Allied World Assurance 8-K Allied World Reports 6.7% Growth In Diluted Book Value Per Share with Strong First Quarter 2012 Results

Exhibit 99.2

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

1st Quarter Ended March 31, 2012

Investor Contact: Keith Lennox	This report is for informational purposes only. It should be read in conjunction with documents filed by Allied World Assurance Company Holdings, AG with the U.S. Securities and Exchange Commission.
Phone: (646) 794-0750 email: keith.lennox@awac.com

CAUTIONARY STATEMENT REGARDING FORWARD-LOOKING STATEMENTS

Any forward-looking statements made in this report reflect our current views with respect to future events and financial performance and are made pursuant to the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Such statements involve risks and uncertainties, which may cause actual results to differ materially from those set forth in these statements. For example, our forward-looking statements could be affected by pricing and policy term trends; increased competition; the impact of acts of terrorism and acts of war; greater frequency or severity of unpredictable catastrophic events; negative rating agency actions; the adequacy of our loss reserves; the company or its subsidiaries becoming subject to significant income taxes in the United States or elsewhere; changes in regulations or tax laws; changes in the availability, cost or quality of reinsurance or retrocessional coverage; adverse general economic conditions; and judicial, legislative, political and other governmental developments, as well as management’s response to these factors, and other factors identified in our filings with the U.S. Securities and Exchange Commission. You are cautioned not to place undue reliance on these forward-looking statements, which speak only as of the date on which they are made. We are under no obligation (and expressly disclaim any such obligation) to update or revise any forward-looking statement that may be made from time to time, whether as a result of new information, future developments or otherwise.

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

FINANCIAL SUPPLEMENT TABLE OF CONTENTS

		Page
	Basis of Presentation		4
I.	Financial Highlights
	- Consolidated Financial Highlights		5
II.	Consolidated Results
	- Consolidated Statements of Operations - Consecutive Quarters		6
	- Consolidated Premium Distribution Analysis by Segment and Geographic Location - Current Quarter		7
	- Consolidated Premium Distribution Analysis by Line of Business - Current Quarter		8
III.	Segment Results
	- Consolidated Segment Results - Current Quarter		9
	- Consolidated Segment Results - Prior Year Quarter		10
IV.	Balance Sheet Details
	- Condensed Consolidated Balance Sheets		11
	- Consolidated Total Investment Portfolio		12
	- Investment Portfolio - Additional Detail		13
	- Reserves for Losses and Loss Expenses		16
	- Capital Structure and Leverage Ratios		17
V.	Other
	- Share Repurchase Detail		18
	- Operating Income Reconciliation and Basic and Diluted Earnings per Share - Consecutive Quarters		19
	- Return on Average Shareholders’ Equity and Reconciliation of Average Shareholders’ Equity - Consecutive Quarters		20
	- Diluted Book Value per Share		21
	- Calculation of Annualized Investment Book Yield		22
	- Financial Statement Portfolio Return - Current Quarter		24
	- Regulation G		25

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

BASIS OF PRESENTATION

DEFINITIONS AND PRESENTATION

• All financial information contained herein is unaudited.

• Unless otherwise noted, all data is in thousands of U.S. dollars, except for share, per share, percentage and ratio information.

• Allied World Assurance Company Holdings, AG, along with others in the industry, use underwriting ratios as measures of performance. The loss and loss expense ratio is calculated by dividing net losses and loss expenses by net premiums earned. The acquisition cost ratio is calculated by dividing acquisition costs by net premiums earned. The general and administrative expense ratio is calculated by dividing general and administrative expenses by net premiums earned. The expense ratio is calculated by combining the acquisition cost ratio and the general and administrative expense ratio. The combined ratio is calculated by combining the loss and loss expense ratio, the acquisition cost ratio and the general and administrative expense ratio. These ratios are relative measurements that describe for every $100 of net premiums earned, the cost of losses and expenses, respectively. The combined ratio presents the total cost per $100 of earned premium. A combined ratio below 100% demonstrates underwriting profit; a combined ratio above 100% demonstrates underwriting loss.

• In presenting the company’s results, management has included and discussed certain “non-GAAP” financial measures, as such term is defined in Regulation G promulgated by the SEC. Management believes that these non-GAAP measures, which may be defined differently by other companies, better explain the company’s results of operations in a manner that allows for a more complete understanding of the underlying trends in the company’s business. However, these measures should not be viewed as a substitute for those determined in accordance with generally accepted accounting principles (“GAAP”). The reconciliation of such non-GAAP financial measures to their respective most directly comparable GAAP financial measures in accordance with Regulation G is included in this financial supplement. See page 25 for further details.

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED FINANCIAL HIGHLIGHTS

		THREE MONTHS ENDED MARCH 31,						Previous Quarter Change
		2012			2011
HIGHLIGHTS	Gross premiums written	$	680,929		$	560,688			21.4	%
	Net premiums written		588,953			480,871			22.5	%
	Net premiums earned		401,890			334,876			20.0	%
	Net investment income		47,209			50,208			(6.0	%)
	Net income		218,156			8,620			2430.8	%
	Operating income (loss)		91,505			(41,348	)		n.m.
	Total investments and cash & cash equivalents		8,410,290			7,991,696			5.2	%
	Total assets		10,988,281			10,305,628			6.6	%
	Total shareholders’ equity		3,245,821			2,950,953			10.0	%
	Cash flows from operating activities		142,817			174,915			(18.4	%)
PER SHARE AND SHARE DATA	Basic earnings per share
	Net income	$	5.86		$	0.23			2447.8	%
	Operating income (loss)	$	2.46		$	(1.08	)		n.m.
	Diluted earnings per share
	Net income	$	5.70		$	0.21			2614.3	%
	Operating income (loss)	$	2.39		$	(1.02	)		n.m.
	Weighted average common shares outstanding
	Basic		37,205,166			38,199,867
	Diluted		38,284,635			40,383,523
	Book value per share	$	88.24		$	77.86			13.3	%
	Diluted book value per share	$	85.48		$	74.23			15.2	%
FINANCIAL RATIOS	Annualized return on average equity (ROAE), net income		27.4	%		1.2	%		26.2	pts
	Annualized ROAE, operating income		11.5	%		(5.6	%)		17.1	pts
	Annualized investment book yield		2.4	%		2.6	%		(0.2	) pts
	Loss and loss expense ratio		56.0	%		90.9	%		(34.9	) pts
	Acquisition cost ratio		11.7	%		11.4	%		0.3	pts
	General and administrative expense ratio		17.5	%		20.3	%		(2.8	) pts
	Expense ratio		29.2	%		31.7	%		(2.5	) pts
	Combined ratio		85.2	%		122.6	%		(37.4	) pts

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED STATEMENTS OF OPERATIONS - CONSECUTIVE QUARTERS

	THREE MONTHS ENDED MARCH 31, 2012			THREE MONTHS ENDED DECEMBER 31, 2011			THREE MONTHS ENDED SEPTEMBER 30, 2011			THREE MONTHS ENDED JUNE 30, 2011			THREE MONTHS ENDED MARCH 31, 2011
Revenues
Gross premiums written	$	680,929		$	416,537		$	442,698		$	519,598		$	560,688
Net premiums written	$	588,953		$	306,832		$	350,260		$	395,803		$	480,871
Net premiums earned	$	401,890		$	395,469		$	371,340		$	355,307		$	334,876
Net investment income		47,209			45,489			47,883			52,368			50,208
Net realized investment gains (losses)		133,581			31,632			(130,809	)		58,878			50,376
Other income		—			66,744			35,000			—			—
Total revenues	$	582,680		$	539,334		$	323,414		$	466,553		$	435,460
Expenses
Net losses and loss expenses:
Current year	$	264,684		$	305,769		$	267,070		$	279,514		$	348,802
Prior years		(39,482	)		(92,424	)		(61,524	)		(43,701	)*		(44,350	)
Total net losses and loss expenses	$	225,202		$	213,345		$	205,546		$	235,813		$	304,452
Acquisition costs		47,138			46,562			39,680			42,971			38,082
General and administrative expenses		70,366			70,492			66,007			67,201			67,956
Amortization of intangible assets		633			678			767			766			767
Interest expense		13,756			13,754			13,748			13,745			13,742
Foreign exchange (gain) loss		(81	)		(549	)		2,966			1,184			(442	)
Total expenses	$	357,014		$	344,282		$	328,714		$	361,680		$	424,557
Income (Loss) before income taxes	$	225,666		$	195,052		$	(5,300	)	$	104,873		$	10,903
Income tax expense		7,510			11,952			5,672			11,073			2,283
Net income (loss)	$	218,156		$	183,100		$	(10,972	)	$	93,800		$	8,620
GAAP Ratios
Loss and loss expense ratio		56.0	%		53.9	%		55.4	%		66.4	%		90.9	%
Acquisition cost ratio		11.7	%		11.8	%		10.7	%		12.1	%		11.4	%
General and administrative expense ratio		17.5	%		17.8	%		17.8	%		18.9	%		20.3	%
Expense ratio		29.2	%		29.6	%		28.5	%		31.0	%		31.7	%
Combined ratio		85.2	%		83.5	%		83.9	%		97.4	%		122.6	%
Per Share Data
Basic earnings per share
Net income (loss)	$	5.86		$	4.80		$	(0.29	)	$	2.45		$	0.23
Operating income (loss)	$	2.46		$	2.48		$	2.26		$	1.15		$	(1.08	)
Diluted earnings per share
Net income (loss)	$	5.70		$	4.63		$	(0.29	)	$	2.36		$	0.21
Operating income (loss)	$	2.39		$	2.40		$	2.19		$	1.11		$	(1.02	)

* Includes prior year development of $55.2 million and the impact of a commutation, which increased prior years net losses and loss expenses by $11.5 million.

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED PREMIUM DISTRIBUTION ANALYSIS BY SEGMENT AND GEOGRAPHIC LOCATION

CURRENT QUARTER

THREE MONTHS ENDED MARCH 31, 2012	THREE MONTHS ENDED MARCH 31, 2011
Gross Premiums Written = $680,929	Gross Premiums Written = $560,688

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED PREMIUM DISTRIBUTION ANALYSIS BY LINE OF BUSINESS

CURRENT QUARTER

THREE MONTHS ENDED MARCH 31, 2012	THREE MONTHS ENDED MARCH 31, 2011
Gross Premiums Written = $680,929	Gross Premiums Written = $560,688

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED SEGMENT RESULTS

FOR THE THREE MONTHS ENDED MARCH 31, 2012

	U.S. INSURANCE			INTERNATIONAL INSURANCE			REINSURANCE			CONSOLIDATED TOTALS
Revenues
Gross premiums written	$	204,211		$	113,590		$	363,128		$	680,929
Net premiums written	$	153,846		$	72,609		$	362,498		$	588,953
Net premiums earned	$	153,358		$	79,871		$	168,661		$	401,890
Total revenues	$	153,358		$	79,871		$	168,661		$	401,890
Expenses
Net losses and loss expenses:
Current year	$	104,909		$	58,397		$	101,378		$	264,684
Prior years		(7,205	)		(20,297	)		(11,980	)		(39,482	)
Total net losses and loss expenses	$	97,704		$	38,100		$	89,398		$	225,202
Acquisition costs		19,972			(528	)		27,694			47,138
General and administrative expenses		31,044			22,401			16,921			70,366
Total expenses	$	148,720		$	59,973		$	134,013		$	342,706
Underwriting income	$	4,638		$	19,898		$	34,648		$	59,184
Net investment income										$	47,209
Net realized investment gains											133,581
Amortization of intangible assets											(633	)
Interest expense											(13,756	)
Foreign exchange gain											81
Income before income taxes										$	225,666
GAAP Ratios
Loss and loss expense ratio		63.7	%		47.7	%		53.0	%		56.0	%
Acquisition cost ratio		13.0	%		(0.7	%)		16.4	%		11.7	%
General and administrative expense ratio		20.2	%		28.0	%		10.0	%		17.5	%
Expense ratio		33.2	%		27.3	%		26.4	%		29.2	%
Combined ratio		96.9	%		75.0	%		79.4	%		85.2	%

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED SEGMENT RESULTS

FOR THE THREE MONTHS ENDED MARCH 31, 2011

	U.S. INSURANCE			INTERNATIONAL INSURANCE			REINSURANCE			CONSOLIDATED TOTALS
Revenues
Gross premiums written	$	183,302		$	111,325		$	266,061		$	560,688
Net premiums written	$	139,902		$	74,910		$	266,059		$	480,871
Net premiums earned	$	135,481		$	76,290		$	123,105		$	334,876
Total revenues	$	135,481		$	76,290		$	123,105		$	334,876
Expenses
Net losses and loss expenses:
Current year	$	93,662		$	99,783		$	155,357		$	348,802
Prior years		22,169			(28,599	)		(37,920	)		(44,350	)
Total net losses and loss expenses	$	115,831		$	71,184		$	117,437		$	304,452
Acquisition costs		18,102			(1,856	)		21,836			38,082
General and administrative expenses		30,799			20,728			16,429			67,956
Total expenses	$	164,732		$	90,056		$	155,702		$	410,490
Underwriting loss	$	(29,251	)	$	(13,766	)	$	(32,597	)	$	(75,614	)
Net investment income											50,208
Net realized investment gains											50,376
Amortization of intangible assets											(767	)
Interest expense											(13,742	)
Foreign exchange gain											442
Income before income taxes										$	10,903
GAAP Ratios
Loss and loss expense ratio		85.5	%		93.3	%		95.4	%		90.9	%
Acquisition cost ratio		13.4	%		(2.4	%)		17.7	%		11.4	%
General and administrative expense ratio		22.7	%		27.2	%		13.3	%		20.3	%
Expense ratio		36.1	%		24.8	%		31.0	%		31.7	%
Combined ratio		121.6	%		118.1	%		126.4	%		122.6	%

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONDENSED CONSOLIDATED BALANCE SHEETS

	MARCH 31, 2012			DECEMBER 31, 2011
ASSETS
Fixed maturity investments available for sale, at fair value (amortized cost: 2012: $40,674; 2011: $226,397)	$	44,250		$	244,016
Fixed maturity investments trading, at fair value (amortized cost: 2012: $6,156,050; 2011: $6,207,991)		6,271,237			6,254,686
Equity securities trading, at fair value (cost: 2012: $424,617; 2011: $356,370)		459,639			367,483
Other invested assets trading, at fair value		522,065			540,409
Total investments		7,297,191			7,406,594
Cash and cash equivalents		1,113,099			716,604
Insurance balances receivable		748,137			652,158
Prepaid reinsurance		214,702			226,721
Reinsurance recoverable		1,056,780			1,002,919
Accrued investment income		33,452			38,263
Net deferred acquisition costs		125,645			100,334
Goodwill		268,376			268,376
Intangible assets		53,264			53,898
Net deferred tax assets		19,171			22,646
Other assets		58,464			53,202
TOTAL ASSETS	$	10,988,281		$	10,541,715
LIABILITIES
Reserve for losses and loss expenses	$	5,331,418		$	5,225,143
Unearned premiums		1,253,454			1,078,412
Reinsurance balances payable		93,262			124,539
Net balances payable on purchases and sales of investments		178,794			36,285
Dividends payable		13,795			14,302
Senior notes		798,014			797,949
Accounts payable and accrued liabilities		73,723			116,063
TOTAL LIABILITIES	$	7,742,460		$	7,392,693
SHAREHOLDERS’ EQUITY
Common shares, 2012: par value CHF 13.69 per share and 2011: par value CHF 14.03 per share (2012 and 2011: 40,003,642 shares issued and 2012: 36,786,067; 2011: 37,742,131 shares outstanding)		543,452			557,153
Additional paid-in capital		48,003			78,225
Treasury shares, at cost (2012: 3,217,575; 2011: 2,261,511)		(201,865	)		(136,590	)
Retained earnings		2,853,906			2,635,750
Accumulated other comprehensive income net unrealized gains on investments, net of tax		2,325			14,484
TOTAL SHAREHOLDERS’ EQUITY		3,245,821			3,149,022
TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY	$	10,988,281		$	10,541,715
Book value per share	$	88.24		$	83.44
Diluted book value per share	$	85.48		$	80.11

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED TOTAL INVESTMENT PORTFOLIO

	MARCH 31, 2012					DECEMBER 31, 2011					SEPTEMBER 30, 2011					JUNE 30, 2011					MARCH 31, 2011
	FAIR VALUE					FAIR VALUE					FAIR VALUE					FAIR VALUE					FAIR VALUE
FAIR VALUE
Fixed maturities available for sale	$	44,250		0.5	%	$	244,016		3.0	%	$	284,966		3.4	%	$	345,551		4.2	%	$	543,808		6.8	%
Fixed maturities trading		6,271,237		74.6	%		6,254,686		77.0	%		6,279,615		74.4	%		6,201,034		74.6	%		5,960,830		74.6	%
Equity securities		459,639		5.5	%		367,483		4.5	%		424,104		5.0	%		393,913		4.7	%		271,057		3.4	%
Other invested assets trading		522,065		6.2	%		540,409		6.7	%		552,074		6.5	%		562,267		6.8	%		469,999		5.9	%
Cash and cash equivalents		1,113,099		13.2	%		716,604		8.8	%		902,573		10.7	%		807,657		9.7	%		746,002		9.3	%
Total	$	8,410,290		100.0	%	$	8,123,198		100.0	%	$	8,443,332		100.0	%	$	8,310,422		100.0	%	$	7,991,696		100.0	%
ASSET ALLOCATION BY FAIR VALUE
U.S. government and government agencies	$	1,360,915		16.2	%	$	1,311,895		16.1	%	$	1,102,971		13.1	%	$	1,021,290		12.3	%	$	1,145,787		14.3	%
Non-U.S. government and government agencies		307,112		3.6	%		256,756		3.2	%		225,782		2.7	%		177,529		2.1	%		176,193		2.2	%
Corporate securities		2,158,507		25.7	%		2,431,381		29.9	%		2,451,278		29.0	%		2,606,743		31.4	%		2,654,399		33.3	%
State, municipalities and political subdivisions		174,393		2.1	%		167,381		2.1	%		136,287		1.6	%		156,922		1.9	%		199,875		2.5	%
Mortgage-backed securities		1,823,738		21.7	%		1,818,091		22.5	%		2,053,663		24.4	%		1,904,565		22.9	%		1,702,619		21.3	%
Asset-backed securities		490,822		5.8	%		513,198		6.2	%		594,600		6.9	%		679,536		8.2	%		625,765		7.8	%
Fixed income sub-total		6,315,487		75.1	%		6,498,702		80.0	%		6,564,581		77.7	%		6,546,585		78.8	%		6,504,638		81.4	%
Hedge funds		413,195		4.9	%		431,544		5.3	%		461,944		5.5	%		496,358		6.0	%		426,415		5.3	%
Private equity (funded)		108,870		1.3	%		108,865		1.4	%		90,130		1.1	%		65,909		0.8	%		43,584		0.6	%
Equity securities		459,639		5.5	%		367,483		4.5	%		424,104		5.0	%		393,913		4.7	%		271,057		3.4	%
Cash & cash equivalents		1,113,099		13.2	%		716,604		8.8	%		902,573		10.7	%		807,657		9.7	%		746,002		9.3	%
Total	$	8,410,290		100.0	%	$	8,123,198		100.0	%	$	8,443,332		100.0	%	$	8,310,422		100.0	%	$	7,991,696		100.0	%
FIXED INCOME CREDIT QUALITY BY FAIR VALUE
U.S. government and government agencies	$	1,360,916		21.5	%	$	1,311,895		20.2	%	$	1,102,971		16.8	%	$	1,021,290		15.6	%	$	1,145,787		17.6	%
AAA/Aaa		1,258,553		19.9	%		1,336,221		20.6	%		1,455,702		22.2	%		2,825,333		43.2	%		2,615,609		40.2	%
AA/Aa		1,645,768		26.1	%		1,656,861		25.4	%		1,916,585		29.2	%		500,935		7.7	%		607,630		9.3	%
A/A		937,747		14.8	%		1,148,138		17.7	%		1,103,176		16.8	%		1,205,929		18.4	%		1,289,286		19.8	%
BBB/Baa		484,944		7.7	%		565,105		8.7	%		584,714		8.9	%		626,466		9.7	%		575,290		8.9	%
BB		220,062		3.5	%		168,095		2.6	%		134,279		2.1	%		116,425		1.8	%		33,887		0.5	%
B/B		140,938		2.2	%		103,324		1.6	%		54,570		0.8	%		64,451		1.1	%		54,162		0.9	%
CCC+ and below		266,559		4.2	%		209,063		3.2	%		212,584		3.2	%		185,754		2.8	%		182,987		2.8	%
Total	$	6,315,487		100.0	%	$	6,498,702		100.0	%	$	6,564,581		100.0	%	$	6,546,584		100.0	%	$	6,504,638		100.0	%
STATISTICS
Annualized book yield, year to date		2.4	%				2.5	%				2.6	%				2.7	%				2.6	%
Duration*		2.1 years					1.9 years					2.1 years					2.3 years					2.8 years
Average credit quality (S&P)		AA-					AA-					AA-					AA					AA

* Includes only cash and cash equivalents and fixed maturity investments

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

INVESTMENT PORTFOLIO – ADDITIONAL DETAIL

MARCH 31, 2012

	FAIR VALUE		AVERAGE RATING	PORTFOLIO PERCENTAGE
Cash & cash equivalents	$	1,113,099	AAA		13.2	%
U.S. government securities		988,974	AA+		11.8	%
U.S. government agencies		371,941	AA+		4.4	%
Non-U.S. government and government agencies		307,112	AA+		3.6	%
Mortgage-backed securities:
Agency MBS		1,159,640	AA+		13.8	%
Non-agency RMBS		128,180	AA-		1.5	%
Non-agency RMBS - Non investment grade strategy		226,222	CCC		2.7	%
CMBS		309,696	AAA		3.7	%
Total mortgage-backed securities		1,823,738			21.7	%
Corporate securities:
Financials		1,018,454	A+		12.1	%
Industrials		1,042,178	BBB-		12.4	%
Utilities		97,875	BBB+		1.2	%
Total corporate securities		2,158,507			25.7	%
Asset-backed securities:
Credit cards		24,067	AAA		0.3	%
Auto receivables		63,626	AAA		0.7	%
Student loans		173,511	AA+		2.1	%
Collateralized loan obligations		161,454	AA+		1.9	%
Other		68,164	AAA		0.8	%
Total asset-backed securities		490,822			5.8	%
State, municipalities and political subdivisions		174,393	AA-		2.1	%
Hedge funds		413,195	N/A		4.9	%
Private equity (funded)		108,870	N/A		1.3	%
Equities		459,639	N/A		5.5	%
Total Investment Portfolio	$	8,410,290			100.0	%

TOP 10 CORPORATE EXPOSURES

CORPORATE	FAIR VALUE		PORTFOLIO PERCENTAGE
Citigroup Inc	$	58,950		0.7	%
Bank of America Corp		53,022		0.6	%
JPMorgan Chase & Co		48,396		0.6	%
Morgan Stanley		41,849		0.5	%
Canadian Imperial Bank of Comm		34,184		0.4	%
Wells Fargo & Co		32,905		0.4	%
Bank of Nova Scotia		32,439		0.4	%
Goldman Sachs Group Inc/The		29,370		0.3	%
HSBC Holdings PLC		28,939		0.3	%
BP PLC		28,560		0.3	%

OTHER INVESTED ASSET FUND DETAILS	FAIR VALUE MARCH 31, 2012		UNFUNDED COMMITMENTS
Private equity (primary and secondary)	$	78,930	$	113,618
Mezzanine debt		22,805		91,773
Distressed		7,136		11,099
Total private equity		108,871		216,490
Distressed		41,855		—
Equity long/short		165,991		—
Multi-strategy		135,520		—
Event driven		69,828		—
Total hedge funds		413,194		—
Total other invested assets	$	522,065	$	216,490

Page 13

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

INVESTMENT PORTFOLIO – ADDITIONAL DETAIL

MARCH 31, 2012

NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES DETAIL

NON INVESTMENT GRADE STRATEGY

Vintage	AAA		AA		A		BBB		BB		B		CCC		CC		D		TOTAL FAIR VALUE		AVERAGE CREDIT ENHANCEMENT**
2007	$	—	$	—	$	—	$	—	$	—	$	—	$	44,977	$	3,853	$	10,837	$	59,667		22.0	%
2006		—		—		—		—		—		3,429		59,955		2,135		34,626		100,145		15.3	%
2005 and prior		12,969		411		—		319		3,220		1,853		22,093		6,523		19,022		66,410		19.4	%
Total*	$	12,969	$	411	$	—	$	319	$	3,220	$	5,282	$	127,025	$	12,511	$	64,485	$	226,222		18.3	%

* Included in the above is fair value of $6.1 million of subprime mortgages with an average rating of CCC.

NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES DETAIL

CORE FIXED INCOME ACCOUNT

Vintage	AAA		AA		A		BBB		BB		B		CCC		CC		D		TOTAL FAIR VALUE		AVERAGE CREDIT ENHANCEMENT**
2007	$	8,238	$	—	$	—	$	—	$	— ��	$	—	$	543	$	335	$	—	$	9,116		15.1	%
2006		—		—		—		—		—		1,690		—		—		—		1,690		10.0	%
2005 and prior		72,805		7,784		8,099		1,518		15,962		10,405		801		—		—		117,374		11.1	%
Total*	$	81,043	$	7,784	$	8,099	$	1,518	$	15,962	$	12,095	$	1,344	$	335	$	—	$	128,180		11.3	%

* Included in the above is fair value of $0.1 million of subprime mortgages with an average rating of AA+.

COMMERCIAL MORTGAGE BACKED SECURITIES DETAIL

Vintage	AAA		AA		A		BBB		BB		B		CCC		CC		NR		TOTAL FAIR VALUE		AVERAGE CREDIT ENHANCEMENT**
2011	$	31,081	$	5,210	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	36,291		36.7	%
2010		16,717		24,358		—		—		—		—		—		—		—		41,075		66.7	%
2009		—		—		—		—		—		—		—		—		—		—		0.0	%
2008		6,378		—		—		—		—		—		—		—		—		6,378		28.3	%
2007		26,988		514		—		—		—		—		—		—		—		27,502		45.8	%
2006		110,394		—		—		410		—		—		—		—		—		110,804		32.8	%
2005 and prior		87,360		—		286		—		—		—		—		—		—		87,646		28.8	%
Total	$	278,918	$	30,082	$	286	$	410	$	—	$	—	$	—	$	—	$	—	$	309,696		37.7	%

** Average credit enhancement is the amount, reported as a percentage, of subordination and/or overcollateralization available to support the security.

Page 14

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

INVESTMENT PORTFOLIO – ADDITIONAL DETAIL

MARCH 31, 2012

TOTAL EXPOSURE BY ASSET TYPE AND REGION

ASSET TYPE	AFRICA		ASIA / MIDDLE EAST		AUSTRALIA		EUROPE		NORTH AMERICA		LATIN AMERICA		TOTAL EXPOSURE
Sovereign*	$	9,506	$	9,599	$	35,622	$	64,603	$	1,475,436	$	11,602	$	1,606,368
Sovereign - guaranteed financial institutions		—		24,251		48,227		139,099		—		—		211,577
Mortgage-backed securities:
Agency MBS		—		—		—		—		1,159,640		—		1,159,640
RMBS		—		—		—		8,723		345,679		—		354,402
CMBS		—		—		—		—		309,696		—		309,696
Corporate securities:
Financials		—		22,110		19,502		213,311		612,902		711		868,536
Industrials		6,159		23,250		23,210		173,339		782,404		33,816		1,042,178
Utilities		—		6,209		—		3,814		81,974		5,878		97,875
Asset-backed securities		—		—		—		12,306		478,516		—		490,822
State and municipalities		—		—		—		—		174,393		—		174,393
Equities		—		74,224		8,140		49,393		314,145		13,737		459,639
Total Exposure	$	15,665	$	159,643	$	134,701	$	664,588	$	5,734,785	$	65,744	$	6,775,126

TOTAL EXPOSURE BY COUNTRY AND REGION

COUNTRY	AFRICA		ASIA / MIDDLE EAST		AUSTRALIA		EUROPE		NORTH AMERICA		LATIN AMERICA		TOTAL EXPOSURE
Australia	$	—	$	—	$	134,701	$	—	$	—	$	—	$	134,701
Belgium		—		—		—		35,018		—		—		35,018
Bermuda		—		—		—		—		3,163		—		3,163
Brazil		—		—		—		—		—		23,449		23,449
Canada		—		—		—		—		247,157		—		247,157
Cayman Islands		—		—		—		—		120,551		—		120,551
Chile		—		—		—		—		—		2,827		2,827
China		—		8,978		—		—		—		—		8,978
Colombia		—		—		—		—		—		10,911		10,911
Denmark		—		—		—		34,955		—		—		34,955
France		—		—		—		45,303		—		—		45,303
Germany		—		—		—		86,503		—		—		86,503
Hong Kong		—		9,246		—		—		—		—		9,246
India		—		3,695		—		—		—		—		3,695
Israel		—		20,105		—		—		—		—		20,105
Italy		—		—		—		1,719		—		—		1,719
Japan		—		16,476		—		—		—		—		16,476
Luxembourg		—		—		—		16,473		—		—		16,473
Malaysia		—		9,599		—		—		—		—		9,599
Mexico		—		—		—		—		—		28,194		28,194
Netherlands		—		—		—		66,862		—		—		66,862
Norway		—		—		—		55,285		—		—		55,285
Philippines		—		8,047		—		—		—		—		8,047
Puerto Rico		—		—		—		—		—		363		363
Qatar		—		12,694		—		—		—		—		12,694
Russia		—		—		—		16,512		—		—		16,512
Singapore		—		37,980		—		—		—		—		37,980
South Africa		15,665		—		—		—		—		—		15,665
South Korea		—		19,878		—		—		—		—		19,878
Spain		—		—		—		22,600		—		—		22,600
Sweden		—		—		—		28,646		—		—		28,646
Switzerland		—		—		—		55,044		—		—		55,044
Taiwan		—		8,358		—		—		—		—		8,358
United Arab Emirates		—		4,587		—		—		—		—		4,587
United Kingdom		—		—		—		199,668		—		—		199,668
United States		—		—		—		—		5,363,914		—		5,363,914
Total Exposure	$	15,665	$	159,643	$	134,701	$	664,588	$	5,734,785	$	65,744	$	6,775,126

* Allied World has no direct exposure to any of the sovereign governments of Portugal, Italy, Ireland, Greece or Spain.

Page 15

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

RESERVES FOR LOSSES AND LOSS EXPENSES

	AT MARCH 31, 2012
	U.S. INSURANCE			INTERNATIONAL INSURANCE			REINSURANCE			CONSOLIDATED TOTAL
Case reserves (net of reinsurance recoverable)	$	339,178		$	396,861		$	471,298		$	1,207,337
IBNR (net of reinsurance recoverable)		919,869			1,281,686			865,746			3,067,301
Total	$	1,259,047		$	1,678,547		$	1,337,044		$	4,274,638
IBNR/Total reserves (net of reinsurance recoverable)		73.1	%		76.4	%		64.8	%		71.8	%
	AT DECEMBER 31, 2011
	U.S. INSURANCE			INTERNATIONAL INSURANCE			REINSURANCE			CONSOLIDATED TOTAL
Case reserves (net of reinsurance recoverable)	$	313,750		$	400,292		$	455,940		$	1,169,982
IBNR (net of reinsurance recoverable)		910,383			1,284,434			857,425			3,052,242
Total	$	1,224,133		$	1,684,726		$	1,313,365		$	4,222,224
IBNR/Total reserves (net of reinsurance recoverable)		74.4	%		76.2	%		65.3	%		72.3	%

Page 16

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CAPITAL STRUCTURE AND LEVERAGE RATIOS

	MARCH 31, 2012			DECEMBER 31, 2011			SEPTEMBER 30, 2011			JUNE 30, 2011			MARCH 31, 2011
Senior notes	$	798,014		$	797,949		$	797,885		$	797,823		$	797,761
Shareholders’ equity		3,245,821			3,149,022			3,003,074			3,044,417			2,950,953
Total capitalization	$	4,043,835		$	3,946,971		$	3,800,959		$	3,842,240		$	3,748,714
Leverage ratios
Debt to total capitalization		19.7	%		20.2	%		21.0	%		20.8	%		21.3	%
Closing shareholders’ equity	$	3,245,821		$	3,149,022		$	3,003,074		$	3,044,417		$	2,950,953
Deduct: accumulated other comprehensive income		(2,325	)		(14,484	)		(17,796	)		(23,095	)		(32,963	)
Adjusted shareholders’ equity	$	3,243,496		$	3,134,538		$	2,985,278		$	3,021,322		$	2,917,990
Net premiums written (trailing 12 months)	$	1,641,848		$	1,533,766		$	1,514,133		$	1,466,042		$	1,440,034
Net premiums written (trailing 12 months) to adjusted shareholders’ equity		0.51			0.49			0.51			0.49			0.49
Total investments and cash & cash equivalents	$	8,410,290		$	8,123,198		$	8,443,332		$	8,310,422		$	7,991,696
Total investments and cash & cash equivalents to adjusted shareholders’ equity		2.59			2.59			2.83			2.75			2.74
Reserve for losses and loss expenses	$	5,331,418		$	5,225,143		$	5,245,553		$	5,251,304		$	5,100,643
Deduct: reinsurance recoverable		(1,056,780	)		(1,002,919	)		(1,009,643	)		(1,013,951	)		(975,523	)
Net reserve for losses and loss expenses	$	4,274,638		$	4,222,224		$	4,235,910		$	4,237,353		$	4,125,120
Net reserve for losses and loss expenses to adjusted shareholders’ equity		1.32			1.35			1.42			1.40			1.41

Page 17

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

SHARE REPURCHASE DETAIL

PERIOD	TOTAL NUMBER OF SHARES PURCHASED		AVERAGE PRICE PAID PER SHARE		TOTAL ACTUAL COST		MAXIMUM DOLLAR VALUE (OR  APPROXIMATE DOLLAR VALUE) OF SHARES THAT MAY YET BE PURCHASED
Total Twelve Months Ended December 31, 2011		1,419,163	$	61.09	$	86,700	$	174,173
January 1-31, 2012		524,328	$	63.00	$	33,031
February 1-29, 2012		466,972		64.24		29,998
March 1-31, 2012		439,504		68.25		29,994
Total Three Months Ended March 31, 2012		1,430,804	$	65.01	$	93,023	$	81,150

Page 18

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

OPERATING INCOME RECONCILIATION AND

BASIC AND DILUTED EARNINGS PER SHARE INFORMATION

	THREE MONTHS ENDED MARCH 31, 2012			THREE MONTHS ENDED DECEMBER 31, 2011			THREE MONTHS ENDED SEPTEMBER 30, 2011			THREE MONTHS ENDED JUNE 30, 2011			THREE MONTHS ENDED MARCH 31, 2011
Net income (loss)	$	218,156		$	183,100		$	(10,972	)	$	93,800		$	8,620
Add after tax affect of:
Net realized investment (gains) losses		(126,570	)		(26,332	)		126,440			(50,795	)		(49,526	)
Other income - termination fee		—			(61,538	)		(32,270	)		—			—
Foreign exchange (gain) loss		(81	)		(549	)		2,966			1,184			(442	)
Operating income (loss)	$	91,505		$	94,681		$	86,164		$	44,189		$	(41,348	)
Weighted average common shares outstanding
Basic		37,205,166			38,138,558			38,110,368			38,346,489			38,199,867
Diluted		38,284,635			39,524,273			39,340,710	*		39,800,753			40,383,523
Basic per share data
Net income (loss)	$	5.86		$	4.80		$	(0.29	)	$	2.45		$	0.23
Add after tax affect of:
Net realized investment (gains) losses		(3.40	)		(0.69	)		3.32			(1.32	)		(1.30	)
Other income - termination fee		—			(1.62	)		(0.85	)		—			—
Foreign exchange (gain) loss		—			(0.01	)		0.08			0.02			(0.01	)
Operating income (loss)	$	2.46		$	2.48		$	2.26		$	1.15		$	(1.08	)
Diluted per share data
Net income (loss)	$	5.70		$	4.63		$	(0.29	)*	$	2.36		$	0.21
Add after tax affect of:
Net realized investment (gains) losses		(3.31	)		(0.67	)		3.21			(1.28	)		(1.22	)
Other income - termination fee		—			(1.56	)		(0.82	)		—			—
Foreign exchange (gain) loss		—			—			0.09			0.03			(0.01	)
Operating income (loss)	$	2.39		$	2.40		$	2.19		$	1.11		$	(1.02	)

* Diluted weighted average common shares outstanding were only used in the calculation of diluted operating income per share. There were no common share equivalents included in calculating diluted earnings per share as there was a net loss and any additional shares would prove to be anti-dilutive.

Page 19

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

RETURN ON AVERAGE SHAREHOLDERS’ EQUITY AND

RECONCILIATION OF AVERAGE SHAREHOLDERS’ EQUITY

	THREE MONTHS ENDED MARCH 31, 2012			THREE MONTHS ENDED DECEMBER 31, 2011			THREE MONTHS ENDED SEPTEMBER 30, 2011			THREE MONTHS ENDED JUNE 30, 2011			THREE MONTHS ENDED MARCH 31, 2011
Opening shareholders’ equity	$	3,149,022		$	3,003,074		$	3,044,417		$	2,950,953		$	3,075,820
Deduct: accumulated other comprehensive income		(14,484	)		(17,796	)		(23,095	)		(32,963	)		(57,135	)
Adjusted opening shareholders’ equity	$	3,134,538		$	2,985,278		$	3,021,322		$	2,917,990		$	3,018,685
Closing shareholders’ equity	$	3,245,821		$	3,149,022		$	3,003,074		$	3,044,417		$	2,950,953
Deduct: accumulated other comprehensive income		(2,325	)		(14,484	)		(17,796	)		(23,095	)		(32,963	)
Adjusted closing shareholders’ equity	$	3,243,496		$	3,134,538		$	2,985,278		$	3,021,322		$	2,917,990
Average shareholders’ equity	$	3,189,017		$	3,059,908		$	3,003,300		$	2,969,656		$	2,968,338
Net income (loss) available to shareholders	$	218,156		$	183,100		$	(10,972	)	$	93,800		$	8,620
Annualized net income (loss) available to shareholders		872,624			732,400			(43,888	)		375,200			34,480
Annualized return on average shareholders’ equity - net income (loss) available to shareholders		27.4	%		23.9	%		(1.5	%)		12.6	%		1.2	%
Operating income (loss) available to shareholders	$	91,505		$	94,681		$	86,164		$	44,189		$	(41,348	)
Annualized operating income (loss) available to shareholders		366,020			378,724			344,656			176,756			(165,392	)
Annualized return on average shareholders’ equity - operating income (loss) available to shareholders		11.5	%		12.4	%		11.5	%		6.0	%		(5.6	%)

Page 20

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

DILUTED BOOK VALUE PER SHARE

	MARCH 31, 2012			DECEMBER 31, 2011			MARCH 31, 2011
Price per share at period end	$	68.67		$	62.93		$	62.69
Total shareholders’ equity	$	3,245,821		$	3,149,022		$	2,950,953
Basic common shares outstanding		36,786,067			37,742,131			37,899,699
Add: unvested restricted share units		187,623			249,251			475,679
Add: performance based equity awards		524,888			889,939			920,164
Add: employee share purchase plan		—			11,053			—
Add: dilutive options/warrants outstanding		1,429,333			1,525,853			1,674,993
Weighted average exercise price per share	$	45.98		$	45.72		$	45.47
Deduct: options bought back via treasury method		(957,064	)		(1,108,615	)		(1,215,020	)
Common shares and common share equivalents outstanding		37,970,847			39,309,612			39,755,515
Basic book value per common share	$	88.24		$	83.44		$	77.86
Year-to-date percentage change in basic book value per common share		5.8	%		7.2	%
Diluted book value per common share	$	85.48		$	80.11		$	74.23
Year-to-date percentage change in dilutive book value per common share		6.7	%		7.9	%

Page 21

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CALCULATION OF ANNUALIZED INVESTMENT BOOK YIELD

	THREE MONTHS ENDED MARCH 31, 2012			THREE MONTHS ENDED MARCH 31, 2011
Net investment income	$	47,209		$	50,208
Deduct: annual and non-recurring items		—			—
Net investment income, recurring	$	47,209		$	50,208
Annualized net investment income	$	188,836		$	200,832
Opening aggregate invested assets:
Fixed maturity investments, amortized cost	$	6,434,387		$	6,542,867
Equity securities, cost		356,370			160,513
Other invested assets, at cost		529,851			331,772
Cash and cash equivalents		716,604			853,368
Net balances on purchases and sales of investments		(36,285	)		(318,570	)
Opening aggregate invested assets	$	8,000,927		$	7,569,950
Closing aggregate invested assets:
Fixed maturity investments, amortized cost	$	6,196,724		$	6,398,230
Equity securities, cost		424,617			245,618
Other invested assets, cost		490,146			444,331
Cash and cash equivalents		1,113,099			746,002
Net balances on purchases and sales of investments		(178,794	)		(204,767	)
Closing aggregate invested assets	$	8,045,792		$	7,629,414
Average aggregate invested assets	$	8,023,360		$	7,599,682
Annualized investment book yield		2.4	%		2.6	%

Page 22

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CALCULATION OF ANNUALIZED INVESTMENT BOOK YIELD

	YEAR ENDED DECEMBER 31, 2011			NINE MONTHS ENDED SEPTEMBER 30, 2011			SIX MONTHS ENDED JUNE 30, 2011
Net investment income	$	195,948		$	150,459		$	102,576
Deduct: annual and non-recurring items		—			—			—
Net investment income, recurring	$	195,948		$	150,459		$	102,576
Annualized net investment income	$	195,948		$	200,612		$	205,152
Opening aggregate invested assets:
Fixed maturity investments, amortized cost	$	6,542,867		$	6,542,867		$	6,542,867
Equity securities, cost		160,513			160,513			160,513
Other invested assets, at cost		331,772			331,772			331,772
Cash and cash equivalents		853,368			853,368			853,368
Net balances on purchases and sales of investments		(318,570	)		(318,570	)		(318,570	)
Opening aggregate invested assets	$	7,569,950		$	7,569,950		$	7,569,950
Closing aggregate invested assets:
Fixed maturity investments, amortized cost	$	6,434,387		$	6,489,633		$	6,419,637
Equity securities, cost		356,370			445,515			365,394
Other invested assets, at cost		529,851			549,277			533,914
Cash and cash equivalents		716,604			902,573			807,657
Net balances on purchases and sales of investments		(36,285	)		(405,124	)		(252,351	)
Closing aggregate invested assets	$	8,000,927		$	7,981,874		$	7,874,251
Average aggregate invested assets	$	7,785,439		$	7,775,912		$	7,722,101
Annualized investment book yield		2.5	%		2.6	%		2.7	%

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

FINANCIAL STATEMENT PORTFOLIO RETURN

	THREE MONTHS ENDED MARCH 31, 2012			THREE MONTHS ENDED MARCH 31, 2011
Net investment income	$	47,209		$	50,208
Net realized investment gains	$	133,581		$	50,376
Opening net unrealized gains on investments:
Net unrealized gains on fixed maturities	$	17,619		$	67,171
Net unrealized gains (losses) on foreign exchange		—			(3,866	)
Opening net unrealized gains on investments	$	17,619		$	63,305
Closing net unrealized gains on investments:
Net unrealized gains on fixed maturities	$	3,577		$	38,169
Net unrealized gains (losses) on foreign exchange		—			—
Closing net unrealized gains on investments	$	3,577		$	38,169
Net investment income, realized gains and unrealized gains	$	166,748		$	75,448
Opening aggregate invested assets, at fair value:
Fixed maturities available for sale	$	244,016		$	891,849
Fixed maturities trading		6,254,686			5,769,097
Other invested assets trading		907,892			522,608
Cash and cash equivalents		716,604			853,368
Total investments and cash		8,123,198			8,036,922
Net balances on purchases and sales of investments		(36,285	)		(318,570	)
Opening aggregate invested assets, at fair value	$	8,086,913		$	7,718,352
Closing aggregate invested assets, at fair value:
Fixed maturities available for sale	$	44,250		$	543,808
Fixed maturities trading		6,271,237			5,960,830
Other invested assets trading		981,704			741,056
Cash and cash equivalents		1,113,099			746,002
Total investments and cash		8,410,290			7,991,696
Net balances on purchases and sales of investments		(178,794	)		(204,767	)
Closing aggregate invested assets, at fair value	$	8,231,496		$	7,786,929
Average invested assets	$	8,159,205		$	7,752,641
Financial statement portfolio return		2.0	%		1.0	%

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

REGULATION G

In presenting the company’s results, management has included and discussed certain non-GAAP financial measures. Management believes that these non-GAAP measures, which may be defined differently by other companies, better explain the company’s results of operations in a manner that allows for a more complete understanding of the underlying trends in the company’s business. However, these measures should not be viewed as a substitute for those determined in accordance with GAAP.

OPERATING INCOME

Operating income is an internal performance measure used by the company in the management of its operations and represents after-tax operational results excluding, as applicable, net realized investment gains or losses, net impairment charges recognized in earnings, net foreign exchange gain or loss, impairment of intangible assets and other non-recurring items. The company excludes net realized investment gains or losses, net impairment charges recognized in earnings, net foreign exchange gain or loss and other non-recurring items from its calculation of operating income because these amounts are heavily influenced by and fluctuate in part according to the availability of market opportunities and other factors. The company excludes impairment of intangible assets as these are non-recurring charges. In addition to presenting net income determined in accordance with GAAP, the company believes that showing operating income enables investors, analysts, rating agencies and other users of its financial information to more easily analyze the company’s results of operations and the company’s underlying business performance. Operating income should not be viewed as a substitute for GAAP net income. See page 19 for reconciliation of operating income to net income.

ANNUALIZED RETURN ON AVERAGE SHAREHOLDERS’ EQUITY (“ROAE”)

Annualized return on average shareholders’ equity is calculated using average equity, excluding the average after tax unrealized gains or losses on investments. Unrealized gains (losses) on investments are primarily the result of interest rate and credit spread movements and the resultant impact on fixed income securities. Such gains (losses) are not related to management actions or operational performance, nor are they likely to be realized. Therefore, the company believes that excluding these unrealized gains (losses) provides a more consistent and useful measurement of operating performance, which supplements GAAP information. In calculating ROAE, the net income (loss) available to shareholders for the period is multiplied by the number of such periods in a calendar year in order to arrive at annualized net income (loss) available to shareholders. The company presents ROAE as a measure that is commonly recognized as a standard of performance by investors, analysts, rating agencies and other users of its financial information. See page 20 for reconciliation of average shareholders’ equity.

ANNUALIZED OPERATING RETURN ON AVERAGE SHAREHOLDERS’ EQUITY

Annualized operating return on average shareholders’ equity is calculated using operating income (as defined above and annualized in the manner described for net income (loss) available to shareholders under ROAE above), and average shareholders’ equity, excluding the average after tax unrealized gains (losses) on investments. Unrealized gains (losses) are excluded from equity for the reasons outlined in the annualized return on average shareholders’ equity explanation above. See page 19 for the reconciliation of net income to operating income and page 20 for the reconciliation of average shareholders’ equity.

DILUTED BOOK VALUE PER SHARE

The company has included diluted book value per share because it takes into account the effect of dilutive securities; therefore, the company believes it is an important measure of calculating shareholder returns. See page 21 for a reconciliation of diluted book value per share to basic book value per share.

ANNUALIZED INVESTMENT BOOK YIELD

Annualized investment book yield is calculated by dividing normalized net investment income by average aggregate invested assets at book value. In calculating annualized investment book yield, normalized net investment income for the period is multiplied by the number of such periods in a calendar year in order to arrive at annualized net investment income. Normalized net investment income is adjusted for known annual or non-recurring items. The company utilizes and presents the investment yield in order to better disclose the performance of the company’s investments and to show the components of the company’s ROAE. See pages 22 and 23 for calculation of annualized investment book yield.

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