310
38376GDL1	GOV NATL MTGE ASSOC		3.10		12/16/2050		10,746,023		10,725,983		11,128,195
38376GXU9	GNMA		3.71		12/16/2050		2,500,000		2,569,548		2,492,975
396789JS9	GCCFC		4.57		8/10/2042		500,000		504,797		505,834
46625YSF1	JPMCC_05-LDP3		4.96		8/15/2042		4,020,105		4,136,147		4,136,140
46629GAE8	JPMCC		5.55		5/12/2045		9,000,000		9,874,617		9,801,155
46629PAM0	JPMCC		5.30		5/15/2047		2,000,000		2,036,779		2,025,885
50179MAE1	LBUBS		5.37		9/15/2039		1,500,000		1,645,080		1,631,494
52108HMU5	LBUBS COMM MTG TR		4.85		9/15/2031		28,000,000		28,763,350		28,983,214
52108HRB2	LBUBS		3.85		5/15/2027		359,904		364,979		368,274
52108MAF0	LBUBS		5.20		11/15/2030		1,450,000		1,526,090		1,573,032
617458AC8	MORGAN STAINLEY CAPITAL I		3.88		9/15/2047		3,500,000		3,531,737		3,598,980
61745M5G4	MSC		4.89		6/12/2047		500,000		524,825		539,377
61745ML43	MSC		5.27		6/13/2041		4,000,000		4,059,304		4,329,627
61750CAF4	MSC_06-HQ9		5.73		7/12/2044		2,550,000		2,828,313		2,811,626
61750HAE6	MSC		5.33		11/12/2041		4,250,000		4,422,265		4,578,823
61758FAA0	MSRR 09 GG10 A4B		5.99		8/12/2045		5,000,000		5,445,611		5,471,754
62474NAA4	MSC_05-RR6		0.41		5/24/2043		892,834		877,332		874,447
62888XAB0	NCUA_10-C1		2.90		10/29/2020		250,000		249,435		249,533
62888XAC8	NCUA_10-C1		2.65		10/29/2020		10,314,697		10,295,566		10,291,592
90348HAA2	B NATIONALE CDA		1.09		7/15/2024		977,560		962,502		922,562
92935VAC2	WFRBS_11-C3		3.24		3/15/2044		7,000,000		7,069,660		6,963,320
929766UK7	WBCMT_04-C14		5.09		8/15/2041		8,800,000		9,451,406		9,412,719
929766X24	WBCMT_05-C19		4.66		5/15/2044		4,200,000		4,363,406		4,302,858
92978YAB6	WBCMT		5.93		6/15/2049		5,842,131		6,093,730		6,040,027
							300,444,404		309,830,982		311,509,270
Corporate Securities — Financials
00084DAB6	ABN AMRO BANK NV		2.04		1/30/2014		4,500,000		4,500,000		4,593,420
00279VCA1	ABBEY NATIONAL TREASURY SERVIC		3.88		11/10/2014		3,750,000		3,749,403		3,789,147
00448MAA9	ACHMEA HYPOTHEEKBANK N.V. — LT		3.20		11/3/2014		36,000,000		36,060,004		37,767,601
02005NAB6	ALLY FINANCIAL INC		8.30		2/12/2015		3,375,000		3,736,902		3,653,438
02580ECC5	AMERICAN EXPRESS BANK FSB		6.00		9/13/2017		3,000,000		3,320,164		3,374,248
025816AX7	AMERICAN EXPRESS COMPANY		6.15		8/28/2017		16,600,000		18,937,271		18,796,163
025816BB4	AMERICAN EXPRESS COMPANY		8.13		5/20/2019		4,300,000		5,313,819		5,436,628
0258M0DA4	AMERICAN EXPRESS CREDIT CO		2.75		9/15/2015		15,000,000		15,035,908		14,995,692
02666QF32	AMERICAN HONDA FINANCE		2.38		3/18/2013		2,150,000		2,149,503		2,197,742
05252ABH3	ANZ MELBOURNE		0.99		1/10/2014		2,675,000		2,675,000		2,682,998
055299AJ0	BBVA US SENIOR SA UNIPERSONAL		3.25		5/16/2014		3,800,000		3,795,979		3,734,198
05531FAG8	BB&T CORPORATION		3.20		3/15/2016		12,750,000		12,807,029		12,912,947
05531FAJ2	BB&T CORPORATION		0.97		4/28/2014		3,000,000		3,000,000		3,004,230
05533UAA6	BBVA BANCOMER SA DE CV		4.50		3/10/2016		2,500,000		2,483,112		2,543,750

Allied World Assurance Company Holdings, AG

Securities Listing as at June 30, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
05565AAA1	BNP PARIBAS		5.19		6/29/2049		3,300,000		3,240,526		2,986,500
05565QBH0	BP CAPITAL MARKETS PLC		3.88		3/10/2015		22,675,000		21,584,064		23,909,489
05565QBL1	BP CAPITAL MARKETS PLC		3.63		5/8/2014		5,000,000		4,992,039		5,258,054
05565QBN7	BP CAPITAL MARKETS PLC		3.13		10/1/2015		4,000,000		3,961,793		4,095,770
05567LU54	BNP PARIBAS		3.60		2/23/2016		2,500,000		2,497,569		2,522,662
05571AAB1	GROUPE BPCE		2.38		10/4/2013		5,310,000		5,339,016		5,288,057
05572FAA1	BNP PARIBAS COVERED BONDS SA		2.20		11/2/2015		10,400,000		10,396,548		10,183,264
05947KAK6	BANCO BRADESCO S.A.		2.36		5/16/2014		700,000		700,000		708,771
06051GDY2	BANK OF AMERICA		7.38		5/15/2014		8,150,000		8,814,642		9,166,600
06051GEA3	BANK OF AMERICA		6.50		8/1/2016		19,000,000		21,052,501		21,158,423
06051GEB1	BANK OF AMERICA		4.50		4/1/2015		3,000,000		3,035,607		3,135,930
06051GED7	BANK OF AMERICA		3.70		9/1/2015		15,000,000		15,104,980		15,070,460
06366QGN1	BANK OF MONTREAL		0.74		4/29/2014		2,500,000		2,500,000		2,502,825
063679JJ4	BANK OF MONTREAL		2.63		1/25/2016		9,600,000		9,594,270		9,777,888
064149B97	BANK OF NOVA SCOTIA		2.38		12/17/2013		5,000,000		4,987,536		5,134,225
064149C39	BANK OF NOVA SCOTIA		1.45		7/26/2013		8,400,000		8,391,834		8,491,897
064255AB8	BANK OF TOKYO-MITSUBISHI UFJ L		3.85		1/22/2015		8,000,000		7,997,603		8,419,371
06675EAA8	BANQUE PSA FINANCE		3.38		4/4/2014		4,850,000		4,845,433		4,937,427
06739FGP0	BARCLAYS BANK PLC		2.50		1/23/2013		5,000,000		4,957,165		5,092,900
06739GAE9	BARCLAYS BANK PLC		6.05		12/4/2017		8,500,000		8,624,082		8,910,404
06739GBB4	BARCLAYS BANK PLC		3.90		4/7/2015		3,250,000		3,376,716		3,360,753
073902PR3	BEAR STEARNS CO INC		6.40		10/2/2017		14,600,000		16,736,546		16,644,550
073902RU4	BEAR STEARNS CO INC		7.25		2/1/2018		11,000,000		12,889,153		13,045,088
10778XAA4	BRFKREDIT AS		2.05		4/15/2013		29,700,000		29,680,273		30,296,379
12479BAA0	COMMONWEALTH BANK OF AUSTRALIA		6.02		3/29/2049		3,760,000		3,781,977		3,684,800
125577BA3	CIT GROUP INC		5.25		4/1/2014		4,300,000		4,352,771		4,289,250
12800UAK6	CAISSE CENTRALE		2.55		3/24/2016		6,700,000		6,685,478		6,769,881
136069DM0	CANADIAN IMPERIAL BK COMRC		2.60		7/2/2015		10,500,000		10,600,529		10,787,701
136069DS7	CANADIAN IMPERIAL BK COMRC		2.35		12/11/2015		5,000,000		4,995,384		4,977,631
136069DT5	CANADIAN IMPERIAL BK COMRC		2.75		1/27/2016		600,000		615,085		614,664
140420MV9	CAPITAL ONE BANK		8.80		7/15/2019		9,000,000		11,255,303		11,054,471
14912L4Q1	CATERPILLAR FINL SERV		1.55		12/20/2013		4,000,000		3,996,329		4,032,630
172967EU1	CITIGROUP INC		6.50		8/19/2013		4,000,000		4,140,244		4,354,335
172967EY3	CITIGROUP INC		6.38		8/12/2014		29,875,000		31,074,400		33,139,886
172967EZ0	CITIGROUP INC		5.50		10/15/2014		19,150,000		20,572,178		20,768,272
172967FD8	CITIGROUP INC		4.75		5/19/2015		750,000		771,755		792,484
172967FE6	CITIGROUP INC		6.00		12/13/2013		2,000,000		2,025,790		2,173,107
172967FF3	CITIGROUP INC		5.38		8/9/2020		2,500,000		2,627,834		2,616,532
173094AA1	CITIGROUP INC		8.30		12/21/2077		4,463,000		4,636,683		4,563,418
17313YAL5	CITIGROUP FUNDING INC — GTD		1.88		10/22/2012		27,000,000		27,017,697		27,527,311
20272BAF1	COMMONWEALTH BANK AUSTRALIA, G		3.63		6/25/2014		40,000,000		40,418,208		42,727,197
20272BAK0	COMMONWEALTH BANK OF AUSTRALIA		2.90		9/17/2014		3,500,000		3,541,428		3,660,685
2027A0EM7	COMMONWEALTH BANK OF AUSTRALIA		3.50		3/19/2015		3,000,000		2,990,472		3,099,647
204279AA1	CIE FIN FONC		2.13		4/22/2013		13,200,000		13,315,479		13,403,808
20428AAE9	COMPAGNIE DE FINANCEMENT FONCI		2.25		3/7/2014		1,700,000		1,699,832		1,721,335
22546QAA5	CREDIT SUISSE GROUP		5.50		5/1/2014		3,000,000		3,204,631		3,288,482
22546QAE7	CREDIT SUISSE FIRST BOSTON		3.50		3/23/2015		10,000,000		10,409,476		10,279,210
22546QAF4	CREDIT SUISSE FIRST BOSTON		4.38		8/5/2020		7,000,000		7,177,554		6,879,630
2254C0TC1	CREDIT SUISSE NEW YORK NY		5.00		5/15/2013		4,500,000		4,709,940		4,792,761
2515A0Q30	DEUTSCHE BK LDN		3.88		8/18/2014		3,750,000		3,757,606		3,928,324
2515A0U76	DEUTSCHE BK LDN		3.45		3/30/2015		1,750,000		1,814,001		1,796,006
25214GAA1	DEXIA CREDIT LOCAL/NEW YORK		2.00		3/5/2013		22,000,000		22,217,179		22,090,641
254709AE8	DISCOVER FINANCL		10.25		7/15/2019		5,200,000		6,897,884		6,725,046
25600WAA8	DNB NOR BLGKRDIT		2.10		10/14/2015		1,900,000		1,886,187		1,878,872
25600WAB6	DNB NOR BLGKRDIT		2.90		3/29/2016		15,800,000		15,781,947		16,027,045
26441YAS6	DUKE REALTY LP		7.38		2/15/2015		4,466,000		4,945,429		5,040,504
26884TAC6	ERAC USA FINANCE COMPANY		2.25		1/10/2014		1,500,000		1,497,283		1,513,196
302154AU3	EXPORT-IMPORT BANK OF KOREA		5.88		1/14/2015		10,600,000		11,611,753		11,638,800
302508BA3	FMR CORP.		4.75		3/1/2013		2,500,000		2,588,959		2,622,033
316773CK4	FIFTH THIRD BANCORP		3.63		1/25/2016		6,325,000		6,318,132		6,382,827
31737UAH1	FINANCE FOR DANISH INDUSTRY IN		2.00		6/12/2013		4,900,000		5,005,486		5,007,114
354613AE1	FRANKLIN RESOURCES INC.		2.00		5/20/2013		3,975,000		3,975,512		4,040,561
36830GAA2	GE CAPITAL TRUST		6.38		11/15/2067		2,860,000		2,942,126		2,924,350
36962G3$4	GENERAL ELEC CAP CO		6.38		11/15/2067		3,150,000		3,247,711		3,220,875
36962G3T9	GE CAPITAL CORP		4.80		5/1/2013		14,000,000		14,735,990		14,881,045
36962G4C5	GE CAPITAL CORP		5.90		5/13/2014		10,000,000		10,986,103		11,133,894
36962G4G6	GE CAPITAL CORP		3.75		11/14/2014		850,000		847,659		895,620
36962G4H4	GENERAL ELEC CAP CO		2.80		1/8/2013		2,000,000		1,998,666		2,050,673
36962G4L5	GE CAPITAL CORP		3.50		6/29/2015		24,500,000		25,500,189		25,419,501
36962GK86	GE CAPITAL CORP		4.75		9/15/2014		4,000,000		4,239,976		4,327,932
36962GU51	GE CAPITAL CORP		0.45		1/8/2016		8,500,000		8,038,538		8,162,295
38141EA33	GOLDMAN SACHS GROUP INC		6.00		5/1/2014		5,350,000		5,667,763		5,837,186
38141EA74	GOLDMAN SACHS GROUP INC		3.70		8/1/2015		6,650,000		6,678,107		6,748,997
38141GDB7	GOLDMAN SACHS GROUP INC		5.25		4/1/2013		1,500,000		1,527,650		1,591,026
38141GEG5	GOLDMAN SACHS GROUP INC		0.70		3/22/2016		19,300,000		18,114,766		18,200,672
40411EAB4	BANK OF SCOTLAND PLC		5.25		2/21/2017		6,405,000		6,381,203		6,833,687
40414LAB5	HEALTH CARE PROPERTY INVESTORS		2.70		2/1/2014		8,875,000		8,867,527		8,976,488
4042Q1AE7	HSBC BANK USA		4.88		8/24/2020		16,250,000		15,726,410		16,091,832

Allied World Assurance Company Holdings, AG

Securities Listing as at June 30, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
44328MAB0	HSBC BANK PLC		3.50		6/28/2015		8,450,000		8,444,373		8,647,261
44328MAH7	HSBC BANK PLC		1.08		1/17/2014		7,500,000		7,500,000		7,539,600
44328MAJ3	HSBC BANK PLC		2.00		1/19/2014		2,000,000		1,998,463		2,011,339
44328MAL8	HSBC BANK PLC		3.10		5/24/2016		3,000,000		3,020,609		2,992,278
44914PAR8	HYPOTHEKENBANK IN ESSEN AG		5.00		1/20/2012		2,500,000		2,520,127		2,545,080
449786AH5	ING BANK INTERNATIONALE NEDERL		2.50		1/14/2016		12,000,000		11,787,181		11,756,040
449786AK8	ING BANK INTERNATIONALE NEDERL		1.30		3/15/2013		8,000,000		8,000,000		8,014,401
449786AL6	ING BANK INTERNATIONALE NEDERL		4.00		3/15/2016		6,000,000		5,996,934		6,075,084
449786AM4	ING BANK INTERNATIONALE NEDERL		2.38		6/9/2014		5,925,000		5,916,285		5,888,881
45112EAA7	ICICI BANK SG		2.01		2/24/2014		2,650,000		2,650,000		2,633,411
45112EAB5	ICICI BANK LTD (DUBAI BRANCH)		4.75		11/25/2016		1,500,000		1,495,056		1,502,286
45324QAB2	ING BANK NV — (LT) GTD		2.63		2/9/2012		26,700,000		26,875,407		26,999,690
459745GJ8	INTERNATIONAL LEASE FINANCE CO		5.75		5/15/2016		3,000,000		3,000,000		2,954,160
46623EJD2	JPMORGAN CHASE & CO		1.65		9/30/2013		3,000,000		2,999,729		3,012,293
46623EJF7	JPMORGAN CHASE & CO		1.07		1/24/2014		10,000,000		10,000,000		10,025,500
46625HHB9	JPMORGAN CHASE & CO		4.75		5/1/2013		15,895,000		15,890,233		16,866,031
46625HHN3	JPMORGAN CHASE & CO		4.65		6/1/2014		3,000,000		3,128,495		3,211,634
46625HHP8	JPMORGAN CHASE & CO		3.70		1/20/2015		3,000,000		3,005,452		3,105,411
46625HHR4	JPMORGAN CHASE & CO		3.40		6/24/2015		10,000,000		10,332,821		10,184,121
472319AK8	JEFFERIES GROUP INC.		5.13		4/13/2018		3,475,000		3,463,221		3,471,037
49326EED1	KEYCORP INSTIT CAPITAL		5.10		3/24/2021		1,725,000		1,723,429		1,756,924
53117CAG7	LIBERTY PROPERTY TR		6.38		8/15/2012		2,500,000		2,592,431		2,627,940
539473AG3	LLOYDS TSB BANK PLC		4.88		1/21/2016		8,050,000		8,114,485		8,243,900
539473AK4	LLOYDS TSB BANK PLC		2.62		1/24/2014		2,000,000		2,000,000		2,027,820
53947MAA4	LLOYDS TSB BANK PLC		4.38		1/12/2015		5,000,000		5,104,902		5,043,610
53947MAB2	LLOYDS TSB BANK PLC		5.80		1/13/2020		11,000,000		10,977,300		10,884,699
55607EAL4	MACQUARIE BANK LTD — GTD		3.30		7/17/2014		2,000,000		2,090,039		2,114,500
57629WBM1	MASSMUTUAL GLOBAL FUNDING II		2.30		9/28/2015		4,000,000		3,939,777		3,982,819
57629WBN9	MASSMUTUAL GLOBAL FUNDING II		0.66		1/14/2014		4,000,000		4,000,000		3,997,998
59018YJ69	MERRILL LYNCH & CO INC		6.40		8/28/2017		8,000,000		8,672,476		8,806,661
59018YM40	MERRILL LYNCH & CO INC		5.45		2/5/2013		5,150,000		5,387,702		5,434,558
59217EBW3	MET LIFE GLOBAL FUND		5.13		6/10/2014		4,000,000		4,306,452		4,350,363
617446V71	MORGAN STANLEY		6.25		8/28/2017		10,500,000		10,863,896		11,415,969
61746SBR9	MORGAN STANLEY		5.38		10/15/2015		20,000,000		20,571,989		21,269,896
61747WAD1	MORGAN STANLEY		2.88		1/24/2014		2,500,000		2,496,880		2,532,981
61747YCE3	MORGAN STANLEY		6.00		4/28/2015		5,000,000		5,394,187		5,433,003
61747YCF0	MORGAN STANLEY		6.00		5/13/2014		5,400,000		5,649,077		5,873,937
61747YCK9	MORGAN STANLEY		4.20		11/20/2014		2,150,000		2,132,146		2,222,505
61747YDD4	MORGAN STANLEY		3.80		4/29/2016		5,375,000		5,369,679		5,383,923
631103AA6	NASDAQ STOCK MARKET INC		2.50		8/15/2013		5,450,000		5,428,870		5,479,376
63307EAA5	NATIONAL BK OF CANADA		1.65		1/30/2014		2,500,000		2,499,439		2,533,025
637432ML6	NATIONAL RURAL UTILITIES		1.90		11/1/2015		4,000,000		3,996,485		3,913,785
637432MM4	NATIONAL RURAL UTILITIES		1.13		11/1/2013		1,350,000		1,349,631		1,348,798
638612AK7	NATIONWIDE FINANCIAL SERVICES		5.38		3/25/2021		5,925,000		5,891,335		5,999,261
63866EBL3	NATIONWIDE LIFE GLOBAL FUNDING		5.45		10/2/2012		600,000		601,843		626,400
65557CAA1	NORDEA BANK AB		3.70		11/13/2014		31,250,000		31,218,585		32,616,067
65557CAF0	NORDEA BANK AB		2.13		1/14/2014		5,000,000		4,993,756		5,016,415
693476BE2	PNC FUNDING CORP		5.40		6/10/2014		2,000,000		2,135,842		2,193,811
693476BH5	PNC FUNDING CORP		3.63		2/8/2015		14,000,000		13,989,657		14,584,997
74157UAG4	PRIMARIS RETAIL REAL ESTATE IN		5.40		11/30/2018		2,250,000		2,295,333		2,329,033
74733WAB4	QATAR DIAR FIN		5.00		7/21/2020		3,000,000		3,155,731		3,052,755
749343AA7	RCI BANQUE		3.40		4/11/2014		4,000,000		3,995,683		4,059,153
749770AQ6	RABOBANK NEDERLAND NV		11.00		12/31/2049		6,000,000		7,735,166		7,620,000
78009PCC3	ROYAL BANK OF SCOTLAND PLC THE		4.38		3/16/2016		3,750,000		3,743,072		3,776,496
78010XAD3	ROYAL BANK OF SCOTLAND PLC THE		3.40		8/23/2013		3,825,000		3,823,498		3,907,337
78010XAF8	ROYAL BANK OF SCOTLAND PLC THE		2.68		8/23/2013		300,000		305,655		307,701
78011CAG1	ROYAL BK OF STLAND GRP PLC — (		1.50		3/30/2012		5,000,000		4,999,212		5,044,700
78011HT39	ROYAL BANK OF SCOTLAND		1.65		10/15/2012		20,000,000		20,000,000		20,258,800
78442FAQ1	SLM CORP		5.00		4/15/2015		1,500,000		1,527,732		1,488,750
78442FCJ5	SLM CORP		5.38		5/15/2014		4,000,000		4,191,211		4,090,000
78442FEK0	SLM CORP		6.25		1/25/2016		2,500,000		2,574,688		2,600,000
802815AS9	SANTANDR US DEBT		2.99		10/7/2013		4,000,000		3,987,155		3,924,796
828807BM8	SIMON PROPERTY GROUP L.P.		5.10		6/15/2015		4,000,000		4,300,789		4,372,485
828807CB1	SIMON PROPERTY GROUP L.P.		6.75		5/15/2014		17,675,000		18,219,619		19,852,865
84603MXU5	SOVEREIGN BANK		8.75		5/30/2018		2,475,000		2,889,014		2,876,934
84650WAA4	SPAREBNK 1 BOLIG		1.25		10/25/2014		40,980,000		40,549,293		41,024,672
84650WAB2	SPAREBNK 1 BOLIG		2.63		5/27/2016		11,000,000		10,995,247		11,009,899
853254AG5	STANDARD CHARTERED PLC		3.20		5/12/2016		7,750,000		7,736,856		7,719,823
867914BD4	SUNTRUST BANKS INC		3.60		4/15/2016		3,400,000		3,398,757		3,443,643
87020LAA4	SWEDBANK HYPOTEK AB		2.95		3/28/2016		8,100,000		8,093,604		8,234,703
87020LAB2	SPINTAB AB SWEDMORTGAGE		0.70		3/28/2014		21,200,000		21,200,000		21,316,812
90261XEM0	UBS AG		5.88		12/20/2017		5,000,000		5,439,773		5,438,589
90261XFA5	UBS AG STAMFORD CT		5.75		4/25/2018		4,000,000		4,334,869		4,349,600
90261XGD8	UBS AG STAMFORD CT		4.88		8/4/2020		6,500,000		6,895,565		6,612,914
90261XGF3	UBS AG STAMFORD BRANCH		2.25		8/12/2013		2,325,000		2,322,847		2,358,037
90261XGX4	UBS AG		2.25		1/28/2014		3,600,000		3,598,665		3,645,882
902973AV8	US BANCORP		3.44		2/1/2016		6,000,000		6,012,481		6,072,403
90331HKP7	U.S. BANK NATIONAL ASSOCIATION		4.95		10/30/2014		2,750,000		2,768,081		3,020,182

Allied World Assurance Company Holdings, AG

Securities Listing as at June 30, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
90345AAA0	US CENTRAL CREDIT UNION — (LT)		1.25		10/19/2011		27,200,000		27,197,837		27,295,438
90345AAC6	US CENTRAL CREDIT UNION — (LT)		1.90		10/19/2012		15,500,000		15,495,631		15,802,251
90520EAC5	UNION BK OF CA NA		3.00		6/6/2016		7,800,000		7,779,439		7,726,899
91159HGY0	US BANCORP		1.38		9/13/2013		3,000,000		2,997,145		3,007,211
92933DAA8	WEA FINANCE LLC		7.50		6/2/2014		1,580,000		1,754,786		1,812,520
92933WAA6	WEA FINANCE LLC/WT FINANCE AUS		5.75		9/2/2015		3,000,000		2,978,677		3,316,388
92976WBJ4	WACHOVIA CORPORATION		5.50		5/1/2013		5,000,000		5,185,108		5,377,842
929903DT6	WACHOVIA CORPORATION		5.75		6/15/2017		21,125,000		21,697,699		23,591,678
949746PM7	WELLS FARGO & COMPANY		7.98		12/31/2049		5,000,000		5,311,497		5,312,500
949746QU8	WELLS FARGO & COMPANY		3.68		6/15/2016		1,950,000		1,962,337		2,018,764
94974BET3	WELLS FARGO & COMPANY		3.75		10/1/2014		1,400,000		1,400,919		1,479,341
94974BEU0	WELLS FARGO & COMPANY		3.63		4/15/2015		250,000		260,152		261,422
94980VAF5	WELLS FARGO BANK NA		0.47		5/16/2016		12,000,000		11,351,264		11,179,920
96008YAB1	WESTFIELD CAPITAL CORP LTD		5.13		11/15/2014		4,650,000		4,897,462		5,056,180
961214BH5	WESTPAC BANKING		4.20		2/27/2015		5,000,000		4,996,481		5,275,918
BRS2GW0D0	TNK-BP FINANCE SA		7.50		7/18/2016		4,750,000		5,250,156		5,358,000
BRSAC4WT8	WAHA AEROSPACE BV		3.92		7/28/2020		4,940,000		5,056,421		5,001,750
BRSBTKH28	BARCLAYS BANK PLC		6.63		3/30/2022		5,000,000		7,125,771		7,237,281
M8181FAB2	QATARI DIAR FINANCE QSC		5.00		7/21/2020		3,100,000		3,246,306		3,185,250
N9636WAL1	WHITE NIGHTS FINANCE BV		10.50		3/8/2014		3,500,000		4,084,254		4,171,790
Y4864WAG4	KOREA EXC BK		4.88		1/14/2016		2,000,000		2,057,216		2,110,820
							1,423,834,000		1,457,971,017		1,484,105,660
Corporate Securities — Industials
00206RAM4	AT&T INC		5.60		5/15/2018		6,950,000		8,048,213		7,767,717
00206RAR3	AT&T INC		5.80		2/15/2019		10,000,000		10,727,104		11,292,487
00846UAF8	AGILENT TECHNOLOGIES INC		2.50		7/15/2013		7,000,000		6,991,043		7,145,182
02209SAD5	ALTRIA GROUP INC.		9.70		11/10/2018		6,400,000		8,645,009		8,413,577
02364WAV7	AMERICA MOVIL SA		5.00		3/30/2020		10,000,000		10,904,561		10,416,138
03073KAF8	AMERIGAS PARTNERS, L.P.		7.13		5/20/2016		1,500,000		1,552,009		1,545,000
032511BC0	ANADARKO PETROLEUM CO		8.70		3/15/2019		8,000,000		10,235,356		10,161,768
034863AA8	ANGLO AMERICAN CAPITAL PLC		9.38		4/8/2014		11,280,000		12,713,164		13,546,584
034863AC4	ANGLO AMERICAN CAPITAL PLC		2.15		9/27/2013		1,800,000		1,798,863		1,823,114
035229CE1	ANHEUSER-BUSCH		7.50		3/15/2012		1,600,000		1,594,275		1,674,630
03523TAL2	ANHEUSER-BUSCH INBEV WORLDWIDE		3.00		10/15/2012		2,500,000		2,534,754		2,565,033
03523TAM0	ANHEUSER-BUSCH INBEV WORLDWIDE		4.13		1/15/2015		10,000,000		10,273,029		10,702,393
03523TBC1	ANHEUSER-BUSCH INBEV WORLDWIDE		0.82		1/27/2014		1,500,000		1,500,000		1,505,385
053611AC3	AVERY DENNISON CORP		4.88		1/15/2013		1,500,000		1,471,117		1,577,576
05530QAC4	BAT INTERNATIONAL FINANCE PLC		8.13		11/15/2013		5,255,000		6,004,891		6,049,404
055451AH1	BHP BILLITON FINANCE (USA) LTD		6.50		4/1/2019		6,000,000		7,338,510		7,186,017
067316AA7	BACARDI LTD		7.45		4/1/2014		12,100,000		12,093,480		13,932,293
067901AB4	BARRICK GOLD CORP		6.95		4/1/2019		1,700,000		2,137,993		2,019,000
067901AD0	BARRICK GOLD CORP		2.90		5/30/2016		4,000,000		3,996,534		4,002,366
06846NAA2	BILL BARRETT		5.00		3/15/2028		1,850,000		1,842,619		1,903,835
071813AZ2	BAXTER INTERNATIONAL INC		4.00		3/1/2014		6,400,000		6,447,329		6,856,348
097014AK0	BOEING CAPITAL CORPORATION		3.25		10/27/2014		250,000		249,625		264,612
097023AY1	BOEING CO		3.50		2/15/2015		1,250,000		1,247,346		1,321,618
10138MAH8	BOTTLING GROUP LLC		6.95		3/15/2014		7,000,000		7,958,936		8,059,762
115637AK6	BROWN-FORMAN CORPORATION		2.50		1/15/2016		7,000,000		6,959,782		7,042,890
120568AM2	BUNGE LIMITED FINANCE CORP		5.35		4/15/2014		6,024,000		6,482,183		6,496,757
126650AV2	CVS CAREMARK CORP		4.88		9/15/2014		2,000,000		2,085,704		2,187,961
126650BQ2	CVS PASS-THROUGH TRUST		6.94		1/10/2030		2,036,960		2,225,542		2,291,051
147448AD6	CASELLA WASTE SYST, INC.		11.00		7/15/2014		1,300,000		1,452,750		1,452,750
14912L4U2	CATER PILLAR FINANCIAL SERVICE		0.54		4/1/2014		4,000,000		4,000,000		4,015,240
159864AB3	CHARLES RIVER LABS INTL INC.		2.25		6/15/2013		2,420,000		2,351,745		2,545,187
161175A$2	CHARTER COMMUNICATIONS HOLDING		8.00		4/30/2012		4,000,000		4,173,126		4,155,000
17275RAL6	CISCO SYSTEMS INC		0.50		3/14/2014		8,000,000		8,000,000		8,022,400
191216AL4	COCA-COLA COMPANY THE		3.63		3/15/2014		6,825,000		6,807,601		7,265,816
20030NAE1	COMCAST CORPORATION		5.30		1/15/2014		2,000,000		2,031,551		2,186,445
20030NAL5	COMCAST CORPORATION		5.90		3/15/2016		7,500,000		7,836,714		8,497,947
20825CAT1	CONOCOPHILLIPS		4.60		1/15/2015		4,000,000		4,297,967		4,395,775
21079UAA3	CONTINENTAL AIRLINES		7.25		5/10/2021		4,759,584		5,324,746		5,092,756
21079VAA1	CONTINENTAL AIRLINES INC.		4.75		1/12/2021		2,400,000		2,400,000		2,328,000
22303QAK6	COVIDIEN INTERNATIONAL FINANCE		2.80		6/15/2015		10,800,000		10,818,116		11,029,012
224044BF3	COX COMMUNICATIONS INC.		4.63		6/1/2013		1,225,000		1,256,047		1,302,719
22822RAZ3	CROWN CASTLE TOWERS LLC		4.88		8/15/2040		8,000,000		7,824,658		8,080,000
233835AW7	DAIMLERCHRYSLER NA HLDG		6.50		11/15/2013		6,200,000		6,939,791		6,902,165
233851AC8	DAIMLER FINANCE NORTH AMERICA		0.86		3/28/2014		4,000,000		4,000,000		4,001,680
244199BC8	DEERE & COMPANY		4.38		10/16/2019		15,400,000		15,328,064		16,239,175
24702RAK7	DELL INC		1.40		9/10/2013		5,200,000		5,195,643		5,220,872
24702RAL5	DELL INC		2.30		9/10/2015		4,650,000		4,649,095		4,639,461
247361ZH4	DELTA AIR LINES INC.		4.95		5/23/2019		147,852		147,852		147,482
24736TAA5	DELTA AIR LINES INC.		7.75		12/17/2019		1,869,657		2,084,731		2,028,578
25156PAL7	DEUTSCHE TELEKOM INTL		6.75		8/20/2018		3,800,000		4,583,642		4,484,791
25243YAL3	DIAGEO CAPITAL PLC		5.20		1/30/2013		1,000,000		1,055,829		1,064,651
25244SAD3	DIAGEO FINANCE BV		5.50		4/1/2013		4,500,000		4,778,381		4,841,057
25459HAV7	DIRECTV HOLDINGS LLC		3.13		2/15/2016		12,125,000		12,118,266		12,275,189
25459HAY1	DIRECTV HOLDINGS LLC/DIRECTV F		3.50		3/1/2016		2,000,000		1,996,427		2,055,792

Allied World Assurance Company Holdings, AG

Securities Listing as at June 30, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
25468PBX3	WALT DISNEY		6.38		3/1/2012		2,000,000		2,068,026		2,075,125
260543CA9	DOW CHEMICAL COMPANY THE		5.90		2/15/2015		6,100,000		6,769,126		6,834,754
26138EAK5	DR PEPPER SNAPPLE GROUP INC		1.70		12/21/2011		2,500,000		2,502,372		2,515,207
263534BS7	EI DUPONT DE NEMOURS & CO		5.00		1/15/2013		768,000		805,838		817,067
26483EAE0	DUN & BRADSTREET CORPORATION T		2.88		11/15/2015		1,500,000		1,495,300		1,501,092
26875PAJ0	EOG RESOURCES INC		1.02		2/3/2014		3,000,000		3,000,000		3,028,500
26882PBD3	ERAC USA FINANCE COMPANY		5.80		10/15/2012		2,122,000		2,221,331		2,247,454
27876GBF4	ECHOSTAR DBS CORP		7.00		10/1/2013		5,000,000		5,382,863		5,362,500
29264FAF3	ENDO PHARMACEUTICALS HLDGS INC		7.00		7/15/2019		1,000,000		1,000,000		1,020,000
294429AH8	EQUIFAX INC		4.45		12/1/2014		2,000,000		2,007,832		2,130,879
29444UAG1	EQUINIX, INC.		3.00		10/15/2014		1,440,000		1,411,524		1,607,256
302182AF7	EXPRESS SCRIPTS, INC.		3.13		5/15/2016		5,775,000		5,752,406		5,800,336
337738AK4	FISERV INC		3.13		6/15/2016		6,025,000		6,021,415		5,983,435
345397VN0	FORD MOTOR CREDIT COMPANY		7.00		4/15/2015		7,000,000		7,595,517		7,577,500
35177PAS6	FRANCE TELECOM		4.38		7/8/2014		400,000		434,739		434,548
35671DAS4	FREEPORT-MCMORAN COPPER & GOLD		8.38		4/1/2017		7,750,000		8,431,333		8,447,500
368266AN2	GAZ CAPITAL FOR GAZPROM		5.09		11/29/2015		2,750,000		2,750,000		2,867,700
369550AK4	GENERAL DYNAMICS CORPORATION		4.25		5/15/2013		1,250,000		1,215,543		1,329,640
369604AY9	GENERAL ELEC CAP CO		5.00		2/1/2013		500,000		521,749		531,224
37331NAB7	GEORGIA-PACIFIC CORPORATION		5.40		11/1/2020		10,500,000		10,872,182		10,724,520
37373UAA2	GERDAU HOLDINGS INC		7.00		1/20/2020		3,000,000		3,314,335		3,330,000
37373WAA8	METALURGICA GERDAU SA		5.75		1/30/2021		3,300,000		3,397,746		3,307,701
377372AC1	GLAXOSK CAP INC		4.85		5/15/2013		4,500,000		4,739,789		4,837,640
404119BK4	HCA INC		7.25		9/15/2020		7,000,000		7,581,856		7,516,250
406216AX9	HALLIBURTON COMPANY		6.15		9/15/2019		2,500,000		2,706,084		2,909,119
41283DAA1	HARLEY-DAVIDSON FUNDING CORPOR		5.25		12/15/2012		2,500,000		2,550,411		2,617,302
41283DAC7	HARLEY-DAVIDSON INC		5.75		12/15/2014		500,000		524,445		531,427
428236AQ6	HEWLETT-PACKARD COMPANY		4.50		3/1/2013		4,000,000		4,182,202		4,240,130
428236BK8	HEWLETT-PACKARD COMPANY		1.55		5/30/2014		1,250,000		1,249,648		1,253,853
436440AA9	HOLOGIC, INC.		2.00		12/15/2037		6,450,000		6,059,174		6,256,500
44107TAE6	HOST MARRIOTT LP		2.63		4/15/2027		4,650,000		4,604,850		4,705,800
44841AAA6	HUTCHISON WHAMPOA INTERNATIONA		4.63		9/11/2015		6,100,000		6,560,532		6,481,371
44920UAB4	HYUNDAI CAP SVC		6.00		5/5/2015		2,000,000		2,001,762		2,180,140
451055AC1	ICONIX BRAND GROUP INC		2.50		6/1/2016		800,000		800,000		843,920
452308AH2	ILLINOIS TOOL WORKS INC.		5.15		4/1/2014		1,000,000		1,034,806		1,106,764
457985AH2	INTEGRA LIFESCIENCES HLDGS COR		2.38		6/1/2012		3,175,000		3,129,714		3,196,273
458660AA5	INTERDIGITAL INC		2.50		3/15/2016		470,000		470,000		490,774
459284AA3	INTERNATIONAL CCE INC		2.13		9/15/2015		3,000,000		2,990,639		2,960,423
470355AC2	JAMES RIVER COAL CO		4.50		12/1/2015		450,000		429,651		506,925
470355AE8	JAMES RIVER COAL CO		3.13		3/15/2018		2,970,000		2,936,003		2,955,750
48203RAE4	JUNIPER NETWORKS, INC.		3.10		3/15/2016		7,850,000		7,837,325		7,967,921
496902AD9	KINROSS GOLD CORP		1.75		3/15/2028		3,995,000		3,951,394		3,977,023
50075NAX2	KRAFT FOODS INC.		6.75		2/19/2014		9,680,000		10,669,002		10,949,104
535919AF1	LIONS GATE ENTER		2.94		10/15/2024		1,600,000		1,563,160		1,572,960
552078BB2	LYONDELL CHEMICAL COMPANY		11.00		5/1/2018		8,700,000		9,663,615		9,700,500
552953BJ9	MGM MIRAGE		11.13		11/15/2017		5,200,000		5,889,990		5,928,000
579780AD9	MCCORMICK & CO INC		5.20		12/15/2015		1,500,000		1,463,000		1,660,695
58155QAC7	MCKESSON CORP		3.25		3/1/2016		2,825,000		2,816,020		2,904,300
582839AD8	MEAD JOHNSON NUTRITION CO		3.50		11/1/2014		2,000,000		2,000,278		2,090,208
58405UAF9	MEDCO HEALTH SOLUTIONS INC.		2.75		9/15/2015		2,225,000		2,224,382		2,215,602
585055AP1	MEDTRONIC INC		4.50		3/15/2014		2,750,000		2,815,052		2,981,514
589331AP2	MERCK & CO INC		4.00		6/30/2015		1,000,000		1,011,387		1,078,195
608753AB5	MOLYCORP INC		3.25		6/15/2016		730,000		730,000		849,538
62875UAF2	NBC UNIVERSAL		3.65		4/30/2015		12,950,000		13,064,827		13,583,966
62875UAM7	NBC UNIVERSAL		2.10		4/1/2014		3,500,000		3,499,636		3,547,668
651290AK4	NEWFIELD EXPL CO		7.13		5/15/2018		2,150,000		2,304,310		2,284,375
652482BG4	NEWS AMERICA INC		5.30		12/15/2014		10,000,000		9,954,416		11,117,146
654742AA3	NISSAN MOTOR ACCEPT CO		3.25		1/30/2013		2,500,000		2,524,945		2,560,700
66989PAA8	NOVATEK FINANCE LIMITED		5.33		2/3/2016		6,000,000		6,201,599		6,180,000
670704AC9	NUVASIVE INC		2.75		7/1/2017		1,150,000		1,150,000		1,161,098
675757AA6	ODEBRECHT DRILL VIII/IX		6.35		6/30/2021		2,000,000		2,126,946		2,085,860
68268NAF0	ONEOK, INC.		3.25		2/1/2016		3,550,000		3,548,048		3,601,883
693309AA4	PE PAPER ESCROW GMBH		12.00		8/1/2014		2,000,000		2,289,791		2,292,500
70336TAA2	PATRIOT COAL CORP		3.25		5/31/2013		4,290,000		4,032,636		4,217,662
706451BS9	PEMEX PROJECT FUNDING MASTER T		5.75		3/1/2018		1,250,000		1,382,132		1,368,750
71645WAN1	PETROBRAS INTERNATIONAL FINANC		7.88		3/15/2019		4,300,000		5,331,039		5,158,789
71645WAT8	PETROBRAS INTERNATIONAL FINANC		3.88		1/27/2016		2,250,000		2,243,011		2,290,504
71654QAW2	PETROLEOS MEXICANOS		6.00		3/5/2020		3,600,000		4,006,328		3,933,000
717081DA8	PFIZER INC.		5.35		3/15/2015		7,750,000		8,191,606		8,706,038
718172AA7	PHILIP MORRIS INTERNATIONAL IN		5.65		5/16/2018		1,100,000		1,279,570		1,235,631
718172AG4	PHILIP MORRIS INTERNATIONAL IN		6.88		3/17/2014		4,000,000		4,531,990		4,587,256
718172AJ8	PHILIP MORRIS INTERNATIONAL IN		2.50		5/16/2016		2,400,000		2,383,971		2,393,764
726505AF7	PLAINS EXPLORATION & PRODUCTIO		7.63		6/1/2018		2,000,000		2,145,299		2,100,000
74005PAJ3	PRAXAIR INC.		6.38		4/1/2012		1,000,000		1,004,742		1,042,307
74733LAC6	QTEL INTERNATIONAL FINANCE LTD		3.38		10/14/2016		6,100,000		6,118,810		6,092,680
749121CA5	QWEST COMMUNICATIONS INTERNATI		8.00		10/1/2015		5,000,000		5,481,467		5,437,410
74973WAA5	RTI INTL METALS, INC.		3.00		12/1/2015		210,000		210,000		270,575
75281AAH2	RANGE RESOURCES CORP		7.50		10/1/2017		1,150,000		1,228,946		1,219,000

Allied World Assurance Company Holdings, AG

Securities Listing as at June 30, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
75281AAJ8	RANGE RESOURCES CORP		7.25		5/1/2018		2,150,000		2,302,164		2,265,563
758202AF2	REED ELSEVIER PLC		7.75		1/15/2014		9,825,000		9,811,005		11,250,453
767201AF3	RIO TINTO FINANCE USA LIMITED		8.95		5/1/2014		10,975,000		13,128,548		13,186,309
767201AJ5	RIO TINTO FINANCE USA LIMITED		1.88		11/2/2015		1,600,000		1,598,869		1,574,237
771196AQ5	ROCHE HOLDINGS INC		5.00		3/1/2014		3,150,000		3,258,933		3,448,227
77509NAH6	ROGERS CABLE INC.		6.25		6/15/2013		625,000		669,705		685,644
77509NAK9	ROGERS COMMUN INC.		5.50		3/15/2014		10,000,000		10,703,719		11,016,756
78108AAA2	RENTAL SERVICE CORP		10.00		7/15/2017		4,025,000		4,522,255		4,487,875
78355HJQ3	RYDER SYSTEM INC.		3.15		3/2/2015		1,050,000		1,049,636		1,070,923
78355HJR1	RYDER SYSTEM INC.		3.50		6/1/2017		5,875,000		5,864,682		5,888,328
78387GAP8	AT&T INC		5.10		9/15/2014		4,000,000		4,332,904		4,403,807
78403DAB6	SBA TOWER TRUST		5.10		4/15/2042		5,300,000		5,665,522		5,618,971
784216AB9	SGS INTERNATIONL		12.00		12/15/2013		2,350,000		2,422,126		2,408,750
78572MAD7	SABMILLER PLC		6.50		7/1/2016		6,250,000		7,255,857		7,197,047
790849AE3	ST. JUDE MEDICAL INC.		3.75		7/15/2014		5,353,000		5,680,579		5,691,141
80105NAB1	SANOFI-AVENTIS		1.63		3/28/2014		1,000,000		998,744		1,011,112
80105NAC9	SANOFI AVENTIS		0.56		3/28/2014		4,450,000		4,450,000		4,472,384
822582AF9	SHELL INTL FINAN		4.00		3/21/2014		1,000,000		1,015,340		1,074,714
822582AG7	SHELL INTL FINAN		1.30		9/22/2011		1,250,000		1,249,994		1,252,416
82967NAA6	SIRUS XM RADIO INC		9.75		9/1/2015		2,950,000		3,274,500		3,245,000
833034AC5	SNAP-ON INCORPORATED		6.25		8/15/2011		1,400,000		1,402,782		1,408,288
84359YAB2	SOUTHERN PACIFIC RESOURCE CORP		6.00		6/30/2016		1,800,000		1,767,991		1,907,056
858119AN0	STEEL DYNAMICS, INC.		7.75		4/15/2016		3,925,000		4,167,682		4,121,250
878742AJ4	TECK COMINCO LIMITED		9.75		5/15/2014		6,100,000		7,327,194		7,381,000
87938WAJ2	TLEFONICA EMISNS		4.95		1/15/2015		22,000,000		23,069,438		23,348,113
88166CAA6	TEVA PHARMACEUTICAL FINANCE II		3.00		6/15/2015		13,875,000		13,861,135		14,256,519
88166DAB2	TEVA PHARMACEUTICAL FINANCE II		0.75		3/21/2014		3,275,000		3,275,000		3,287,773
883556AW2	THERMO FISHER SCIENTIFIC INC		2.05		2/21/2014		2,000,000		1,999,487		2,040,269
887317AC9	TIME WARNER INC		5.88		11/15/2016		3,800,000		4,390,264		4,326,728
88732JAH1	TIME WARNER CABLE INC		5.85		5/1/2017		3,800,000		4,315,960		4,240,392
88732JAK4	TIME WARNER CABLE INC		6.20		7/1/2013		2,500,000		2,678,496		2,737,752
88732JAR9	TIME WARNER CABLE INC		7.50		4/1/2014		1,500,000		1,659,974		1,728,710
88732JAW8	TIME WARNER CABLE INC		5.00		2/1/2020		1,050,000		1,062,572		1,088,659
8935268Y2	TRANSCANADA PIPELINES LIMITED		7.13		1/15/2019		1,800,000		2,276,239		2,197,275
893526CC5	TRANSCANADA PIPELINES LIMITED		8.63		5/15/2012		11,675,000		12,031,147		12,434,909
89378TAB9	TRANSNET LTD		4.50		2/10/2016		5,950,000		5,919,183		6,140,876
893830AX7	TRANSOCEAN INC		4.95		11/15/2015		4,200,000		4,541,398		4,496,334
902133AF4	TYCO ELECTRONICS		6.55		10/1/2017		4,050,000		4,614,409		4,760,948
907818CV8	UNION PACIFIC CO		4.88		1/15/2015		1,150,000		1,155,710		1,250,624
91911TAF0	VALE OVERSEAS LIMITED		6.25		1/11/2016		4,300,000		4,858,739		4,865,021
91913YAQ3	VALERO ENERGY CORPORATION		4.50		2/1/2015		325,000		324,361		346,488
92343VAY0	VERIZON COMMUNICATIONS INC.		3.00		4/1/2016		11,500,000		11,443,058		11,664,498
92343VAZ7	VERIZON COMMUNICATIONS INC.		0.86		3/28/2014		6,700,000		6,700,000		6,762,712
92344SAK6	CELLCO PARTNERSHIP/VERIZON WIR		8.50		11/15/2018		15,700,000		21,157,627		20,313,080
92344SAP5	CELLCO PARTNERSHIP/VERIZON WIR		5.55		2/1/2014		4,000,000		4,359,638		4,406,633
92857WAK6	VODAFONE GROUP PLC		5.75		3/15/2016		4,700,000		5,211,464		5,316,666
92857WAP5	VODAFONE GROUP PLC		5.63		2/27/2017		9,300,000		9,928,803		10,413,563
92857WAS9	VODAFONE GROUP PLC		5.45		6/10/2019		2,750,000		3,178,019		3,023,253
931142DA8	WAL-MART STORES INC		1.63		4/15/2014		4,600,000		4,588,400		4,660,859
947075AD9	WEATHERFORD INTL INC		6.00		3/15/2018		5,347,000		5,816,773		5,917,807
94770VAE2	WEBMD HEALTH CORP		2.50		1/31/2018		1,150,000		1,139,213		1,104,748
94770VAG7	WEBMD HEALTH CORP		2.25		3/31/2016		4,680,000		4,595,683		4,444,362
980888AC5	WOOLWORTHS LTD		2.55		9/22/2015		2,750,000		2,747,255		2,751,402
98235TAA5	WRIGHT MEDICAL GRP INC.		2.63		12/1/2014		3,220,000		3,007,432		3,232,558
982526AF2	WM. WRIGLEY JR. COMPANY		2.45		6/28/2012		2,000,000		1,999,669		2,018,362
983024AA8	WYETH		5.50		3/15/2013		5,000,000		5,190,420		5,382,696
984121BS1	XEROX CREDIT CORPORATION		5.50		5/15/2012		1,550,000		1,596,365		1,612,196
Q7264TAC8	PALADIN ENERGY LTD		3.63		11/4/2015		2,300,000		2,176,382		1,998,293
							813,168,053		860,695,564		876,067,184
Corporate Securities — Utilities
037735CQ8	APPALACHIAN POWER COMPANY		3.40		5/24/2015		1,075,000		1,072,649		1,098,369
13134YAD9	CALPINE CONSTRUCTION FINANCE C		8.00		6/1/2016		5,700,000		6,148,312		6,084,750
15135UAB5	CENOVUS ENERGY INC		4.50		9/15/2014		1,350,000		1,349,184		1,464,703
15234QAJ7	ELETROBRAS		6.88		7/30/2019		5,000,000		5,698,302		5,633,221
202795HW3	COMMONWEALTH EDISON COMPANY		1.63		1/15/2014		1,600,000		1,598,023		1,611,283
209111DZ3	CONSOLIDATED EDISON CO OF NY		5.63		7/1/2012		550,000		544,491		577,152
209111EA7	CONSOLIDATED EDISON CO OF NY		4.88		2/1/2013		3,000,000		3,148,225		3,169,274
209111EX7	CONSOLIDATED EDISON CO OF NY		6.65		4/1/2019		4,589,000		5,647,227		5,490,824
22282EAA0	COVANTA HOLDING CORP		1.00		2/1/2027		2,880,000		2,742,633		2,873,039
264399EQ5	DUKE ENERGY CORP		6.30		2/1/2014		15,150,000		15,606,798		16,907,283
291011AT1	EMERSON ELECTRIC CO		4.50		5/1/2013		1,000,000		984,526		1,066,937
29268BAE1	ENEL FINANCE INTERNATIONAL SA		5.13		10/7/2019		11,000,000		10,958,321		11,137,326
29364GAE3	ENTERGY CORPORATION		3.63		9/15/2015		1,500,000		1,530,525		1,524,450
302570AV8	FPL GROUP CAPITAL INC		5.63		9/1/2011		1,000,000		998,286		1,007,650
340711AQ3	FL GAS TSMN CO		7.90		5/15/2019		7,000,000		8,336,754		8,610,492
340711AR1	FL GAS TSMN CO		4.00		7/15/2015		700,000		699,894		730,318
373334FN6	GEORGIA POWER COMPANY		5.13		11/15/2012		1,250,000		1,248,288		1,317,760

Allied World Assurance Company Holdings, AG

Securities Listing as at June 30, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
373334JM4	GEORGIA POWER COMPANY		6.00		11/1/2013		1,000,000		1,090,949		1,108,543
391164AD2	GREAT PLAINS ENERGY INCORPORAT		2.75		8/15/2013		3,000,000		2,999,015		3,039,377
45138LAK9	IDAHO POWER COMPANY		4.75		11/15/2012		1,750,000		1,725,563		1,837,220
461070AH7	INTERSTATE POWER & LIGHT CO		3.30		6/15/2015		3,000,000		2,992,612		3,081,900
494550AU0	KINDER MORGAN ENERGY PARTNERS		6.00		2/1/2017		2,000,000		2,186,090		2,250,800
494550AZ9	KINDER MORGAN ENERGY PARTNERS		9.00		2/1/2019		4,500,000		5,635,671		5,735,978
494550BB1	KINDER MORGAN ENERGY PARTNERS		6.85		2/15/2020		2,145,000		2,430,836		2,492,135
494550BE5	KINDER MORGAN ENERGY PARTNERS		5.30		9/15/2020		1,375,000		1,374,464		1,440,366
50064YAB9	KOREA HYDRO		3.13		9/16/2015		6,100,000		6,171,693		6,042,607
559080AA4	MAGELLAN MIDSTREAM PARTNERS LP		6.45		6/1/2014		10,550,000		10,308,949		11,892,213
570506AH8	MARKWEST ENERGY PARTNERS L.P.		8.75		4/15/2018		1,650,000		1,822,998		1,790,250
595620AD7	MIDAMERICAN ENERGY HOLDINGS CO		4.65		10/1/2014		25,800,000		25,919,751		28,246,169
629377AX0	NRG ENERGY INC		7.38		1/15/2017		650,000		685,014		680,875
65504LAB3	NOBLE HOLDING INTERNATIONAL CA		3.45		8/1/2015		825,000		825,000		851,771
67021CAB3	NSTAR ELEC CO		4.88		4/15/2014		5,000,000		5,195,039		5,424,581
674599BZ7	OCCIDENTAL PETROLEUM		2.50		2/1/2016		5,000,000		4,997,375		5,052,610
69331CAE8	PG&E CORPORATION		5.75		4/1/2014		10,000,000		9,968,710		10,986,493
69353UAB7	PPL WEM HOLDINGS PLC		3.90		5/1/2016		5,675,000		5,669,228		5,811,237
694308GP6	PACIFIC GAS AND ELECTRIC CO		6.25		12/1/2013		13,000,000		12,950,125		14,406,345
695114BU1	PACIFICORP		6.90		11/15/2011		1,000,000		1,001,870		1,023,046
737679CW8	POTOMAC ELECTRIC POWER COMPANY		4.95		11/15/2013		1,200,000		1,126,667		1,301,532
743263AM7	PROGRESS ENERGY INC.		6.05		3/15/2014		10,000,000		10,123,473		11,119,478
744448BU4	PUBLIC SERVICE COLORADO		7.88		10/1/2012		1,070,000		1,064,344		1,162,345
74456QAW6	PUBLIC SERVICE ELECTRIC & GAS		2.70		5/1/2015		1,075,000		1,073,488		1,088,432
748356AA0	QUESTAR CORP		2.75		2/1/2016		1,200,000		1,198,197		1,207,359
779382AN0	ROWAN CO		5.00		9/1/2017		1,625,000		1,617,762		1,716,881
816851AR0	SEMPRA ENERGY		1.01		3/15/2014		4,000,000		4,000,000		4,014,360
842434CA8	SOUTHERN CALIFORNIA GAS CO		4.80		10/1/2012		700,000		690,629		735,588
842587CE5	SOUTHERN COMPANY		4.15		5/15/2014		10,575,000		10,584,749		11,178,569
842587CG0	SOUTHERN COMPANY		2.38		9/15/2015		400,000		406,751		397,903
84755TAB3	SPECTRA ENERGY CAPITAL LLC		5.90		9/15/2013		2,650,000		2,812,202		2,876,992
893526DH3	TRANSCANADA PIPELINES LIMITED		3.40		6/1/2015		4,250,000		4,249,338		4,442,496
89352HAA7	TRANS-CANADA PIPELINES		4.00		6/15/2013		5,300,000		5,293,862		5,570,807
89354FAE1	TRANSCAPITALINVEST LTD FOR OJS		8.70		8/7/2018		1,700,000		2,076,252		2,078,250
947074AJ9	WEATHERFORD INTL, INC.		6.35		6/15/2017		2,000,000		2,198,993		2,280,156
94707VAA8	WEATHERFORD INTL, INC.		5.13		9/15/2020		1,650,000		1,647,840		1,676,133
96950FAB0	WILLIAMS PRTNRS		3.80		2/15/2015		5,000,000		5,010,600		5,213,650
976656CA4	WISCONSIN ELECTRIC POWER CO		6.00		4/1/2014		4,500,000		5,010,306		5,009,680
							227,259,000		234,448,847		246,569,960
Asset Backed Securities — Credit Cards
05522RAB4	BACCT		0.23		12/15/2016		10,000,000		9,961,637		9,954,230
05522RBF4	BACCT		0.26		12/15/2016		2,750,000		2,731,069		2,739,930
06423RAV8	BOIT		0.44		1/15/2016		2,250,000		2,252,306		2,253,834
126802BJ5	CABELAS MASTER CREDIT CARD TRU		1.64		1/16/2018		13,925,000		14,395,847		14,406,387
126802BM8	CABMT_10-IA		2.29		9/17/2018		2,000,000		1,999,257		2,009,620
126802BR7	CABMT_10-IA		2.39		6/17/2019		3,000,000		2,999,431		2,997,188
126802BS5	CABMT_10-IA		0.79		6/17/2019		3,500,000		3,500,000		3,500,000
14041NBG5	COMET		0.40		12/15/2016		8,460,000		8,466,548		8,453,285
161571AA2	CHASE ISSURANCE TRUST 04_A8		0.31		9/15/2015		3,250,000		3,245,99		1 3,249,497
161571CH5	CHAIT		5.12		10/15/2014		8,600,000		9,022,403		9,096,212
161571DD3	CHAIT		1.75		9/15/2015		10,750,000		11,060,451		11,069,692
17305EER2	CCCIT		2.25		12/23/2014		10,000,000		10,067,923		10,231,167
55264TDX6	MBNA CREDIT CARD MASTER NOTE T		0.25		10/15/2015		750,000		747,851		748,731
							79,235,000		80,450,713		80,709,773
Asset Backed Securities — Auto
02005ABB3	ALLY MASTER OWNER TRUST AMOT_1		1.06		1/15/2016		13,000,000		13,000,000		13,056,420
02005TAD9	ALLYA_11-1		2.23		3/15/2016		6,000,000		5,999,492		6,112,853
03064NAD8	AMERICREDIT AUTOMOBILE RECEIVA		1.61		10/8/2015		3,750,000		3,749,748		3,740,756
06052FAC4	BAAT_09-2		2.13		9/15/2013		11,728,368		11,728,334		11,813,566
06052MAC9	BAAT		1.31		7/15/2014		2,300,000		2,299,967		2,311,730
09657MAC2	BMWLT_10-1		1.39		4/25/2014		1,350,000		1,349,986		1,359,297
14313CAC0	CARMX_10-1		1.56		7/15/2014		1,500,000		1,499,912		1,509,270
14313EAC6	CARMX_10-2		1.41		2/16/2015		10,000,000		9,999,894		10,086,600
34529GAF2	FORDO_09-D		2.17		10/15/2013		21,831,209		21,830,410		22,025,478
34529HAC7	FORDO		1.51		1/15/2014		2,284,156		2,284,015		2,295,577
34529PAC9	FORDO_11-A		0.97		1/15/2015		3,500,000		3,499,605		3,509,489
34529QAC7	FORDL_11-A		1.03		7/15/2014		3,600,000		3,599,883		3,600,000
41283KAC1	HDMOT_10-1		1.16		2/15/2015		3,650,000		3,649,629		3,659,271
43812BAG8	HAROT_10-1		1.25		10/21/2013		2,356,181		2,356,045		2,366,489
43812WAC1	HONDA AUTO RECIEVABLES OWNER T		2.31		5/15/2013		978,432		985,294		986,278
43813TAD5	HAROT_11-1		1.80		4/17/2017		2,500,000		2,499,400		2,529,782
44923YAC1	HART_10-B		0.97		4/15/2015		2,150,000		2,149,747		2,146,345
44924CAA2	HCAF_10-8A		1.19		9/20/2016		2,275,000		2,225,890		2,260,099
587682AC9	MBART_10-A		1.42		8/15/2014		1,050,000		1,049,898		1,058,584
98158KAD1	WORLD OMNI AUTO RECEIVABLES TR		1.91		4/16/2016		6,200,000		6,199,733		6,257,908
							102,003,347		101,956,879		102,685,790

Allied World Assurance Company Holdings, AG

Securities Listing as at June 30, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
Asset Backed Securities — Student Loans
00432CAZ4	AGSL_03-1		0.73		12/26/2035		4,100,000		3,724,467		3,623,883
00432CBB6	AGSL_03-1		0.40		12/26/2035		3,600,000		3,234,108		3,182,616
00432CBP5	AGSL_03-1		1.76		12/27/2032		5,350,000		4,752,717		4,739,116
041150DJ9	ASLA_10-1		1.21		11/25/2043		6,990,377		6,925,243		6,941,305
10620NCG1	BRHEA_05-2		1.06		2/25/2030		12,800,000		12,633,060		12,800,128
10620NCK2	BRAZOS HIGHER EDUCATION AUTHOR		1.10		7/25/2029		5,100,000		5,048,570		5,048,970
194262CD1	COLLE_04-1		0.43		4/25/2021		17,219,723		17,196,481		17,143,957
28140VAB9	EFCT_04-1		0.41		12/15/2022		4,383,415		4,338,231		4,354,704
36156HAV0	GCOE_06-1		0.39		5/25/2025		7,100,000		6,372,250		6,891,473
429827AB4	HEF_10-401		1.64		1/1/2044		2,100,000		1,786,010		1,864,787
429827AE8	HIGHER EDUCATION FUNDING HEF_0		—		1/1/2044		2,100,000		1,780,499		1,864,787
429827AF5	HEF_10-401		1.76		1/1/2044		2,100,000		1,774,368		1,864,787
429827AJ7	HIGHER EDUCATION FUNDING HEF_0		0.41		1/1/2044		2,100,000		1,774,663		1,864,787
429827AK4	HIGHER EDUCATION FUNDING HEF_0		0.15		1/1/2044		2,300,000		1,934,286		2,042,444
429827AN8	HEF_04-1		4.40		1/1/2044		2,100,000		1,754,860		1,864,840
429827AQ1	HEF_04-1		—		1/1/2044		2,950,000		2,444,341		2,656,059
57563NAA6	MEFA		1.22		4/25/2038		4,062,706		4,045,193		4,077,576
698475AM2	PPHEA_10-2		1.38		10/1/2035		7,814,183		7,814,183		7,916,628
71722TAF1	PHEAA_04-1		1.75		4/25/2044		2,000,000		1,828,058		1,870,000
71722TAG9	PHEAA_04-1		1.69		4/25/2044		6,000,000		5,506,937		5,490,000
78442GHZ2	SLMA		1.64		12/15/2016		7,000,000		7,000,000		6,997,813
78442GJA5	SLM STUDENT LOAN TR 2003-10A		1.64		12/15/2016		1,700,000		1,700,000		1,699,469
78442GJD9	SLM STUDENT LOAN TR 2003-10A		1.64		12/15/2016		7,100,000		7,053,647		7,097,781
78442GQR0	SLMA		1.02		1/25/2028		425,000		415,739		417,058
78445DAA8	SLMA_09-B		6.19		7/15/2042		16,005,107		15,689,707		15,237,489
78446JAA4	SLM STUDENT LOAN TRUST SLMA_11		0.79		11/25/2027		3,500,000		3,493,292		3,485,300
83149TAA2	SLMA_09-D		3.50		8/17/2043		9,773,688		9,825,044		9,791,422
83715AAK5	SOUTH CAROLINA STUDENT LN CORP		0.72		1/25/2021		6,974,750		6,962,922		6,962,893
86386MAY0	STUDENT LOAN CON		1.41		10/25/2027		80,867,144		80,867,144		80,867,055
							235,616,093		229,676,017		230,659,126
Asset Backed Securities — Other
041239CD4	ARKLE06-1A		1.66		5/17/2060		5,000,000		5,000,000		5,003,000
12612AAC6	CNH_09-C		1.85		12/16/2013		883,942		883,937		886,605
12612BAC4	CNH_10-A		1.54		7/15/2014		1,222,711		1,222,620		1,228,900
12621UAC1	CNH_10-B		1.03		11/17/2014		5,000,000		4,999,307		5,013,700
12621UAD9	CNH_10-B		1.74		1/17/2017		4,750,000		4,749,111		4,789,805
15200MAA5	CNP		4.19		2/1/2020		2,919,220		3,120,953		3,161,662
15200NAA3	CNP		1.83		2/15/2016		1,999,732		1,999,716		2,022,796
15200NAB1	CNP		3.46		8/15/2019		2,400,000		2,482,862		2,490,988
29365KAA1	ETI		2.12		2/1/2016		1,140,565		1,140,536		1,159,990
34988WAF1	FOSSM_11-1A		1.62		10/18/2054		10,700,000		10,700,000		10,708,560
36829KAC2	GESET		1.92		7/15/2016		2,581,765		2,581,684		2,590,439
36830HAC6	GE EQUIPMENT SMALL TICKET LLC		1.45		1/21/2018		1,700,000		1,699,780		1,710,336
43641NBC7	HMI		1.68		10/15/2054		4,700,000		4,700,000		4,706,110
477874AC5	JDOT_09		2.59		10/15/2013		770,104		774,183		774,787
47787AAD9	JDOT_10-A		1.32		5/15/2014		1,450,000		1,449,897		1,457,395
493897AB8	KDRE		0.31		12/10/2043		111,458		107,951		98,083
57164XAA7	MVCOT 2009-2A		4.81		7/20/2031		6,095,302		6,095,222		6,290,596
62888VAB4	NCUA GUARANTEED NOTES		1.84		10/7/2020		1,700,333		1,700,196		1,719,189
693401AE1	PERF		4.47		12/25/2014		2,900,000		3,018,838		3,039,392
75953MAD2	CENTERPOINT ENERGY TRANSITION		5.63		9/15/2015		5,426,137		5,708,295		5,749,313
826502AA4	SRFC		5.27		3/20/2019		492,274		502,242		512,896
82651AAA5	SRFC		5.37		9/20/2019		1,283,669		1,312,175		1,347,197
82651KAA3	SRFC		4.52		8/20/2026		1,075,378		1,075,313		1,075,701
Z914HKQ87	GFUND_11-1		2.29		4/24/2047		4,800,000		7,693,148		7,755,402
							71,102,591		74,717,966		75,292,843
Asset Backed Securities — CLO
00083VAA9	ACASC_07-1		0.50		4/20/2021		6,750,000		6,040,603		6,291,641
04010HAB8	ARES CLO FUNDS ARES		0.49		9/18/2017		4,468,230		4,416,758		4,371,810
04010HAC6	ARES_05-10A		0.49		9/18/2017		11,548,219		11,427,424		11,299,020
04011XAB2	ARES		0.51		2/24/2018		17,943,802		16,474,989		17,541,502
04011XAC0	ARES		0.51		2/24/2018		19,167,243		17,553,173		18,448,471
042423AA1	ARMST		0.82		8/1/2016		1,715,407		1,669,553		1,712,026
14308VAA9	CARLYLE HIGH YIELD PARTNERS		0.64		8/11/2016		12,191,229		11,869,973		11,987,197
158715AA0	CHAMPLAIN CLO LTD CHAM_04-1A		0.63		6/15/2016		3,731,613		3,619,822		3,647,924
16208NAA3	CHAT		0.52		8/3/2019		29,707,265		27,324,272		28,835,327
33736EAA9	FIRST CLO LTD		0.62		7/27/2016		934,565		921,280		923,444
33736TAB4	FRST_04-2A1		0.56		12/14/2016		4,143,460		4,069,988		4,039,873
35165WAB2	FOXE_03-1A		1.15		12/15/2015		113,380		113,027		113,188
363206AF0	GALE		0.51		4/19/2021		10,000,000		8,948,620		9,457,260
482474AA1	KKR FINANCIAL CLO LTD KKR_05-1		0.54		4/26/2017		1,000,000		921,545		965,000
48248CAA2	KKR FINANCIAL CLO LTD KKR_07-1		0.61		5/15/2021		12,619,306		11,787,230		11,672,858
51506DAA1	LANDM_04-1A		0.60		12/15/2016		16,195,618		15,386,262		15,812,348
51506JAA8	LANDM_05-1A		0.55		6/1/2017		4,928,783		4,685,052		4,763,176
69510WAA5	PCDO		0.53		1/26/2020		5,738,617		5,480,954		5,494,726
730018AA6	PLMR_10-1A		1.76		2/16/2019		3,128,924		3,128,924		3,126,734
97314VAA6	WIND RIVER CLO LTD WINDR_04-1A		0.58		12/19/2016		2,461,546		2,398,469		2,393,853
BRS6DUE27	STANFIELD VEYRON		0.50		7/15/2018		25,000,000		24,169,994		24,497,900

Allied World Assurance Company Holdings, AG

Securities Listing as at June 30, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
G6843PAA3	PCDO_04-4X		0.61		2/15/2017		2,854,996		2,788,196		2,793,614
							196,342,204		185,196,108		190,188,893
State and Municipal
04057PFH6	ARIZONA SCH FACS BRD CTFS PART		5.00		9/1/2019		1,775,000		1,703,522		1,845,219
040654MP7	ARIZONA ST TRANSN BRD		5.00		7/1/2020		500,000		483,122		551,365
058508AN2	BALL ST UNIV IND		5.00		7/1/2018		1,900,000		1,880,513		2,076,016
13063BFQ0	CALIFORNIA ST		5.75		3/1/2017		17,000,000		17,522,371		18,518,780
181059BM7	CLARK CNTY NEV SCH DIST FOR IS		5.00		6/15/2017		1,500,000		1,496,414		1,664,700
189194CL5	CLOVERDALE IND MULTI-SCH BLDG		5.00		7/15/2019		1,365,000		1,328,432		1,471,798
20772JBU5	CT ST		2.12		5/15/2015		1,000,000		1,000,000		1,011,120
207758AY9	CONNECTICUT ST SPL TAX OBLIG R		5.00		7/1/2019		650,000		624,195		727,259
2131838D1	COOK CNTY ILL		5.00		11/15/2019		1,000,000		961,451		1,063,840
230822PL6	CUMBERLAND VALLEY PA SCH DIST		5.00		11/15/2020		1,300,000		1,243,704		1,408,758
250119BY9	DES MOINES IOWA MET WASTEWATER		5.00		6/1/2019		1,045,000		1,012,761		1,140,074
294223LN0	EPHRATA PA AREA SCH DIST		5.00		3/1/2019		500,000		482,726		536,395
365653GZ1	GARFIELD CNTY COLO SCH DIST NO		5.00		12/1/2020		1,610,000		1,548,662		1,786,263
385244HG6	GRAND BLANC MICH CMNTY SCHS		5.00		5/1/2020		1,000,000		967,103		1,063,330
406036EP4	HALL CNTY NEB SCH DIST NO 2 GR		5.00		12/15/2019		1,080,000		1,051,931		1,198,584
4140033N1	HARRIS CNTY TEX		—		8/15/2011		2,000,000		1,990,670		1,999,360
419791YH5	HAWAII ST		3.38		2/1/2016		2,575,000		2,585,597		2,722,187
4521518T3	ILLINOIS ST		3.32		1/1/2013		12,000,000		12,089,825		12,216,840
4521518V8	ILLINOIS ST		4.42		1/1/2015		12,620,000		12,641,427		12,906,726
452152HP9	ILLINOIS ST		4.03		3/1/2014		5,000,000		5,000,000		5,155,550
452281JB5	ILLINOIS STUDENT ASSISTANCE CO		0.75		4/25/2017		6,821,851		6,821,851		6,821,714
463655GW4	IRVINE RANCH CALIF WTR DIST JT		2.61		3/15/2014		3,500,000		3,587,648		3,629,850
468312DN0	JACKSON MICH PUB SCHS		5.00		5/1/2020		1,000,000		961,679		1,063,330
48542KHX0	KANSAS ST DEV FIN AUTH REV		5.00		11/1/2020		2,000,000		1,910,206		2,194,040
48542KNH8	KANSAS ST DEV FIN AUTH REV		5.00		6/1/2012		500,000		505,434		521,075
49151EXA6	KENTUCKY ST PRP & BLDG COM		5.00		10/1/2017		565,000		562,245		644,518
508205GV7	LAKE COOK KANE AND MCHENRY CNT		5.00		12/1/2016		2,385,000		2,414,303		2,762,879
567505GY2	MARICOPA CNTY ARIZ UN HIGH SCH		5.13		7/1/2016		1,125,000		1,149,076		1,307,284
575579RS8	MASSACHUSETTS BAY TRANSN AUTH		5.00		7/1/2020		35,000		35,184		42,312
57582PDK3	MASSACHUSETTS ST		0.64		11/1/2018		2,000,000		1,536,796		1,829,820
57583PEN5	MASSACHUSETTS ST		3.59		12/15/2016		5,000,000		5,000,000		5,306,250
603827TV8	MINNEAPOLIS & ST PAUL MINN MET		5.00		1/1/2015		1,035,000		1,131,391		1,125,977
615401JW7	MOON AREA SCH DIST PA		5.00		11/15/2018		1,360,000		1,345,490		1,521,350
64468TRZ2	NEW HAMPSHIRE ST HSG FIN AUTH		5.88		7/1/2021		60,000		53,809		60,036
64966B3L5	NEW YORK N Y		0.98		1/15/2016		5,250,000		5,200,399		5,204,115
64966JAS5	NEW YORK NY		6.65		12/1/2031		4,000,000		4,000,000		4,241,320
64971M5E8	NEW YORK NY CITY TRANSITIONAL		4.08		11/1/2020		3,000,000		3,000,000		3,099,240
650035TC2	NEW YORK ST URBAN DEV CORP REV		2.48		12/15/2013		4,250,000		4,317,859		4,342,693
663903CA8	NORTHEAST OHIO REGL SWR DIST W		5.00		11/15/2016		1,900,000		1,934,873		2,239,777
677520SW9	OHIO ST		5.00		11/1/2020		1,500,000		1,435,222		1,652,010
677521HS8	OHIO ST		2.18		8/1/2014		3,500,000		3,500,000		3,563,420
680616PF0	OLENTANGY LOC SCH DIST OHIO		5.00		12/1/2017		2,000,000		2,005,188		2,267,840
742633PD6	PRIOR LAKE MINN INDPT SCH DIST		5.00		2/1/2020		1,195,000		1,168,134		1,281,590
745220FG3	PUERTO RICO COMWLTH INFRASTRUC		5.50		7/1/2017		1,000,000		1,044,058		1,083,230
780427KA7	ROYAL OAK CITY MICH SCH DIST		5.00		5/1/2019		2,000,000		1,929,443		2,186,280
795560AR2	SALT LAKE & SANDY UTAH		5.00		7/1/2020		1,820,000		1,737,178		1,946,344
83714RBA0	SOUTH CAROLINA STUDENT LN		0.34		12/2/2019		5,000,000		4,883,226		4,909,500
837151AM1	SOUTH CAROLINA ST PUB SVC AUTH		0.89		6/2/2014		6,750,000		6,750,000		6,751,283
837562KS5	SOUTH DAKOTA ST UNIV		5.00		4/1/2020		1,545,000		1,467,205		1,612,269
914119HX3	UNIVERSITY CINCINNATI OHIO		5.00		6/1/2018		2,015,000		1,954,197		2,188,653
914437PF9	UNIVERSITY MASS BLDG AUTH		5.00		11/1/2019		1,530,000		1,466,574		1,653,165
914455KY5	UNIVERSITY MICH UNIV REVS		2.36		4/1/2016		2,000,000		2,000,000		2,004,660
919061EX5	VALDEZ AK — EXXON PIPELINE CO		5.00		1/1/2014		2,000,000		2,171,085		2,171,320
938234MJ7	WASHINGTON CNTY ORE		5.00		6/1/2020		1,035,000		995,070		1,158,703
98458PAB1	YALE UNIVERSITY		2.90		10/15/2014		1,400,000		1,398,038		1,469,956
							149,496,851		148,987,287		156,921,965
Total Fixed Income Securities							6,476,010,853		6,419,637,001		6,546,584,632
Equities
00208D408	ARC RESOURCES LTD		—		6/30/2061		201,000		4,564,339		5,027,010
018802108	ALLIANT ENERGY CORP		—		6/30/2061		227,200		8,609,596		9,237,952
024835100	AMER CMPS COMM		—		6/30/2061		205,300		6,311,438		7,292,256
03761U106	APOLLO INVSTMNT		—		6/30/2061		504,000		5,705,859		5,145,840
03836W103	PHILADELPHIA SUBURBAN CORPORAT		—		6/30/2061		302,200		6,287,630		6,642,356
053484101	AVALONBAY COMMUNITIES INC		—		6/30/2061		48,250		5,357,774		6,195,300
09247X101	BLACKROCK CREDIT (OFFSHORE)		—		6/30/2061		55,000		9,994,354		10,549,550
09784Y108	BONAVISTA ENERGY TRUST		—		6/30/2061		211,900		5,542,215		6,053,983
13466Y105	CAMPUS CREST COMMUNITIES INC		—		6/30/2061		390,500		4,788,392		5,053,070
15135U109	CENOVUS ENERGY INC		—		6/30/2061		244,500		7,698,944		9,207,870
15189T107	CENTERPOINT ENERGY INC.		1.50		6/30/2061		529,600		8,795,076		10,247,760
156700106	CENTURYTEL INC		—		6/30/2061		180,200		7,606,852		7,285,486
16941M109	CHINA MOBILE HONG KONG LIMITED		—		6/30/2061		125,000		6,116,942		5,847,500
17133Q502	CHUNGHWA TELECOM CO. LTD.		—		6/30/2061		81,500		2,324,558		2,815,825

Allied World Assurance Company Holdings, AG

Securities Listing as at June 30, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
22576C101	CRESCENT POINT ENERGY CORP		—		6/30/2061		134,100		5,340,564		6,202,125
253868103	DIGITAL REALTY		—		6/30/2061		106,300		5,885,089		6,567,214
279158109	ECOPETROL SA		—		6/30/2061		192,100		8,255,272		8,454,321
29250X103	ENBRIDGE ENERGY MANAGEMENT L.L		—		6/30/2061		116,545		3,201,647		3,601,241
30161N101	EXELON CORPORATION		—		6/30/2061		175,800		7,383,725		7,531,272
351858105	FRANCO NEVADA CORP		—		6/30/2061		207,000		6,803,470		7,721,480
391164100	GREAT PLAINS ENERGY INCORPORAT		—		6/30/2061		71,200		1,484,835		1,475,976
40414L109	HEALTH CARE PROPERTY INVESTORS		—		6/30/2061		205,400		7,687,546		7,536,126
478160104	JOHNSON & JOHNSON		1.66		6/30/2061		97,000		6,033,699		6,452,440
49455U100	KINDER MORGAN MANAGEMENT LLC		—		6/30/2061		64,907		3,849,811		4,257,276
595017104	MICROCHIP TECHNOLOGY INC		—		6/30/2061		225,400		7,696,056		8,544,914
638620104	NATIONWIDE HLTH PROPERTIES INC		—		6/30/2061		162,300		6,043,062		6,720,843
646025106	NEW JERSEY RESOURCES		1.72		6/30/2061		147,000		5,959,076		6,557,670
655844108	NORFOLK SOUTHERN CORPORATION		0.32		6/30/2061		115,600		7,169,049		8,661,908
664397106	NORTHEAST UTILITIES		—		6/30/2061		104,300		3,190,641		3,668,231
67019E107	NSTAR		1.98		6/30/2061		54,000		2,027,901		2,482,920
69331C108	PG&E CORPORATION		—		6/30/2061		165,500		7,141,048		6,955,965
71646E100	PETROCHINA CO LTD		—		6/30/2061		62,000		8,370,195		9,053,860
718172109	PHILIP MORRIS INTERNATIONAL IN		—		6/30/2061		137,200		7,925,637		9,160,844
718252604	PHILIPPINE LONG DISTANCE TEL C		—		6/30/2061		88,900		4,828,717		4,804,156
737630103	POTLATCH CORPORATION		—		6/30/2061		184,000		6,934,638		6,489,680
743263105	PROGRESS ENERGY INC		—		6/30/2061		144,400		6,413,469		6,932,644
74340W103	PROLOGIS INC		—		6/30/2061		208,000		6,125,521		7,454,720
74965L101	RLJ LODGING TRUST		—		6/30/2061		466,000		8,338,474		8,094,420
754907103	RAYONIER INC.		1.08		6/30/2061		104,600		5,567,977		6,835,610
780287108	ROYAL GOLD INC		—		6/30/2061		119,600		6,262,918		7,004,972
80105N105	SANOFI AVENTIS		—		6/30/2061		246,000		8,263,496		9,881,820
847560109	SPECTRA ENERGY CORP		—		6/30/2061		243,800		5,966,403		6,682,558
872375100	TECO ENERGY INC.		—		6/30/2061		327,400		5,624,544		6,184,586
89151E109	TOTAL SA		—		6/30/2061		140,500		8,004,671		8,126,520
904784709	UNILEVER N.V.		1.19		6/30/2061		241,400		7,311,298		7,929,989
911312106	UNITED PARCEL SERV INC		—		6/30/2061		124,600		8,649,473		9,087,078
962166104	WEYERHAEUSER COMPANY		2.40		6/30/2061		328,600		7,103,223		7,183,196
976657106	WISCONSIN ENERGY CORPORATION		0.80		6/30/2061		192,000		5,735,070		6,019,200
98156Q108	WORLD WRESTLING ENTERTAINMENT		—		6/30/2061		501,000		5,946,878		4,774,530
98389B100	XCEL ENERGY INC		—		6/30/2061		174,700		3,942,683		4,245,210
J2785A104	JAPAN LOGISTICS FD		—		6/30/2061		650		5,284,518		6,028,356
Q25758105	COAL & ALLIED INDUSTRIES LTD		—		6/30/2061		36,800		4,367,701		4,156,497
Q3944W187	FOSTERS GROUP LTD		—		6/30/2061		1,172,000		6,289,617		6,461,927
S62435862	SINGAPORE AIRPORT TERMINAL SER		—		6/30/2061		2,738,000		5,766,019		5,798,957
SB0D6P437	MAPLETREE LG TR		—		6/30/2061		8,629,560		6,016,902		6,467,249
SB23WXW97	PARKWAY HOLDINGS LIMITED		—		6/30/2061		2,276,700		3,123,835		3,412,454
SB296MJ50	LIPPO MAPLETREE INDONESIA RETA		—		6/30/2061		7,265,000		2,896,557		3,580,421
SB53X5727	AG GROWTH INTERNATIONAL INC		—		6/30/2061		65,900		3,155,771		3,130,896
SB61JC671	TREASURY WINE ESTATES LTD.		—		6/30/2061		390,666		194,524		1,422,040
SB67C8W83	CRESCENT POINT ENERGY CORP		—		6/30/2061		900		35,000		41,564
SB67JFX97	BONAVISTA ENERGY TRUST		—		6/30/2061		2,100		49,162		62,167
SBOTLGM70	GZI REAL ESTATE INVESTMENT TRU		—		6/30/2061		5,304,200		2,340,962		2,740,290
Y0205X103	ASCENDAS REAL ESTATE INVESTMEN		—		6/30/2061		3,905,000		5,967,269		6,489,247
Y82954101	SUNTEC REAL ESTATE INVESTMENT		—		6/30/2061		3,902,300		4,755,834		4,768,206
G16962204	BUNGE LTD		—		6/30/2061		34,000		2,978,728		3,413,090
							45,409,078		365,394,145		393,912,634